MSGraph: Modeling multi-scale K-line sequences with graph attention network for profitable indices recommendation

Indices recommendation is a long-standing topic in stock market investment. Predicting the future trends of indices and ranking them based on the prediction results is the main scheme for indices recommendation. How to improve the forecasting performance is the central issue of this study. Inspired by the widely used trend-following investing strategy in financial investment, the indices' future trends are related to not only the nearby transaction data but also the long-term historical data. This article proposes the MSGraph, which tries to improve the index ranking performance by modeling the correlations of short and long-term historical embeddings with the graph attention network. The original minute-level transaction data is first synthesized into a series of K-line sequences with varying time scales. Each K-line sequence is input into a long short-term memory network (LSTM) to get the sequence embedding. Then, the embeddings for all indices with the same scale are fed into a graph convolutional network to achieve index aggregation. All the aggregated embeddings for the same index are input into a graph attention network to fuse the scale interactions. Finally, a fully connected network produces the index return ratio for the next day, and the recommended indices are obtained through ranking. In total, 60 indices in the Chinese stock market are selected as experimental data. The mean reciprocal rank, precision, accuracy and investment return ratio are used as evaluation metrics. The comparison results show that our method achieves state-of-the-art results in all evaluation metrics, and the ablation study also demonstrates that the combination of multiple scale K-lines facilitates the indices recommendation.