scholarly journals Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model

2021 ◽  
Author(s):  
Jaydip Sen ◽  
Saikat Mondal ◽  
Sidra Mehtab
Keyword(s):  
Predictive Model ◽  
Stock Prices ◽  
Short Term Memory ◽  
Stock Exchange ◽  
Research Problem ◽  
Time Interval ◽  
Short Term ◽  
Forecast Horizon ◽  
Total Profit ◽  
Indian Stock Market

<div>Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the real world which is affected by numerous controllable and uncontrollable variables. This paper presents an optimized predictive model built on long-and-short-term memory (LSTM) architecture for automatically extracting past stock prices from the web over a specified time interval and predicting their future prices for a specified forecast horizon, and forecasts the future stock prices. The model is deployed for making buy and sell transactions based on its predicted results for 70 important stocks from seven different sectors listed in the National Stock Exchange (NSE) of India. The profitability of each sector is derived based on the total profit yielded by the stocks in that sector over a period from Jan 1, 2010 to Aug 26, 2021. The sectors are compared based on their profitability values. The prediction accuracy of the model is also evaluated for each sector. The results indicate that the model is highly accurate in predicting future stock prices.</div>

scholarly journals Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model

2021 ◽  
Author(s):  
Jaydip Sen ◽  
Saikat Mondal ◽  
Sidra Mehtab
Keyword(s):  
Predictive Model ◽  
Stock Prices ◽  
Short Term Memory ◽  
Stock Exchange ◽  
Research Problem ◽  
Time Interval ◽  
Short Term ◽  
Forecast Horizon ◽  
Total Profit ◽  
Indian Stock Market

<div>Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the real world which is affected by numerous controllable and uncontrollable variables. This paper presents an optimized predictive model built on long-and-short-term memory (LSTM) architecture for automatically extracting past stock prices from the web over a specified time interval and predicting their future prices for a specified forecast horizon, and forecasts the future stock prices. The model is deployed for making buy and sell transactions based on its predicted results for 70 important stocks from seven different sectors listed in the National Stock Exchange (NSE) of India. The profitability of each sector is derived based on the total profit yielded by the stocks in that sector over a period from Jan 1, 2010 to Aug 26, 2021. The sectors are compared based on their profitability values. The prediction accuracy of the model is also evaluated for each sector. The results indicate that the model is highly accurate in predicting future stock prices.</div>

Prior Return Effect in Indian Stock Market: An Intra-day Analysis

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Vanita Tripathi ◽  
Shalini Aggarwal
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
High Frequency ◽  
Good News ◽  
High Frequency Data ◽  
Short Term ◽  
Fund Managers ◽  
News Events ◽  
Return Effect ◽  
Indian Stock Market

In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well as price falls. However the speed with which the correction takes place is slightly different for good news events and bad news events. Indian investors tend to be optimistic as they immediately bring stock prices up following unjustified price falls but take time to bring stock prices down following unjustified price rises. These findings lend a further support to short-term overreaction literature. More importantly, these findings serve as a proof of predictability of the direction of future stock prices and consequent returns on an intra-day basis. It forwards important investment implications for traders, fund managers, and investors at large.

scholarly journals ANALISIS HARGA SAHAM INDEX KOMPAS 100 DENGAN PENDEKATAN ERROR CORRECTION MODEL

2021 ◽  
Vol 4 (1) ◽  
pp. 406-414
Author(s):  
Amir Hamzah
Keyword(s):  
Error Correction ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Financial Statements ◽  
Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Positive Effect

The purpose of this research is to analyze the short term and long term relationship between ROI, EPS, PER ,inflation, SBI, exchange rate,and GDP on Stock Price. The data in this research is company financial statements which included Compas 100 Index on the Indonesia Stock Exchange. statistical analysis in this research used stasionarity test, The Classical Assumptions Test, Cointegration Test, Error Correction Model Test. This research found that partially ROI, EPS, PER variables a positive effect on stock prices in the short term and long term, KURS and SBI a positive effect on stock prices in the short term, but there is no effect in the long term, inflation and GDP do not affect the stock price both in the short term and long term. Simultaneously affected the stock prices significantly affect on stock price both in the short term and long term.

