Affiliations: College of Computer Science and Technology, Nanjing University of Aeronautics and Astronautics, Nanjing, Jiangsu, China
Correspondence:
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Corresponding author: Qun Dai, College of Computer Science and Technology, Nanjing University of Aeronautics and Astronautics, 29 Jiangjun Avenue, Jiangning, Nanjing, Jiangsu 211106, China. E-mail: daiqun@nuaa.edu.cn.
Abstract: Stock trend forecasting, which refers to the prediction of the rise and fall of the next day’s stock price, is a promising research field in financial time series forecasting, with a large quantity of well-performing algorithms and models being proposed. However, most of the studies focus on trend prediction for stocks with a large number of samples, while the trend prediction problem of newly listed stocks with only a small number of samples is neglected. In this work, we innovatively design a solution to the Small Sample Size (SSS) trend prediction problem of newly listed stocks. Traditional Machine Learning (ML) and Deep Learning (DL) techniques are based on the assumption that the available labeled samples are substantial, which is invalid for SSS trend prediction of newly listed stocks. In order to break out of this dilemma, we propose a novel Adversarial Unsupervised Domain Adaptation Network (AUDA-Net), based on Generative Adversarial Network (GAN), ad hoc for SSS stock trend forecasting. Different from the traditional domain adaptation algorithms, we employ a GAN model, which is trained on basis of the target stock dataset, to effectively solve the absence problem of available samples. Notably, AUDA-Net can reasonably and successfully transfer the knowledge learned from the source stock dataset to the newly listed stocks with only a few samples. The stock trend forecasting performance of our proposed AUDA-Net model has been verified through extensive experiments conducted on several real stock datasets of the U.S. stock market. Using stock trend forecasting as a case study, we show that the SSS forecasting results produced by AUDA-Net are favorably comparable to the state-of-the-art.
Keywords: Small sample size problem, transfer learning, generative adversarial network, adversarial unsupervised domain adaptation, stock trend forecasting
