Abstract
Deep learning models have become widely accessible for stock prediction tasks. However, most of the research in this area focuses on only a single stock or an index and often formulates the problem to optimize only on the accuracy. Our paper proposed a more profit-oriented framework by formulating the problem into multiple stock returns prediction as well as introducing a relation inference for stock ranking. This setup can diversify investment and eventually enhance trading profits while maintaining the regression accuracy. Moreover, it is become more challenging to process multiple time-series features simultaneously because of the great variety of available information in the financial market. We mitigate this with the state-of-the-art model for time-series forecasting, the Dual-stage attention recurrent neural networks (DA-RNN), and train them with the shared-parameter model setting. The attention layer within DA-RNN helps the model captures the relevance insight among the features. We conducted experiments on major 64 target stocks from the SET market with RMSE, mean reciprocal rank, and annualized profit returns as evaluation metrics. The results show that our proposed model framework (DA-RANK) can predict multiple stock returns in ranking order and able to produce a desirable improvement in profitability over other baseline models.
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Notes
- 1.
The provided information was retrieved via the SET SMART portal with permission granted for academic purposes.
- 2.
SET100 index includes top stock with high market capitalization and trading volumes. We select SET100 Thai market capital as of 7 February 2018. These 64 stocks started trading before 2008 and still active in 2018.
- 3.
SET 64 refers to the 64 target stocks, we invested in equally size (e.g. 1000 dollars per stock).
- 4.
The outputs from LSTM/ DA-RNN are transformed from price to return using Eq. 1.
- 5.
This strategy assumes that the trading volume always sufficient to satisfy buying or selling at close price. And the fee is neglected but we can recalculate percent profit after fee with: \( \% Return_{after\;fee} = \% Return_{before\;fee} \times \left( {1 - fee} \right)^{2} \).
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Acknowledgment
Our work is partly supported on the research budget by Capital Market Research Institute (CMRI), The Stock Exchange of Thailand (SET), during Capital Market Research Innovation contest 2019. and permission to use the SET SMART dataset for academic purposes from the Financial Laboratory, Chulalongkorn Business School and Asst. Prof. Tanakorn Likitapiwat.
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Chiewhawan, T., Vateekul, P. (2020). Stock Return Prediction Using Dual-Stage Attention Model with Stock Relation Inference. In: Nguyen, N., Jearanaitanakij, K., Selamat, A., Trawiński, B., Chittayasothorn, S. (eds) Intelligent Information and Database Systems. ACIIDS 2020. Lecture Notes in Computer Science(), vol 12033. Springer, Cham. https://doi.org/10.1007/978-3-030-41964-6_42
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