Temporal Bipartite Graph Neural Networks for Bond Prediction

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

Understanding bond (debt) valuation and predicting future prices are of great importance in finance. Bonds are a major source of long-term capital in U.S. financial markets along with stocks. However, compared with stocks, bonds are understudied. One main reason is the infrequent trading in the secondary market, which results in irregular intervals and missing observations. This paper attempts to overcome this challenge by leveraging network information from bond-fund holding data and proposes a novel method to predict bond prices (yields). We design the temporal bipartite graph neural networks (TBGNN) with self-supervision regularization that entails multiple components: the bipartite graph representation module of learning node embeddings from the bond and fund interactions and their associated factors; the recurrent neural network module to model the temporal interactions; and the self-supervised objective to regularize the unlabeled node representation with graph structure. The model adopts a minibatch training process (Minibatch Stochastic Gradient Descent) in a deep learning platform to alleviate the model complexity and computation cost in optimizing different modules and objectives. Results show that our TBGNN model provides a more accurate prediction of bond price and yield. It outperforms multiple existing graph neural networks and multivariate time series methods: improving R2 by 6%-51% in bond price prediction and 5%-70% in bond yield prediction.

Original languageEnglish (US)
Title of host publicationProceedings of the 3rd ACM International Conference on AI in Finance, ICAIF 2022
PublisherAssociation for Computing Machinery, Inc
Pages308-316
Number of pages9
ISBN (Electronic)9781450393768
DOIs
StatePublished - Nov 2 2022
Event3rd ACM International Conference on AI in Finance, ICAIF 2022 - New York, United States
Duration: Nov 2 2022Nov 4 2022

Publication series

NameProceedings of the 3rd ACM International Conference on AI in Finance, ICAIF 2022

Conference

Conference3rd ACM International Conference on AI in Finance, ICAIF 2022
Country/TerritoryUnited States
CityNew York
Period11/2/2211/4/22

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence
  • Finance

Keywords

  • Bipartite Network
  • Bond Prediction
  • FinTech
  • Graph Neural Networks

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