Financial Time Series Prediction With Multi-Granularity Graph Augmented Learning

Peng Zhu, Yuante Li, Qinyuan Liu, Dawei Cheng, Changjun Jiang

Abstract: Financial time series prediction is an important and challenging data mining task for quantitative investment. The inherent non-linearity, high noise, and susceptibility to various factors, such as macroeconomic conditions and market sentiment in the stock market, increase the difficulty of prediction. Existing financial industries mainly employ time series models or fundamental analysis methods for prediction. However, these methods fail to effectively capture the complex interrelationships between equity. In recent years, graph neural networks (GNNs), due to their powerful relational modeling capabilities, have been applied to stock prediction. However, with the advances of recent digital power, such as widely-used high-frequency trading techniques, existing graph-based methods still have shortcomings in effectively learning multi-granularity temporal relations as they cannot effectively learn the patterns in different frequencies, e.g., minute-level, daily, weekly, etc. Therefore, in this paper, we propose a multi-granularity graph augmented learning framework for interrelated financial time series forecasting. We first construct a temporal return relationship graph with multi-granularity financial time series, including weekly, daily, and minute-level, to comprehensively capture the dynamic relations of equities, including both medium-term trends and short-term fluctuations. Then, to further augment the node relations, we devise an attentional graph augment module to improve the graph learning with fundamental data, which are jointly optimized in the prediction layer. We conduct extensive empirical studies on multiple datasets from both the Chinese and U.S. stock markets. The results demonstrate that our proposed model consistently outperforms existing baseline methods across four key financial metrics, including ARR, ASR, CR, and IR, thereby validating its effectiveness and superiority. The model has been applied and empirically tested in commercial-grade trading platforms, further demonstrating its efficiency and robustness in real-world trading environments.

External IDs:dblp:journals/tkde/ZhuLLCJ25