FinGAT: A Financial Graph Attention Networkto Recommend Top-K Profitable Stocks

Related tags

Deep Learning Financial-GraphAttention
Overview

FinGAT: A Financial Graph Attention Networkto Recommend Top-K Profitable Stocks

This is our implementation for the paper:

FinGAT: A Financial Graph Attention Networkto Recommend Top-K Profitable Stocks

Under review of TKDE

Requirements

  • pytorch==1.0.0
  • numpy==1.16.4
  • pandas==0.25.3

Model architecture

How to train the model

  1. Run clean_data.py This script would run the preprocessing for raw data and dump a preprocessed file.
  2. Run train.py you can tune the hyper parameters by adding args after train.py e.g. python3 train.py --epoch 10 --l2 1e-6 etc.
--epoch: number of epochs
--l2: l2 regularization
--dim: dimension for hidden layer
--alpha: The adaptive weight on MAE loss
--beta: The adaptive weight on classification loss
--gamma: The adaptive weight on ranking loss
--lr: learning rate
--device: The device name for training, if train with cpu please use:"cpu"

Reslut

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Comments
  • Hi, Can I get the raw data for these scripts

    Hi, Can I get the raw data for these scripts

    Trying to do a research based on the paper but I'm missing several files

    • SP500_category.csv
    • files under ./SP500_dataset/
    • ./Taiwan_inner_edge.npy
    • ./edge_10.npy
    • ./Taiwan_inner_edge20.npy
    • ./Taiwan_outer_edge.npy
    • Taiwan_model_data_10_best.pickle Can you possibly send me the files? If you don't want to open it to public, please send me via e-mail ([email protected])
    opened by michael960725 4
  • can we find the data and npy files? Thanks!

    can we find the data and npy files? Thanks!

    inner_edge = np.array(np.load("./Taiwan_inner_edge.npy")) inner10_edge = np.array(np.load("./edge_10.npy")) inner20_edge = np.array(np.load("./Taiwan_inner_edge20.npy")) outer_edge = np.array(np.load("./Taiwan_outer_edge.npy"))

    Would you like to share? Or we can discuss in private for mutual fund. I am the elder from NTU as well :D

    opened by ctstanleylee 1
  • FileNotFoundError: [Errno 2] No such file or directory: 'Taiwan_model_data_10_best.pickle'

    FileNotFoundError: [Errno 2] No such file or directory: 'Taiwan_model_data_10_best.pickle'

    Runnning this : python3 train.py --epoch 10 --l2 1e-6

    gives following error :

    Namespace(data='Taiwan_model_data_10_best.pickle', model='CAT', epochs=10, dual_attention=False, dim=16, l2=1e-06, lr=0.05, alpha=1, beta=1, gamma=1, device='cuda:1', use_gru=False, week_num=3, weight=0.5)
Traceback (most recent call last):
  File "/home/hemang/Downloads/Financial-GraphAttention-master/train.py", line 22, in <module>
    with open(data_path,"rb") as f:
FileNotFoundError: [Errno 2] No such file or directory: 'Taiwan_model_data_10_best.pickle'
    opened by hemangjoshi37a 0
Owner
Yu-Che Tsai
Major in Computer Science, Statistics and interested in machine learning, deep learning with it's application in rec sys, network analysis.
Yu-Che Tsai
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