Stock Type Prediction Model Based on Hierarchical Graph Neural Network

This paper introduces a novel approach to stock data analysis by employing a Hierarchical Graph Neural Network (HGNN) model that captures multi-level information and relational structures in the stock market. The HGNN model integrates stock relationship data and hierarchical attributes to predict stock types effectively. The paper discusses the construction of a stock industry relationship graph and the extraction of temporal information from historical price sequences. It also highlights the design of a graph convolution operation and a temporal attention aggregator to model the macro market state. The integration of these features results in a comprehensive stock prediction model that addresses the challenges of utilizing stock relationship data and modeling hierarchical attributes in the stock market.

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Publication Details

Published
2024-09-23
DOI
https://doi.org/10.1109/icedcs64328.2024.00081
Citations
9
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
4.41
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Stock Type Prediction Model Based on Hierarchical Graph Neural Network

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Stock Market Forecasting Methods
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article

Stock Type Prediction Model Based on Hierarchical Graph Neural Network

Hongye Zheng, Honglin Qin, Bing Xing Wang, Jiajing Wang, Jianhua Yao, Yuxin Dong
article en
9 citations

Abstract

This paper introduces a novel approach to stock data analysis by employing a Hierarchical Graph Neural Network (HGNN) model that captures multi-level information and relational structures in the stock market. The HGNN model integrates stock relationship data and hierarchical attributes to predict stock types effectively. The paper discusses the construction of a stock industry relationship graph and the extraction of temporal information from historical price sequences. It also highlights the design of a graph convolution operation and a temporal attention aggregator to model the macro market state. The integration of these features results in a comprehensive stock prediction model that addresses the challenges of utilizing stock relationship data and modeling hierarchical attributes in the stock market.

Stevens Institute of Technology (US), Trine University (US), Chinese University of Hong Kong (HK), Illinois Institute of Technology (US), Phoenix (United States) (US), Wake Forest University (US), Columbia University (US)
Openalex Percentile: Top 5%
Stock Market Forecasting Methods
4.41
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