Price Prediction Research Articles

A deep learning-based model for stock price prediction under consideration of financial news publishers

Stock price prediction with financial news is beneficial for making correct investment decisions. Recent researches mainly focus on extracting sentiments from news. The publishers as a crucial part of news, which can reflect the authority and reliability, but are usually neglected. In this paper, we propose a novel hybrid deep learning model for stock price prediction that considers the financial news publishers. Specifically, a novel feature about financial news publishers is constructed by classifying financial news publishers. Furthermore, a novel hybrid model named 2d-CNN-AM-LSTM is proposed by combining Convolutional Neural Network (CNN), Attention Mechanism (AM) and Long Short-term Memory, so that it can fuse textual and numerical data in-depth. To verify the superiority of the proposed model, numerous baselines are employed to conduct experiments with representative stock datasets. The experimental analysis demonstrates that the proposed model considering financial news publishers surpasses other benchmarks and achieves outstanding prediction performance.

A multi-stage machine learning approach for stock price prediction: Engineered and derivative indices

In this paper, a machine learning approach is proposed to predict the next day's stock prices. The methodology involves comprehensive data collection and feature generation, followed by predictions utilizing Multi-Layer Perceptron (MLP) networks. We selected 5,283 records of daily historical data, including open prices, close prices, highest prices, lowest prices, and trading volumes from four well-known stocks in the FTSE 100 index. A novel set of engineered and derivative indices is extracted from the original time series to enhance prediction accuracy. Two Multi-Layer Perceptron (MLP) are proposed to predict the next day's stock prices using the engineered discrete and continuous indices. The case study uses the daily historical time series of stock prices between January 1, 2000, and December 31, 2020. The proposed machine learning approach presents suitable applicability and accuracy, respectively.

The role of news sentiment in salmon price prediction using deep learning

This paper employs deep learning models and sentiment analysis to predict salmon spot prices. Our data includes historical price data and sentiment scores from 2018 to 2022. We extract sentiment scores from salmon-related news headlines by using FinBERT and TextBlob. We begin with price prediction using only historical price data and then introduce sentiment scores to improve the prediction accuracy of deep learning models. We find that the prediction performance of deep learning models outperforms traditional prediction methods in the salmon market. Our primary hybrid CNN-LSTM model outperforms other deep learning models and traditional models. Additionally, deep learning models incorporating sentiment scores exhibit reduced prediction errors. Our findings confirm the value of sentiment information in improving forecasting performance. These findings highlight the effectiveness and robustness of our CNN-LSTM model combined with sentiment analysis for price prediction in the salmon market.

Comparative Study on Stock Movement Prediction Using Hybrid Deep Learning Model

Applying machine learning techniques in stock market prediction has evolved significantly, with deep learning methodologies gaining prominence. Conventional algorithms such as Linear Regression and Neural Networks initially dominated but struggled to capture complex temporal dependencies in financial data. Recent research has explored deep learning architectures like LSTM and CNN and hybrids such as CNN-LSTM and LSTM-CNN, showcasing promising results. However, there's a gap in research comparing these models across different datasets, particularly in predicting stock movements. This study addresses this gap by conducting a comparative analysis of deep learning and hybrid models for stock movement prediction in the Indonesian banking sector. The evaluation based on RMSE and MAE reveals that the LSTM-CNN hybrid consistently outperforms other models, showcasing its versatility and accuracy across different data characteristics. Then, exploration through hyperparameter tuning demonstrates the criticality of parameter selection in optimizing model performance. These findings contribute to advancing predictive modeling in financial markets, offering valuable insights for investors, analysts, and policymakers. Further research in hyperparameter tuning and model optimization holds promise for enhancing accuracy and reliability in stock price prediction.

Optimization of irrigation scheduling using crop–water simulation, water pricing, and quantitative weather forecasts

Optimization of irrigation scheduling using crop–water simulation, water pricing, and quantitative weather forecasts

A Survey of Data-Driven Construction Materials Price Forecasting

The construction industry is heavily influenced by the volatility of material prices, which can significantly impact project costs and budgeting accuracy. Traditional econometric methods have been challenged by their inability to capture the frequent fluctuations in construction material prices. This paper reviews the application of data-driven techniques, particularly machine learning, in forecasting construction material prices. The models are categorized into causal modeling and time-series analysis, and characteristics, adaptability, and insights derived from large datasets are discussed. Causal models, such as multiple linear regression (MLR), artificial neural networks (ANN), and the least square support vector machine (LSSVM), generally utilize economic indicators to predict prices. The commonly used economic indicators include but are not limited to the consumer price index (CPI), producer price index (PPI), and gross domestic product (GDP). On the other hand, time-series models rely on historical price data to identify patterns for future forecasting, and their main advantage is demanding minimal data inputs for model calibration. Other techniques are also explored, such as Monte Carlo simulation, for both price forecasting and uncertainty quantification. The paper recommends hybrid models, which combine various forecasting techniques and deep learning-advanced time-series analysis and have the potential to offer more accurate and reliable price predictions with appropriate modeling processes, enabling better decision-making and cost management in construction projects.

