Predict Stock Price Movements Research Articles

Heteroscedasticity effects as component to future stock market predictions using RNN-based models.

Heteroscedasticity effects are useful for forecasting future stock return volatility. Stock volatility forecasting provides business insight into the stock market, making it valuable information for investors and traders. Predicting stock volatility is a crucial task and challenging. This study proposes a hybrid model that predicts future stock volatility values by considering the heteroscedasticity element of the stock price. The proposed model is a combination of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and a well-known Recurrent Neural Network (RNN) algorithm Long Short-Term Memory (LSTM). This proposed model is referred to as GARCH-LSTM model. The proposed model is expected to improve prediction accuracy by considering heteroscedasticity elements. First, the GARCH model is employed to estimate the model parameters. After that, the ARCH effect test is used to test the residuals obtained from the model. Any untrained heteroscedasticity element must be found using this step. The hypothesis of the ARCH test yielded a p-value less than 0.05 indicating there is valuable information remaining in the residual, known as heteroscedasticity element. Next, the dataset with heteroscedasticity is then modelled using an LSTM-based RNN algorithm. Experimental results revealed that hybrid GARCH-LSTM had the lowest MAE (7.961), RMSE (10.466), MAPE (0.516) and HMAE (0.005) values compared with a single LSTM. The accuracy of forecasting was also significantly improved by 15% and 13% with hybrid GARCH-LSTM in comparison to single LSTMs. Furthermore, the results reveal that hybrid GARCH-LSTM fully exploits the heteroscedasticity element, which is not captured by the GARCH model estimation, outperforming GARCH models on their own. This finding from this study confirmed that hybrid GARCH-LSTM models are effective forecasting tools for predicting stock price movements. In addition, the proposed model can assist investors in making informed decisions regarding stock prices since it is capable of closely predicting and imitating the observed pattern and trend of KLSE stock prices.

Machine learning methods for financial forecasting and trading profitability: Evidence during the Russia–Ukraine war

PurposeThis study aims to evaluate the effectiveness of machine learning models to yield profitability over the market benchmark, notably in periods of systemic instability, such as the ongoing war between Russia and Ukraine.Design/methodology/approachThis study made computational experiments using support vector machine (SVM) classifiers to predict stock price movements for three financial markets and construct profitable trading strategies to subsidize investors’ decision-making.FindingsOn average, machine learning models outperformed the market benchmarks during the more volatile period of the Russia–Ukraine war, but not during the period before the conflict. Moreover, the hyperparameter combinations for which the profitability is superior were found to be highly sensitive to small variations during the model training process.Practical implicationsInvestors should proceed with caution when applying machine learning models for stock price forecasting and trading recommendations, as their superior performance for volatile periods – in terms of generating abnormal gains over the market – was not observed for a period of relative stability in the economy.Originality/valueThis paper’s approach to search for financial strategies that succeed in outperforming the market provides empirical evidence about the effectiveness of state-of-the-art machine learning techniques before and after the conflict deflagration, which is of potential value for researchers in quantitative finance and market professionals who operate in the financial segment.

Stock Market Prediction and Visualisation

Abstract: Stock price forecasting is a widely discussed and significant topic in both financial and academic circles. The stock market is inherently unpredictable, lacking clear rules for estimating or predicting share prices. Various methods, including technical analysis, fundamental analysis, time series analysis, and statistical analysis, have been employed to forecast stock prices. However, none of these methods consistently serve as reliable prediction tools. In this paper, we explore the implementation, prediction, and analysis of stock market prices. Artificial Neural Networks and Machine Learning prove effective for forecasting stock prices, returns, and modeling stock behavior. By conducting statistical analyses, we establish relationships between selected factors and share prices, contributing to more accurate predictions. While the stock market remains inherently uncertain, this paper aims to apply data analysis and prediction concepts to forecast stock prices. In the era of global digitization, stock market prediction has undergone significant technological advancements, transforming traditional trading models. As market capitalization continues to rise, stock trading becomes a focal point for financial investors. Analysts and researchers have developed tools and techniques to predict stock price movements, aiding decision-making. Advanced models leverage non-traditional textual data from social platforms for market prediction. Machine learning approaches, including text data analytics and ensemble methods, have significantly improved prediction accuracy. However, analyzing and predicting stock markets remains challenging due to dynamic, erratic, and chaotic data. This study explores machine learning-based approaches for stock market prediction, emphasizing a generic framework. By critically analyzing findings from the last decade (2011–2021) from digital libraries like ACM and Scopus, we provide insights for emerging researchers to delve into this promising area.

