The HIST framework for stock trend forecasting
The implementation of the paper "HIST: A Graph-based Framework for Stock Trend Forecasting via Mining Concept-Oriented Shared Information". 
Environment
- Install python3.7, 3.8 or 3.9.
- Install the requirements in requirements.txt.
- Install the Qlib and download the data:
# install Qlib from source pip install --upgrade cython git clone https://github.com/microsoft/qlib.git && cd qlib python setup.py install # Download the stock features of Alpha360 python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --region cn --version v2
Reproduce the stock trend forecasting results
git clone https://github.com/Wentao-Xu/HIST.git
cd HIST
mkdir output
Reproduce our HIST framework
# CSI 100
python learn.py --model_name HIST --data_set csi100 --hidden_size 128 --num_layers 2 --outdir ./output/csi100_HIST
# CSI 300
python learn.py --model_name HIST --data_set csi300 --hidden_size 128 --num_layers 2 --outdir ./output/csi300_HIST
Reproduce the baselines
- MLP
# MLP on CSI 100
python learn.py --model_name MLP --data_set csi100 --hidden_size 512 --num_layers 3 --outdir ./output/csi100_MLP
# MLP on CSI 300
python learn.py --model_name MLP --data_set csi300 --hidden_size 512 --num_layers 3 --outdir ./output/csi300_MLP
- LSTM
# LSTM on CSI 100
python learn.py --model_name LSTM --data_set csi100 --hidden_size 128 --num_layers 2 --outdir ./output/csi100_LSTM
# LSTM on CSI 300
python learn.py --model_name LSTM --data_set csi300 --hidden_size 128 --num_layers 2 --outdir ./output/csi300_LSTM
- GRU
# GRU on CSI 100
python learn.py --model_name GRU --data_set csi100 --hidden_size 128 --num_layers 2 --outdir ./output/csi100_GRU
# GRU on CSI 300
python learn.py --model_name GRU --data_set csi300 --hidden_size 64 --num_layers 2 --outdir ./output/csi300_GRU
- SFM
# SFM on CSI 100
python learn.py --model_name SFM --data_set csi100 --hidden_size 64 --num_layers 2 --outdir ./output/csi100_SFM
# SFM on CSI 300
python learn.py --model_name SFM --data_set csi300 --hidden_size 128 --num_layers 2 --outdir ./output/csi300_SFM
- GATs
# GATs on CSI 100
python learn.py --model_name GATs --data_set csi100 --hidden_size 128 --num_layers 2 --outdir ./output/csi100_GATs
# GATs on CSI 300
python learn.py --model_name GATs --data_set csi300 --hidden_size 64 --num_layers 2 --outdir ./output/csi300_GATs
- ALSTM
# ALSTM on CSI 100
python learn.py --model_name ALSTM --data_set csi100 --hidden_size 64 --num_layers 2 --outdir ./output/csi100_ALSTM
# ALSTM on CSI 300
python learn.py --model_name ALSTM --data_set csi300 --hidden_size 128 --num_layers 2 --outdir ./output/csi300_ALSTM
- Transformer
# Transformer on CSI 100
python learn.py --model_name Transformer --data_set csi100 --hidden_size 32 --num_layers 3 --outdir ./output/csi100_Transformer
# Transformer on CSI 300
python learn.py --model_name Transformer --data_set csi300 --hidden_size 32 --num_layers 3 --outdir ./output/csi300_Transformer
-
ALSTM+TRA
We reproduce the ALSTM+TRA with its source code.
2 Nov 17, 2021
604 Dec 28, 2022
3 Jul 09, 2021
67 Dec 28, 2022
4 Jan 03, 2022
50 Dec 30, 2022
12.4k Dec 30, 2022
3.4k Dec 29, 2022
2 Dec 22, 2021
214 Jan 07, 2023
18 Sep 11, 2022
1 Jan 11, 2022
1 Dec 28, 2021
31 Dec 15, 2022
2 Aug 29, 2021
5 Dec 19, 2021
1 Nov 19, 2021
4k Jan 05, 2023
9 Apr 24, 2022
13 Sep 29, 2022