英文标题：
《Enhancing Stock Movement Prediction with Adversarial Training》
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作者：
Fuli Feng, Huimin Chen, Xiangnan He, Ji Ding, Maosong Sun, Tat-Seng
Chua
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最新提交年份：
2019
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英文摘要：
This paper contributes a new machine learning solution for stock movement prediction, which aims to predict whether the price of a stock will be up or down in the near future. The key novelty is that we propose to employ adversarial training to improve the generalization of a neural network prediction model. The rationality of adversarial training here is that the input features to stock prediction are typically based on stock price, which is essentially a stochastic variable and continuously changed with time by nature. As such, normal training with static price-based features (e.g. the close price) can easily overfit the data, being insufficient to obtain reliable models. To address this problem, we propose to add perturbations to simulate the stochasticity of price variable, and train the model to work well under small yet intentional perturbations. Extensive experiments on two real-world stock data show that our method outperforms the state-of-the-art solution with 3.11% relative improvements on average w.r.t. accuracy, validating the usefulness of adversarial training for stock prediction task.
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中文摘要：
本文提出了一种新的股票运动预测的机器学习解决方案，旨在预测股票价格在不久的将来是上涨还是下跌。关键的创新之处在于，我们建议采用对抗式训练来提高神经网络预测模型的泛化能力。对抗式训练的合理性在于，股票预测的输入特征通常基于股票价格，股票价格本质上是一个随机变量，本质上是随时间不断变化的。因此，基于静态价格特征（如收盘价）的正常培训很容易过度拟合数据，不足以获得可靠的模型。为了解决这个问题，我们建议添加扰动来模拟价格变量的随机性，并训练模型在较小但有意的扰动下运行良好。对两个真实股票数据的大量实验表明，我们的方法优于最先进的解决方案，平均w.r.t.准确率相对提高了3.11%，验证了对抗性训练对股票预测任务的有效性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Computer Science 计算机科学
二级分类：Machine Learning 机器学习
分类描述：Papers on all aspects of machine learning research (supervised, unsupervised, reinforcement learning, bandit problems, and so on) including also robustness, explanation, fairness, and methodology. cs.LG is also an appropriate primary category for applications of machine learning methods.
关于机器学习研究的所有方面的论文（有监督的，无监督的，强化学习，强盗问题，等等），包括健壮性，解释性，公平性和方法论。对于机器学习方法的应用，CS.LG也是一个合适的主要类别。
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