Stock Market Forecasting Research Articles

Design of an Optimized Self-Acclimation Graded Boolean PSO with Back Propagation Model and Cuckoo Search Heuristics for Automatic Prediction of Chronic Kidney Disease

Objectives: A kind of Artificial Neural Network (ANN) known as a Back Propagation Neural Network (BPNN) has been extensively applied in a variety of sectors, including medical diagnosis, optical character recognition, stock market forecasting, and others. Many studies have employed BPNN to create decision-support tools for doctors to use while making clinical diagnoses. Chronic Kidney Disease (CKD) is one such kind of disease which has been receiving due importance from the past decades due to lack of symptoms in its early stages. The goal of this work is to demonstrate the performance of Artificial Intelligent (AI) algorithms in the early detection of CKD. Method: We received 800 patients’ real-time data from DY Patil Hospitals for this investigation. Self-Acclimation Graded Boolean PSO (SAG-BPSO), a modified version of Particle Swarm Optimization (PSO), has been proposed and used in this study to accomplish feature selection. Cuckoo Search Algorithm (CSA) has been used to optimise the weights and biases of the BPNN. Finally, this hybrid model is combined with BPNN for final predictions. Finally, a comparison is made between few state of art algorithms and the proposed approach. Results: The accuracy noted on applying BPNN on the dataset was approximately 91.45%. The combined model of BPNN+SAGBPSO provided an accuracy of about 92.25%. The accuracy achieved for the hybrid model of BPNN+SAGBPSO+CSA was approximately near to 98.07%. Conclusions: This research used SAGBPSO for feature selection and CSA for finalizing the weights and biases of BPNN. The research implemented BPNN, BPNN+SAGBPSO and BPNN+SAGBPSO+CSA on our real time dataset. The proposed hybrid model BPNN+SAGBPSO+CSA outperformed all the state of art deep learning algorithms in terms of performance metrics.

Evaluation of Stock Closing Prices using Transformer Learning

Predicting stock markets remains a critical and challenging task due to many factors, such as the enormous volume of generated price data, instant price data changes, and sensitivity to human sentiments, wars, and natural disasters. Since the previous three years of the COVID-19 pandemic, forecasting stock markets is more difficult, complex, and problematic for stock market analysts. However, technical analysts of the stock market and academic researchers are continuously trying to develop innovative and modern methods for forecasting stock market prices, using statistical techniques, machine learning, and deep learning-based algorithms. This study investigated a Transformer sequential-based approach to forecast the closing price for the next day. Ten sliding window timesteps were used to forecast next-day stock closing prices. This study aimed to investigate reliable techniques based on stock input features. The proposed Transformer-based method was compared with ARIMA, Long-Short Term Memory (LSTM), and Random Forest (RF) algorithms, showing its outstanding results on Yahoo Finance data, Facebook Intra data, and JPMorgan's Intra data. Each model was evaluated using Mean Absolute Error (MSE), Root Mean Square Error (RMSE), and Mean Absolute Percentage Error (MAPE).

Forecasting stock closing prices with an application to airline company data

Forecasting stock market movements is a challenging task from the practitioners’ point of view. We explore how model selection via the least absolute shrinkage and selection operator (LASSO) approach can be better used to forecast stock closing prices using real-world datasets of daily stock closing prices of three major international airlines. Combining the LASSO method with multiple external data sources in our model leads to a robust and efficient method to predict stock behavior. We also compare our approach with ridge, tree, and support vector machine regressions, as well as neural network approaches to model the data. We include lags of each external variable and response variable in the model, resulting in a total of 870 predictor variables. The empirical results indicate that the LASSO-fitted model is the most effective when compared to other approaches we consider. The results show that the closing price of an airline stock is affected by its closing price for the previous days and those of other types of airlines and is significantly correlated with the Shanghai Composite Index for the previous day and 3 days prior. Other influencing factors include the positive impact of the Shanghai Composite Index daily share volume, the negative impact of loan interest rates, the amount of highway passenger and railway freight turnover, etc.

A performance comparison of machine learning models for stock market prediction with novel investment strategy.

