Stock Price Prediction Using Kernel Adaptive Filtering Within a Stock Market Interdependence Approach

2018 ◽  
Author(s):  
Sergio Garcia-Vega ◽  
Xiao-Jun Zeng ◽  
John Keane
Keyword(s):  
Stock Market ◽  
Adaptive Filtering ◽  
Stock Price ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Market Interdependence

scholarly journals A graph-based CNN-LSTM stock price prediction algorithm with leading indicators

2021 ◽  
Author(s):  
Jimmy Ming-Tai Wu ◽  
Zhongcui Li ◽  
Norbert Herencsar ◽  
Bay Vo ◽  
Jerry Chun-Wei Lin
Keyword(s):  
Neural Network ◽  
Stock Market ◽  
Financial Management ◽  
Stock Price ◽  
Short Term Memory ◽  
Prediction Algorithm ◽  
Leading Indicators ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Wealth Management

AbstractIn today’s society, investment wealth management has become a mainstream of the contemporary era. Investment wealth management refers to the use of funds by investors to arrange funds reasonably, for example, savings, bank financial products, bonds, stocks, commodity spots, real estate, gold, art, and many others. Wealth management tools manage and assign families, individuals, enterprises, and institutions to achieve the purpose of increasing and maintaining value to accelerate asset growth. Among them, in investment and financial management, people’s favorite product of investment often stocks, because the stock market has great advantages and charm, especially compared with other investment methods. More and more scholars have developed methods of prediction from multiple angles for the stock market. According to the feature of financial time series and the task of price prediction, this article proposes a new framework structure to achieve a more accurate prediction of the stock price, which combines Convolution Neural Network (CNN) and Long–Short-Term Memory Neural Network (LSTM). This new method is aptly named stock sequence array convolutional LSTM (SACLSTM). It constructs a sequence array of historical data and its leading indicators (options and futures), and uses the array as the input image of the CNN framework, and extracts certain feature vectors through the convolutional layer and the layer of pooling, and as the input vector of LSTM, and takes ten stocks in U.S.A and Taiwan as the experimental data. Compared with previous methods, the prediction performance of the proposed algorithm in this article leads to better results when compared directly.

scholarly journals Volatility Estimation and Stock Price Prediction in the Nigerian Stock Market

2012 ◽  
Vol 3 (1) ◽  
Author(s):  
Ajao Mayowa Gabriel ◽  
Wemambu Mary Ugochukwu
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Volatility Estimation ◽  
Stock Price Prediction ◽  
Price Prediction

scholarly journals Multi Layer Feed Forward Neural Network Knowledge Base to Future Stock Market Prediction

2019 ◽  
Vol 8 (11S) ◽  
pp. 1061-1075 ◽  
Keyword(s):  
Neural Network ◽  
Stock Market ◽  
Stock Price ◽  
Feed Forward Neural Network ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
The Past ◽  
Knowledge Set ◽  
Neural Network Prediction ◽  
Network Prediction

Stock price prediction is always a most challenging task. Artificial Neural Network prediction clears the stock price prediction challenge by forming the training set. By using the past information as the network input, one can predict the expected output of the network. In order to predict the expected result as the accurate we add multi-layer perceptron to the knowledge set we formed from the past historical data available in the nifty NSE and Sensex BSE. This paper proves that proposing the learning knowledge set using multilayer neural network will predict the accurate closing price of future stock in stock market.

scholarly journals Stock Market Prediction Using Twitter Sentiment Analysis

2021 ◽  
pp. 265-270
Author(s):  
Padmanayana ◽  
Varsha ◽  
Bhavya K
Keyword(s):  
Stock Market ◽  
Sentiment Analysis ◽  
Stock Price ◽  
Market Price ◽  
Future Price ◽  
Stock Market Prediction ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Media Platform ◽  
The Impact

Stock market prediction is an important topic in ?nancial engineering especially since new techniques and approaches on this matter are gaining value constantly. In this project, we investigate the impact of sentiment expressed through Twitter tweets on stock price prediction. Twitter is the social media platform which provides a free platform for each individual to express their thoughts publicly. Specifically, we fetch the live twitter tweets of the particular company using the API. All the stop words, special characters are extracted from the dataset. The filtered data is used for sentiment analysis using Naïve bayes classifier. Thus, the tweets are classified into positive, negative and neutral tweets. To predict the stock price, the stock dataset is fetched from yahoo finance API. The stock data along with the tweets data are given as input to the machine learning model to obtain the result. XGBoost classifier is used as a model to predict the stock market price. The obtained prediction value is compared with the actual stock market value. The effectiveness of the proposed project on stock price prediction is demonstrated through experiments on several companies like Apple, Amazon, Microsoft using live twitter data and daily stock data. The goal of the project is to use historical stock data in conjunction with sentiment analysis of news headlines and Twitter posts, to predict the future price of a stock of interest. The headlines were obtained by scraping the website, FinViz, while tweets were taken using Tweepy. Both were analyzed using the Vader Sentiment Analyzer.

