Coupling Macro-Sector-Micro Financial Indicators for Learning Stock Representations with Less Uncertainty
- Publisher:
- AAAI
- Publication Type:
- Conference Proceeding
- Citation:
- Proceedings of the AAAI Conference on Artificial Intelligence, 2021, 35, (5), pp. 4418-4426
- Issue Date:
- 2021
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| Filename | Description | Size | |||
|---|---|---|---|---|---|
| 16568-Article Text-20062-1-2-20210518.pdf | Published version | 858.7 kB |
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While the stock movement prediction has been intensively studied, existing work suffers from weak generalization because of the uncertainty in both data and modeling. On one hand, training a stock representation on stochastic stock data in an end-to-end manner may lead to excessive modeling, which involves model uncertainty. On the other, the analysis of correlating stock data with its relevant factors involves data uncertainty. To simultaneously address such uncertainty both from data and modeling perspectives, a fundamental yet challenging task is to learn a better stock representation with less uncertainty by considering hierarchical couplings from the macro-level to the sector-and micro-level. Accordingly, we propose a copula-based contrastive predictive coding (Co-CPC) method. Co-CPC first models the dependence between a certain stock sector and relevant macroeconomic variables that are sequential and heterogeneous, e.g., macro-variables are associated with different time intervals, scales, and distributions. Then, by involving a macro-sector context, stock representations are learned in a self-supervised way that can further be used for downstream tasks like stock movement prediction. Extensive experiments on two typical stock datasets verify the effectiveness of our Co-CPC method.
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