用能量模型动态建模股票关联,提升趋势预测准确率。
EP-GAT: Energy-based Parallel Graph Attention Neural Network for Stock Trend Classification
- 基于能量差和玻尔兹曼分布构建动态股票图,捕捉变化中的关联。
- 并行图注意力机制有效保留股票内部层次化特征。
- 在美股、英股五个数据集上均优于现有方法。
图神经网络在预测股票走势方面表现出色,源于其能学习股票间的复杂依赖关系及股票内部动态。现有方法通常依赖静态或人工定义的因子来建模股票间不断变化的依赖关系,且难以保持股票内部的层次特征。为此,本文提出能量驱动的并行图注意力神经网络(EP-GAT),用于预测多只股票的未来走势。首先,利用股票间能量差与玻尔兹曼分布生成动态股票图,捕捉股票间演化中的相互依赖;其次,提出并行图注意力机制以保留股票内部的层次动态。在五个真实世界数据集上进行了广泛实验,涵盖美国股市(NASDAQ、NYSE、SP)和英国股市(FTSE、LSE)。实验结果表明,EP-GAT在多个测试周期内持续优于五种基线方法,各项指标均有提升。消融实验与超参数敏感性分析进一步验证了各模块的有效性。原始数据集与代码已开源:https://github.com/theflash987/EP-GAT。
原文摘要 · Abstract (English)
Graph neural networks have shown remarkable performance in forecasting stock movements, which arises from learning complex inter-dependencies between stocks and intra-dynamics of stocks. Existing approaches based on graph neural networks typically rely on static or manually defined factors to model changing inter-dependencies between stocks. Furthermore, these works often struggle to preserve hierarchical features within stocks. To bridge these gaps, this work presents the Energy-based Parallel Graph Attention Neural Network, a novel approach for predicting future movements for multiple stocks. First, it generates a dynamic stock graph with the energy difference between stocks and Boltzmann distribution, capturing evolving inter-dependencies between stocks. Then, a parallel graph attention mechanism is proposed to preserve the hierarchical intra-stock dynamics. Extensive experiments on five real-world datasets are conducted to validate the proposed approach, spanning from the US stock markets (NASDAQ, NYSE, SP) and UK stock markets (FTSE, LSE). The experimental results demonstrate that EP-GAT consistently outperforms competitive five baselines on test periods across various metrics. The ablation studies and hyperparameter sensitivity analysis further validate the effectiveness of each module in the proposed method. The raw dataset and code are available at https://github.com/theflash987/EP-GAT.
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