Predictive analytics of the technical condition of diesel locomotive systems using neural network predictive models

2021 ◽  
pp. 102-114
Author(s):  
Mikhail V. FEDOTOV ◽  
◽  
Vladimir V. GRACHEV ◽  
Keyword(s):  
Neural Network ◽  
Predictive Model ◽  
Predictive Models ◽  
Short Term Memory ◽  
Predictive Analytics ◽  
Practical Importance ◽  
Technical Condition ◽  
Feedforward Neural Network ◽  
Diesel Locomotive ◽  
Short Term

Objective: Study of the possibility of carrying out predictive analysis of the technical condition of locomotive equipment using neural network predictive models enabling to plan the scope of equipment maintenance for routine types of maintenance and repair. Methods: A comparative assessment of the accuracy of forecasts made using a feedforward neural network and a recurrent network with an LSTM layer (Long Short-Term Memory) has been carried out. For training and test-ing of predictive models, we used the results of monitoring the parameters of the lubrication sys-tem of the 2TE116 (2ТЭ116) diesel locomotive by means of on-board diagnostics. Results: The aver-age interval for preventive inspections (TO-3) of locomotives in the existing locomotive mainte-nance system is 25–30 days, and therefore it is this interval that determines the minimum duration of the lead-in period, which the predictive model should provide. We have established that a mod-el based on a feedforward neural network provides sufficient accuracy only for short-term fore-casts with a lead period of no more than 1–3 days. With a further increase in the lead-in period, the error of the model res¬ponse increases to 10–15 %, which prevents it from being effectively used for solving practical problems associated with planning the operation of service locomotive depots. At the same time, the ave¬rage response error of the predictive model based on a recurrent net-work with an LSTM layer does not exceed 3,5–5 % over a 30-day lead-in period, so it can be used to plan the scope and timing of locomotive maintenance procedures. Practical importance: The possi-bility of using time-series analysis methods for predictive analytics of the technical condition of units and systems of a locomotive is shown. Predictive models based on recurrent neural networks with LSTM layers provide prediction accuracy and lead-in period sufficient for solving practical prob-lems that are associated with planning the scope and timing of locomotive maintenance.

scholarly journals Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-12 ◽  
Author(s):  
Daniel Štifanić ◽  
Jelena Musulin ◽  
Adrijana Miočević ◽  
Sandi Baressi Šegota ◽  
Roman Šubić ◽  
...  
Keyword(s):  
Crude Oil ◽  
Stock Prices ◽  
Short Term Memory ◽  
Oil Price ◽  
Stationary Wavelet Transform ◽  
Crude Oil Price ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory ◽  
The Impact

COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on the financial movement of Crude Oil price and three US stock indexes: DJI, S&P 500, and NASDAQ Composite. The proposed system for predicting commodity and stock prices integrates the stationary wavelet transform (SWT) and bidirectional long short-term memory (BDLSTM) networks. Firstly, SWT is used to decompose the data into approximation and detail coefficients. After decomposition, data of Crude Oil price and stock market indexes along with COVID-19 confirmed cases were used as input variables for future price movement forecasting. As a result, the proposed system BDLSTM + WT-ADA achieved satisfactory results in terms of five-day Crude Oil price forecast.

scholarly journals Predicting Taxi Demand Based on 3D Convolutional Neural Network and Multi-task Learning

2019 ◽  
Vol 11 (11) ◽  
pp. 1265 ◽  
Author(s):  
Li Kuang ◽  
Xuejin Yan ◽  
Xianhan Tan ◽  
Shuqi Li ◽  
Xiaoxian Yang
Keyword(s):  
Short Term Memory ◽  
Historical Data ◽  
Temporal Correlation ◽  
Time Interval ◽  
Short Term ◽  
Prediction Task ◽  
Task Learning ◽  
Spatiotemporal Feature ◽  
The Common ◽  
Long Short Term Memory

Taxi demand can be divided into pick-up demand and drop-off demand, which are firmly related to human’s travel habits. Accurately predicting taxi demand is of great significance to passengers, drivers, ride-hailing platforms and urban managers. Most of the existing studies only forecast the taxi demand for pick-up and separate the interaction between spatial correlation and temporal correlation. In this paper, we first analyze the historical data and select three highly relevant parts for each time interval, namely closeness, period and trend. We then construct a multi-task learning component and extract the common spatiotemporal feature by treating the taxi pick-up prediction task and drop-off prediction task as two related tasks. With the aim of fusing spatiotemporal features of historical data, we conduct feature embedding by attention-based long short-term memory (LSTM) and capture the correlation between taxi pick-up and drop-off with 3D ResNet. Finally, we combine external factors to simultaneously predict the taxi demand for pick-up and drop-off in the next time interval. Experiments conducted on real datasets in Chengdu present the effectiveness of the proposed method and show better performance in comparison with state-of-the-art models.

