Multi-Scale Temporal Neural Network for Stock Trend Prediction Enhanced by Temporal Hyepredge Learning

Multi-Scale Temporal Neural Network for Stock Trend Prediction Enhanced by Temporal Hyepredge Learning

Lingyun Song, Haodong Li, Siyu Chen, Xinbiao Gan, Binze Shi, Jie Ma, Yudai Pan, Xiaoqi Wang, Xuequn Shang

Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence
Main Track. Pages 3272-3280. https://doi.org/10.24963/ijcai.2025/364

Existing research in Stock Trend Prediction (STP) focuses on temporal features extracted from a temporal sequence of stock data with a look-back window, which frequently leads to the omission of important periodic patterns, such as weekly and monthly variations in stock prices. Furthermore, these methods examine stocks individually, ignoring the temporal variation patterns among stocks that share higher-order relationships, like those within the same industry. These relationships typically provide contextual insights into market investments influencing stock price fluctuations. To tackle these issues, we propose a Multi-Scale Temporal Neural Network (MSTNN) framework tailored for STP. This architecture explores the periodic fluctuation behaviors of individual stocks through an innovative 3D convolutional neural network, alongside examining temporal variation patterns of stocks linked to specific industries via a temporal hypergraph attention mechanism. Empirical results from two real-world benchmark datasets show that MSTNN significantly outperforms prior state-of-the-art STP methods. The code of our MSTNN is available at https://github.com/sunlitsong/MSTNN.
Keywords:
Data Mining: DM: Applications
Machine Learning: ML: Classification
Machine Learning: ML: Deep learning architectures
Machine Learning: ML: Relational learning