Stock Price Movements Research Articles

Market Predictability Before the Closing Bell Rings

This study examines the predictability of the last 30 min of intraday stock price movements within the US financial market. The analysis encompasses several potential explanatory variables, including returns from each 30 min intraday trading session, overnight returns, the federal reserve fund rate decision days and the subsequent three days, the US dollar index, month effects, weekday effects, and market volatilities. Market-adaptive trading strategies are developed and backtested on the basis of the study’s insights. Unlike the commonly employed multiple linear regression methods with Gaussian errors, this research utilizes a Bayesian linear regression model with Student-t error terms to more accurately capture the heavy tails characteristic of financial returns. A comparative analysis of these two approaches is conducted and the limitations inherent in the traditionally used method are discussed. Our main findings are based on data from 2007 to 2018. We observed that well-studied factors such as overnight effects and intraday momentum have diminished over time. Some other new factors were significant, such as lunchtime returns during boring days and the tug-of-war effect over the days after a federal fund rate change decision. Ultimately, we incorporate findings derived from data spanning 2022 to 2024 to provide a contemporary perspective on the examined components, followed by a discussion of the study’s limitations.

Decoding Stock Price Movements: How Net Profit Margin and Debt-to-Equity Ratio Drive Value, with Earnings per Share as the Game-Changer

This research investigates the relationships between Net Profit Margin (NPM), Debt-to-Equity Ratio (DER), Earnings per Share (EPS), and stock prices within the context of the Indonesian stock market. Utilizing a quantitative analysis approach, the study employs panel data regression to assess the statistical significance of these financial metrics on stock valuations. The findings reveal that NPM has a meaningful and statistically significant positive impact on stock prices, indicating that higher profit margins are associated with increased investor confidence and market valuation. Conversely, the results show that DER does not significantly influence stock prices, suggesting that investors may perceive high debt levels as a risk that diminishes stock value. Furthermore, the study finds that EPS does not moderate the relationship between NPM and stock prices, nor does it strengthen the effect of DER on stock valuations. These conclusions contribute to understanding financial determinants in stock price movements, emphasizing the importance of profit margins while highlighting the limited role of leverage and earnings per share in this context. The research provides recommendations for investors and corporate managers and suggests avenues for future studies, including broader geographic comparisons and integrating qualitative factors into stock valuation analysis.

A Novel Deep Learning Model for Stock Prediction Integrating Historical Prices, Core Volatility Trends and Financial News

Accurate stock price forecasting is crucial for investors and analysts aiming to make informed decisions and mitigate risks in financial markets. While deep learning models have proven effective in identifying complex patterns in quantitative data, they often struggle to account for non-quantitative factors such as corporate events, market sentiment, and regulatory changes that can cause unpredictable stock price movements. To address this challenge, an ensemble model is introduced that integrates historical price data, financial news, and stock fundamentals to predict next-day stock prices. The model combines one-dimensional Convolutional Neural Networks (1D CNNs), Long Short-Term Memory networks (LSTMs), and Gated Recurrent Units (GRUs), applied independently to each data stream and concurrently as a unified ensemble, to capture both short-term and long-term market behaviors. NVIDIA (NVDA) stock was selected for testing due to its high volatility and rapid price fluctuations, presenting a challenging case for predictive modeling. Using data spanning from April 2014 to March 2024, the model achieved a coefficient of determination (R²) of 0.983 and a mean absolute error (MAE) of $12.72. These results suggest that the ensemble approach effectively captures both quantitative and qualitative factors, making it a promising tool for improving stock price prediction in volatile market conditions.

Applications of Neuro Deep Learning Models in Predictive Data Analytics for the Movements and Trends of the Indian Stock Market: Financial Data Mining, Nonlinearity, and Quantum Finance

The financial world of today is high-frequency data-driven and characterized by the application and use of information technology for better business development and decision-making. The price movements of stock markets are mainly influenced by micro and macroeconomic variables, legal frameworks, and taxation policies of the respective economies. The crux of the issue lies in exactly forecasting the future stock price movements of individual firms, based on historical prices. Achieving accuracy for forecasting the market trend has become difficult due to the prevalence of stochastic behaviour in the stock market and volatility in the stock prices. This paper analyzes the stochastic movement pattern of the highly volatile thirty individual company stocks (in terms of market capitalization) of BSE-Sensex, using the Neuro Deep Learning method, a model of deep learning approach. The findings of the study would help the investors, to make rational and well-informed investment decisions, and to optimize the returns by investing in the most valuable stocks of listed corporate enterprises.

