Stock Market Forecasting Model From Multi News Data Source Using a Two-Level Learning Algorithm

El Bousty Hicham, Et Al

doi:10.17762/turcomat.v12i5.1746

Abstract

Stock prediction retains the attention of a large part of the community. The emergence of new indicators mostly extracted from the web makes this domain of research challenging and in a continuous evolution. The present work tries to address the question of how to model financial news from multi-data source for the purpose of forecasting stock movement. We combined different news sources to enhance the accuracy of stock movement prediction. Data are collected from four financial news websites and proceeded individually by Support Vector Machine (SVM) algorithm then we aggregate outputs using an Artificial Neural Network (ANN) algorithm. Experiments were conducted and the results have shown that the designed two-level learning SVC&ANN algorithm has achieved better accuracy than simple news analysis models using a single information source.

Highlights

Since the correct prediction of the market movement is rewarding for investors and traders, they are in permanent search for new models, systems and indicators
In text and sentiment analysis the way an article is written is decisive in forecasting. This technic aims to confront the predictions from the four web sources and the more likely prediction is selected through a trained Artificial Neural Network (ANN)
This work built a relevant model for forecasting shares’ directional movement from financial news articles. This is a unique research as it is the only paper predicting stock market in a parallel mode from four different web journals

Summary

Introduction

Since the correct prediction of the market movement is rewarding for investors and traders, they are in permanent search for new models, systems and indicators It started from simple historical stock value analysis to volume analysis to financial result reports to technical indicators to events analysis and the social network analysis. Fama distinguishes three forms of market efficiency [1]: For him None of the forms above allow abnormal benefits and no one can beat the market. He claims that the price already includes all available information. This result the dissolution of the market and no exchange will be possible

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