ECHO-GL: Earnings Calls-Driven Heterogeneous Graph Learning for Stock Movement Prediction

Stock movement prediction serves an important role in quantitative trading. Despite advances in existing models that enhance stock movement prediction by incorporating stock relations, these prediction models face two limitations, i.e., constructing either insufficient or static stock relations, which fail to effectively capture the complex dynamic stock relations because such complex dynamic stock relations are influenced by various factors in the ever-changing financial market. To tackle the above limitations, we propose a novel stock movement prediction model ECHO-GL based on stock relations derived from earnings calls. ECHO-GL not only constructs comprehensive stock relations by exploiting the rich semantic information in the earnings calls but also captures the movement signals between related stocks based on multimodal and heterogeneous graph learning. Moreover, ECHO-GL customizes learnable stock stochastic processes based on the post earnings announcement drift (PEAD) phenomenon to generate the temporal stock price trajectory, which can be easily plugged into any investment strategy with different time horizons to meet investment demands. Extensive experiments on two financial datasets demonstrate the effectiveness of ECHO-GL on stock price movement prediction tasks together with high prediction accuracy and trading profitability.

Monte carlo simulation with bilstm for day-ahead stock portfolio management

<div>Predicting stock price movement and optimizing day-ahead stock portfolios are challenging tasks due to the inherent complexity and volatility of financial markets. This study proposes a novel approach that combines bidirectional long short-term memory (BiLSTM) neural networks with monte carlo simulation (MCS) to enhance day-ahead stock portfolio management. In the proposed methodology, historical data of the top-performing 10 stocks from different sectors of the National Stock Exchange of India (NSEI) is obtained from 1 January 2004 to 30 June 2023 and utilized to train a BiLSTM model. This model effectively extracts intricate patterns and trends from the time series, leading to more accurate and robust stock price predictions. MCS generates different scenarios, considering various market conditions and uncertainties. These scenarios provide a comprehensive view of the portfolio’s performance under different conditions, thus mitigating the risk of relying solely on a single prediction. The study evaluates the proposed framework and compares its performance against traditional portfolio management strategies. Results demonstrate that the MCS with the BiLSTM approach outperforms traditional methods in terms of risk-adjusted returns and portfolio stability.</div>

Optimization Selection on Deep Learning Algorithm for Stock Price Prediction in Indonesia Companies

Purpose: Share price movements after the COVID-19 pandemic experienced a decline in several sectors, especially in the share prices of the Aneka Tambang Company, which operates in the mining sector, the Wijaya Karya Company in the construction sector, and the Sinar Mas Company, which is a Holding Company. Several factors influence this, including investors' hesitation in investing their money. This research aims to predict stock price movements using a Deep Learning algorithm, which is optimized using Selection optimization at three large companies in Indonesia, namely PT. ANTAM, PT. WIKA, and PT. SINAR MAS. So that it can provide the correct information to investors to avoid losses.Method: research through collecting data from the three companies, preprocessing, and then analyzing research data with several alternatives. The combination of inputs from the three companies using the deep learning method is then optimized using selection optimization to produce the best accuracy and use the results of the RMSE evaluation.Results: The results of this research show that by using the Deep Learning method, the best evaluation results were obtained for the Company PT Wijaya Karya with an RMSE value of 0.432, an MAE value of 0.31505 and an MSE value of 1913.953. These results were then optimized using Selection optimization to obtain an RMSE increase of 0.022, namely 0.410.Novelty: The contribution of this research is to get the best combination of input variables obtained using the windowing process from the three companies, which are then processed using the Deep Learning method to produce the most accurate evaluation results from the three companies, then the results are optimized again using Selection optimization to get the more optimal results.

Stock Price Prediction Using Candlestick Patterns and Sparrow Search Algorithm

Accurately forecasting the trajectory of stock prices holds crucial significance for investors in mitigating investment risks and making informed decisions. Candlestick charts visually depict price information and the trends in stocks, harboring valuable insights for predicting stock price movements. Therefore, the challenge lies in efficiently harnessing candlestick patterns to forecast stock prices. Furthermore, the selection of hyperparameters in network models has a profound impact on the forecasting outcomes. Building upon this foundation, we propose a stock price prediction model SSA-CPBiGRU that integrates candlestick patterns and a sparrow search algorithm (SSA). The incorporation of candlestick patterns endows the input data with structural characteristics and time series relationships. Moreover, the hyperparameters of the CPBiGRU model are optimized using an SSA. Subsequently, the optimized hyperparameters are employed within the network model to conduct predictions. We selected six stocks from different industries in the Chinese stock market for experimentation. The experimental results demonstrate that the model proposed in this paper can effectively enhance the prediction accuracy and has universal applicability. In comparison to the LSTM model, the proposed model produces an average of 31.13%, 24.92%, and 30.42% less test loss in terms of MAPE, RMSE and MAE, respectively. Moreover, it achieves an average improvement of 2.05% in R2.

