Stock market is an essential element of financial market， therefore， the study on volatility of stock market plays a significant role in taking effective control of financial market risks and improving returns on investment. For this reason， it has attracted widespread attention from both academic circle and related industries. However， there are multiple influencing factors for stock market. Facing the multi-source and heterogeneous information in stock market， it is challenging to find how to mine and fuse multi-source and heterogeneous data of stock market efficiently. To fully explain the influence of different information and information interaction on the price changes in stock market， a graph neural network based on multi-attention mechanism was proposed to predict price fluctuation in stock market. First of all， the relationship dimension was introduced to construct heterogeneous subgraphs for the transaction data and news text of stock market， and multi-attention mechanism was adopted for fusion of the graph data. Then， the graph neural network Gated Recurrent Unit （GRU） was applied to perform graph classification. On this basis， prediction was made for the volatility of three important indexes： Shanghai Composite Index， Shanghai and Shenzhen 300 Index， Shenzhen Component Index. Experimental results show that from the perspective of heterogeneous information characteristics， compared with the transaction data of stock market， the news information of stock market has the lagged influence on stock volatility； from the perspective of heterogeneous information fusion， compared with algorithms such as Support Vector Machine （SVM）， Random Forest （RF） and Multiple Kernel k-Means （MKKM） clustering， the proposed method has the prediction accuracy improved by 17.88 percentage points， 30.00 percentage points and 38.00 percentage points respectively； at the same time， the quantitative investment simulation was performed according to the model trading strategy.

Aiming at the difficulty in selecting stock valuation features and the lack of time series relational dimension features during the prediction of stock market volatility by intelligent algorithms such as Support Vector Machine （SVM） and Long Short-Term Memory （LSTM） network， in order to accurately predict stock volatility and effectively prevent financial market risks， a new stock market volatility prediction method based on Improved Genetic Algorithm （IGA） and Graph Neural Network （GNN） named IGA-GNN was proposed. Firstly， the data of stock market trading index graph was constructed based on the time series relation between adjacent trading days. Secondly， the characteristics of evaluation indexes were used to improve Genetic Algorithm （GA） by optimizing crossover and mutation probabilities， thereby realizing the node feature selection. Then， the weight matrix of edge and node features of graph data was established. Finally， the GNN was used for the aggregation and classification of graph data nodes， and the stock market volatility prediction was realized. In the experiment stage， the studied number of total evaluation indexes of stock was 130， and 87 effective evaluation indexes were extracted from the above by IGA under GNN method， making the number of stock evaluation indexes reduced by 33.08%. The proposed IGA was applied to the intelligent algorithms for feature extraction. The obtained algorithms has the overall prediction accuracy improved by 7.38 percentage points compared with the intelligent algorithms without feature extraction. Compared with applying the traditional GA for feature extraction of the intelligent algorithms， applying the proposed IGA for feature extraction of the intelligent algorithms has the total training time shortened by 17.97%. Among them， the prediction accuracy of IGA-GNN method is the highest， which is 19.62 percentage points higher than that of GNN method without feature extraction. Compared with the GNN method applying the traditional GA for feature extraction， the IGA-GNN method has the training time shortened by 15.97% on average. Experimental results show that， the proposed method can effectively extract stock features and has good prediction effect.