Modeling hybrid firm relationships with graph neural networks for stock investment decisions

Abstract

The highly volatile nature of the stock market makes predicting data patterns challenging. Significant efforts have been dedicated to modeling complex stock correlations to improve stock return forecasting and support better investor decision-making. Although various predefined intrinsic associations and learned implicit graph structures have been discovered, they have limitations in fully exploring and leveraging both types of graph information. In this paper, we proposed a Hybrid Structure-aware Graph Neural Network (HSGNN) framework. Unlike models that rely solely on predefined or learned graphs, HSGNN utilizes money-flow graphs to complementarily learn implicit graph structures and applies sparse supply-chain graphs to jointly enhance stock return forecasting. Extensive experiments on real stock benchmarks demonstrate our proposed HSGNN outperforms various state-of-the-art forecasting methods, offering a robust decision-support system for financial stakeholders.