Deep Convolutional Transformer Network for Stock Movement Prediction

The prediction and modeling of stock price movements have been shown to possess considerable economic significance within the finance sector. Recently, a range of artificial intelligence methodologies, encompassing both traditional machine learning and deep learning approaches, have been introduced for the purpose of forecasting stock price fluctuations, yielding numerous successful outcomes. Nonetheless, the identification of effective features for predicting stock movements is considered a complex challenge, primarily due to the non-linear characteristics, volatility, and inherent noise present in financial data. This study introduces an innovative Deep Convolutional Transformer (DCT) model that amalgamates convolutional neural networks, Transformers, and a multi-head attention mechanism. It features an inception convolutional token embedding architecture alongside separable fully connected layers. Experiments conducted on the NASDAQ, Hang Seng Index (HSI), and Shanghai Stock Exchange Composite (SSEC) employ Mean Absolute Error (MAE), Mean Square Error (MSE), Mean Absolute Percentage Error (MAPE), accuracy, and Matthews Correlation Coefficient (MCC) as evaluation metrics. The findings reveal that the DCT model achieves the highest accuracy of 58.85% on the NASDAQ dataset with a sliding window width of 30 days. In terms of error metrics, it surpasses other models, demonstrating the lowest average prediction error across all datasets for MAE, MSE, and MAPE. Furthermore, the DCT model attains the highest MCC values across all three datasets. These results suggest a promising capability for classifying stock price trends and affirming the DCT model’s superiority in predicting closing prices.

Deep Learning-Based Stock Price Prediction Using LSTM Model

The stock market is a vital component of the broader financial system, with its dynamics closely linked to economic growth. The challenges associated with analyzing and forecasting stock prices have persisted since the inception of financial markets. By examining historical transaction data, latent opportunities for profit can be uncovered, providing valuable insights for both institutional and individual investors to make more informed decisions. This study focuses on analyzing historical transaction data from four banks to predict closing price trends. Various models, including decision trees, random forests, and Long Short-Term Memory (LSTM) networks, are employed to forecast stock price movements. Historical stock transaction data serves as the input for training these models, which are then used to predict upward or downward stock price trends. The study’s empirical results indicate that these methods are effective to a degree in predicting stock price movements. The LSTM-based deep neural network model, in particular, demonstrates a commendable level of predictive accuracy. This conclusion is reached following a thorough evaluation of model performance, highlighting the potential of LSTM models in stock market forecasting. The findings offer significant implications for advancing financial forecasting approaches, thereby improving the decision-making capabilities of investors and financial institutions.

A Stock Prediction Method Based on Multidimensional and Multilevel Feature Dynamic Fusion

Stock price prediction has long been a topic of interest in academia and the financial industry. Numerous factors influence stock prices, such as a company’s performance, industry development, national policies, and other macroeconomic factors. These factors are challenging to quantify, making predicting stock price movements difficult. This paper presents a novel deep neural network framework that leverages the dynamic fusion of multi-dimensional and multi-level features for stock price prediction, which means we utilize fundamental trading data and technical indicators as multi-dimensional data and local and global multi-level information. Firstly, the model dynamically assigns weights to multi-dimensional features of stocks to capture the impact of each feature on stock prices. Next, it applies the Fourier transform to the global features to capture the long-term trends of the global environment and dynamically fuses these with local and global features of the stocks to capture the overall market environment’s impact on individual stocks. Finally, temporal features are captured using an attention layer and an RNN-based model, which incorporates historical price data to forecast future prices. Experiments on stocks from various industries within the Chinese CSI 300 index reveal that the proposed model outperforms traditional methods and other deep learning approaches in terms of stock price prediction. This paper proposes a method that facilitates the dynamic integration of multi-dimensional and multi-level features in an efficient manner and experimental results show that it improves the accuracy of stock price predictions.

The dynamic relationship between ASEAN+6 exchange rates and stock markets: application of the ARDL model

PurposeThis study investigates the short- and long-run relationship between stock prices and exchange rates in the Association of Southeast Asian Nations (ASEAN)+6 markets. In the short run, support is found for both the theory of a goods market where exchange rates influence stock returns and portfolio balance theory, where stock returns influence exchange rates.Design/methodology/approachThe co-integration approach of linear and nonlinear augmented autoregressive distributed lag (ARDL) models was applied to daily data from 2 January 2017 to 30 June 2023.FindingsThe findings provide evidence that the goods market theory is supported solely in Indonesia and Singapore, while the portfolio balance theory is supported for Australia, China, India and Malaysia.Practical implicationsPolicymakers and investors should seriously consider the importance of the study findings. The results show that all ASEAN+6 countries experience a short-term interaction between the two markets. This illustrates that exchange rates and stock price movements play vital roles in other markets. Stakeholders, particularly policymakers, should be aware of this critical relationship.Originality/valueThis is the first study to dynamically examine how the ASEAN+6 framework influences currency rates and stock markets.

