research-article

Exploring the Scale-Free Nature of Stock Markets: Hyperbolic Graph Learning for Algorithmic Trading

Authors:

Shivam Agarwal,

Rajiv ShahAuthors Info & Claims

WWW '21: Proceedings of the Web Conference 2021

Pages 11 - 22

https://doi.org/10.1145/3442381.3450095

Published: 03 June 2021 Publication History

Abstract

Quantitative trading and investment decision making are intricate financial tasks in the ever-increasing sixty trillion dollars global stock market. Despite advances in stock forecasting, a limitation of most existing neural methods is that they treat stocks independent of each other, ignoring the valuable rich signals between related stocks’ movements. Motivated by financial literature that shows stock markets and inter-stock correlations show scale-free network characteristics, we leverage domain knowledge on the Web to model inter-stock relations as a graph in four major global stock markets and formulate stock selection as a scale-free graph-based learning to rank problem. To capture the scale-free spatial and temporal dependencies in stock prices, we propose HyperStockGAT: Hyperbolic Stock Graph Attention Network, the first model on the Riemannian Manifolds for stock selection. Our work’s key novelty is the proposal of modeling the complex, scale-free nature of inter-stock relations through temporal hyperbolic graph learning on Riemannian manifolds that can represent the spatial correlations between stocks more accurately. Through extensive experiments on long-term real-world data spanning over six years on four of the world’s biggest markets: NASDAQ, NYSE, TSE, and China exchanges, we show that HyperStockGAT significantly outperforms state-of-the-art stock forecasting methods in terms of profitability by over 12%, and risk-adjusted Sharpe Ratio by over 4%. We analyze HyperStockGAT’s components’ contributions through a series of exploratory and ablative experiments to demonstrate its practical applicability to real-world trading. Furthermore, we propose a novel hyperbolic architecture that can be applied across various spatiotemporal problems on the Web’s commonly occurring scale-free networks.

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WWW '21: Proceedings of the Web Conference 2021

April 2021

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ISBN:9781450383127

DOI:10.1145/3442381

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Jie Tang
Tsinghua University
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https://dl.acm.org/doi/10.1145/3696411
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