Stock market forecasting is one of the most challenging problems in today's financial markets. According to the efficient market hypothesis, it is almost impossible to predict the stock market with 100% accuracy. However, Machine Learning (ML) methods can improve stock market predictions to some extent. In this paper, a novel strategy is proposed to improve the prediction efficiency of ML models for financial markets. Nine ML models are used to predict the direction of the stock market. First, these models are trained and validated using the traditional methodology on a historic data captured over a 1-day time frame. Then, the models are trained using the proposed methodology. Following the traditional methodology, Logistic Regression achieved the highest accuracy of 85.51% followed by XG Boost and Random Forest. With the proposed strategy, the Random Forest model achieved the highest accuracy of 91.27% followed by XG Boost, ADA Boost and ANN. In the later part of the paper, it is shown that only classification report is not sufficient to validate the performance of ML model for stock market prediction. A simulation model of the financial market is used in order to evaluate the risk, maximum draw down and returns associate with each ML model. The overall results demonstrated that the proposed strategy not only improves the stock market returns but also reduces the risks associated with each ML model.

Stock Market Forecasting Based on Spatiotemporal Deep Learning.

This study introduces the Spacetimeformer model, a novel approach for predicting stock prices, leveraging the Transformer architecture with a time-space mechanism to capture both spatial and temporal interactions among stocks. Traditional Long-Short Term Memory (LSTM) and recent Transformer models lack the ability to directly incorporate spatial information, making the Spacetimeformer model a valuable addition to stock price prediction. This article uses the ten minute stock prices of the constituent stocks of the Taiwan 50 Index and the intraday data of individual stock on the Taiwan Stock Exchange. By training the Timespaceformer model with multi-time-step stock price data, we can predict the stock prices at every ten minute interval within the next hour. Finally, we also compare the prediction results with LSTM and Transformer models that only consider temporal relationships. The research demonstrates that the Spacetimeformer model consistently captures essential trend changes and provides stable predictions in stock price forecasting. This article proposes a Spacetimeformer model combined with daily moving windows. This method has superior performance in stock price prediction and also demonstrates the significance and value of the space-time mechanism for prediction. We recommend that people who want to predict stock prices or other financial instruments try our proposed method to obtain a better return on investment.

The Effectiveness of Ex Ante Real Earnings Yields in Forecasting Stock Market Returns

The Effectiveness of Ex Ante Real Earnings Yields in Forecasting Stock Market Returns

A Systematic Study of Stock Markets Using Analytical and AI Techniques

Predicting stock market patterns is seen as a crucial and highly productive activity. Therefore, if investors make wise choices, stock prices will result in significant gains. Investors face a lot of difficulty making predictions about the stock market because of the noisy and stagnating data. As a result, making accurate stock market predictions is difficult for investors who want to put their money to work for them. Predictions of the stock market are made using mathematical techniques and study aids. Out of 30 research papers advocating approaches, this study offers a thorough analysis of each, including computational methodologies, AI algorithms( machine learning and deep learning), performance evaluation parameters, and chosen publications. Research questions are used to choose studies.
 As a result, these chosen studies contribute to the discovery of ML methods and their corresponding data set for predicting security markets. The majority of Artificial Neural Network and Neural Network techniques are employed for producing precise stock market forecasts. The most recent stock market-related prediction system has significant limitations despite the substantial amount of work that has gone into it. In this survey, one may infer that the stock price forecasting procedure is a comprehensive affair and it is very necessary to look more closely at the typical parameters for the stock market prediction.

Stock Market Prediction and Portfolio Management with AI

Stock market forecast is an important task and is essential for predicting stock prices which can lead to profits and also making proper decisions. But at the same time the task is very complex in nature. Stock market forecast is a major challenge owing to non-stationary, blaring, and chaotic data, and thus, the prediction becomes challenging among the investors to invest the money for making profits. There are several techniques devised to predict the stock market trends such as Bayesian model, Artificial Neural Networks (ANN), Support Vector Machine (SVM) classifier, Neural Network (NN), Machine Learning Methods, and time series models like Auto Regression Integrated Moving Average (ARIMA), Seasonal Auto Regression Integrated Moving Average (SARIMA), Auto Regression Fractional Integrated Moving Average (ARFIMA). The stock market prediction is a very complex task, anddifferent factors should be considered for predicting the future of the market more accurately and efficiently. Forecast models help traders to reduce investment risk andselect the most profitable stocks. The goal of this paper is to analyse different set of models which uses different prediction and clustering techniques and present the results after comparing various approaches. This can help the researchers to upgrade the future works.