STOCK MARKET PRICE PREDICTION USING MACHINE LEARNING TECHNIQUES

Predicting stock market prices is a challenging task in the financial sector, where the Efficient Market Hypothesis (EMH) posits the impossibility of accurate prediction due to the inherent uncertainty and complexity of stock price behaviour. However, introducing Machine Learning algorithms has shown the feasibility of stock market price forecasting. This study employs advanced Machine Learning models that can predict stock price movements with the right level of accuracy if the correct parameter tuning and appropriate predictor models are developed. In this research work, the LSTM model, which is a type of Recurrent Neural Network (RNN), time series forecasting Facebook Prophet algorithm and Random Forest Regressor model have been implemented on 10 Dhaka Stock Market (DSEbd) listed companies and six international giants for predicting the stock and forecasting the future price. The dataset of domestic companies is extracted from the graphical representation of the DSEbd website, and the international companies' dataset is imported from Yahoo Finance. In this experiment, Facebook Prophet demonstrates a long period of forecasting with reasonable accuracy, capturing daily, weekly, and yearly seasonality, including holiday effects for market trend analysis. Remarkably, the LSTM model exhibits significant accuracy, yielding the best results with evaluation metrics, including RMSE (0.35), MAPE (0.50%), and MAE (0.30). The experimental results underscore the efficiency of LSTM for future stock forecasting, observed over 15 days of upcoming market prices. A comparison of the results shows that the LSTM model efficiently forecasts the next day's closing price.

Stock price forecasting in Indonesia stock exchange using deep learning: a comparative study

In 2022, the Indonesia stock exchange (IDX) listed 825 companies, making it challenging to identify low-risk companies. Stock price forecasting and price movement prediction are vital issues in financial works. Deep learning has previously been implemented for stock market analysis, with promising results. Because of the differences in architecture and stock issuers in each study report, a consensus on the best stock price forecasting model has yet to be reached. We present a methodology for comparing the performance of convolutional neural networks (CNN), gated recurrent units (GRU), long short-term memory (LSTM), and graph convolutional networks (GCN) layers. The four layers types combination yields 11 architectures with two layers stacked maximum, and the architectures are performance compared in stock price predicting. The dataset consists of open, highest, lowest, closed price, and volume transactions and has 2,588,451 rows from 727 companies in IDX. The best performance architecture was chosen by a vote based on the coefficient of determination (R2), mean squared error (MSE), root mean square error (RMSE), mean absolute percent error (MAPE), and f1-score. TFGRU is the best architecture, producing the finest results on 315 companies with an average score of RMSE is 553.327, MAPE is 0.858, and f1-score is 0.456.

A systematic literature survey on recent trends in stock market prediction.

Prediction of the stock market is a challenging and time-consuming process. In recent times, various research analysts and organizations have used different tools and techniques to analyze and predict stock price movements. During the early days, investors mainly depend on technical indicators and fundamental parameters for short-term and long-term predictions, whereas nowadays many researchers started adopting artificial intelligence-based methodologies to predict stock price movements. In this article, an exhaustive literature study has been carried out to understand multiple techniques employed for prediction in the field of the financial market. As part of this study, more than hundreds of research articles focused on global indices and stock prices were collected and analyzed from multiple sources. Further, this study helps the researchers and investors to make a collective decision and choose the appropriate model for better profit and investment based on local and global market conditions.

