Journals
  Publication Years
  Keywords
Search within results Open Search
Please wait a minute...
For Selected: Toggle Thumbnails
Stock movement prediction with market dynamic hierarchical macro information
Yafei ZHANG, Jing WANG, Yaoshuai ZHAO, Zhihao WU, Youfang LIN
Journal of Computer Applications    2023, 43 (5): 1378-1384.   DOI: 10.11772/j.issn.1001-9081.2022030400
Abstract261)   HTML9)    PDF (1401KB)(136)       Save

The complex structure and diverse imformation of stock markets make stock movement prediction extremely challenging. However, most of the existing studies treat each stock as an individual or use graph structures to model complex higher-order relationships in stock markets, without considering the hierarchy and dynamics among stocks, industries and markets. Aiming at the above problems, a Dynamic Macro Memory Network (DMMN) was proposed, and price movement prediction was performed for multiple stocks simultaneously based on DMMN. In this method, the market macro-environmental information was modeled by the hierarchies of “stock-industry-market”, and long-term dependences of this information on time series were captured. Then, the market macro-environmental information was integrated with stock micro-characteristic information dynamically to enhance the ability of each stock to perceive the overall state of the market and capture the interdependences among stocks, industries, and markets indirectly. Experimental results on the collected CSI300 dataset show that compared with stock prediction methods based on Attentive Long Short-Term Memory (ALSTM) network, GCN-LSTM (Graph Convolutional Network with Long Short-Term Memory), Convolutional Neural Network (CNN) and other models, the DMMN-based method achieves better results in F1-score and Sharpe ratio, which are improved by 4.87% and 31.90% respectively compared with ALSTM, the best model among all comparison methods. This indicates that DMMN has better prediction performance and better practicability.

Table and Figures | Reference | Related Articles | Metrics
Spatio-temporal hyper-relationship graph convolutional network for traffic flow forecasting
Yongkai ZHANG, Zhihao WU, Youfang LIN, Yiji ZHAO
Journal of Computer Applications    2021, 41 (12): 3578-3584.   DOI: 10.11772/j.issn.1001-9081.2021060956
Abstract536)   HTML18)    PDF (1112KB)(186)       Save

Traffic flow forecasting is an important research topic for the intelligent transportation system, however, this research is very challenging because of the complex local spatio-temporal relationships among traffic objects such as stations and sensors. Although some previous studies have made great progress by transforming the traffic flow forecasting problem into a spatio-temporal graph forecasting problem, in which the direct correlations across spatio-temporal dimensions among traffic objects are ignored. At present, there is still lack of a comprehensive modeling approach for the local spatio-temporal relationships. A novel spatio-temporal hypergraph modeling scheme was first proposed to address this problem by constructing a kind of spatio-temporal hyper-relationships to comprehensively model the complex local spatio-temporal relationships. Then, a Spatio-Temporal Hyper-Relationship Graph Convolutional Network (STHGCN) forecasting model was proposed to capture these relationships for traffic flow forecasting. Extensive comparative experiments were conducted on four public traffic datasets. Experimental results show that compared with the spatio-temporal forecasting models such as Attention based Spatial-Temporal Graph Convolutional Network (ASTGCN) and Spatial-Temporal Synchronous Graph Convolutional Network (STSGCN), STHGCN achieves better results in Root Mean Square Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE); and the comparison of the running time of different models also shows that STHGCN has higher inference speed.

Table and Figures | Reference | Related Articles | Metrics