Graph-based stock prediction with multisource information and relational data fusion

Abstract

With the application of multisource information in different fields, the combination of different types of information, such as numerical data and text information, has become a favourable choice for performing stock market analyses. Despite the rich information provided by multisource data, building structured relationships remains challenging. In addition, some market relationship-based analysis methods use a predefined graph structure as a stock relationship graph, which makes it impossible to sensitively aggregate attribute features, and these methods cannot dynamically update market relationships or relationship strengths. In this paper, we propose a novel dynamic attribute-driven graph attention network incorporating sentiment (AGATS) information, transaction data, and text data. Inspired by behavioural finance, we separately extract sentiment information as a factor of technical indicators, and further realize the early fusion of technical indicators and textual data through tensor fusion. In particular, real-time intramarket dependencies and key attribute information are captured with graph networks, enabling dynamic relationship and relationship strength updates. Experiments conducted on real datasets show that our model is capable of ourperforming previously developed methods in prediction and trading.