In this paper, we investigated the problem of diagnostic lung nodule malignancy prediction using thoracic Computed Tomography (CT) screening. Unlike most existing studies classify the nodules into two types benign and malignancy, we interpreted the nodule malignancy prediction as a regression problem to predict continuous malignancy level. We proposed a joint multi-task learning algorithm using Convolutional Neural Network (CNN) to capture nodule heterogeneity by extracting discriminative features from alternatingly stacked layers. We trained a CNN regression model to predict the nodule malignancy, and designed a multi-task learning mechanism to simultaneously share knowledge among 9 different nodule characteristics (Subtlety, Calcification, Sphericity, Margin, Lobulation, Spiculation, Texture, Diameter and Malignancy), and improved the final prediction result. Each CNN would generate characteristic-specific feature representations, and then we applied multi-task learning on the features to predict the corresponding likelihood for that characteristic. We evaluated the proposed method on 2620 nodules CT scans from LIDC-IDRI dataset with the 5-fold cross validation strategy. The multitask CNN regression result for regression RMSE and mapped classification ACC were 0.830 and 83.03%, while the results for single task regression RMSE 0.894 and mapped classification ACC 74.9%. Experiments show that the proposed method could predict the lung nodule malignancy likelihood effectively and outperforms the state-of-the-art methods. The learning framework could easily be applied in other anomaly likelihood prediction problem, such as skin cancer and breast cancer. It demonstrated the possibility of our method facilitating the radiologists for nodule staging assessment and individual therapeutic planning.