Extreme learning machine for stock price prediction

2021 ◽  
pp. 002072092098467
Author(s):  
Fangzhao Zhang
Keyword(s):  
Machine Learning ◽  
Stock Market ◽  
Extreme Learning Machine ◽  
Stock Price ◽  
Market Performance ◽  
Market Analysis ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Stock Market Performance ◽  
Learning Machine

Stock market performance prediction has always been a hit research topic and is attractive due to its strong potential to generate financial profit. Being able to predict future stock price in a relatively accurate way forms a significant task of stock market analysis. Different mechanisms from fundamental analysis to statistical modeling have been deployed to study stock market performance and various factors from fundamental factors, technical factors to market sentiments are also incorporated in the stock price prediction task. However, due to the chaotic stock market performance, which is close to random walk, and the difficulty in discerning influential factors, predicting stock price faces a lot of challenges. In recent years, fast development in fields such as machine learning has offered new ways to look at this task. In this paper, we employ Extreme Learning Machine (ELM) algorithm, a recent modification of traditional feedforward neural network with single hidden layer, whose learning speed is greatly improved based on solid mathematical background and capability to circumvent problems such as local minimum is also enhanced, to construct an ELM combination model to study stock market performance and predict stock price. A comparison between the predicted output and the real data is carried out to test the feasibility of applying ELM model to stock market analysis. The result indicates that ELM model is desirable for predicting stock price variation trend while some inaccuracy exists in the prediction of peak values, which may require further model modification. Overall, by applying the machine learning model ELM to predict stock price and generating desirable outcome, this paper both contributes to offering a new way to investigate stock market performance and enlarging the field deployment of ELM model as well.

scholarly journals STOCK PRICE PREDICTION USING MARKOV CHAINS ANALYSIS WITH VARYING STATE SPACE ON DATA FROM THE CZECH REPUBLIC

2021 ◽  
Vol 24 (4) ◽  
pp. 142-155
Author(s):  
Milan Svoboda ◽  
Pavla Říhová
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Markov Chains ◽  
State Space ◽  
Stock Price ◽  
Business Models ◽  
Short Term ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Transaction Fees

The article describes empirical research that deals with short-term stock price prediction. The aim of this study is to use this prediction to create successful business models. A business model that outperforms the stock market, represented by the Buy and Hold strategy, is considered to be successful. A stochastic model based on Markov chains analysis with varying state space is used for short-term stock price prediction. The varying state spate is defined based on multiples of the moving standard deviation. A total of 80 state space models were calculated for the moving standard deviation with 5-step lengths from 10 to 30 in combination with the standard deviation multiples from 0.5 to 2.0 with the step of 0.1. The efficiency of the business models was verified for 3 long-term, liquid stocks of the Czech stock market, namely the stocks of KB, CEZ, and O2 within a 14-year period – from the beginning of 2006 to the end of 2019. Business models perform best when they use a state space defined on the length of a moving standard deviation between 15 and 30 in combination with multiples of the standard deviation between 1.1 and 1.2. Business models based on these parameters outperform the passive Buy and Hold strategy. In fact, they outperform the Buy and Hold strategy for both the entire period under review and the yielded five-year periods (including transaction fees). The only exception is the five-year periods covering 2015 for O2 stocks. After the end of the uncertainty period caused by unclear intentions of the new majority stockholder, the stock price rose sharply. These results are in conflict with the efficient markets theory and suggest that in the period under review, the Czech stock market was not effective in any form.

A Neuro-Fuzzy Expert System Trained by Particle Swarm Optimization for Stock Price Prediction

2012 ◽  
pp. 633-650
Author(s):  
Mohammad Hossein Fazel Zarandi ◽  
Milad Avazbeigi ◽  
Meysam Alizadeh
Keyword(s):  
Particle Swarm Optimization ◽  
Stock Market ◽  
Soft Computing ◽  
Stock Price ◽  
Particle Swarm ◽  
Swarm Optimization ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Neuro Fuzzy ◽  
Input Variables

In today’s competitive markets, prediction of financial variables has become a critical issue. Especially in stock market analysis where a wrong prediction may result in a big loss in terms of time and money, having a robust prediction is a crucial issue. To model the chaotic, noisy, and evolving behavior of stock market data, new powerful methods should be developed. Soft Computing methods have shown a great confidence in such environments where there are many uncertain factors. Also it has been observed through many experiments that the hybridization of different soft computing techniques such as fuzzy logic, neural networks, and meta-heuristics usually results in better results than simply using one method. This chapter presents an adaptive neuro-fuzzy inference system (ANFIS), trained by the particle swarm optimization (PSO) algorithm for stock price prediction. Instead of previous works that have emphasized on gradient base or least square (LS) methods for training the neural network, four different strategies of PSO are implemented: gbest, lbest-a, lbest-b, and Euclidean. In the proposed fuzzy rule based system some technical and fundamental indexes are applied as input variables. In order to generate membership functions (MFs), a robust noise rejection clustering algorithm is developed. The proposed neuro-fuzzy model is applied for an automotive part-making manufactory in an Asia stock market. The results show the superiority of the proposed model in comparison with the available models in terms of error minimization, robustness, and flexibility.

