Exploring Graph Neural Networks for Stock Market Predictions with Rolling Window Analysis

Recently, there has been a surge of interest in the use of machine learning to help aid in the accurate predictions of financial markets. Despite the exciting advances in this cross-section of finance and AI, many of the current approaches are limited to using technical analysis to capture historical trends of each stock price and thus limited to certain experimental setups to obtain good prediction results. On the other hand, professional investors additionally use their rich knowledge of inter-market and inter-company relations to map the connectivity of companies and events, and use this map to make better market predictions. For instance, they would predict the movement of a certain company's stock price based not only on its former stock price trends but also on the performance of its suppliers or customers, the overall industry, macroeconomic factors and trade policies. This paper investigates the effectiveness of work at the intersection of market predictions and graph neural networks, which hold the potential to mimic the ways in which investors make decisions by incorporating company knowledge graphs directly into the predictive model. The main goal of this work is to test the validity of this approach across different markets and longer time horizons for backtesting using rolling window analysis. In this work, we concentrate on the prediction of individual stock prices in the Japanese Nikkei 225 market over a period of roughly 20 years. For the knowledge graph, we use the Nikkei Value Search data, which is a rich dataset showing mainly supplier relations among Japanese and foreign companies. Our preliminary results show a 29.5% increase and a 2.2-fold increase in the return ratio and Sharpe ratio, respectively, when compared to the market benchmark, as well as a 6.32% increase and 1.3-fold increase, respectively, compared to the baseline LSTM model.

Image based cellular contractile force evaluation with small-world network inspired CNN: SW-UNet

We propose an image-based cellular contractile force evaluation method using a machine learning technique. We use a special substrate that exhibits wrinkles when cells grab the substrate and contract, and the wrinkles can be used to visualize the force magnitude and direction. In order to extract wrinkles from the microscope images, we develop a new CNN (convolutional neural network) architecture SW-UNet (small-world U-Net), which is a CNN that reflects the concept of the small-world network. The SW-UNet shows better performance in wrinkle segmentation task compared to other methods: the error (Euclidean distance) of SW-UNet is 4.9 times smaller than 2D-FFT (fast Fourier transform) based segmentation approach, and is 2.9 times smaller than U-Net. As a demonstration, we compare the contractile force of U2OS (human osteosarcoma) cells and show that cells with a mutation in the KRAS oncogne show larger force compared to the wild-type cells. Our new machine learning based algorithm provides us an efficient, automated and accurate method to evaluate the cell contractile force.