CoStock: A DeepFM Model for Stock Market Prediction with Attentional Embeddings

Résumé fourni par la source

Forecasting the stock market trend is a vital component of financial systems. Traditional methods mainly rely on quantitative trading data to make predictions. With the increasing volume of Web information, researchers begin to extract effective indicators (e.g., the events and sentiments) from the Web to facilitate the prediction. It is beneficial to fuse the heterogeneous multi-sourced data to achieve superior performance. Existing solutions adopt simple data fusing methods with conventional machine learning models, which may fail to effectively model the complex interactions among the data. With the success of deep neural networks (DNN) in various fields, we propose a DNN-based model that considers the various interactions and complex correlations among the multi-sourced data into one unified framework. In such a framework, the low-and high-order feature interactions are modeled with the factorization machine and the deep neural network respectively, and stock correlations are incorporated with an attention-based feature embedding method. Evaluations on the stock data from the year 2015 to 2017 show that our model can outperform the state-of-the-art methods.

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