scholarly journals Advanced Markov-Based Machine Learning Framework for Making Adaptive Trading System

Computation ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 4 ◽  
Author(s):  
Francesco Rundo ◽  
Francesca Trenta ◽  
Agatino Luigi Di Stallo ◽  
Sebastiano Battiato
Keyword(s):  
Machine Learning ◽  
Stock Market ◽  
Stock Price ◽  
Ad Hoc ◽  
Trend Prediction ◽  
Trading System ◽  
Trading Systems ◽  
Stock Price Prediction ◽  
Price Prediction ◽  
Historical Data Analysis

Stock market prediction and trading has attracted the effort of many researchers in several scientific areas because it is a challenging task due to the high complexity of the market. More investors put their effort to the development of a systematic approach, i.e., the so called “Trading System (TS)” for stocks pricing and trend prediction. The introduction of the Trading On-Line (TOL) has significantly improved the overall number of daily transactions on the stock market with the consequent increasing of the market complexity and liquidity. One of the most main consequence of the TOL is the “automatic trading”, i.e., an ad-hoc algorithmic robot able to automatically analyze a lot of financial data with target to open/close several trading operations in such reduced time for increasing the profitability of the trading system. When the number of such automatic operations increase significantly, the trading approach is known as High Frequency Trading (HFT). In this context, recently, the usage of machine learning has improved the robustness of the trading systems including HFT sector. The authors propose an innovative approach based on usage of ad-hoc machine learning approach, starting from historical data analysis, is able to perform careful stock price prediction. The stock price prediction accuracy is further improved by using adaptive correction based on the hypothesis that stock price formation is regulated by Markov stochastic propriety. The validation results applied to such shares and financial instruments confirms the robustness and effectiveness of the proposed automatic trading algorithm.

scholarly journals Design and Implementation of MCNN for Better Prediction of Stock Price Movement

2018 ◽  
pp. 238-243
Author(s):  
Anshul Sahu
Keyword(s):  
Neural Network ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Learning Algorithm ◽  
Back Propagation ◽  
Processing Technique ◽  
Stochastic Gradient Descent ◽  
Stock Price Prediction ◽  
Price Prediction

The stock market prediction is problematic subsequently the stock price is active in environment. To decrease the inappropriate predictions of the stock market and evolution the ability to predict the market actions. To escape the risk and the challenging in predicting stock price. Predicting stock market prices is a difficult task that conventionally contains extensive neural network. Owed to the linked environment of stock prices, conventional batch processing technique cannot be developed competently for stock market analysis. We propose an efficient Learning algorithm that develops a kind of Modified Computational Neural Networks (MCNN) based on BPNN (Back Propagation neural network) filter in training to increase the stock price prediction. Where the weights are adjusted for separate data points using stochastic gradient descent. This will distribute extra precise outcomes when linked to existing stock price prediction algorithms. The network is trained and evaluated for accurateness complete numerous sizes of data, and the results are organized.

scholarly journals Improved AdaboostM1 for Stock Price Prediction Using Multi-layer Perceptron to Integrate Weak Learners

2021 ◽  
Author(s):  
Rebwar M. Nabi ◽  
Soran AB.M. Saeed ◽  
Rania Azad M. San Ahmed
Keyword(s):  
Stock Market ◽  
Multilayer Perceptron ◽  
Stock Price ◽  
Financial Time Series ◽  
Time Series Prediction ◽  
Data Availability ◽  
Economic Gain ◽  
Market Prices ◽  
Stock Price Prediction ◽  
Price Prediction

Investment in the stock market is currently very popular due to its economic gain. Therefore, numerous researchers and academicians work is focused on financial time series prediction due to its data availability and profitability. Based on the literature it can be seen that various versions of the AdaboostM1 algorithm have been applied in the stock market either by tuning the algorithm parameters or attempting various base learners but the accuracy has not yet reached to favorable and reliable level. Therefore, this study proposes an improved version of AdaboostM1(ADA), which is implemented in the Waikato Environment for Knowledge Analysis(WEKA) to predict stock market prices based on historical data. The improved AdaBoostM1 integrates the set of Multilayer Perceptron (MLP) predictors instead of using DecisionStumps, which is normally being applied. The enhanced AdaBoostM1 is named Adaboost with Multilayer Perceptron (ADA-MLP). As the result, the ADA-MLP was found to be outperforming the original ADA by 1.52%, in which the ADA-MLP achieved the CA of 100% on average while the ADA achieved 98.48%. Furthermore, the ADA-MLP was al

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