Determinants JCI of the Indonesian Stock Exchange (Comparison of IHSG Projection of OLS Method and ARIMA and GARCH Methods for the Period 2015-2023)

This study aims to examine the effect of interest rate, exchange rate, inflation, gross domestic product and LQ-45 index variables on the movement of the Composite Stock Price Index using the ordinary least square method. Comparison in predicting the movement of the stock price index through three models, and then compared with the projection results with OLS, ARIMA and GARCH methods. This research was conducted using monthly data on JCI, interest rates, exchange rates, inflation, gross domestic product and the LQ-45 index for the period May 2015 - December 2023. From the results it can be concluded that interest rates have a significant negative effect on JCI, exchange rates have a significant negative effect on JCI, inflation has a significant negative effect on the value of JCI, gross domestic product has a significant negative effect on JCI and the LQ-45 index has a positive effect on JCI. The results of the comparison of JCI projections with 3 models showed that the OLS model offers more accurate results and has the lowest MAPE value in predicting stock price movements.

Machine Learning Applications in Stock Price Prediction

With economic fluctuations, investors focus on the stock market where scientific investment strategies become increasingly crucial. This article utilizes linear regression to predict stock price trends, achieving an R value close to 1, indicating high accuracy in the model's predictions. Additionally, logistic regression and random forest classification models were employed to predict stock price movements, revealing a superior performance with the random forest model achieving an AUC value of 0.64. By employing a combination of regression and classification algorithms, this study offers a diverse perspective on stock price prediction, highlighting the importance of scientific forecasting in financial markets. The findings demonstrate that integrating multiple predictive models enhances the accuracy and reliability of stock price predictions, providing investors with precise market information to facilitate rational investment decisions. Furthermore, this research contributes valuable insights for future studies in stock market prediction, promoting continuous innovation and development in the theoretical and methodological aspects of this field. The results underscore the potential of advanced machine learning techniques in financial forecasting, offering a robust framework for understanding market dynamics and improving investment strategies. This study serves as a reference point for both academic research and practical applications, driving forward the evolution of predictive modeling in finance.

MACROECONOMIC ASPECTS IN INFLUENCING STOCK PRICE MOVEMENT ON THE INDONESIAN SHARIA STOCK INDEX 2018-2022

This study aims to analyze the influence of macroeconomic variables and world oil prices in influencing stock price movements on the Indonesian Sharia Stock Index (ISSI) in 2018-2022. In this case, stock price movements can be influenced by several factors, one of which is macroeconomics. The research methodology used in this study is to use a quantitative research approach and secondary data type, with quarterly samples from each year 2018 to 2022 which amounted to. The research model carried out is log linear regression panel data analysis conducted through the chow test and classical assumptions using Eviews 10 tools. Based on the results of this study, it states that partially shows the variables of Inflation, BI Interest Rate Economic Growth (GDP) and Money Supply. While simultaneously all variables did not have a significant effect on the Indonesian Sharia Stock Index (ISSI).

Is Dhaka Stock Exchange An Efficient Capital Market? - Evidence Of Weak-Form Efficient Market Hypothesis

This paper uses Random walk hypothesis to test the efficiency of Dhaka Stock Exchange Ltd (DSE), an emerging capital market of Bangladesh. In this paper, with Runs test, Dickey-Fuller Unit root test have been processed and analyzed to observed the behavior of daily return of Dhaka Stock Exchange indices during the study period. The sample includes the daily price indices of all securities listed on the DSE general, DSI (All Share), DSE-30, and Daily indices listed with DSE. As a proxy of movement of individual stock prices, daily closing prices of 30 companies operating in the Banking sector has been analyzed. The results provide evidence that DSE does not follow the random walk model and so DSE is not efficient even in weak form. To improve this capital market, the timely disclosure and dissemination of information to the shareholders and investors on the performance of the listed companies should be given emphasized.

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.

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.

