Bi-Level Chaotic Fusion Based Graph Convolutional Network for Stock Market Prediction Interval

TL;DR

This paper introduces a novel graph-based deep learning model with a bi-level chaotic fusion technique to generate reliable prediction intervals for stock market forecasting, capturing uncertainty and market regime dependencies.

Contribution

It proposes a new spatio-temporal graph neural network with a bi-level chaotic fusion and volatility-aware gating for improved uncertainty quantification in stock prediction.

Findings

Achieved the lowest Winkler score of 0.0778 among tested models.

Produced the tightest prediction intervals with PIAW of 0.1407.

Attained the highest coverage probability of 96.6% with statistical significance.

Abstract

Financial market forecasting is inherently uncertain, yet most deep learning approaches rely on point predictions that provide only single-value estimates without quantifying uncertainty. Such predictions are insufficient for risk-aware decision-making, as they fail to capture the range of possible outcomes and the associated confidence of forecasts.The problem can be solved using prediction intervals, which allow obtaining an upper and lower bound for the prediction, thus enabling uncertainty representation in the model. Yet, the current methods tend to disregard relationships between assets or cannot simultaneously ensure good calibration and sharpness of the resulting intervals in dynamically changing market regimes. In our work, we propose a spatio-temporal graph-based approach with a bi-level chaotic fusion technique to solve this problem. Our model uses separate nonlinear transformation functions to estimate the interval center and width. Additionally, a volatility-aware gating mechanism is used to make predictions dependent on the regime in which the market operates. Temporal dependencies are considered by embedding graph structures and sequentially modeling them. Training is conducted according to a Lower-Upper Bound Estimation (LUBE) objective. Our experimental results show significant improvements compared to existing baselines (LSTM, GRU, GCN, HGNN) when applied to data from 2016 to 2026 with 43 leading companies in eight sectors of the NSE. It provides the lowest Winkler score (0.0778), tightest prediction intervals (PIAW = 0.1407), and highest coverage (PICP = 96.6%), with all differences statistically significant (p < 0.001) according to the Diebold-Mariano test.