FinGAT: Financial Graph Attention Networks for Recommending Top-K Profitable Stocks

Authors: Yi-Ling Hsu, Yu-Che Tsai, Cheng-Te Li

Accepted to IEEE TKDE 2021. The first two authors equally contribute to this work. Code is available at https://github.com/Roytsai27/Financial-GraphAttention

Results of the summarizing process for the arXiv paper: 2106.10159v1

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Financial technology (FinTech) has become a prominent area of interest for investors and companies. While traditional stock analysis in FinTech focuses on predicting stock prices, there is a lack of emphasis on recommending profitable stocks. Additionally, existing approaches to modeling time series of stock prices often overlook the relationships between stocks and sectors or rely on predefined relationships that fail to capture the underlying interactions and influences among stock prices. In this study, the authors aim to address these limitations by proposing a novel deep learning-based model called Financial Graph Attention Networks (FinGAT). The objective of FinGAT is to recommend the top-K profitable stocks based on return ratio using both time series data of stock prices and sector information. Importantly, FinGAT operates under the assumption that no pre-defined relationships between stocks are given. The FinGAT model consists of three key components. First, a hierarchical learning component is designed to capture short-term and long-term sequential patterns from the time series data of stock prices. This allows for a comprehensive understanding of the temporal dynamics in stock price movements. Secondly, fully-connected graphs are constructed both between individual stocks and between sectors. These graphs serve as representations of the latent interactions among stocks and sectors. Graph attention networks are employed to learn these interactions effectively. Lastly, a multi-task objective is formulated to jointly recommend profitable stocks and predict their movement. By integrating these two tasks into a single framework, FinGAT can leverage the shared information between them to enhance its recommendation performance. The authors conducted experiments using datasets from Taiwan Stock, S&P 500, and NASDAQ markets. The results demonstrate that FinGAT outperforms state-of-the-art methods in terms of recommendation performance for profitable stocks. Overall, this study presents an innovative approach to recommending profitable stocks by leveraging deep learning techniques and graph attention networks. By considering both temporal patterns in stock prices and latent interactions among stocks and sectors, FinGAT offers valuable insights for investors and companies in the FinTech domain.
AI-generated keywords: FinTech Financial Graph Attention Networks (FinGAT) Time Series Data Stock Prices Profitable Stocks

AI-generated Key Points

  • Financial technology (FinTech) is a prominent area of interest for investors and companies
  • Traditional stock analysis in FinTech focuses on predicting stock prices, but lacks emphasis on recommending profitable stocks
  • Existing approaches to modeling time series of stock prices often overlook relationships between stocks and sectors or rely on predefined relationships that fail to capture underlying interactions and influences among stock prices
  • The authors propose a novel deep learning-based model called Financial Graph Attention Networks (FinGAT) to address these limitations
  • FinGAT aims to recommend the top-K profitable stocks based on return ratio using both time series data of stock prices and sector information
  • FinGAT operates under the assumption that no pre-defined relationships between stocks are given
  • The FinGAT model consists of three key components: hierarchical learning component, fully-connected graphs representing interactions among stocks and sectors, and a multi-task objective for recommending profitable stocks and predicting their movement
  • Experiments using datasets from Taiwan Stock, S&P 500, and NASDAQ markets show that FinGAT outperforms state-of-the-art methods in terms of recommendation performance for profitable stocks
  • FinGAT leverages deep learning techniques and graph attention networks to offer valuable insights for investors and companies in the FinTech domain.
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Abstract: Financial technology (FinTech) has drawn much attention among investors and companies. While conventional stock analysis in FinTech targets at predicting stock prices, less effort is made for profitable stock recommendation. Besides, in existing approaches on modeling time series of stock prices, the relationships among stocks and sectors (i.e., categories of stocks) are either neglected or pre-defined. Ignoring stock relationships will miss the information shared between stocks while using pre-defined relationships cannot depict the latent interactions or influence of stock prices between stocks. In this work, we aim at recommending the top-K profitable stocks in terms of return ratio using time series of stock prices and sector information. We propose a novel deep learning-based model, Financial Graph Attention Networks (FinGAT), to tackle the task under the setting that no pre-defined relationships between stocks are given. The idea of FinGAT is three-fold. First, we devise a hierarchical learning component to learn short-term and long-term sequential patterns from stock time series. Second, a fully-connected graph between stocks and a fully-connected graph between sectors are constructed, along with graph attention networks, to learn the latent interactions among stocks and sectors. Third, a multi-task objective is devised to jointly recommend the profitable stocks and predict the stock movement. Experiments conducted on Taiwan Stock, S&P 500, and NASDAQ datasets exhibit remarkable recommendation performance of our FinGAT, comparing to state-of-the-art methods.

Submitted to arXiv on 18 Jun. 2021

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