Hierarchical Adaptive Temporal-Relational Modeling for Stock Trend Prediction

Shun LiHeyuan Wang


Stock trend prediction is a challenging task due to the non-stationary dynamics and complex market dependencies. Existing methods usually regard each stock as isolated for prediction, or simply detect their correlations based on a fixed predefined graph structure. Genuinely, stock associations stem from diverse aspects, the underlying relation signals should be implicit in comprehensive graphs. On the other hand, the RNN network is mainly used to model stock historical data, while is hard to capture fine-granular volatility patterns implied in different time spans. In this paper, we propose a novel Hierarchical Adaptive Temporal-Relational Network (HATR) to characterize and predict stock evolutions. By stacking dilated causal convolutions and gating paths, short- and long-term transition features are gradually grasped from multi-scale local compositions of stock trading sequences. Particularly, a dual attention mechanism with Hawkes process and target-specific query is proposed to detect significant temporal points and scales conditioned on individual stock traits. Furthermore, we develop a multi-graph interaction module which consolidates prior domain knowledge and data-driven adaptive learning to capture interdependencies amo...Continue Reading

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