Multi-Task Learning for Stock Selection

Part of Advances in Neural Information Processing Systems 9 (NIPS 1996)

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Joumana Ghosn, Yoshua Bengio


Artificial Neural Networks can be used to predict future returns of stocks in order to take financial decisions . Should one build a separate network for each stock or share the same network for all the stocks? In this paper we also explore other alternatives, in which some layers are shared and others are not shared. When the prediction of future returns for different stocks are viewed as different tasks, sharing some parameters across stocks is a form of multi-task learning. In a series of experiments with Canadian stocks, we obtain yearly returns that are more than 14% above various benchmarks.