Stock Movement Prediction (SMP) aims at predicting listed companies' stock future price trend, which is a challenging task due to the volatile nature of financial markets. Recent financial studies show that the momentum spillover effect plays a significant role in stock fluctuation. However, previous studies typically only learn the simple connection information among related companies, which inevitably fail to model complex relations of listed companies in real financial market. To address this issue, we first construct a more comprehensive Market Knowledge Graph (MKG) which contains bi-typed entities including listed companies and their associated executives, and hybrid-relations including the explicit relations and implicit relations. Afterward, we proposeDanSmp, a novel Dual Attention Networks to learn the momentum spillover signals based upon the constructed MKG for stock prediction. The empirical experiments on our constructed datasets against nine SOTA baselines demonstrate that the proposedDanSmpis capable of improving stock prediction with the constructed MKG.

Bi-typed multi-relational heterogeneous graph (BMHG) is one of the most common graphs in practice, for example, academic networks, e-commerce user behavior graph and enterprise knowledge graph. It is a critical and challenge problem on how to learn the numerical representation for each node to characterize subtle structures. However, most previous studies treat all node relations in BMHG as the same class of relation without distinguishing the different characteristics between the intra-type relations and inter-type relations of the bi-typed nodes, causing the loss of significant structure information. To address this issue, we propose a novelDualHierarchicalAttentionNetworks (DHAN) based on the bi-typed multi-relational heterogeneous graphs to learn comprehensive node representations with the intra-type and inter-type attention-based encoder under a hierarchical mechanism. Specifically, the former encoder aggregates information from the same type of nodes, while the latter aggregates node representations from its different types of neighbors. Moreover, to sufficiently model node multi-relational information in BMHG, we adopt a newly proposed hierarchical mechanism. By doing so, the proposed dual hierarchical attention operations enable our model to fully capture the complex structures of the bi-typed multi-relational heterogeneous graphs. Experimental results on various tasks against the state-of-the-arts sufficiently confirm the capability of DHAN in learning node representations on the BMHGs.