scholarly journals The Relationship between Stock Prices and Exchange Rates: The Focus on Dar Es Salaam Stock Exchange (DSE)

2017 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Fredynandy M John ◽  
Zakayo S Kisava
Keyword(s):  
Exchange Rates ◽  
Granger Causality ◽  
Stock Prices ◽  
Stock Exchange ◽  
Dar Es Salaam ◽  
Data Sets ◽  
Short Term ◽  
Vector Autoregressive ◽  
United States Dollar ◽  
Daily Data

This paper aims to examine the existing relationship between the prices of different stocks traded in the Dar es Salaam Stock Exchange (DSE) and the Tanzanian Shillings – United States dollar exchange rates (TZS/USD). In this study, we use the daily data sets covering a period of six years from August 15, 2011 through July 28, 2017 making 1455 observations. Vector Autoregressive (VAR) – Granger Causality model is employed accompanied with several tests conducted on the variables and the model itself. The findings conclude that, there is a short-term association between Stock Prices (SP) and Exchange Rates (ExR). Additionally, Stock Prices Granger Causes Exchange Rates as evidenced by Granger Causality and the Impulse test. These findings are supported by the fact that shocks in the Exchange Rates have no effect in the Stock Prices. This could mean that an investor can invest in short term at the DSE.

scholarly journals Stock Prediction Using Sentiment Analysis and LSTM

2021 ◽  
Vol 9 (9) ◽  
pp. 1752-1756
Author(s):  
Ms. Anjima K. S
Keyword(s):  
Stock Market ◽  
Sentiment Analysis ◽  
Programming Language ◽  
Stock Prices ◽  
Short Term Memory ◽  
Short Term ◽  
Term Memory ◽  
Python Programming Language ◽  
Long Short Term Memory ◽  
Python Programming

Abstract: The stock market is a difficult area to anticipate since it is influenced by a variety of variables at the same time. The stock exchange is where equities are exchanged, transferred, and circulated. This research proposes a hybrid algorithm that predicts a stock's next day closing prices using sentiment analysis and Long Short Term Memory. The LSTM model seems to be quite popular in time-series forecasting, which is why it was selected for this project. Our proposed methodology makes use of the temporal association between public opinion and stock prices. Part-of-speech tagging is used to do sentiment analysis, and Long Short Term Memory is utilized to predict the stock's next day closing price. When these two factors are combined, we get a good picture of the stock's future. In this project, two main datasets have been used: HCLTECH company stock data and the news related to each stock of the HCL company for each day. The project is implemented by using the python programming language. The python programming language has been used to execute the project. This also incorporates machine learning along with public feedback. Sentiment analysis enables us to evaluate a diversity of political and economic factors, which have a significant impact on the stock market. Keywords: LSTM, sentiment analysis, RNN, Back propagation neural network.

scholarly journals Implementasi Long Short-Term Memory Pada Harga Saham Perusahaan Perkebunan Di Indonesia

2020 ◽  
Vol 6 (01) ◽  
pp. 9-18
Author(s):  
Rahmadi Yotenka ◽  
Fazano Fikri El Huda
Keyword(s):  
Stock Prices ◽  
Short Term Memory ◽  
Commodity Price ◽  
Share Price ◽  
Short Term ◽  
Term Memory ◽  
Price Fluctuations ◽  
Climate Forecasting ◽  
Long Short Term Memory ◽  
Hidden Neurons

  The decline and increase in the price of shares of plantation companies is a problem for investors in making decisions to buy or sell shares. Factors influencing the movement of plantation stock prices include CPO commodity price fluctuations, world oil price fluctuations, Rupiah exchange rate fluctuations, government regulations and policies, demands from importing countries, and climate. Forecasting stock prices is expected to help investors to deal with uncertainty in the movement of plantation stock prices. This study applies the Long Short-Term Memory (LSTM) to predict the stock prices of plantation companies using SSMS, LSIP, and SIMP share price data from the period 1 July 2014 - 22 July 2019. Based on the results of the study it was found that the best LSTM model on SSMS shares by using the RMSProp optimizer and 70 hidden neurons produced an RMSE value of 21,328. Then the best LSTM model on LSIP stock by using Adam optimizer and 80 hidden neurons produces an RMSE value of 33,097. Whereas the best LSTM model on SIMP shares using Adamax optimizer and 100 hidden neurons produced an RMSE value of 8,3337.    

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