Graph Representation Learning for Similarity Stocks Analysis

Boyao Zhang; Chao Yang; Haikuo ZhangZongguo WangJingqi SunLihua WangYonghua ZhaoYangang Wang

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Graph Representation Learning for Similarity Stocks Analysis

机译：Graph Representation Learning for Similarity Stocks Analysis

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摘要

Listed companies with similar or related fundamentals usually influence each other, and these influences are usually reflected in stock prices. For example, the momentum spillover effect in the behavioral finance theory describes the formation of lead-lag effects between the stock prices of related companies. The relationship between listed companies consists of many types, such as relationships in the industry chain, industry information, transaction information, patent sharing degree, equity, etc. We construct a set of industry chain knowledge graph of listed companies to describe the production and supply relationship between the upstream and downstream of listed companies. Then, graph representation learning method is used to study the relevance between listed company entities in the knowledge graph. It includes dimensions such as industry and transaction information of listed companies as weights to optimize the graph representation learning process, and finally calculates the similarity index between listed companies. To evaluate the effectiveness of the method, we conduct a link prediction experiment and construct a stock quantitative investment portfolio based on the similarity index. The result of the quantitative backtest experiment based on China's stock market data in the last 10 years shows that the graph representation learning method we proposed can be used to study the momentum spillover effect and obtain investment returns.

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来源
《Journal of signal processing systems for signal, image, and video technology》 |2022年第11期|1283-1292|共10页
作者
Boyao Zhang; Chao Yang; Haikuo ZhangZongguo WangJingqi SunLihua WangYonghua ZhaoYangang Wang;
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作者单位

Computer Network Information Center, Chinese Academy of Sciences, Beijing, China, University of Chinese Academy of Sciences, Beijing, China;

Beijing University of Aeronautics and Astronautics, College of Software, Beijing, China;

China Internet Network Information Center, Beijing, ChinaComputer Network Information Center, Chinese Academy of Sciences, Beijing, China;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种英语
中图分类
关键词
Industrial chain knowledge graph; Graph representation learning; Similarity stock analysis; Momentum spillover effects;

Graph Representation Learning for Similarity Stocks Analysis

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