Stock Price Prediction Research Articles

Technology Company Stock Trend Prediction Based on ARIMA Model

With the development of finance, more and more people are paying attention to stock price prediction, hoping to gain economic benefits from it. From the literature review, due to the complexity of stock trends, it is necessary to study the analysis of industry stocks. This paper studies the effectiveness of the autoregressive moving average model (ARIMA) for 5 stocks in the technology industry. Then, we will compare and parameterize the ARIMA model by using the Akaike Information Criterion (AIC) and the Bayesian Information Criterion (BIC). After the data processing, we find that the development prospects of four head technology companies have steadily increased due to years of economic accumulation and stable operation. However, as a technology company that has emerged in recent years, OpenAI is extremely susceptible to external factors such as academic fraud and AI replacing manual labor. Its stock trend has fluctuated greatly and its prospects are sluggish.

A Comparative Study of NIFTY-50 Prediction Using Linear Regression and Regression Tree Models

It is important for investors to predict the tendency of stock. However, the stock market fluctuation is too hard to predict. A single stock may be inflected by many elements, so it would be much more feasible to study a stock index. A stock index may be decided by many stocks, which means that it would not be effected by some only one company. In this passage, NIFTY-50 would be analyzed to make a prediction. The linear regression and regression tree are used to predict the close price of NIFTY-50. To make sure the data size is big enough, the data includes the price from 2000 to 2021. By comparing two models, a proper model to predict stock index would be found. After the comparison of the MSE and R square index, it is easy to find that the regression tree is the model much more reliable. However, there is still long way to go before researchers find way to predict stock price precisely.

PERBANDINGAN FUZZY TIME SERIES MARKOV CHAIN DAN FUZZY TIME SERIES CHENG

Investing is a hot and fast-growing topic right now. Stock.investing.is one of the most popular investments by the public. The JCI is an index that measures the performance of all stocks listed on the IDX. The closing price of the stock is published daily and can be used by investors as an investment benchmark. The occurrence of stock price fluctuations entails a high risk of loss. Predicting stock prices is one way to avoid this risk. Fuzzy time series is a time series model that can be used to minimize the risk of future occurrences. Time parameter data is not stationary, so this research uses fuzzy time series with Markov chains and Cheng's method to determine the JCI completion dates from January 2018 to June 2022. Calculating the accuracy level of the two method approaches using symmetric Mean Absolute Percentage Error (sMAPE), the sMAPE value obtained in the Fuzzy Time Series Markov Chain method is 2.11% and the Fuzzy Time Series Cheng method is 2.98%. The conclusion is that of the two methods the Markov Chain has a smaller value and can be said to be a better method compared to the Cheng method.

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.

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.

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

Stock Price Prediction and Investment Simulation - Based on SSA-CNN-LSTM Method

Stock price fluctuations, which are time-series in nature. At the same time, based on the machine learning Long Short-Term Memory Network (LSTM) has excellent processing ability in predicting long time series, this paper proposes a stock price prediction method using CNN-LSTM optimized for LSTM hyperparameters using Sparrow algorithm. The data used in this study covers a total of 3403 trading days from March 1, 2010 to March 29, 2024 and about 40 technical indicator factors were selected. CNN model was firstly used to obtain features in the data. And later, CNN-LSTM network using SSA for parameter optimization uses the extracted features for stock price prediction and simulated trading based on the predicted up and down signals. The experimental results show that the SSA-CNN-LSTM network is able to provide better prediction accuracy than the CNN-LSTM network for price derivation. This prediction method not only provides a better op-eration idea for actual trading, but also provides practical experience for scholars to study time se-ries in finance.

