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Stock Embeddings: Learning Distributed Representations for Financial Assets

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  • Rian Dolphin
  • Barry Smyth
  • Ruihai Dong

Abstract

Identifying meaningful relationships between the price movements of financial assets is a challenging but important problem in a variety of financial applications. However with recent research, particularly those using machine learning and deep learning techniques, focused mostly on price forecasting, the literature investigating the modelling of asset correlations has lagged somewhat. To address this, inspired by recent successes in natural language processing, we propose a neural model for training stock embeddings, which harnesses the dynamics of historical returns data in order to learn the nuanced relationships that exist between financial assets. We describe our approach in detail and discuss a number of ways that it can be used in the financial domain. Furthermore, we present the evaluation results to demonstrate the utility of this approach, compared to several important benchmarks, in two real-world financial analytics tasks.

Suggested Citation

  • Rian Dolphin & Barry Smyth & Ruihai Dong, 2022. "Stock Embeddings: Learning Distributed Representations for Financial Assets," Papers 2202.08968, arXiv.org.
  • Handle: RePEc:arx:papers:2202.08968
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    References listed on IDEAS

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    1. Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series 16-64, Swiss Finance Institute.
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    3. Omer Berat Sezer & Mehmet Ugur Gudelek & Ahmet Murat Ozbayoglu, 2019. "Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019," Papers 1911.13288, arXiv.org.
    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    6. Rian Dolphin & Barry Smyth & Yang Xu & Ruihai Dong, 2021. "Measuring Financial Time Series Similarity With a View to Identifying Profitable Stock Market Opportunities," Papers 2107.03926, arXiv.org.
    7. Xing Wang & Yijun Wang & Bin Weng & Aleksandr Vinel, 2020. "Stock2Vec: A Hybrid Deep Learning Framework for Stock Market Prediction with Representation Learning and Temporal Convolutional Network," Papers 2010.01197, arXiv.org.
    8. Parameswaran Gopikrishnan & Bernd Rosenow & Vasiliki Plerou & H. Eugene Stanley, 2000. "Identifying Business Sectors from Stock Price Fluctuations," Papers cond-mat/0011145, arXiv.org.
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    Cited by:

    1. Rian Dolphin & Barry Smyth & Ruihai Dong, 2022. "A Multimodal Embedding-Based Approach to Industry Classification in Financial Markets," Papers 2211.06378, arXiv.org.
    2. Rian Dolphin & Barry Smyth & Ruihai Dong, 2023. "Industry Classification Using a Novel Financial Time-Series Case Representation," Papers 2305.00245, arXiv.org.
    3. Dimitrios Vamvourellis & M'at'e Toth & Snigdha Bhagat & Dhruv Desai & Dhagash Mehta & Stefano Pasquali, 2023. "Company Similarity using Large Language Models," Papers 2308.08031, arXiv.org.

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