notesum.ai

Published at November 10

CausalStock: Deep End-to-end Causal Discovery for News-driven Stock Movement Prediction

cs.LG

cs.AI

cs.CE

cs.CL

Released Date: November 10, 2024

Authors: Shuqi Li¹, Yuebo Sun¹, Yuxin Lin², Xin Gao³, Shuo Shang⁴, Rui Yan¹

Aff.: ¹Gaoling School of Artificial Intelligence, Renmin University of China; ²Peking University; ³King Abdullah University of Science and Technology; ⁴University of Electronic Science and Technology of China

Arxiv: http://arxiv.org/abs/2411.06391v1

News-driven Multi-stock movement prediction task
Models	ACL18 (US)		CMIN-US (US)		CMIN-CN (CN)
Models	ACC	MCC	ACC	MCC	ACC	MCC
HAN	57.64 ± 0.0040	0.0518 ± 0.0050	53.72 ± 0.0020	0.0103 ± 0.0015	53.59 ± 0.0037	0.0159 ± 0.0026
StockNet	58.23 ± 0.0030	0.0808 ± 0.0071	52.46 ± 0.0041	0.0220 ± 0.0025	54.53 ± 0.0062	0.0450 ± 0.0043
PEN	59.89 ± 0.0090	0.1556 ± 0.0018	53.20 ± 0.0051	0.0267 ± 0.0023	54.83 ± 0.0086	0.0857 ± 0.0065
CMIN	62.69 ± 0.0029	0.2090 ± 0.0016	53.43 ± 0.0085	0.0460 ± 0.0055	55.28 ± 0.0094	0.1110 ± 0.0990
CausalStock	63.42 ± 0.0039	0.2172 ± 0.0017	54.64 ± 0.0083	0.0481 ± 0.0057	56.19 ± 0.0084	0.1417 ± 0.0813
Multi-stock movement prediction task
Models	KDD17 (US)		NI225 (JP)		FTSE100 (UK)
Models	ACC	MCC	ACC	MCC	ACC	MCC
LSTM	51.18 ± 0.0066	0.0187 ± 0.0110	50.79 ± 0.0079	0.0148 ± 0.0162	50.96 ± 0.0065	0.0187 ± 0.0129
ALSTM	51.66 ± 0.0041	0.0316 ± 0.0119	50.60 ± 0.0066	0.0125 ± 0.0139	51.06 ± 0.0038	0.0231 ± 0.0077
StockNet	51.93 ± 0.0001	0.0335 ± 0.0050	50.15 ± 0.0054	0.0050 ± 0.0118	50.36 ± 0.0095	0.0134 ± 0.0135
Adv-ALSTM	51.69 ± 0.0058	0.0333 ± 0.0137	51.60 ± 0.0103	0.0340 ± 0.0201	50.66 ± 0.0067	0.0155 ± 0.0140
DTML	53.53 ± 0.0075	0.0733 ± 0.0195	52.76 ± 0.0103	0.0626 ± 0.0230	52.08 ± 0.0121	0.0502 ± 0.0214
CausalStock	56.09 ± 0.0069	0.1235 ± 0.0189	53.01 ± 0.0150	0.0640 ± 0.0310	52.88 ± 0.0009	0.0534 ± 0.0210