Leveraging temporal properties of news events for stock market prediction

Abstract

Investors make decisions based on various factors, including consumer price index, price-earnings ratio, and also miscellaneous events reported by newspapers. In order to assist their decisions in a timely manner, many studies have been conducted to automatically analyze those information sources in the last decades. However, the majority of the efforts was made for utilizing numerical information, partly due to the difficulty to process natural language texts and to make sense of their temporal properties. This study sheds light on this problem by using deep learning, which has been attracting much attention in various areas of research including pattern mining and machine learning for its ability to automatically construct useful features from a large amount of data. Specifically, this study proposes an approach to market trend prediction based on a recurrent deep neural network to model temporal effects of past events. The validity of the proposed approach is demonstrated on the real-world data for ten Nikkei companies.