Stock2Vec: An Embedding to Improve Predictive Models for Companies
This provides a tool for enhancing predictive models in finance and business analytics, though it appears incremental as it augments existing methods.
The authors tackled the problem of predicting company performance by creating Stock2Vec, an embedding from stock price fluctuations, which improved cross-company prediction models in business contexts.
Building predictive models for companies often relies on inference using historical data of companies in the same industry sector. However, companies are similar across a variety of dimensions that should be leveraged in relevant prediction problems. This is particularly true for large, complex organizations which may not be well defined by a single industry and have no clear peers. To enable prediction using company information across a variety of dimensions, we create an embedding of company stocks, Stock2Vec, which can be easily added to any prediction model that applies to companies with associated stock prices. We describe the process of creating this rich vector representation from stock price fluctuations, and characterize what the dimensions represent. We then conduct comprehensive experiments to evaluate this embedding in applied machine learning problems in various business contexts. Our experiment results demonstrate that the four features in the Stock2Vec embedding can readily augment existing cross-company models and enhance cross-company predictions.