Stock Price Prediction using RNN Architecture: LSTM and GRU Model of Neural Network

Stock Price Prediction using RNN Architecture: LSTM and GRU Model of Neural Network

Hybrid CNN-GRU model for monthly electricity price forecasting: Performance evaluation on limited multivariable time-series Data

Hybrid CNN-GRU model for monthly electricity price forecasting: Performance evaluation on limited multivariable time-series Data

Bayesian machine learning framework for characterizing structural dependency, dynamics, and volatility of cryptocurrency market using potential field theory

Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian machine learning framework based on potential field theory and Gaussian Process to characterize the structural dependency of various cryptocurrencies, using historic price information. The following are our significant contributions: (i) Proposed a novel model for cryptocurrency price movements as a trajectory of a dynamical system governed by a time-varying non-linear potential field. (ii) Developed a Bayesian machine learning framework for inferring the non-linear potential function from observed cryptocurrency prices. (iii) Proposed that attractors and repellers inferred from the potential field are reliable cryptocurrency market indicators, surpassing existing attributes in the literature. (iv) Analysis of cryptocurrency market during various Bitcoin crash durations shows that attractors captured the market trend, volatility, and correlation. In addition, attractors aids explainability and visualization. (v) The proposed cryptocurrency market indicators (attractors and repellers) was used to improve the prediction performance of state-of-art deep learning price prediction models.

A Multifrequency Data Fusion Deep Learning Model for Carbon Price Prediction

ABSTRACTIn response to the global need for effective management of carbon emissions and alignment with sustainable development goals, predicting carbon trading prices accurately is critical. This study introduces a multifrequency data fusion carbon price prediction model (MFF‐CPPM), addressing the nonlinear characteristics of carbon trading prices and inconsistent feature factor frequencies. The MFF‐CPPM consists of a feature‐extraction frontend, a multifrequency data fusion transformer, and a fusion regression layer, offering a novel methodological approach in forecasting studies. The model's validity was tested in Guangdong, China's largest carbon trading pilot market. The results demonstrated that the MFF‐CPPM outperformed baseline models in terms of carbon price‐prediction accuracy and trend forecasting. Additional trials conducted in Hubei and Beijing confirmed the model's robustness and generalization capabilities, providing valuable evidence of its effectiveness and reliability across varying market contexts. This study presents a novel predictive model for carbon trading prices, with a unique capability to harness data at differing frequencies. The MFF‐CPPM not only enhances forecasting accuracy but also offers an innovative approach to effectively incorporate multifrequency information. This advancement paves the way for flexible forecasting models in any scenario where data arrive at differing frequencies.

Growth, Instability in Production and Price Forecasting of Onion in Bangladesh

Onion is an essential and popular spice crop which is widely cultivated and consumed in Bangladesh. Every year the country needed to import onion for fulfilling the domestic demand. Onion price has been largely influenced by import price and frequent fluctuation. The objectives of the research were to analyze the onion production behavior, instability, and forecasting of price using secondary data. The study used deterministic growth models and coefficient of variation for analyzing the growth rate and instability. Among different growth models, cubic model was identified as the best-fitted model. The average growth rate was 7.85%, and in instability analysis the coefficient of variation was 71.10%, which implies that onion production was unstable during the period of 1970-2022. Seasonal Autoregressive Integrated Moving Average (SARIMA) model was used to forecast onion price. The finding reveals that SARIMA (1, 0, 2) (1, 1, 1)12 model identified as the best model to forecast the onion price in Bangladesh. The results show that onion price followed seasonal trend, and the highest price was in October and November. These findings will support to develop appropriate policies regarding the increase of domestic supply through increased production and storage facilities, reducing post-harvest losses, and price stabilization. J Bangladesh Agril Univ 22(3): 377-385, 2024

Short-term electricity price forecasting through demand and renewable generation prediction

Electricity market prices depend on various variables, including energy demand, weather conditions, gas prices, renewable generation, and other factors. Fluctuating prices are a common characteristic of electricity markets, making electricity price forecasting a complex process where predicting different variables is crucial. This paper introduces a hybrid forecasting model developed for the Spanish case. The model comprises four forecasting tools, with three of them relying on artificial neural networks, while the demand forecasting model employs a similar-day approach with temperature correction. This model can be employed by electrical energy trading companies to enhance their trading strategies in the day-ahead market and in derivative markets with a time horizon ranging from two to ten days. The results indicate that, with a forecasting horizon of two days, the price forecast has a rMAE of 8.18%. Furthermore, the model enables a market agent to accurately decide whether to purchase energy in the daily market or in the derivatives market in 69.9% of the days.

