scholarly journals Comparitive Study of Time Series and Deep Learning Algorithms for Stock Price Prediction

2020 ◽  
Vol 11 (6) ◽  
Author(s):  
Santosh Ambaprasad Sivapurapu
Keyword(s):  
Time Series ◽  
Deep Learning ◽  
Stock Price ◽  
Learning Algorithms ◽  
Stock Price Prediction ◽  
Price Prediction

scholarly journals Failure in Stock Price Prediction: A Comparison bettwen the Curve-Shape-Feature and Non-Curve-Shape-Feature Modes of Existing Machine Learning Algorithms

2021 ◽  
Vol 16 (6) ◽  
Author(s):  
Ping Zhang ◽  
Jia-Yao Yang ◽  
Hao Zhu ◽  
Yue-Jie Hou ◽  
Yi Liu ◽  
...  
Keyword(s):  
Machine Learning ◽  
Time Series ◽  
Stock Price ◽  
Financial Time Series ◽  
Learning Algorithms ◽  
Shape Feature ◽  
Curve Shape ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Financial Time

In the era of artificial intelligence, machine learning methods are successfully used in various fields. Machine learning has attracted extensive attention from investors in the financial market, especially in stock price prediction. However, one argument for the machine learning methods used in stock price prediction is that they are black-box models which are difficult to interpret. In this paper, we focus on the future stock price prediction with the historical stock price by machine learning and deep learning methods, such as support vector machine (SVM), random forest (RF), Bayesian classifier (BC), decision tree (DT), multilayer perceptron (MLP), convolutional neural network (CNN), bi-directional long-short term memory (BiLSTM), the embedded CNN, and the embedded BiLSTM. Firstly, we manually design several financial time series where the future price correlates with the historical stock prices in pre-designed modes, namely the curve-shape-feature (CSF) and the non-curve-shape-feature (NCSF) modes. In the CSF mode, the future prices can be extracted from the curve shapes of the historical stock prices. Conversely, in the NCSF mode, they can’t. Secondly, we apply various algorithms to those pre-designed and real financial time series. We find that the existing machine learning and deep learning algorithms fail in stock price prediction because in the real financial time series, less information of future prices is contained in the CSF mode, and perhaps more information is contained in the NCSF. Various machine learning and deep learning algorithms are good at handling the CSF in historical data, which are successfully applied in image recognition and natural language processing. However, they are inappropriate for stock price prediction on account of the NCSF. Therefore, accurate stock price prediction is the key to successful investment, and new machine learning algorithms handling the NCSF series are needed.

scholarly journals Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Time Series

2021 ◽  
Author(s):  
Sidra Mehtab ◽  
Jaydip Sen
Keyword(s):  
Machine Learning ◽  
Deep Learning ◽  
Stock Prices ◽  
Stock Price ◽  
Regression Models ◽  
Research Work ◽  
Hybrid Approach ◽  
Forecast Horizon ◽  
Stock Price Prediction ◽  
Price Prediction

Prediction of future movement of stock prices has been a subject matter of many research work. On one hand, we have proponents of the Efficient Market Hypothesis who claim that stock prices cannot be predicted, on the other hand, there are propositions illustrating that, if appropriately modelled, stock prices can be predicted with a high level of accuracy. There is also a gamut of literature on technical analysis of stock prices where the objective is to identify patterns in stock price movements and profit from it. In this work, we propose a hybrid approach for stock price prediction using machine learning and deep learning-based methods. We select the NIFTY 50 index values of the National Stock Exchange (NSE) of India, over a period of four years: 2015 – 2018. Based on the NIFTY data during 2015 – 2018, we build various predictive models using machine learning approaches, and then use those models to predict the “Close” value of NIFTY 50 for the year 2019, with a forecast horizon of one week, i.e., five days. For predicting the NIFTY index movement patterns, we use a number of classification methods, while for forecasting the actual “Close” values of NIFTY index, various regression models are built. We, then, augment our predictive power of the models by building a deep learning-based regression model using Convolutional Neural Network (CNN) with a walk-forward validation. The CNN model is fine-tuned for its parameters so that the validation loss stabilizes with increasing number of iterations, and the training and validation accuracies converge. We exploit the power of CNN in forecasting the future NIFTY index values using three approaches which differ in number of variables used in forecasting, number of sub-models used in the overall models and, size of the input data for training the models. Extensive results are presented on various metrics for all classification and regression models. The results clearly indicate that CNN-based multivariate forecasting model is the most effective and accurate in predicting the movement of NIFTY index values with a weekly forecast horizon.

scholarly journals A stock price prediction method based on deep learning technology

2021 ◽  
Vol 5 (1) ◽  
pp. 55-72
Author(s):  
Xuan Ji ◽  
Jiachen Wang ◽  
Zhijun Yan
Keyword(s):  
Social Media ◽  
Deep Learning ◽  
Stock Price ◽  
Prediction Method ◽  
Series Data ◽  
Learning Technology ◽  
Content Type ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Text Feature

Purpose Stock price prediction is a hot topic and traditional prediction methods are usually based on statistical and econometric models. However, these models are difficult to deal with nonstationary time series data. With the rapid development of the internet and the increasing popularity of social media, online news and comments often reflect investors’ emotions and attitudes toward stocks, which contains a lot of important information for predicting stock price. This paper aims to develop a stock price prediction method by taking full advantage of social media data. Design/methodology/approach This study proposes a new prediction method based on deep learning technology, which integrates traditional stock financial index variables and social media text features as inputs of the prediction model. This study uses Doc2Vec to build long text feature vectors from social media and then reduce the dimensions of the text feature vectors by stacked auto-encoder to balance the dimensions between text feature variables and stock financial index variables. Meanwhile, based on wavelet transform, the time series data of stock price is decomposed to eliminate the random noise caused by stock market fluctuation. Finally, this study uses long short-term memory model to predict the stock price. Findings The experiment results show that the method performs better than all three benchmark models in all kinds of evaluation indicators and can effectively predict stock price. Originality/value In this paper, this study proposes a new stock price prediction model that incorporates traditional financial features and social media text features which are derived from social media based on deep learning technology.

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