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Temporal Relational Ranking for Stock Prediction
Open accessAbstract
Stock prediction aims to predict the future trends of a stock in order to help investors make good investment decisions. Traditional solutions for stock prediction are based on time-series models. With the recent success of deep neural networks in modeling sequential data, deep learning has become a promising choice for stock prediction. However, most existing deep learning solutions are not optimized toward the target of investment, i.e., selecting the best stock with the highest expected revenue. Specifically, they typically formulate stock prediction as a classification (to predict stock trends) or a regression problem (to predict stock prices). More importantly, they largely treat the stocks as independent of each other. The valuable signal in the rich relations between stocks (or companies), such as two stocks are in the same sector and two companies have a supplier-customer relation, is not considered. In this work, we contribute a new deep learning solution, named Relational Stock Ranking (RSR), for stock prediction. Our RSR method advances existing solutions in two major aspects: (1) tailoring the deep learning models for stock ranking, and (2) capturing the stock relations in a time-sensitive manner. The key novelty of our work is the proposal of a new component in neural network modeling, named Temporal Graph Convolution , which jointly models the temporal evolution and relation network of stocks. To validate our method, we perform back-testing on the historical data of two stock markets, NYSE and NASDAQ. Extensive experiments demonstrate the superiority of our RSR method. It outperforms state-of-the-art stock prediction solutions achieving an average return ratio of 98% and 71% on NYSE and NASDAQ, respectively.
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Metadata
- Authors
- Feng, F., He, X., Wang, X., Luo, C., Liu, Y., & Chua, T.-S.
- Affiliations
- National University of Singapore (SG)
- University of Science and Technology of China (CN)
- Tsinghua University (CN)
- ORCID
- Wang, Xiang
- Venue
- ACM Transactions on Information Systems
- Published
- 2019-03-05
- Volume
- 37
- Issue
- 2
- Pages
- 1-30
- ISSN
- 1046-8188 (ISSN-L)
- 1558-2868
- OpenAlex
- W2893230400
- Cited by
- 553
- References
- 31
- Citations by year
- 2026: 95 · 2025: 111 · 2024: 88 · 2023: 87 · 2022: 78 · 2021: 51 · 2020: 28 · 2019: 15
- FWCI
- 30.77
- Type
- journal article
- Language
- en
- Open access
- green
- arxiv.org
- Locations
- ACM Transactions on Information Systems (publishedVersion)
- arXiv (Cornell University) (submittedVersion)
- National University of Singapore (submittedVersion, cc-by-sa)
- Funders
- National Research Foundation, Prime Minister? Office, Singapore under its IRC@Singapore Funding Initiative
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Physical Sciences › Computer Science › Signal Processing › Time Series Analysis and Forecasting
- Keywords
- stock price prediction, stock ranking, time evolution, investment decision support, backtesting, New York Stock Exchange, NASDAQ
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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