Adaptive Long-Short Pattern Transformer for Stock Investment Selection

Adaptive Long-Short Pattern Transformer for Stock Investment Selection

Heyuan Wang, Tengjiao Wang, Shun Li, Jiayi Zheng, Shijie Guan, Wei Chen

Proceedings of the Thirty-First International Joint Conference on Artificial Intelligence
Main Track. Pages 3970-3977. https://doi.org/10.24963/ijcai.2022/551

Stock investment selection is a hard issue in the Fintech field due to non-stationary dynamics and complex market interdependencies. Existing studies are mostly based on RNNs, which struggle to capture interactive information among fine granular volatility patterns. Besides, they either treat stocks as isolated, or presuppose a fixed graph structure heavily relying on prior domain knowledge. In this paper, we propose a novel Adaptive Long-Short Pattern Transformer (ALSP-TF) for stock ranking in terms of expected returns. Specifically, we overcome the limitations of canonical self-attention including context and position agnostic, with two additional capacities: (i) fine-grained pattern distiller to contextualize queries and keys based on localized feature scales, and (ii) time-adaptive modulator to let the dependency modeling among pattern pairs sensitive to different time intervals. Attention heads in stacked layers gradually harvest short- and long-term transition traits, spontaneously boosting the diversity of representations. Moreover, we devise a graph self-supervised regularization, which helps automatically assimilate the collective synergy of stocks and improve the generalization ability of overall model. Experiments on three exchange market datasets show ALSP-TF’s superiority over state-of-the-art stock forecast methods.
Keywords:
Multidisciplinary Topics and Applications: Finance
Data Mining: Applications