Selective transfer learning with adversarial training for stock movement prediction

Yang LI*, Hong-Ning DAI, Zibin ZHENG

*Corresponding author for this work

Research output: Journal PublicationsJournal Article (refereed)peer-review

Abstract

Stock movement prediction is a critical issue in the field of financial investment. It is very challenging since a stock usually shows highly stochastic property in price and has complex relationships with other stocks. Most existing approaches cannot jointly take the above two issues into account and thus cannot yield satisfactory prediction result. This paper contributes a new stock movement prediction model, Selective Transfer Learning with Adversarial Training (STLAT). Our STLAT method advances existing solutions in two major aspects: (i) tailoring the pre-trained and fine-tuned method for stock movement prediction and (ii) introducing the data selector module to select the more relevant training samples. More specifically, we pre-train the shared base model using three different tasks. The predictor task is constructed to measure the performance of the shared base model with source domain data and target domain data. The adversarial training task is constructed to improve the generalisation of the shared base model. The data selector task is introduced to select the most relevant and high-quality training samples from stocks in source domain. All three tasks are jointly trained with a loss function. As a result, the pre-trained shared base model can be fine-tuned with the stock data in target domain. To validate our method, we perform the back-testing on the historical data of two public datasets and a newly constructed dataset. Extensive experiments demonstrate the superiority of our STLAT method. It outperforms state-of-the-art stock prediction solutions on ACC evaluation of 3.76%, 4.12%, 4.89% on ACL18, KDD17 and CN50, respectively.
Original languageEnglish
Pages (from-to)492-510
Number of pages19
JournalConnection Science
Volume34
Issue number1
Early online date4 Jan 2022
DOIs
Publication statusPublished - 2022

Bibliographical note

Funding Information:
The research is supported by the Key-Area Research and Development Program of Guangdong Province (No. 2020B010165003), and the National Natural Science Foundation of China (No. U1811462), Macao Science and Technology Development Fund under Macao Funding Scheme for Key R & D Projects (0025/2019/AKP), and Hong Kong Institute of Business Studies (HKIBS) Research Seed Fund with Grant No. HKIBS RSF-212-004.

Publisher Copyright:
© 2022 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.

Keywords

  • Stock movement prediction
  • adversarial training
  • data selector
  • transfer learning

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