Deep Learning Based Prediction Model for Crude Palm Oil Prices Using News Sentiment Analysis with Sliding Window

Crude palm oil (CPO) price prediction plays an important role in agricultural economic development. Various economics and agricultural related factors have been used to predict CPO prices. Nevertheless, understanding news sentiment features will also be important in CPO price prediction. This paper proposes a CPO price prediction model to help the plantation organizations in the palm oil sector to successfully anticipate CPO price fluctuations and manage the resources more effectively. The CPO price behavior is non-linear in nature, and thus prediction is very difficult. In this paper, an improved version of recurrent network, Long Short-Term Memory (LSTM) based CPO price prediction model with news sentiment is used to produce an enhanced prediction model. The findings of this study show that the LSTM based forecasting model with news headline sentiment using a six-month sliding window produced the best result in forecasting the CPO price movement compared to other sliding window sizes.

Cross-modal scenario generation for stock price forecasting using Wasserstein GAN and GCN

The forecasting of stock price has always been a difficult problem, as the various inputs like company performance, technical innovation, political factors are intricate and often assessed with uncertainty. While most of the existing studies belong to deterministic forecast that focused on either the trend or exact value of future stock price, the forecasted results contain little uncertain information, thus bringing certain risks to investors. In this study, an effective scenario generation method based on wasserstein generative adversarial network (WGAN) is proposed for stock price forecasting, which can characterize the temporally and spatially correlations among different stocks, so as to help investors make proper investment strategies in complicated market environments. To the best of our knowledge, the scenario generation of stock price has been rarely studied by existing publications. Specifically, considering the inherent correlation among stocks, graph convolutional network (GCN) is used to capture the features of related stocks, whereafter the features of target stocks and related stocks are combined. In terms of feature fusion, this paper further uses a pre-trained model to obtain the key information of news headlines as text features, and fully integrates them with historical data through the attention mechanism, thus improving the overall performance of scenario generation. In summary, the proposed model can generate promising scenarios for future stock prices over time based on cross-modal information like historical data and news headlines. Numerical experiments show that our method outperforms other baseline methods in terms of root-mean-square error and average absolute percentage error (the average of several scenarios). For each part of the method, stock correlation is the most helpful for the results, followed by cross-modal information, with scenario generation contributing less to the results. Besides, experiments on a real-life portfolio selection problem also demonstrate that our method brings the highest returns, which proves its effectiveness in practical application.

Techno-Economic Optimization of Microgrid Operation with Integration of Renewable Energy, Hydrogen Storage, and Micro Gas Turbine

Microgrids are integral to modern energy systems, yet they face substantial challenges in integrating diverse components, managing complex dynamics, and ensuring stability amid renewable energy variability. This study investigates the integration of wind turbines, an electrolyzer, and a hydrogen-compatible micro gas turbine (MGT), with a focus on enhancing operational efficiency and maintaining dynamic equilibrium within the microgrid. The synergy between the electrolyzer and MGT provides a robust energy storage solution, improving both system stability and performance.Using advanced machine learning and real operational data, this research generates highly accurate, rapid models with greater precision and detail than conventional methods. The intelligent management system developed combines real-time optimization and adaptive fine-tuning, using forecasts of weather, electricity prices, and energy demand to devise optimized operational strategies. The study systematically analyzes various configurations, including grid-connected and island modes, and evaluates the impact of hydrogen storage in each scenario.The results demonstrate that the optimization approach substantially enhances economic returns. However, this can also lead to increased natural gas consumption and emissions, revealing a trade-off between financial gains and environmental sustainability. This highlights the necessity for strategies that reconcile economic incentives with sustainability objectives, offering valuable insights for improved microgrid management.

A novel incremental ensemble learning for real-time explainable forecasting of electricity price

The development of a stable, safe, secure and sustainable energy future is a challenge for all countries these days. In terms of electricity price, its volatile nature makes its prediction a complex task. A precise real-time forecast of the electricity price can have significant consequences for the economy and risks faced. This work presents a new ensemble learning algorithm for making real-time predictions of electricity price in Spain. It combines long and short-term behavior patterns following an online incremental learning approach, keeping the model always up to date. The detection of novelties and unexpected behaviors in the time series streams allows the algorithm to provide more accurate predictions than the reference machine learning algorithms with which it is compared. In addition, the proposed algorithm predicts in real-time and the predictions obtained are interpretable, thus contributing to the Explainable Artificial Intelligence.

