Learning Universal Multi-level Market Irrationality Factors to Improve Stock Return Forecasting

Recent years have witnessed the perfect encounter of deep learning and quantitative trading has achieved great success in stock investment. Numerous deep learning-based models have been developed for forecasting stock returns, leveraging the powerful representation capabilities of neural networks to identify patterns and factors influencing stock prices. These models can effectively capture general patterns in the market, such as stock price trends, volume-price relationships, and time variations. However, the impact of special irrationality factors -- such as market sentiment, speculative behavior, market manipulation, and psychological biases -- have not been fully considered in existing deep stock forecasting models due to their relative abstraction as well as lack of explicit labels and data description. To fill this gap, we propose UMI, a Universal multi-level Market Irrationality factor model to enhance stock return forecasting. The UMI model learns factors that can reflect irrational behaviors in market from both individual stock and overall market levels. For the stock-level, UMI construct an estimated rational price for each stock, which is cointegrated with the stock's actual price. The discrepancy between the actual and the rational prices serves as a factor to indicate stock-level irrational events. Additionally, we define market-level irrational behaviors as anomalous synchronous fluctuations of stocks within a market. Using two self-supervised representation learning tasks, i.e., sub-market comparative learning and market synchronism prediction, the UMI model incorporates market-level irrationalities into a market representation vector, which is then used as the market-level irrationality factor.

Self-supervised Trajectory Representation Learning with Temporal Regularities and Travel Semantics

Trajectory Representation Learning (TRL) is a powerful tool for spatial-temporal data analysis and management. TRL aims to convert complicated raw trajectories into low-dimensional representation vectors, which can be applied to various downstream tasks, such as trajectory classification, clustering, and similarity computation. Existing TRL works usually treat trajectories as ordinary sequence data, while some important spatial-temporal characteristics, such as temporal regularities and travel semantics, are not fully exploited. To fill this gap, we propose a novel Self-supervised trajectory representation learning framework with TemporAl Regularities and Travel semantics, namely START. The proposed method consists of two stages. The first stage is a Trajectory Pattern-Enhanced Graph Attention Network (TPE-GAT), which converts the road network features and travel semantics into representation vectors of road segments. The second stage is a Time-Aware Trajectory Encoder (TAT-Enc), which encodes representation vectors of road segments in the same trajectory as a trajectory representation vector, meanwhile incorporating temporal regularities with the trajectory representation. Moreover, we also design two self-supervised tasks, i.e., span-masked trajectory recovery and trajectory contrastive learning, to introduce spatial-temporal characteristics of trajectories into the training process of our START framework. The effectiveness of the proposed method is verified by extensive experiments on two large-scale real-world datasets for three downstream tasks. The experiments also demonstrate that our method can be transferred across different cities to adapt heterogeneous trajectory datasets.

SR2CNN: Zero-Shot Learning for Signal Recognition

Signal recognition is one of significant and challenging tasks in the signal processing and communications field. It is often a common situation that there's no training data accessible for some signal classes to perform a recognition task. Hence, as widely-used in image processing field, zero-shot learning (ZSL) is also very important for signal recognition. Unfortunately, ZSL regarding this field has hardly been studied due to inexplicable signal semantics. This paper proposes a ZSL framework, signal recognition and reconstruction convolutional neural networks (SR2CNN), to address relevant problems in this situation. The key idea behind SR2CNN is to learn the representation of signal semantic feature space by introducing a proper combination of cross entropy loss, center loss and autoencoder loss, as well as adopting a suitable distance metric space such that semantic features have greater minimal inter-class distance than maximal intra-class distance. The proposed SR2CNN can discriminate signals even if no training data is available for some signal class. Moreover, SR2CNN can gradually improve itself in the aid of signal detection, because of constantly refined class center vectors in semantic feature space. These merits are all verified by extensive experiments.