ChatGPT Informed Graph Neural Network for Stock Movement Prediction

10 Pages Posted: 31 May 2023 Last revised: 19 Sep 2023

See all articles by Zihan Chen

Zihan Chen

Stevens Institute of Technology - School of Business

Lei (Nico) Zheng

Stevens Institute of Technology - School of Business

Cheng Lu

Stevens Institute of Technology

Jialu Yuan

University of California, Los Angeles (UCLA), Anderson School of Management, Students

Di Zhu

Stevens Institute of Technology

Date Written: May 28, 2023

Abstract

ChatGPT has demonstrated remarkable capabilities across various natural language processing (NLP) tasks. However, its potential for inferring dynamic network structures from temporal textual data, specifically financial news, remains an unexplored frontier. In this research, we introduce a novel framework that leverages ChatGPT’s graph inference capabilities to enhance Graph Neural Networks (GNN). Our framework adeptly extracts evolving network structures from textual data, and incorporates these networks into graph neural networks for subsequent predictive tasks. The experimental results from stock movement forecasting indicate our model has consistently outperformed the state- of-the-art Deep Learning-based benchmarks. Furthermore, the portfolios constructed based on our model’s outputs demonstrate higher annualized cumulative returns, alongside reduced volatility and maximum drawdown. This superior performance highlights the potential of ChatGPT for text-based network inferences and underscores its promising implications for the financial sector.

Keywords: Large language models, Graph neural networks, Quantitative finance, Stock market

Suggested Citation

Chen, Zihan and Zheng, Lei and Lu, Cheng and Yuan, Jialu and Zhu, Di, ChatGPT Informed Graph Neural Network for Stock Movement Prediction (May 28, 2023). Available at SSRN: https://ssrn.com/abstract=4464002 or http://dx.doi.org/10.2139/ssrn.4464002

Zihan Chen

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

Lei Zheng

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

HOME PAGE: http://www.nicozheng.com/

Cheng Lu

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States
2017369483 (Phone)
07307 (Fax)

Jialu Yuan

University of California, Los Angeles (UCLA), Anderson School of Management, Students ( email )

Los Angeles, CA
United States

Di Zhu (Contact Author)

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States

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