Self-Supervised Learning

Trading through Earnings Seasons using Self-Supervised Contrastive Representation Learning ArXiv ID: 2409.17392 “View on arXiv” Authors: Unknown Abstract Earnings release is a key economic event in the financial markets and crucial for predicting stock movements. Earnings data gives a glimpse into how a company is doing financially and can hint at where its stock might go next. However, the irregularity of its release cycle makes it a challenge to incorporate this data in a medium-frequency algorithmic trading model and the usefulness of this data fades fast after it is released, making it tough for models to stay accurate over time. Addressing this challenge, we introduce the Contrastive Earnings Transformer (CET) model, a self-supervised learning approach rooted in Contrastive Predictive Coding (CPC), aiming to optimise the utilisation of earnings data. To ascertain its effectiveness, we conduct a comparative study of CET against benchmark models across diverse sectors. Our research delves deep into the intricacies of stock data, evaluating how various models, and notably CET, handle the rapidly changing relevance of earnings data over time and over different sectors. The research outcomes shed light on CET’s distinct advantage in extrapolating the inherent value of earnings data over time. Its foundation on CPC allows for a nuanced understanding, facilitating consistent stock predictions even as the earnings data ages. This finding about CET presents a fresh approach to better use earnings data in algorithmic trading for predicting stock price trends. ...

Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management ArXiv ID: 2407.13751 “View on arXiv” Authors: Unknown Abstract In the era of rapid globalization and digitalization, accurate identification of similar stocks has become increasingly challenging due to the non-stationary nature of financial markets and the ambiguity in conventional regional and sector classifications. To address these challenges, we examine SimStock, a novel temporal self-supervised learning framework that combines techniques from self-supervised learning (SSL) and temporal domain generalization to learn robust and informative representations of financial time series data. The primary focus of our study is to understand the similarities between stocks from a broader perspective, considering the complex dynamics of the global financial landscape. We conduct extensive experiments on four real-world datasets with thousands of stocks and demonstrate the effectiveness of SimStock in finding similar stocks, outperforming existing methods. The practical utility of SimStock is showcased through its application to various investment strategies, such as pairs trading, index tracking, and portfolio optimization, where it leads to superior performance compared to conventional methods. Our findings empirically examine the potential of data-driven approach to enhance investment decision-making and risk management practices by leveraging the power of temporal self-supervised learning in the face of the ever-changing global financial landscape. ...

Liquidity takers behavior representation through a contrastive learning approach ArXiv ID: 2306.05987 “View on arXiv” Authors: Unknown Abstract Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents’ behaviors in the market based on their placed orders. In this study, we construct a self-supervised learning model using triplet loss to effectively learn the representation of agent market orders. By acquiring this learned representation, various downstream tasks become feasible. In this work, we utilize the K-means clustering algorithm on the learned representation vectors of agent orders to identify distinct behavior types within each cluster. ...