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DoubleAdapt: A Meta-learning Approach to Incremental Learning for Stock Trend Forecasting

Author

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  • Lifan Zhao
  • Shuming Kong
  • Yanyan Shen

Abstract

Stock trend forecasting is a fundamental task of quantitative investment where precise predictions of price trends are indispensable. As an online service, stock data continuously arrive over time. It is practical and efficient to incrementally update the forecast model with the latest data which may reveal some new patterns recurring in the future stock market. However, incremental learning for stock trend forecasting still remains under-explored due to the challenge of distribution shifts (a.k.a. concept drifts). With the stock market dynamically evolving, the distribution of future data can slightly or significantly differ from incremental data, hindering the effectiveness of incremental updates. To address this challenge, we propose DoubleAdapt, an end-to-end framework with two adapters, which can effectively adapt the data and the model to mitigate the effects of distribution shifts. Our key insight is to automatically learn how to adapt stock data into a locally stationary distribution in favor of profitable updates. Complemented by data adaptation, we can confidently adapt the model parameters under mitigated distribution shifts. We cast each incremental learning task as a meta-learning task and automatically optimize the adapters for desirable data adaptation and parameter initialization. Experiments on real-world stock datasets demonstrate that DoubleAdapt achieves state-of-the-art predictive performance and shows considerable efficiency.

Suggested Citation

  • Lifan Zhao & Shuming Kong & Yanyan Shen, 2023. "DoubleAdapt: A Meta-learning Approach to Incremental Learning for Stock Trend Forecasting," Papers 2306.09862, arXiv.org, revised Apr 2024.
  • Handle: RePEc:arx:papers:2306.09862
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    References listed on IDEAS

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    1. Wendi Li & Xiao Yang & Weiqing Liu & Yingce Xia & Jiang Bian, 2022. "DDG-DA: Data Distribution Generation for Predictable Concept Drift Adaptation," Papers 2201.04038, arXiv.org, revised Jun 2022.
    2. Wentao Xu & Weiqing Liu & Chang Xu & Jiang Bian & Jian Yin & Tie-Yan Liu, 2021. "REST: Relational Event-driven Stock Trend Forecasting," Papers 2102.07372, arXiv.org, revised Feb 2021.
    3. Hengxu Lin & Dong Zhou & Weiqing Liu & Jiang Bian, 2021. "Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport," Papers 2106.12950, arXiv.org, revised Jun 2021.
    4. Xiao Yang & Weiqing Liu & Dong Zhou & Jiang Bian & Tie-Yan Liu, 2020. "Qlib: An AI-oriented Quantitative Investment Platform," Papers 2009.11189, arXiv.org.
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    Cited by:

    1. Liping Wang & Jiawei Li & Lifan Zhao & Zhizhuo Kou & Xiaohan Wang & Xinyi Zhu & Hao Wang & Yanyan Shen & Lei Chen, 2023. "Methods for Acquiring and Incorporating Knowledge into Stock Price Prediction: A Survey," Papers 2308.04947, arXiv.org.

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