Forecasting stock indices with the COVID-19 infection rate as an exogenous variable.

Forecasting stock market indices is challenging because stock prices are usually nonlinear and non- stationary. COVID-19 has had a significant impact on stock market volatility, which makes forecasting more challenging. Since the number of confirmed cases significantly impacted the stock price index; hence, it has been considered a covariate in this analysis. The primary focus of this study is to address the challenge of forecasting volatile stock indices during Covid-19 by employing time series analysis. In particular, the goal is to find the best method to predict future stock price indices in relation to the number of COVID-19 infection rates. In this study, the effect of covariates has been analyzed for three stock indices: S & P 500, Morgan Stanley Capital International (MSCI) world stock index, and the Chicago Board Options Exchange (CBOE) Volatility Index (VIX). Results show that parametric approaches can be good forecasting models for the S & P 500 index and the VIX index. On the other hand, a random walk model can be adopted to forecast the MSCI index. Moreover, among the three random walk forecasting methods for the MSCI index, the naïve method provides the best forecasting model.

Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation

Value at risk is a statistic used to anticipate the largest possible losses over a specific time frame and within some level of confidence, usually 95% or 99%. For risk management and regulators, it offers a solution for trustworthy quantitative risk management tools. VaR has become the most widely used and accepted indicator of downside risk. Today, commercial banks and financial institutions utilize it as a tool to estimate the size and probability of upcoming losses in portfolios and, as a result, to estimate and manage the degree of risk exposure. The goal is to obtain the average number of VaR “failures” or “breaches” (losses that are more than the VaR) as near to the target rate as possible. It is also desired that the losses be evenly distributed as possible. VaR can be modeled in a variety of ways. The simplest method is to estimate volatility based on prior returns according to the assumption that volatility is constant. Otherwise, the volatility process can be modeled using the GARCH model. Machine learning techniques have been used in recent years to carry out stock market forecasts based on historical time series. A machine learning system is often trained on an in-sample dataset, where it can adjust and improve specific hyperparameters in accordance with the underlying metric. The trained model is tested on an out-of-sample dataset. We compared the baselines for the VaR estimation of a day (d) according to different metrics (i) to their respective variants that included stock return forecast information of d and stock return data of the days before d and (ii) to a GARCH model that included return prediction information of d and stock return data of the days before d. Various strategies such as ARIMA and a proposed ensemble of regressors have been employed to predict stock returns. We observed that the versions of the univariate techniques and GARCH integrated with return predictions outperformed the baselines in four different marketplaces.

Forecasting Stock Market Prices Using Machine Learning and Deep Learning Models: A Systematic Review, Performance Analysis and Discussion of Implications

The financial sector has greatly impacted the monetary well-being of consumers, traders, and financial institutions. In the current era, artificial intelligence is redefining the limits of the financial markets based on state-of-the-art machine learning and deep learning algorithms. There is extensive use of these techniques in financial instrument price prediction, market trend analysis, establishing investment opportunities, portfolio optimization, etc. Investors and traders are using machine learning and deep learning models for forecasting financial instrument movements. With the widespread adoption of AI in finance, it is imperative to summarize the recent machine learning and deep learning models, which motivated us to present this comprehensive review of the practical applications of machine learning in the financial industry. This article examines algorithms such as supervised and unsupervised machine learning algorithms, ensemble algorithms, time series analysis algorithms, and deep learning algorithms for stock price prediction and solving classification problems. The contributions of this review article are as follows: (a) it provides a description of machine learning and deep learning models used in the financial sector; (b) it provides a generic framework for stock price prediction and classification; and (c) it implements an ensemble model—“Random Forest + XG-Boost + LSTM”—for forecasting TAINIWALCHM and AGROPHOS stock prices and performs a comparative analysis with popular machine learning and deep learning models.

Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models

This paper investigates how geopolitical risks influence the prediction performance on the US stock market volatility with machine learning models. Further, it compares the predictive performance of individual and combination forecast methods. With SHAP algorithm, it could identify which factor has a great impact and fully extract the information of geopolitical risks in predicting. Empirical results show that military build-ups and escalation of war have great importance on predicting realized volatility among various geopolitical risks. The research further emphasizes the superior performance of machine learning and forecast combination methods, especially SVR method and trimmed mean combination. In addition, by allocating portfolio according to the machine learning-based volatility forecasts, particularly elastic net and random forest, a mean-variance investor can achieve sizeable financial benefits. Our paper provides substantial implications for political risk management and volatility forecasting.

Forecasting Stock Market Indices Using Gated Recurrent Unit (GRU) Based Ensemble Models: LSTM-GRU

A "time sequence analysis" is a particular method for looking at a group of data points gathered over a long period of time. Instead of merely randomly or infrequently, time series analyzers gather information from data points over a predetermined length of time at scheduled times. But this kind of research requires more than just accumulating data over time. Data in time series may be analyzed to illustrate how variables change over time, which makes them different from other types of data. To put it another way, time is a crucial element since it demonstrates how the data changes over the period of the information and the outcomes. It offers a predetermined architecture of data dependencies as well as an extra data source. Time Series forecasting is a crucial field in deep learning because many forecasting issues have a temporal component. A time series is a collection of observations that are made sequentially across time. In this study, we examine distinct machine learning, deep learning and ensemble model algorithms to predict Nike stock price. We are going to use the Nike stock price data from January 2006 to January 2018 and make predictions accordingly. The outcome demonstrates that the hybrid LSTM-GRU model outperformed the other models in terms of performance.

Forecasting Stock Market Volatility via Causal Reasoning

Abstract Studies have shown that Internet financial news has become an important reference for investors in investment behavior. In order to simulate trading experiments that mimic the real stock market, this paper develops a stock volatility prediction model based on causal reasoning. It also gathers and cleans news and stock market data from the Internet, such as opening price, closing price, and change. The findings of the study indicate that the level of stock market volatility can be significantly influenced by online financial news. The proposed model can analyze the effects of news and stock market data in an explainable manner.

DEEP REINFORCEMENT LEARNING ON STOCK DATA

This study proposes using Deep Reinforcement Learning (DRL) for stock trading decisions and prediction. DRL is a machine learning technique that enables agents to learn optimal strategies by interacting with their environment. The proposed model surpasses traditional models and can make informed trading decisions in real-time. The study highlights the feasibility of applying DRL in financial markets and its advantages in strategic decision- making. The model's ability to learn from market dynamics makes it a promising approach for stock market forecasting. Overall, this paper provides valuable insights into the use of DRL for stock trading decisions and prediction, establishing a strong case for its adoption in financial markets. Keywords: reinforcement learning, stock market, deep reinforcement learning.

Multi-Step Vector Output Prediction of Time Series Using EMA LSTM

This research paper proposes a novel method, Exponential Moving Average Long Short-Term Memory (EMA LSTM), for multi-step vector output prediction of time series data using deep learning. The method combines the LSTM with the exponential moving average (EMA) technique to reduce noise in the data and improve the accuracy of prediction. The research compares the performance of EMA LSTM to other commonly used deep learning models, including LSTM, GRU, RNN, and CNN, and evaluates the results using statistical tests. The dataset used in this study contains daily stock market prices for several years, with inputs of 60, 90, and 120 previous days, and predictions for the next 20 and 30 days. The results show that the EMA LSTM method outperforms other models in terms of accuracy, with lower RMSE and MAPE values. This study has important implications for real-world applications, such as stock market forecasting and climate prediction, and highlights the importance of careful preprocessing of the data to improve the performance of deep learning models.

Which is more important in stock market forecasting: Attention or sentiment?

