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.
Authors
- Hongye Zheng
- Honglin Qin
- Bing Xing Wang (ORCID: https://orcid.org/0000-0003-0633-9999)
- Jiajing Wang (ORCID: https://orcid.org/0000-0001-9751-2376)
- Jianhua Yao (ORCID: https://orcid.org/0000-0001-9157-9596)
- Yuxin Dong (ORCID: https://orcid.org/0000-0002-0166-7590)
Institutions
- 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)
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