Temporal implicit multimodal networks for investment and risk management

• Main Authors: ANG, Meng Kiat Gary, LIM, Ee-peng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2024
• Subjects: Finance; forecasting; graph neural networks; graphs; multi-modality; Time-series; Artificial Intelligence and Robotics; Databases and Information Systems; OS and Networks
• Online Access: https://ink.library.smu.edu.sg/sis_research/8745; https://ink.library.smu.edu.sg/context/sis_research/article/9748/viewcontent/3643855.pdf
• Institution: Singapore Management University

Many deep learning works on financial time-series forecasting focus on predicting future prices/returns of individual assets with numerical price-related information for trading, and hence propose models designed for univariate, single-task, and/or unimodal settings. Forecasting for investment and risk management involves multiple tasks in multivariate settings: forecasts of expected returns and risks of assets in portfolios, and correlations between these assets. As different sources/types of time-series influence future returns, risks, and correlations of assets in different ways, it is also important to capture time-series from different modalities. Hence, this article addresses financial time-series forecasting for investment and risk management in a multivariate, multitask, and multimodal setting. Financial time-series forecasting, however, is challenging due to the low signal-to-noise ratios typical in financial time-series, and as intra-series and inter-series relationships of assets evolve across time. To address these challenges, our proposed Temporal Implicit Multimodal Network (TIME) model learns implicit inter-series relationship networks between assets from multimodal financial time-series at multiple time-steps adaptively. TIME then uses dynamic network and temporal encoding modules to jointly capture such evolving relationships, multimodal financial time-series, and temporal representations. Our experiments show that TIME outperforms other state-of-the-art models on multiple forecasting tasks and investment and risk management applications.