Machine Learning-Based Framework for Intraday Stock Price Movement Prediction Using Open Prices and Historical Data

Machine Learning-Based Framework for Intraday Stock Price Movement Prediction Using Open Prices and Historical Data

The Dynamic Relationship Between Exchange Rate Volatility and Stock Prices in the Egyptian Real Estate Market and the Moderating Effect of Interest Rates

Among different channels of the financial market, the exchange rates and stock markets play a vital role in the domestic and international markets. This study aims to explore the dynamic relationship between the exchange rate (USD/EGP) and the real estate sector listed companies of the Egyptian Stock Exchange (EGX) from 2013 to 2023. Additionally, the study examines the moderating effect of interest rates on the relationship. To achieve this, the study employs several econometric methods such as Augmented Dicky Fuller (ADF) test, Granger Causality test to determine the direction of the relationship, Vector Autoregressive (VAR) model, and more. The results demonstrate that a long-run relationship exists between the variables. Furthermore, there is a significant unidirectional causality that runs from the exchange rate to real estate stock prices; thus, fluctuations in the exchange rate can significantly affect the profitability of investments in real estate stocks. Therefore, investors should closely monitor the movements in the exchange rate level to predict changes in real estate stock prices. When including the interest rate as a moderator, the outcome changes to bidirectional causality, meaning that the exchange rate and real estate stock price movements affect each other at a 1% significance level. Hence, interest rate could be used as an instrument to control demand in both the stock market and foreign exchange market. Finally, it is recommended that policymakers use the monetary policy while considering this bidirectional relationship in the presence of interest rate as a moderating variable.

Information flow and investment cash flow sensitivity

ABSTRACT In this paper, we examine whether firms with greater information flow, i.e. which reveal more firm-specific information through their idiosyncratic stock price movements, are associated with lower investment cash flow sensitivity. Using a sample of 450 French non-financial firms over the period 2006–2022, we find results consistent with the idea that greater information flow decreases information asymmetry, thus allowing firms to carry out investments more efficiently as they depend less on the availability of internal cash flows.

Applied Random Forest Algorithm for News and Article Features on The Stock Price Movement: An Empirical Study of The Banking Sector in Vietnam

Applied Random Forest Algorithm for News and Article Features on The Stock Price Movement: An Empirical Study of The Banking Sector in Vietnam

ANALYZING FINANCIAL RATIOS' IMPACT ON STOCKS RETURNS: CASE STUDY OF LQ45 INDEX 2014-2023

This study examines the correlation between fundamental financial metrics and stock returns of Indonesia's LQ45 Index over a 10-year period (2014-2023). The study aims to provide actionable insights for investors and companies by identifying the most critical financial metrics in predicting stock price movements. By analyzing data from 16 consistently listed Indonesian companies, the study focuses on stocks that have consistently maintained their position in the index over the past decade, a gap that has been underexplored in prior research. The study employs various statistical tests to validate the regression model, with hypothesis testing conducted through t-test and F-tests to determine the significance of financial ratios on stock returns. The analysis shows that Return on Equity, Price to Earnings Ratio (PER), Price to Book Value (PBV), Free Cash Flow per Share to Price (PFCF), and Dividend Payout Rate (DPR) have a significant positive effect on stock return. The research recommends that retail investors prioritize the PFCF ratio when evaluating potential stock investments. Transparency in financial reporting is essential, with companies encouraged to provide accurate and comprehensive financial statements, including clear reporting of key financial metrics, to build investor confidence.

A Study on Stock Price Prediction Based on Attention GCN-BiLSTM Modeling

It is of great significance to accurately predict stock price movements. By combining the R-Vine-Copula structure with the relationship between the conceptual sectors to which the stocks belong, the price correlation between stocks is measured and the adjacency matrix is constructed, and the model AGLSTM, which is constructed by combining the temporal attention mechanism, Graph Convolutional Neural Network and Bi-directional Long and Short-Term Memory Neural Network, is proposed to predict the price of 46 stocks from the constituent stocks of the SSE 50 by modeling them. The experimental results show that, compared with the baseline, the AGLSTM can predict the stock price. The experimental results show that compared with the baseline model, the MAE and RMSE results of the AGLSTM model predicted one step forward outperform all the comparison models, and the MAPE results are close to the best baseline model results. The results of MAPE are close to those of the best baseline model. Moreover, good results are also achieved in the experiment of multi-step forward prediction, which demonstrates the ability of AGLSTM model in long-term prediction and can provide some reference for investors to make investment decisions.