USTGCN: A Unified Spatio-Temporal Graph Convolutional Network for Stock-Ranking Prediction

Stock-ranking prediction is an important task in quantitative finance because it directly influences portfolio construction and alpha generation. Recent Graph Neural Network (GNN) models provide a promising way to describe inter-stock dependencies, but many existing methods still have difficulty balancing rapidly changing market interactions with relatively stable structural relationships. They are also easily affected by financial micro-structure noise. To address these issues, this paper proposes USTGCN, a Unified Spatio-Temporal Graph Convolutional Network for stock-ranking prediction. USTGCN adopts a dual-stream temporal encoder based on ALSTM and GRU to capture short-term dynamic patterns and longer-horizon structural information, respectively. We further introduce a rolling-window correlation smoothing strategy to build a more stable dynamic graph, and then integrate the dynamic and structural graph views through a shared fusion layer. Skip connections are used to preserve original temporal information during spatial aggregation. Experiments on the CSI100 and CSI300 benchmark datasets show that USTGCN achieves IC values of 0.141 and 0.154, respectively, and exhibits improved drawdown control during stressed market periods, indicating its practical value for quantitative trading.

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Publication Details

Journal
Electronics
Published
2026-03-21
DOI
https://doi.org/10.3390/electronics15061317
Primary Topic
Stock Market Forecasting Methods
Type
article
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article

USTGCN: A Unified Spatio-Temporal Graph Convolutional Network for Stock-Ranking Prediction

Haotao Chen, Lele Gao, Xiangzhou Zhang, M -Y Liu et al.
Electronics
Stock Market Forecasting Methods
article

USTGCN: A Unified Spatio-Temporal Graph Convolutional Network for Stock-Ranking Prediction

Haotao Chen, Lele Gao, Xiangzhou Zhang, M -Y Liu, Wenjie Yao, Yong Hu
article en

Abstract

Stock-ranking prediction is an important task in quantitative finance because it directly influences portfolio construction and alpha generation. Recent Graph Neural Network (GNN) models provide a promising way to describe inter-stock dependencies, but many existing methods still have difficulty balancing rapidly changing market interactions with relatively stable structural relationships. They are also easily affected by financial micro-structure noise. To address these issues, this paper proposes USTGCN, a Unified Spatio-Temporal Graph Convolutional Network for stock-ranking prediction. USTGCN adopts a dual-stream temporal encoder based on ALSTM and GRU to capture short-term dynamic patterns and longer-horizon structural information, respectively. We further introduce a rolling-window correlation smoothing strategy to build a more stable dynamic graph, and then integrate the dynamic and structural graph views through a shared fusion layer. Skip connections are used to preserve original temporal information during spatial aggregation. Experiments on the CSI100 and CSI300 benchmark datasets show that USTGCN achieves IC values of 0.141 and 0.154, respectively, and exhibits improved drawdown control during stressed market periods, indicating its practical value for quantitative trading.

ElectronicsVol. 15(6)
Jinan University (CN)
Industry, innovation and infrastructure
Openalex Percentile: Top 13%
Stock Market Forecasting Methods
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