Hybrid deep sequential modeling for social text-driven stock prediction

In addition to only considering stocks' price series, utilizing short and instant texts from social medias like Twitter has potential to yield better stock market prediction. While some previous approaches have explored this direction, their results are still far from satisfactory due to their reliance on performance of sentiment analysis and limited capabilities of learning direct relations between target stock trends and their daily social texts. To bridge this gap, we propose a novel Cross-modal attention based Hybrid Recurrent Neural Network (CH-RNN), which is inspired by the recent proposed DA-RNN model. Specifically, CH-RNN consists of two essential modules. One adopts DA-RNN to gain stock trend representations for different stocks. The other utilizes recurrent neural network to model daily aggregated social texts. These two modules interact seamlessly by the following two manners: 1) daily representations of target stock trends from the first module are leveraged to select trend-related social texts through a cross-modal attention mechanism, and 2) representations of text sequences and trend series are further integrated. The comprehensive experiments on the real dataset we build demonstrate the effectiveness of CH-RNN and benefit of considering social texts.