Equity2Vec: End-to-end Deep Learning Framework for Cross-sectional Asset Pricing

Qiong Wu, Christopher G. Brinton, Zheng Zhang, Andrea Pizzoferrato, Zhenming Liu and Mihai Cucuringu

Papers from arXiv.org

Abstract: Pricing assets has attracted significant attention from the financial technology community. We observe that the existing solutions overlook the cross-sectional effects and not fully leveraged the heterogeneous data sets, leading to sub-optimal performance. To this end, we propose an end-to-end deep learning framework to price the assets. Our framework possesses two main properties: 1) We propose Equity2Vec, a graph-based component that effectively captures both long-term and evolving cross-sectional interactions. 2) The framework simultaneously leverages all the available heterogeneous alpha sources including technical indicators, financial news signals, and cross-sectional signals. Experimental results on datasets from the real-world stock market show that our approach outperforms the existing state-of-the-art approaches. Furthermore, market trading simulations demonstrate that our framework monetizes the signals effectively.

Date: 2019-09, Revised 2021-10
New Economics Papers: this item is included in nep-big, nep-exp, nep-fmk and nep-for
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Citations: View citations in EconPapers (4)

Published in International Conference on AI in Finance, 2021

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