2021 · 106 citations · 22 references
ComputingComputer ScienceFinanceForecastingMachine LearningTime Series AnalysisDeep LearningPredictive ModelingTime Series ClassificationTime Series ForecastingTime Series ModelingTime Series PredictionConvolutional Neural NetworksDeep Learning For ForecastingDeep Learning-based ForecastingDeep Learning-based Price ForecastingMachine Learning Forecasting ModelsMachine Learning-based ForecastingMachine Learning-based Price ForecastingMultivariate Time Series Forecasting
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.
22
Size and Book‐to‐Market Factors in Earnings and Returns
Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1995 · 3.2K citations
Stock Price Prediction Using the ARIMA Model
Aderemi O. Adewumi, C. K. Ayo · 2014 · 1K citations
Business, Accounting, Finance +15