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Knowledge-driven stock trend prediction and explanation via temporal convolutional network

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Abstract

Deep neural networks have achieved promising results in stock trend prediction. However, most of these models have two common drawbacks, including (i) current methods are not sensitive enough to abrupt changes of stock trend, and (ii) forecasting results are not interpretable for humans. To address these two problems, we propose a novel Knowledge-Driven Temporal Convolutional Network (KDTCN) for stock trend prediction and explanation. Firstly, we extract structured events from financial news, and utilize external knowledge from knowledge graph to obtain event embeddings. Then, we combine event embeddings and price values together to forecast stock trend. We evaluate the prediction accuracy to show how knowledge-driven events work on abrupt changes. We also visualize the effect of events and linkage among events based on knowledge graph, to explain why knowledge-driven events are common sources of abrupt changes. Experiments demonstrate that KDTCN can (i) react to abrupt changes much faster and outperform state-of-the-art methods on stock datasets, as well as (ii) facilitate the explanation of prediction particularly with abrupt changes.

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APA

Deng, S., Chen, J., Zhang, N., Pan, J. Z., Zhang, W., & Chen, H. (2019). Knowledge-driven stock trend prediction and explanation via temporal convolutional network. In The Web Conference 2019 - Companion of the World Wide Web Conference, WWW 2019 (pp. 678–685). Association for Computing Machinery, Inc. https://doi.org/10.1145/3308560.3317701

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