Graph Structure Learning-Based Neural Network for ETF Price Movement Prediction

Hyeonsoo Jo, Jin-gee Kim, Taehun Kim, Kijung Shin

http://doi.org/10.5626/JOK.2024.51.5.473

Exchange-Traded Funds (ETFs) are index funds that mirror particular market indices, usually associated with their low risk and expense ratio to individual investors. Various methods have emerged for accurately predicting ETF price movements, and recently, AI-based technologies have been developed. One representative method involves using time-series-based neural networks to predict the price movement of ETFs. This approach effectively incorporates past price information of ETFs, allowing the prediction of their movement. However, it has a limitation as it only utilizes historical information of individual ETFs and does not account for the relationships and interactions between different ETFs. To address this issue, we propose a model that can capture relationships between ETFs. The proposed model uses graph structure learning to infer a graph representing relationships between ETFs. Based on this, a graph neural network predicts the ETF price movement. The proposed model demonstrates superior performance compared to time-series-based deep-learning models that only use individual ETF information.