CSPO: Cross-Market Synergistic Stock Price Movement Forecasting with Pseudo-volatility Optimization

• URL: http://arxiv.org/abs/2503.22740v1
• Date: Wed, 26 Mar 2025 18:58:15 GMT
• Title: CSPO: Cross-Market Synergistic Stock Price Movement Forecasting with Pseudo-volatility Optimization
• Authors: Sida Lin, Yankai Chen, Yiyan Qi, Chenhao Ma, Bokai Cao, Yifei Zhang, Xue Liu, Jian Guo,
• Abstract summary: We introduce the framework of Cross-market Synergy with Pseudo-volatility Optimization (CSPO)<n>CSPO implements an effective deep neural architecture to leverage external futures knowledge.<n>CSPO incorporates pseudo-volatility to model stock-specific forecasting confidence.
• Score: 14.241290261347281
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The stock market, as a cornerstone of the financial markets, places forecasting stock price movements at the forefront of challenges in quantitative finance. Emerging learning-based approaches have made significant progress in capturing the intricate and ever-evolving data patterns of modern markets. With the rapid expansion of the stock market, it presents two characteristics, i.e., stock exogeneity and volatility heterogeneity, that heighten the complexity of price forecasting. Specifically, while stock exogeneity reflects the influence of external market factors on price movements, volatility heterogeneity showcases the varying difficulty in movement forecasting against price fluctuations. In this work, we introduce the framework of Cross-market Synergy with Pseudo-volatility Optimization (CSPO). Specifically, CSPO implements an effective deep neural architecture to leverage external futures knowledge. This enriches stock embeddings with cross-market insights and thus enhances the CSPO's predictive capability. Furthermore, CSPO incorporates pseudo-volatility to model stock-specific forecasting confidence, enabling a dynamic adaptation of its optimization process to improve accuracy and robustness. Our extensive experiments, encompassing industrial evaluation and public benchmarking, highlight CSPO's superior performance over existing methods and effectiveness of all proposed modules contained therein.

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