IMPLEMENTASI MACHINE LEARNING ALGORITMA NEURAL NETWORK DALAM MEMPREDIKSI HARGA SAHAM MENGGUNAKAN RAPIDMINER

The research is aimed at implementing the Neural Network algorithm in predicting stock prices using RapidMiner. Historical stock price data is analyzed to train neural network models in identifying patterns and trends that can be used to predict future stock prices. The research phases include data collection, data preprocessing, Neural Network model development, model training, and model performance evaluation. Data used include daily closing prices, trade volumes, and other technical indicators. The data is processed through several stages of preprocesing, including normalization and filling of missing values, before being used to train Neural network models. The model was built with several layers and the number of neurons adjusted based on early experiments to find the optimal configuration. Models are trained using datasets that are divided into training sets and testing sets. The predicted result is compared to the actual value to evaluate the performance of the model. The results showed that the Neural Network model was able to predict stock prices with a fairly high accuracy rate, with an RMSE of 0.989 indicating a low prediction error rate. The research concludes that the Neural Network algorithm implemented in RapidMiner is effective in predicting stock prices and has significant potential to be used in investment decision-making. The use of RapidMiner as a data processing tool has proven to be efficient and facilitating the development and evaluation of predictive models. Keywords: Neural Network, Stock Price Prediction, RapidMiner, Machine Learning, Investment

CNN-BiLSTM-Attention Based Stock Price Prediction and Quantitative Investment Strategy

With the rapid development of technology and the increasing maturity of financial markets, stock price prediction has become a hot topic and an important trend in the financial field. However, the stock market has complexity and volatility, in order to reduce the investment risk and ensure the maximization of benefits, selecting the optimal stock to predict the stock price and formulating the quantitative trading strategy are extremely important issues for financial academics and investors. For the research of stock price prediction and quantitative trading, firstly, the quantitative stock selection model combining XGBoost and multi-factor stock selection model is constructed, and four stocks are screened out, and then the CNN-BiLSTM-Attention model is proposed to predict the stock price trend of the selected stocks, and it is found from the prediction results of the four stocks that the prediction accuracies all reach more than 95%, which is higher than that of the single model prediction. accuracy and passed the validity test of the fitted model. Secondly, based on the quantitative investment portfolio given in the above analysis and the quantitative stock trading strategy of MACD, the prediction results are verified, and the total return of most stocks based on the strategy is higher than 40% at the highest, and the loss is controlled within 10%, which indicates that the trading strategy in this paper is effective and feasible. The study concludes that greater returns can be obtained by calculating the total returns of stock portfolios based on different portfolio approaches.

Development of a software service for stock price forecasting based on sentiment analysis and autoregressive models

This paper addresses the critical need for efficient market analysis tools in the era of big data and artificial intelligence. We present a novel software service that integrates real-time news sentiment analysis with stock market prediction, enhancing the accuracy and speed of trading decisions. The system employs APIs for data collection, FinBERT for sentiment analysis, and MongoDB for data storage, overcoming limitations of existing platforms like Investing.com and MarketWatch. Our methodology combines sentiment analysis with autoregressive models to forecast stock prices for 11 major companies. The experiment utilized 141 observations, applying multiple regression and binary outcome models. Results demonstrate that investor sentiment significantly affects stock prices for 2 out of 11 companies, with Meta showing a 70 % determination coefficient in price direction changes based on sentiment. The study reveals that incorporating both quantitative (previous stock prices) and qualitative (sentiment) data improves forecast accuracy for certain stocks. This research contributes to the field of financial analytics by providing a more comprehensive approach to stock price prediction, integrating ML models and data analytics to support informed decision-making in dynamic financial markets.

Prediction of stock prices with automated reinforced learning algorithms

AbstractPredicting stock price movements remains a major challenge in time series analysis. Despite extensive research on various machine learning techniques, few models have consistently achieved success in automated stock trading. One of the main challenges in stock price forecasting is that the optimal model changes over time due to market dynamics. This paper aims to predict stock prices using automated reinforcement learning algorithms and to analyse their efficiency compared with conventional methods. We automate DQN models and their variants, known for their adaptability, by continuously retraining them using recent data to capture market dynamics. We demonstrate that our dynamic models improve the accuracy of predicting the directions of various DAX stocks from 50.00% to approximately 60.00%, compared with conventional methods. Additionally, we conclude that dynamic models should be updated in response to shifts rather than at fixed intervals.

