A Novel Differentiable Rank Learning Method Towards Stock Movement Quantile Forecasting

Chenyou Fan, Hengyang Lu, Aimin Huang

Abstract: We focus on Stock Movement Forecasting (SMF) using AI techniques to develop modern automated trading systems. Previous studies with deep-learning-based methodology have only considered binary up-or-down trends, ignoring the importance of fine-grained categorization of the stock movements to facilitate decision-making. However, the challenges of SMF arise from the randomness of the global market impacting cross-sectional stocks and the volatility of internal dynamics in each time series. To address these challenges, we present a novel end-to-end learning-to-rank framework that incorporates both market-level and stock-level dynamics. Specifically, we aim to identify cross-sectional stocks that exhibit notable movements at every time step and learn to rank steps with the most significant movements in the temporal dimension. We conduct extensive evaluations of our multi-task learning framework utilizing real-world market data, which demonstrate superior performance when compared to state-of-the-art methods, with improvements in the Gain and Sharpe Ratio by 5–15%.