Harmonizing Macro-Financial Factors and Twitter Sentiment Analysis in Forecasting Stock Market Trends

The surge in generative artificial intelligence technologies, exemplified by systems such as ChatGPT, has sparked widespread interest and discourse prominently observed on social media platforms like Twitter. This paper delves into the inquiry of whether sentiment expressed in tweets discussing advancements in AI can forecast day-to-day fluctuations in stock prices of associated companies. Our investigation involves the analysis of tweets containing hashtags related to ChatGPT within the timeframe of December 2022 to March 2023. Leveraging natural language processing techniques, we extract features, including positive/negative sentiment scores, from the collected tweets. A range of classifier machine learning models, encompassing gradient boosting, decision trees and random forests, are employed to train on tweet sentiments and associated features for the prediction of stock price movements among key companies, such as Microsoft and OpenAI. These models undergo training and testing phases utilizing an empirical dataset gathered during the stipulated timeframe. Our preliminary findings reveal intriguing indications suggesting a plausible correlation between public sentiment reflected in Twitter discussions surrounding ChatGPT and generative AI and the subsequent impact on market valuation and trading activities concerning pertinent companies, gauged through stock prices. This study aims to forecast bullish or bearish trends in the stock market by leveraging sentiment analysis derived from an extensive dataset comprising 500,000 tweets. In conjunction with this sentiment analysis derived from Twitter, we incorporate control variables encompassing macroeconomic indicators, Twitter uncertainty index and stock market data for several prominent companies.

Leveraging on Synthetic Data Generation Techniques to Train Machine Learning Models for Tenaga Nasional Berhad Stock Price Movement Prediction

This study employs machine learning models to explore stock price prediction for Tenaga Nasional Berhad (TNB), Malaysia’s primary electricity provider. It addresses the limitations of previous studies by incorporating various input variables, including the stock market, technical, financial, and economic data. This study also tackles the issue of imbalanced class distribution due to small datasets of stock market data by generating synthetic data using Synthetic Minority Over-Sampling Technique (SMOTE) and Generative Adversarial Network-Synthetic Minority Over-Sampling Technique (GAN-SMOTE) techniques. The performance of four classifier models (random forest, Support Vector Machine (SVM), Extreme Gradient Boosting (XGBoost), and Artificial Neural Network (ANN)) is evaluated without any synthetic data and with synthetic data generated. The SMOTE-ANN model is the best-performing model, exhibiting superior accuracy of 93%, F1-Score of 92%, precision of 90%, recall of 94%, and specificity of 92%. Overall, this research provides valuable insights into TNB stock price movements, offers a solution for imbalanced class distribution, and identifies the top-performing model for predicting TNB stock price movement. These findings are relevant to investors, analysts, and organisations in the utility sector.

Stock price prediction for a trading strategy: embedding trading strategy into deep learning framework

ABSTRACTThis paper proposes a new approach to making stock price movement prediction better serve the trading strategy by embedding the strategy into deep learning. The trading strategy is incorporated into the model’s training loss function to obtain a higher return under the given trading strategy. To better embed the strategy into the learning model, we also adopt the data of the same day as a batch instead of fixed-size data as a batch. In other words, each parameter update is based on one day’s data. We used the data from the Chinese stock market for an empirical experiment, and according to the characteristics of the Chinese stock market, we made some special treatments. The empirical experiment results show that this method improves the trading strategy’s performance compared with the benchmark.

Analysis and Time-series Forecasting of Corporate Stock Price

Fluctuations in the stock market represent the changes in the national economy objectively, stock price prediction predicts the future trend of stocks using the past data, which has been widely focused on. Some machine learning algorithms, such as linear fitting and sequence mining, are used to predict the stock market. However, linear fitting faces the problem of overfitting and black relationships with historical data, while sequence mining is short in efficiency and lacks dynamic adaptations. State-of-the-art methods using attention mechanism in neural networks have shown exceptional performance targeting sequential prediction and classification. In this paper, we propose a combined LSTM-CNN attention model to explore the role of attention mechanism in Long Short-Term Memory (LSTM) network-based stock price movement prediction. Experimental results show that our LSTM-CNN-attention model can provide an accurate prediction and reliable trial on the stock price prediction, and the attention mechanism significantly improves the model performance in the stock market.

Enhancing predictive modeling for Indian banking stock trends: A fusion of BERT and attention-based BiLSTM approach

In the field of finance, deep learning techniques have been extensively researched for predicting stock prices. In this research, we propose a novel approach for predicting stock price movements using a combination of reviews and historical price data for SBI and HDFC stocks. As market volatility is influenced by numerous factors, it is crucial to consider it while predicting stock prices. To capture the interactions between the price and text data effectively, we create a fusion mix and utilize a hybrid information mixing module, designed using BERT and BiLSTM, to extract the multimodal interactions between the time series and semantic features. The proposed model, the hybrid information mixing module, is based on a multilayer perceptron and achieves high accuracy in predicting price fluctuations in highly volatile stock markets. Future research can extend this approach to include additional data sources and explore other deep learning techniques for better performance.