Dual-stream transformer-attention fusion network for short-term carbon price prediction

Accurate prediction of carbon price provides important references for relevant companies, investors, and policymakers. However, the nonlinear, non-stationary, and random of carbon price time series pose the current prediction models a challenging task for carbon price prediction. Considering deep learning, especially for Transformer, has got a promising space in time series prediction. Therefore, this study develops a dual-stream Transformer-attention fusion network (DTF-Net), which contains three modules: multi-scale extraction, dual-stream Transformer, and attention fusion module. Firstly, the external variables of atmospheric pollution and the target variable of carbon price are taken as inputs, and the multi-scale extraction module is constructed via multiple one-dimensional convolutions with kernels to mine features on different time scales, enhancing feature engineering. Then, inspired by the idea of “divide and conquer”, the dual-stream Transformer module is applied to independently capture multivariate internal relationships and univariate temporal dependencies, improving feature learning. Finally, the attention fusion module designs the attention mechanism to generate real-time weights and dynamically integrate the above features, highlighting core features. In summary, the proposed DTF-Net network has not only relatively high prediction accuracy but also refined designs and clear multi-layer functions. Five experiments under two carbon price datasets from Hubei and Beijing carbon markets in China show the average improvements of mean absolute percentage error (MAPE) are 63.70 % and 64.55 %, 54.51 % and 53.03 %, and 57.04 % and 52.24 % for recursive, parallel and hybrid methods, respectively. The proposed DTF-Net outperforms eighteen benchmark models and is an addition to predicting carbon prices.

Development of multi-forecasting model using Monte Carlo simulation coupled with wavelet denoising-ARIMA model

The analysis and prediction of stock market prices are crucial areas of research due to their complex, chaotic, and nonlinear features. As a result, making significant gains in stock market investments is a crucial task. However, expert and intelligent modeling techniques can help in achieving positive stock market returns. In this study, we use the Monte Carlo (MC) simulation method to generate multiple future values of the time series of closing prices of a particular stock of BSE using a combination of wavelet denoising and the autoregressive integrated moving average (ARIMA) model. The multiple future realizations of stock prices produced by the Monte Carlo (MC) simulation can help minimize risk and uncertainty in stock market investments. Firstly, we use wavelet analysis to detect significant noise levels in the time series at each scale in discrete wavelet decomposition, which is then eliminated by an appropriate wavelet denoising method. Next, the time series of denoised stock prices is fitted with a suitable ARIMA model, and the future values are obtained using this model. The future values of the denoised time series are simulated using MC simulation. The results of the study show that simulated forecasts obtained by MC simulation using the integrated wavelet-denoising-ARIMA model become more accurate with increasing simulation count than by applying a single ARIMA model to noisy stock price series. It has also been observed that MC simulation reduces the standard error of estimates to one half when the number of simulations is quadrupled.

Drilling Deeper: Non-Linear, Non-Parametric Natural Gas Price and Volatility Forecasting

This paper studies the forecast accuracy and explainability of a battery of dayahead (Henry Hub and Title Transfer Facility (TTF)) natural gas price and volatility models. The results demonstrate the dominance of non-linear, non-parametric models with deep structure relative to various competing model specifications. By employing the explainable artificial intelligence (XAI) approach, we document that the price of natural gas is formed strategically based on crude oil and electricity prices. While the conditional volatility of natural gas returns is driven by long-memory dynamics and crude oil volatility, the informativeness of the electricity predictor has improved over the most recent volatile time period. Although we reveal that predictive non-linear relationships are inherently complex and time-varying, our findings in general support the notion that natural gas, crude oil and electricity are interconnected. Focusing on the periods when markets experienced sharp structural breaks and extreme volatility (e.g., the COVID-19 pandemic and the Russia-Ukraine conflict), we show that deep learning models provide better adaptability and lead to significantly more accurate forecast performance.

A meta-analysis of the schematic design process of deep retrofit projects

Deep retrofits of the existing building stock will be necessary to meet global emissions reductions targets. One building archetype, low-rise MURBs have been neglected in terms of research and funding for deep retrofits. A meta-analysis was conducted that compares and contrasts the schematic design approach taken for six such buildings in British Columbia which are scheduled to undergo deep retrofits with the goal of reducing GHG emissions by 80%. The analysis showed that design teams had converged toward common solutions for each building while achieving the GHG reduction target. The recommended measures include electrification of space and domestic hot water heating, adding insulation through overcladding, air sealing, ventilators for each unit, and double pane windows. A life cycle cost analysis showed that the economic viability of deep retrofits were dependent on energy price forecasts, capital cost reductions through market forces and transformation, or incentives cover the non-monetizable co-benefits of deep retrofits such as improved resiliency to climate-change or reducing overheating and air quality risks. The meta-analysis can help to streamline the early-stage and schematic design process for such buildings, which is critical to increasing the retrofit rate. This process could be replicated for other building types and construction archetypes.