Stock Market Trend Prediction Research Articles

Heterogeneous model ensembles for short-term prediction of stock market trends

Here, we discuss the identification of heterogeneous ensembles for short-term prediction of trends in stock markets. The goal is to predict trends (uptrend, sideways trend, or downtrend) for the next day, the next week, and the next month. A sliding window approach is used; model ensembles are iteratively learned and tested on subsequent data points. We have applied several machine learning approaches, and the models produced using these methods have been combined to heterogeneous model ensembles. The final estimation for each sample is calculated via majority voting, and the confidence in the final estimation is calculated as the relative ratio of a sample's majority vote. We use a confidence threshold that specifies the minimum confidence level that has to be reached. In the empirical section, we discuss results achieved using data of the Spanish stock market recorded from 2003 to 2013.

Stock market trend prediction using dynamical Bayesian factor graph

A new qualitative method using the concept of dynamical Bayesian factor graph is developed in this paper for the prediction of stock market trend. The essence of this method is to compute the corresponding dynamical Bayesian factor graph for a selected set of macroeconomic factors over a period of time of interest. The computed time series of graphs capture both the mutual influential relationships and the evaluation of these relationships among these factors over a specified period of time. Then any topological structural change in the adjacent graphs at anytime predicts a change in market trend in a short future. Our computational analysis also indicates that if the topological structure of the underlying dynamical Bayesian factor graph is unchanged, the general market trend appears invariant. We demonstrate the effectiveness of this method by applying it in the analysis of market trends in the US stock market and Chinese stock market with good prediction results.

Time Series Data Analysis for Stock Market Prediction using Data Mining Techniques with R

Nowadays, the stock market is attracting more and more people's notice with its high challenging risks and high return over. A stock exchange market depicts savings and investments that are advantageous to increase the effectiveness of the national economy. The future stock returns have some predictive relationships with the publicly available information of present and historical stock market indices. ARIMA is a statistical model which is known to be efficient for time series forecasting especially for short-term prediction. In this paper, we propose a model for forecasting the stock market trends based on the technical analysis using historical stock market data and ARIMA model. This model will automate the process of direction of future stock price indices and provides assistance for financial specialists to choose the better timing for purchasing and/or selling of stocks. The results are shown in terms of visualizations using R programming language. The obtained results reveal that the ARIMA model has a strong potential for short-term prediction of stock market trends. Keywords: Time Series Data, Stock Market, Prediction, Analysis, Data Mining, ARIMA, R.

A hybrid evolutionary dynamic neural network for stock market trend analysis and prediction using unscented Kalman filter

Stock market prediction is of great interest to stock traders and investors due to high profit in trading the stocks. A successful stock buying/selling generally occurs near price trend turning point. Thus the prediction of stock market indices and its analysis are important to ascertain whether the next day's closing price would increase or decrease. This paper, therefore, presents a simple IIR filter based dynamic neural network (DNN) and an innovative optimized adaptive unscented Kalman filter for forecasting stock price indices of four different Indian stocks, namely the Bombay stock exchange (BSE), the IBM stock market, RIL stock market, and Oracle stock market. The weights of the dynamic neural information system are adjusted by four different learning strategies that include gradient calculation, unscented Kalman filter (UKF), differential evolution (DE), and a hybrid technique (DEUKF) by alternately executing the DE and UKF for a few generations. To improve the performance of both the UKF and DE algorithms, adaptation of certain parameters in both these algorithms has been presented in this paper. After predicting the stock price indices one day to one week ahead time horizon, the stock market trend has been analyzed using several important technical indicators like the moving average (MA), stochastic oscillators like K and D parameters, WMS%R (William indicator), etc. Extensive computer simulations are carried out with the four learning strategies for prediction of stock indices and the up or down trends of the indices. From the results it is observed that significant accuracy is achieved using the hybrid DEUKF algorithm in comparison to others that include only DE, UKF, and gradient descent technique in chronological order. Comparisons with some of the widely used neural networks (NNs) are also presented in the paper.

Stock Market Trend Prediction Based on Text Mining of Corporate Web and Time Series Data

Predicting the behaviors of the stock markets are always an interesting topic for not only financial investors but also scholars and professionals from different fields, because successful prediction can help investors to yield significant profits. Previous researchers have shown the strong correlation between financial news and their impacts to the movements of stock prices. This paper proposes an approach of using time series analysis and text mining techniques to predict daily stock market trends. The research is conducted with the utilization of a database containing stock index prices and news articles collected from Vietnam websites over 3 years from 2010 to 2012. A robust feature selection and a strong machine learning algorithm are able to lift the forecasting accuracy. By combining Linear Support Vector Machine Weight and Support Vector Machine algorithm, this proposed approach can enhance the prediction accuracy significantly above those of related research approaches. The results show that data set represented by 42 features achieves the highest accuracy by using one-against-one Support Vector Machines (up to 75%) and one-against-one method outperforms one-againstall method in almost all case studies.

