Stock Price Movements Classification Using Machine and Deep Learning Techniques-The Case Study of Indian Stock Market

Abstract

Stock price movements forecasting is an important topic for traders and stock analyst. Timely prediction in stock yields can get more profits and returns. The predicting stock price movement on a daily basis is a difficult task due to more ups and down in the financial market. Therefore, there is a need for a more powerful predictive model to predict the stock prices. Most of the existing work is based on machine learning techniques and considered very few technical indicators to predict the stock prices. In this paper, we have extracted 33 technical indicators based on daily stock price such as open, high, low and close price. This paper addresses the two problems, first is the technical indicator feature selection and identification of the relevant technical indicators by using Boruta feature selection technique. The second is an accurate prediction model for stock price movements. To predict stock price movements we have proposed machine learning techniques and deep learning based model. The performance of the deep learning model is better than the machine learning techniques. The experimental results are significant improves the classification accuracy rate by 5% to 6%. National Stock Exchange, India (NSE) stocks are considered for the experiment.