Futures Quantitative Investment with Heterogeneous Continual Graph Neural Network

• URL: http://arxiv.org/abs/2303.16532v2
• Date: Tue, 19 Dec 2023 12:43:34 GMT
• Title: Futures Quantitative Investment with Heterogeneous Continual Graph Neural Network
• Authors: Min Hu, Zhizhong Tan, Bin Liu, Guosheng Yin
• Abstract summary: This study aims to address the challenges of futures price prediction in high-frequency trading (HFT) by proposing a continuous learning factor predictor based on graph neural networks. The model integrates multi- pricing theories with real-time market dynamics, effectively bypassing the limitations of existing methods. Empirical tests on 49 commodity futures in China's futures market demonstrate that the proposed model outperforms other state-of-the-art models in terms of prediction accuracy.
• Score: 13.882054287609021
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: This study aims to address the challenges of futures price prediction in high-frequency trading (HFT) by proposing a continuous learning factor predictor based on graph neural networks. The model integrates multi-factor pricing theories with real-time market dynamics, effectively bypassing the limitations of existing methods that lack financial theory guidance and ignore various trend signals and their interactions. We propose three heterogeneous tasks, including price moving average regression, price gap regression and change-point detection to trace the short-, intermediate-, and long-term trend factors present in the data. In addition, this study also considers the cross-sectional correlation characteristics of future contracts, where prices of different futures often show strong dynamic correlations. Each variable (future contract) depends not only on its historical values (temporal) but also on the observation of other variables (cross-sectional). To capture these dynamic relationships more accurately, we resort to the spatio-temporal graph neural network (STGNN) to enhance the predictive power of the model. The model employs a continuous learning strategy to simultaneously consider these tasks (factors). Additionally, due to the heterogeneity of the tasks, we propose to calculate parameter importance with mutual information between original observations and the extracted features to mitigate the catastrophic forgetting (CF) problem. Empirical tests on 49 commodity futures in China's futures market demonstrate that the proposed model outperforms other state-of-the-art models in terms of prediction accuracy. Not only does this research promote the integration of financial theory and deep learning, but it also provides a scientific basis for actual trading decisions.

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