Stock Predictor with Graph Laplacian-Based Multi-task Learning

The stock market is a complex network that consists of individual stocks exhibiting various financial properties and different data distribution. For stock prediction, it is natural to build separate models for each stock but also consider the complex hidden correlation among a set of stocks. We propose a federated multi-task stock predictor with financial graph Laplacian regularization (FMSP-FGL). Specifically, we first introduce a federated multi-task framework with graph Laplacian regularization to fit separate but related stock predictors simultaneously. Then, we investigate the problem of graph Laplacian learning, which represents the association of the dynamic stock. We show that the proposed optimization problem with financial Laplacian constraints captures both the inter series correlation between each pair of stocks and the relationship within the same stock cluster, which helps improve the predictive performance. Empirical results on two popular stock indexes demonstrate that the proposed method outperforms baseline approaches. To the best of our knowledge, this is the first work to utilize the advantage of graph Laplacian in multi-task learning for financial data to predict multiple stocks in parallel.