Using dynamic semantic structure of news flow to enhance financial forecasting: a twelve-year study on twitter news channels

AbstractThis research holds significance for advancing financial forecasting methodologies by shifting the focus from traditional sentiment analysis of individual tweets to exploring intricate semantic relationships within news tweets from top-followed news channels on Twitter. Addressing a notable research gap in financial forecasting, often dominated by sentiment analysis, our study endeavors to fill the void left by the underexplored intricate relationships within news entities and their dynamic semantic evolution. Motivated by the inherent challenges in predicting the random walk behavior of stock prices, we contend that incorporating longitudinal data derived from the semantic relationships between news entities can enhance the accuracy of stock market forecasts. The study pioneers a twelve-year exploration, encompassing data from 55 leading news channels on Twitter, boasting a collective following of 714 million users. The approach employs natural language processing (NLP) to extract two million unique entities, whose semantics are analyzed through complex network analysis, laying the foundation for the forecasting model. Finally, this research introduces a model linked to the dynamic semantic structure of news flow. The predictive model considers the impact of exogenous variables influenced by the evolving relationships among news entities. The results offer a proof of concept, highlighting the potential of utilizing dynamic semantic relationships among news entities for financial prediction. On average, the model demonstrates an improvement in accuracy of 40.3% across ten different stock price predictions. These findings are expounded through relevant theories, offering a theoretical foundation for observed patterns and indicating a promising direction for future research in this domain.

Enhancement of The Performance of Machine Learning Algorithms to Rival Deep Learning Algorithms in Predicting Stock Prices.

This paper objectives to improve stock market prediction accuracy by training data on sentiment analysis of tweets, overcoming volatility and complexity. Utilizing the Use of natural language processing (NLP) algorithms, the tweet's sentiments were classified into (negative - neutral - and positive). The stock value price was predicted by implementing Machine learning algorithms (KNN, SVM, GBM, LR, DT, RF, EL). Among the techniques of ML, (GBM) achieved the greatest results in terms of accuracy (96%). Its results were compared with the results of a deep learning algorithm that uses the same data where GBM got better results, and other algorithms showed results (KNN = 55%, SVM=90%, LR=82%, DT=90%, RF=90%, EL = 88%). The results obtained were superior to previous studies.

An analysis of machine learning's role in stock price prediction

The volatility and uncertainty of the stock market can reflect the economic trends of today's society. With the improvement of computing power and the development of data processing, it has been found that machine learning can improve the accuracy, flexibility and interpretability of stock price predictions. To conduct an in-depth study, this paper introduces three methods in machine learning: neural networks, support vector machines and random forest. These three algorithms can predict the stock market from multiple perspectives, complementing each others weaknesses. The results show that, while neural networks tend to overfit, random forests are resistant to overfitting. By combining neural networks with random forests, researchers can enhance prediction accuracy. Additionally, the random forest algorithm has strong data processing capabilities, and it can effectively address the issue of low computational efficiency in the support vector machine algorithm.

Stock price prediction using combined GARCH-AI models

The non-linear and non-stationary nature of financial time series data poses significant challenges for standalone statistical and neural network methods. While predictive modeling in finance often focuses on volatility, there is a notable lack of research on predicting actual stock prices, particularly in the African market. This study addresses this gap by utilizing Airtel stock data from Yahoo Finance, spanning June 28, 2019, to May 8, 2024. The research employs the GARCH model to extract statistical properties, which are then combined with historical prices and fed into LSTM, GRU, and Transformer models leading to GARCH-LSTM, GARCH-GRU, GARCH-Transfomer hybrid models. These hybrid models are benchmarked against standalone LSTM, GRU and Transfomer models using RMSE, MAE, MAPE, and R-squared metrics. Results indicate that hybrid models, especially GARCH-LSTM, significantly outperform standalone models. This integration of GARCH with advanced AI models offers a more robust framework for stock price prediction, enhancing accuracy and reliability in forecasting future prices.

