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Spatiotemporal Transformer for Stock Movement Prediction (arxiv.org)
2 points by PaulHoule on May 9, 2023 | hide | past | pdf | discuss on HN

In plain words: A model that reads how many stocks and news or sentiment signals move together over time, then guesses whether a stock's price will rise or fall. In a trading simulation it earned at least 10.41% more profit than the S&P 500 index.

Abstract

Financial markets are an intriguing place that offer investors the potential to gain large profits if timed correctly. Unfortunately, the dynamic, non-linear nature of financial markets makes it extremely hard to predict future price movements. Within the US stock exchange, there are a countless number of factors that play a role in the price of a company's stock, including but not limited to financial statements, social and news sentiment, overall market sentiment, political happenings and trading psychology. Correlating these factors is virtually impossible for a human. Therefore, we propose STST, a novel approach using a Spatiotemporal Transformer-LSTM model for stock movement prediction. Our model obtains accuracies of 63.707 and 56.879 percent against the ACL18 and KDD17 datasets, respectively. In addition, our model was used in simulation to determine its real-life applicability. It obtained a minimum of 10.41% higher profit than the S&P500 stock index, with a minimum annualized return of 31.24%.

Daniel Boyle, Jugal Kalita
arXiv:2305.03835 · cs.LG, cs.AI, cs.CE · submitted May 5, 2023
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