Exploring Information Categories and Artificial Neural Networks Numerical Algorithms in S&P500 Trend Prediction

The purpose of this study is to examine three major issues. First, the authors compare the performance of economic information, technical indicators, historical information, and investor sentiment measures in financial predictions using backpropagation neural networks (BPNN). Granger causality tests are applied to each category of information to select the relevant variables that statistically and significantly affect stock market shifts. Second, the authors investigate the effect of combining all of these four categories of information variables selected by Granger causality test on the prediction accuracy. Third, the effectiveness of different numerical techniques on the accuracy of BPNN is explored. The authors include conjugate gradient algorithms (Fletcher-Reeves update, Polak-Ribiére update, Powell-Beale restart), quasi-Newton (Broyden-Fletcher-Goldfarb-Shanno, BFGS), and the Levenberg-Marquardt (LM) algorithm which is commonly used in the literature. Fourth, the authors compare the performance of the BPNN and support vector machine (SVM) in terms of stock market trend prediction. Their comparative study is applied to S&P500 data to predict its future moves. The out-of-sample forecasting results show that (i) historical values and sentiment measures allow obtaining higher accuracy than economic information and technical indicators, (ii) combining the four categories of information does not help improving the accuracy of the BPNN and SVM, (iii) the LM algorithm is outperformed by Polak-Ribière, Powell-Beale, and Fletcher-Reeves algorithms, and (iv) the BPNN outperforms the SVM except when using sentiment measures as predictive information.

Predicting stock market trends using hybrid ant-colony-based data mining algorithms: an empirical validation on the Bombay Stock Exchange

Ant Colony Optimisation (ACO) algorithms use simple mutually cooperating agents (ants) to produce a robust and adaptive search system, which can be used for knowledge discovery. In this paper, a Support Vector Machine (SVM)-cAnt-Miner-based system for predicting the next-day's trend in stock markets is proposed. The trend predicted by the proposed system is then used to identify the appropriate time to buy and sell securities. Performance of the proposed system is evaluated against SVM-Ant-Miner, SVM-Ant-Miner2, Naive-Bayes and an Artificial Neural Network (ANN)-based trend prediction system. The results indicate that the proposed system outperforms all the other techniques considered.

A Decision tree- Rough set Hybrid System for Stock Market Trend Prediction

of stock market trends has been an area of great interest both to those who wish to profit by trading stocks in the stock market and for researchers attempting to uncover the information hidden in the stock market data. Applications of data mining techniques for stock market prediction, is an area of research which has been receiving a lot of attention recently. This work presents the design and performance evaluation of a hybrid decision tree- rough set based system for predicting the next days trend in the Bombay Stock Exchange (BSE- SENSEX). Technical indicators are used in the present study to extract features from the historical SENSEX data. C4.5 decision tree is then used to select the relevant features and a rough set based system is then used to induce rules from the extracted features. Performance of the hybrid rough set based system is compared to that of an artificial neural network based trend prediction system and a naive bayes based trend predictor. It is observed from the results that the proposed system outperforms both the neural network based system and the naive bayes based trend prediction system.

Pattern-Based Opinion Mining for Stock Market Trend Prediction

Stock market reports in on-line news are widely used by amateurs to make quick investment decisions. Financial analysts often give opinions about trends of stock markets based on past and present economic event indicators. These opinions commonly appear in text form and are abundant over the Internet. It is tedious and time consuming for users to browse through such text manually let alone to understand the embedded opinions. To overcome this shortcoming, automatic trend predication methods have been proposed. Under conventional methods, reports are represented using bag of words and trend prediction is treated as a 3-way trend classification problem, i.e. trend as 'up', 'down' or 'stable'. In this paper, we propose a new pattern-based opinion mining method for market trend predication. Experiments show that (1) pattern-based classification is more effective than its word-based counterpart for feature representation; and (2) opinion mining outperforms event-based classification for trend predication. The task of opinion mining gets more difficult when the users are exposed to opinions from more than one analyst. The question becomes whose opinions should he/she trust? This lays down our second research objective, i.e. to study different opinion incorporation strategies. Intuitively, one would trust the opinion supported by the majority. However, we show that on the contrary, the user is better off trusting the most credible analyst.

Automatic extraction and identification of chart patterns towards financial forecast

Technical analysis of stocks mainly focuses on the study of irregularities, which is a non-trivial task. Because one time scale alone cannot be applied to all analytical processes, the identification of typical patterns on a stock requires considerable knowledge and experience of the stock market. It is also important for predicting stock market trends and turns. The last two decades has seen attempts to solve such non-linear financial forecasting problems using AI technologies such as neural networks, fuzzy logic, genetic algorithms and expert systems but these, although promising, lack explanatory power or are dependent on domain experts. This paper presents an algorithm, PXtract to automate the recognition process of possible irregularities underlying the time series of stock data. It makes dynamic use of different time windows, and exploits the potential of wavelet multi-resolution analysis and radial basis function neural networks for the matching and identification of these irregularities. The study provides rooms for case establishment and interpretation, which are both important in investment decision making.

Waveform recognition using neural networks

Pattern recognition plays an important role in a wide variety of applications from robot vision to predicting stock market trends. Efforts to automate the pattern recognition process go back in time to an early stage in the development of the modern digital computer. In the intervening years, a number of approaches have been developed.

Predicting Stock Market Trends by Structure Analysis

(1956). Predicting Stock Market Trends by Structure Analysis. Financial Analysts Journal: Vol. 12, No. 2, pp. 51-61.