Exploring Graph Neural Networks for Stock Market Prediction on the JS']JSE

Stock markets are dynamic systems that exhibit complex intra-share and inter-share temporal dependencies. Spatial-temporal graph neural networks (ST-GNN) are emerging DNN architectures that have yielded high performance for flow prediction in dynamic systems with complex spatial and temporal dependencies such as city traffic networks. In this research, we apply three state-of-the-art ST-GNN architectures, i.e. Graph WaveNet, MTGNN and StemGNN, to predict the closing price of shares listed on the Johannesburg Stock Exchange (JSE) and attempt to capture complex inter-share dependencies. The results show that ST-GNN architectures, specifically Graph WaveNet, produce superior performance relative to an LSTM and are potentially capable of capturing complex intra-share and inter-share temporal dependencies in the JSE. We found that Graph WaveNet outperforms the other approaches over short-term and medium-term horizons. This work is one of the first studies to apply these ST-GNNs to share price prediction.