DeepInvesting: Stock market predictions with a sequence-oriented BiLSTM stacked model – A dataset case study of AMZN

Intelligent forecasters are now being considered in the stock market, providing essential insights and strategic guidance to investors and traders by presenting analytical tools and predictive models, thus enabling informed decision-making and mitigating financial risks in this dynamic market. The importance of intelligent analyzers in stock trading routines is considered in this work, where DeepInvesting, a multimodal deep learning model tailored for stock price prediction, is introduced. Employing a Sequence-Oriented, Long-Term Dependent (SoLTD) architecture featuring Bidirectional Long Short-Term Memory (BiLSTM) networks, DeepInvesting is applied to essential features of the Amazon Corp. (AMZN) market dataset, gathered from Yahoo Finance, including Closing, Opening, High, Low, Volume, and Adj Close prices. Exceptional performance in forecasting Closing, Opening, High, Low, and Adj Close prices is demonstrated, with minimal Mean Absolute Percentage Error (MAPE) and Root Mean Squared Percentage Error (RMSPE) scores, coupled with high R-squared (R2) values, manifesting a robust fit to the data, as well as computational complexity, and Rates Per Second (RPS) metrics in comparison to other models of KNN, LSTM, RNN, CNN, and ANN. Finally, challenges in the accurate prediction of trading volumes are identified, highlighting an area for future enhancement.

A Novel Stock Price Prediction and Trading Methodology Based on Active Learning Surrogated with CycleGAN and Deep Learning and System Engineering Integration: A Case Study on TSMC Stock Data

Technical analysis, reliant on statistics and charting tools, is a predominant method for predicting stock prices. However, given the impact of the joint effect of stock price and trading volume, analyses focusing solely on single factors at isolated time points often yield partial or inaccurate results. This study introduces the application of Cycle Generative Adversarial Network (CycleGAN) alongside Deep Learning (DL) models, such as Residual Neural Network (ResNet) and Long Short-Term Memory (LSTM), to assess the joint effects of stock price and trading volume on prediction accuracy. By incorporating these models into system engineering (SE), the research aims to decode short-term stock market trends and improve investment decisions through the integration of predicted stock prices with Bollinger Bands. Thereby, active learning (AL) is employed to avoid over-and under-fitting and find the hyperparameters for the overall system model. Focusing on TSMC’s stock price prediction, the use of CycleGAN for analyzing 30-day stock data showcases the capability of ResNet and LSTM models in achieving high accuracy and F-1 scores for a five-day prediction period. Further analysis reveals that combining DL predictions with SE principles leads to more precise short-term forecasts. Additionally, integrating these predictions with Bollinger Bands demonstrates a decrease in trading frequency and a significant 30% increase in average Return on Investment (ROI). This innovative approach marks a first in the field of stock market prediction, offering a comprehensive framework for enhancing predictive accuracy and investment outcomes.

Wavelet Based Financial Forecast Ensemble Featuring Hybrid Quantum-Classical LSTM Model

One of the most sought-after goals in the financial world is a reliable method by which investors can predict a stock price movement consistently. Advancements in stock prediction via the use of machine learning have improved the accuracy of such predictions and yielded better ideas about value investments in the stock market. However, with the addition of the state-of-art tool M-band wavelet transform as a preprocessing step, we can denoise our raw data set (prior stock prices) and refine it to make the forecast even more accurate. Following this preprocessing step, multiple machine learning techniques are deployed to construct a robust, non-parametric hybrid forecasting model. To demonstrate the novelty of our algorithm, we present a case study on stock price prediction employing a discrete 4-band wavelet transform integrated with a hybrid machine learning ensemble. Our results underscore the potential and importance of such ensemble methods in refining the accuracy and reliability of financial forecasts. Furthermore, in theory, quantum computing can further optimize these algorithms, potentially leading to more precise stock price forecasts. In particular, our ensemble will feature a hybrid quantumclassical LSTM Model to demonstrate the potential of both wavelets and quantum computing in stock forecasting.

Out‐of‐sample predictability of firm‐specific stock price crashes: A machine learning approach

AbstractWe use machine learning methods to predict firm‐specific stock price crashes and evaluate the out‐of‐sample prediction performance of various methods, compared to traditional regression approaches. Using financial and textual data from 10‐K filings, our results show that a logistic regression with financial data inputs performs reasonably well and sometimes outperforms newer classifiers such as random forests and neural networks. However, we find that a stochastic gradient boosting model systematically outperforms the logistic regression, and forecasts using suitable combinations of financial and textual data inputs yield significantly higher prediction performance. Overall, the evidence suggests that machine learning methods can help predict stock price crashes.