Multi-relational Graph Diffusion Neural Network with Parallel Retention for Stock Trends Classification
This addresses the problem of predicting stock movements for financial analysts and investors, representing an incremental improvement with a novel graph-based method.
The paper tackles stock trend classification by modeling dynamic multi-relational graphs between stocks and using a diffusion process with parallel retention, achieving consistent outperformance over state-of-the-art baselines in forecasting next-day trends across three test periods spanning seven years on datasets from NASDAQ, NYSE, and SSE.
Stock trend classification remains a fundamental yet challenging task, owing to the intricate time-evolving dynamics between and within stocks. To tackle these two challenges, we propose a graph-based representation learning approach aimed at predicting the future movements of multiple stocks. Initially, we model the complex time-varying relationships between stocks by generating dynamic multi-relational stock graphs. This is achieved through a novel edge generation algorithm that leverages information entropy and signal energy to quantify the intensity and directionality of inter-stock relations on each trading day. Then, we further refine these initial graphs through a stochastic multi-relational diffusion process, adaptively learning task-optimal edges. Subsequently, we implement a decoupled representation learning scheme with parallel retention to obtain the final graph representation. This strategy better captures the unique temporal features within individual stocks while also capturing the overall structure of the stock graph. Comprehensive experiments conducted on real-world datasets from two US markets (NASDAQ and NYSE) and one Chinese market (Shanghai Stock Exchange: SSE) validate the effectiveness of our method. Our approach consistently outperforms state-of-the-art baselines in forecasting next trading day stock trends across three test periods spanning seven years. Datasets and code have been released (https://github.com/pixelhero98/MGDPR).