股票相似性的时态表征学习及其在投资管理中的应用

Yoontae Hwang, Stefan Zohren, Yongjae Lee
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引用次数: 0

摘要

在快速全球化和数字化的时代,由于金融市场的非稳态性以及传统地区和行业分类的模糊性,准确识别相似股票变得越来越具有挑战性。为了应对这些挑战,我们对 SimStock 进行了研究,这是一种高级时态自监督学习框架,它结合了自监督学习(SSL)和时态域泛化技术,可以学习金融时间序列数据的稳健且信息丰富的表征。我们研究的主要重点是从更广阔的视角来理解股票之间的相似性,同时考虑到全球金融格局的复杂动态。我们在四个包含数千只股票的真实世界数据集上进行了大量实验,证明了 SimStock 在发现相似股票方面的有效性,其表现优于现有方法。通过将 SimStock 应用于各种投资策略(如配对交易、指数跟踪和投资组合优化),我们展示了 SimStock 的实用性,与传统方法相比,SimStock 的性能更为卓越。面对瞬息万变的全球金融形势,我们的研究结果通过实证检验了数据驱动方法的潜力,即利用时态自监督学习的能力来增强投资决策和风险管理实践。
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Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management
In the era of rapid globalization and digitalization, accurate identification of similar stocks has become increasingly challenging due to the non-stationary nature of financial markets and the ambiguity in conventional regional and sector classifications. To address these challenges, we examine SimStock, a novel temporal self-supervised learning framework that combines techniques from self-supervised learning (SSL) and temporal domain generalization to learn robust and informative representations of financial time series data. The primary focus of our study is to understand the similarities between stocks from a broader perspective, considering the complex dynamics of the global financial landscape. We conduct extensive experiments on four real-world datasets with thousands of stocks and demonstrate the effectiveness of SimStock in finding similar stocks, outperforming existing methods. The practical utility of SimStock is showcased through its application to various investment strategies, such as pairs trading, index tracking, and portfolio optimization, where it leads to superior performance compared to conventional methods. Our findings empirically examine the potential of data-driven approach to enhance investment decision-making and risk management practices by leveraging the power of temporal self-supervised learning in the face of the ever-changing global financial landscape.
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