# GRU-PFG: Extract Inter-Stock Correlation from Stock Factors with Graph Neural Network

arXiv: https://arxiv.org/abs/2411.18997 · HTML: https://mlsanity.com/paper/2411.18997/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 7 of its 42 references that are in the map.
- First posted on arXiv 28 Nov 2024.

## Builds on (most cited first, 7 of 7)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Gate-Variants of Gated Recurrent Unit (GRU) Neural Networks](https://mlsanity.com/paper/1701.05923/) (2017)
- [Applications of deep learning in stock market prediction: recent progress](https://mlsanity.com/paper/2003.01859/) (2020)
- [HIST: A Graph-based Framework for Stock Trend Forecasting via Mining Concept-Oriented Shared Information](https://mlsanity.com/paper/2110.13716/) (2021)
- [Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport](https://mlsanity.com/paper/2106.12950/) (2021)
- [MDGNN: Multi-Relational Dynamic Graph Neural Network for Comprehensive and Dynamic Stock Investment Prediction](https://mlsanity.com/paper/2402.06633/) (2024)
- [Multi-Graph Convolutional Network for Relationship-Driven Stock Movement Prediction](https://mlsanity.com/paper/2005.04955/) (2020)

## Abstract (arXiv)

The complexity of stocks and industries presents challenges for stock prediction. Currently, stock prediction models can be divided into two categories. One category, represented by GRU and ALSTM, relies solely on stock factors for prediction, with limited effectiveness. The other category, represented by HIST and TRA, incorporates not only stock factors but also industry information, industry financial reports, public sentiment, and other inputs for prediction. The second category of models can capture correlations between stocks by introducing additional information, but the extra data is difficult to standardize and generalize. Considering the current state and limitations of these two types of models, this paper proposes the GRU-PFG (Project Factors into Graph) model. This model only takes stock factors as input and extracts inter-stock correlations using graph neural networks. It achieves prediction results that not only outperform the others models relies solely on stock factors, but also achieve comparable performance to the second category models. The experimental results show that on the CSI300 dataset, the IC of GRU-PFG is 0.134, outperforming HIST's 0.131 and significantly surpassing GRU and Transformer, achieving results better than the second category models. Moreover as a model that relies solely on stock factors, it has greater potential for generalization.