We examine the predictability of investors' attention and sentiment on four major stock indexes' returns in China between 2008 and 2018. We create investors' attention and sentiment variables by using the investors' posts from Guba, which is the largest stock forum in China. We find that both investor attention and sentiment can improve the stock return predictability with in-sample and out-of-sample periods. However, investor sentiment is more informative than investor attention in stock return prediction. These results remain significant by testing posts announced in trading and non-trading sessions. Our paper provides new empirical evidence for stock return forecasting in a data-rich environment.

Forecasting Using Point-valued Time Series and Fuzzy-valued Time Series Models

The point-valued time series (PTS) is simply about one value in each time or period of the data, but when the data have two values at each time, the suitable time series is called the interval-valued time series (ITS). An example of ITS is the daily close and open stock prices. If the time series data are of typed linguistic data, for example, “low increase”, “medium increase” and “high increase”, the time series data are called a fuzzy-valued time series or being well-known as fuzzy time series (FTS). The aim of this study is to compare the PTS and FTS models for forecasting stock prices in the stock market. The stock market is one of the essential investments in the economy. The movement of stock price can be leading or declining which respectively expands or contracts a country’s economy. The movement may also represent the scenario or event happening in a company. Therefore, forecasting stock price movement is highly important since it will assist investors and sellers to make planning in their investment’s decision. Therefore, the objectives of this study are to identify the best forecasting models in point-valued time series (PTS) and fuzzy time series (FTS) based on forecasting measurement error. Eight stock price forecasting models consisting of four models from PTS and four models from FTS. Meanwhile, four forecasting measurement errors were discussed in the analysis as a criterion for choosing the best forecasting model. A set of daily historical data from the Bursa Malaysia website was used as a basis for analysis. The finding shows the simple exponential smoothing model is the best PTS model. In the meantime, the Cheng model based on Sturges’ rule is the best FTS model. However, among these two types of models, the Cheng model is found to be the best model with forecasting measurement errors of 0.0001 (MSFE), 0.0108 (RMSFE) and 1.1918 (MAPFE). The results reveal that besides the PTS model, the FTS model is an alternative model to forecast stock market movement. Moreover, these FTS and PTS models can also be applied to solving other forecasting problems.

GRU Neural Network Based on CEEMDAN–Wavelet for Stock Price Prediction

Stock indices are considered to be an important indicator of financial market volatility in various countries. Therefore, the stock market forecast is one of the challenging issues to decrease the uncertainty of the future direction of financial markets. In recent years, many scholars attempted to use different conventional statistical and deep learning methods to predict stock indices. However, the non-linear financial noise data will usually cause stochastic deterioration and time lag in forecast results, resulting in existing neural networks that do not demonstrate good prediction results. For this reason, we propose a novel framework to combine the gated recurrent unit (GRU) neural network with the complete ensemble empirical mode decomposition of adaptive noise (CEEMDAN) to predict the stock indices with better accuracy, in which the wavelet threshold method is especially used to denoise high-frequency noises in the sub-signals to exclude noise interference for future data predictions. Firstly, we choose representative datasets collected from the closing prices of S&P500 and CSI 300 stock indices to evaluate the proposed GRU-CEEMDAN–wavelet model. Additionally, we compare the improved model to the traditional ARIMA and several modified neural network models using different gate structures. The result shows that the mean values of MSE and MAE for GRU based on CEEMDAN–wavelet are the smallest by significance analysis. Overall, we found that our model could improve prediction accuracy and alleviates the time lag problem.

Stock Market Forecasting Using LSTM Neural Network

This study investigates the widespread use of machine learning techniques, including recurrent neural networks (RNNs) and long short-term memory (LSTM) models to the analysis of stock market data. By utilizing RNN and LSTM model capabilities to identify temporal relationships and patterns in stock market data, it seeks to overcome conventional techniques' constraints. The research provides empirical proof of the efficiency of RNNs and LSTM models in enhancing investment decision-making by analyzing the project outcomes using real-world stock market data. The inclusion of RNNs and LSTM models in this research paper strengthens the exploration of machine learning techniques in stock market analysis.