MDGNN: Multi-Relational Dynamic Graph Neural Network for Comprehensive and Dynamic Stock Investment Prediction

ArXiv ID: 2402.06633 “View on arXiv”

Authors: Unknown

Abstract

The stock market is a crucial component of the financial system, but predicting the movement of stock prices is challenging due to the dynamic and intricate relations arising from various aspects such as economic indicators, financial reports, global news, and investor sentiment. Traditional sequential methods and graph-based models have been applied in stock movement prediction, but they have limitations in capturing the multifaceted and temporal influences in stock price movements. To address these challenges, the Multi-relational Dynamic Graph Neural Network (MDGNN) framework is proposed, which utilizes a discrete dynamic graph to comprehensively capture multifaceted relations among stocks and their evolution over time. The representation generated from the graph offers a complete perspective on the interrelationships among stocks and associated entities. Additionally, the power of the Transformer structure is leveraged to encode the temporal evolution of multiplex relations, providing a dynamic and effective approach to predicting stock investment. Further, our proposed MDGNN framework achieves the best performance in public datasets compared with state-of-the-art (SOTA) stock investment methods.

Keywords: Graph Neural Networks (GNN), Multi-relational Graphs, Transformers, Stock Market Prediction, Time Series Forecasting, Equities

Complexity vs Empirical Score

• Math Complexity: 7.5/10
• Empirical Rigor: 6.0/10
• Quadrant: Holy Grail
• Why: The paper employs advanced machine learning techniques involving dynamic graph neural networks and Transformers, requiring significant mathematical formalism, but is heavily reliant on public datasets with reported benchmark comparisons indicating substantial implementation and backtesting efforts.

  flowchart TD
    A["Research Goal:<br>Predict Stock Movements<br>with Dynamic Relations"] --> B["Data & Inputs"]
    B --> C["Core Methodology: MDGNN"]
    
    subgraph B ["Data / Inputs"]
        B1["Stock Price Data"]
        B2["Economic Indicators"]
        B3["News & Sentiment"]
    end

    subgraph C ["MDGNN Framework"]
        C1["Discrete Dynamic Graph Construction<br> Captures multifaceted relations"]
        C2["Multi-relational GNN<br> Learns node embeddings"]
        C3["Transformer Encoder<br> Models temporal evolution"]
    end

    C --> D["Computational Process"]
    D --> E["Key Outcomes"]

    subgraph D ["Process Flow"]
        direction LR
        D1["Graph Generation"]
        D2["Spatial Aggregation"]
        D3["Temporal Encoding"]
    end

    subgraph E ["Findings"]
        E1["State-of-the-Art Performance"]
        E2["Comprehensive Relation Capture"]
        E3["Dynamic Investment Strategy"]
    end