The stock price forecast under the failure of silicon valley bank based on the ARIMA model

The collapse of Silicon Valley Bank on March 10, 2023, had a profound impact on the stock prices of many companies in the United States. This study aims to examine the response of other banks in the US to this event by utilizing the Autoregressive Integrated Moving Average (ARIMA) model to forecast their stock prices. The research demonstrates that the ARIMA model effectively predicts the general trend of these banks' stock prices, with Root Mean Squared Error (RMSE) values below 1 for four out of six major US banks. These findings indicate that the proposed method is a promising tool for managing sudden fluctuations in stock prices, outperforming traditional linear regression models. Consequently, this research provides valuable insights for investors and financial institutions in managing and mitigating risks associated with abrupt market changes. Additionally, the study contributes to a greater understanding of the effects of bank collapses on the stock market. Overall, the research highlights the significance of incorporating advanced forecasting methods, such as ARIMA, in analyzing and predicting stock price movements in volatile market conditions.

PERFORMANCE EVALUATION OF STOCK PREDICTION MODELS USING EMAGRU

Stock prediction is an exciting issue and is very much needed by investors and business people to develop their assets. The main difficulties in predicting stock prices are dynamic movements, high volatility, and noises caused by company performance and external influences. The traditional method used by investors is the technical analysis based on statistics, valuation of previous stock portfolios, and news from the mass media and social media. Deep learning can predict stock price movements more accurately than traditional methods. As a solution to the issue of stock prediction, we offer the Exponential Moving Average Gated Recurrent Unit (EMAGRU) model and demonstrate its utility. The EMAGRU architecture contains two stacked GRUs arranged in parallel. The inputs and outputs are the EMA10 and EMA20, formed from the closing prices over ten years. We also combine the AntiReLU and ReLU activation functions into the model so that EMAGRU has 6 model variants. Our proposed model produced low losses and high accuracy. RMSE, MEPA, MAE, R2 and were 0.0060, 0.0064, 0.0050, and 0.9976 for EMA10, and 0.0050, 0.0058, 0.0045, and 0.9982 for EMA20, respectively.

Utilization of LSTM (Long Short Term Memory) Based Sentiment Analysis for Stock Price Prediction

This study aims to utilize sentiment analysis in predicting stock price movements. Sentiment analysis can provide information to investors to understand market sentiment. This study uses a text-based approach by pre-processing data, constructing a sentiment analysis model and evaluating model performance. The collected data is analyzed to identify the text's positive, negative, or neutral sentiments. The approach used in scoring sentiment analysis is the Text blob approach and the Lexicon approach. Differences in the results of the accuracy of the two Sentiment Analysis approaches with the LSTM model have an influence on the prediction results with a better increase in accuracy using the Lexicon Sentiment Analysis approach. Then the LSTM model is implemented to classify texts into the desired sentiment categories. The results of this study are insight into the use of sentiment analysis in predicting stock price movements. The implemented sentiment analysis model can be a useful predictive tool for investors and stock practitioners in making investment decisions.

IPH2O: Island Parallel-Harris Hawks Optimizer-Based CLSTM for Stock Price Movement Prediction

IPH2O: Island Parallel-Harris Hawks Optimizer-Based CLSTM for Stock Price Movement Prediction

Stock Price Movement Prediction based on Relation Type guided Graph Convolutional Network

Stock Price Movement Prediction (SPMP) task tends to predict the future price fluctuation of some stocks, which is challenging because of the volatile nature of financial markets. Recent researches widely introduce Graph Convolutional Network (GCN) and achieve some competitive performances for SPMP. However, their works usually only extract the signal representations of individual stock in the phase of feature extraction whereas they ignore the real-time interactions among companies along the signal channels. In addition, when the financial relations among different entities (i.e., companies and executives) participate in the aggregation of GCN during feature encoding, the recent advances fail to consider the dynamics of the relation type representations and the iterative update between entities and relations. To address this problem, we propose a novel method consisting of an External Attention (EA) module and a Relation Type guided Graph Convolutional Network (RTGCN) for SPMP. In detail, to achieve the real-time interactions among companies along the signal channels, we introduce an external attention mechanism to share the company memory of the price and sentiment signals. Moreover, the proposed RTGCN considers the dynamics of the relation type embeddings and achieves iterative update between entity nodes and relation edges in the graph. The experiments on two open-source datasets (i.e., CSI100E and CSI300E) demonstrate that the proposed SPMP method can achieve state-of-the-art performances and can assuredly bring benefits for the performance improvement of SPMP.