Predicting the Effects of News Sentiments on the Stock Market

Stock market forecasting is very important in the planning of business activities. Stock price prediction has attracted many researchers in multiple disciplines including computer science, statistics, economics, finance, and operations research. Recent studies have shown that the vast amount of online information in the public domain such as Wikipedia usage pattern, news stories from the mainstream media, and social media discussions can have an observable effect on investors opinions towards financial markets. The reliability of the computational models on stock market prediction is important as it is very sensitive to the economy and can directly lead to financial loss. In this paper, we retrieved, extracted, and analyzed the effects of news sentiments on the stock market. Our main contributions include the development of a sentiment analysis dictionary for the financial sector, the development of a dictionary-based sentiment analysis model, and the evaluation of the model for gauging the effects of news sentiments on stocks for the pharmaceutical market. Using only news sentiments, we achieved a directional accuracy of 70.59% in predicting the trends in short-term stock price movement.Comment: 4 page

The Relationship Between Twitter Sentiment and Stock Performance: A Decision Tree Approach

Social media has become a communication tool, but also a valuable database for researchers and practitioners to gather information, share knowledge, as well as express opinions about stock performance. The sentiment embedded in social media content can be analyzed to predict stock performance. Although numerous past studies have attempted to predict stock price movement using social media sentiment, some emerging analytical tools, like existing lexicons, may require further testing and validation in a financial decision making context. In this study, we develop and test predictive models for stock price and trend forecasting. By using a large-scale sample of tweets collected from Twitter, related to four companies, Apple, Google, Microsoft, and Netflix, we propose a novel decision tree approach to stock performance prediction. Based on our findings, we then provide theoretical and practical implications and discuss the directions for future work

Stock Prediction Based on Twitter Sentiment Extraction Using BiLSTM-Attention

A profitable stock price prediction will yield a large profit. According to behavioural economics, other people's emotions and viewpoints have a significant impact on business. One of them is the rise and fall of stock prices. Previous studies have shown that public sentiments retrieved from online information can be very valuable on market trading. In this paper, we propose a model that works well in predicting future stock prices by using public sentiments from social media. The online information used in this research is financial tweets collected from Twitter and the stock prices values retrieved from Yahoo! Finance. We collected tweets related to Netflix Company stocks and the stock prices for the same period which is 5 years from 2015 to 2020 as the dataset. We extracted the sentiment value using VADER algorithm. In this paper, we apply a Bidirectional Long Short-Term Memory (BiLSTM) architecture to achieve our goal. Moreover, we created seven different experiments with different stock price parameters and selected sentiment values combinations and investigated the model by adding an attention layer. We experimented with two different sentiment values, tweet’s compound value and tweet’s compound value multiplied by favorites count. We considered the favorites count as one representation of public sentiments. From the seven experiments, the experiment with Bidirectional Long Short-Term Memory (BiLSTM) - attention model combined with our selected stock price parameters namely close price, open price, and using Twitter sentiment values that are multiplied with the tweet’s favorites count yields a better RMSE result of 2.482e-02 in train set and 2.981e-02 in the test set

Determining the impact of window length on time series forecasting using deep learning

Time series forecasting is a method of predicting the future based on previous observations. It depends on the values of the same variable, but at different time periods. To date, various models have been used in stock market time series forecasting, in particular using deep learning models. However, existing implementations of the models did not determine the suitable number of previous observations, that is the window length. Hence, this study investigates the impact of window length of long short-term memory model in forecasting stock market price. The forecasting is performed on S&P500 daily closing price data set. A different window length of 25-day, 50-day, and 100-day were tested on the same model and data set. The result of the experiment shows that different window length produced different forecasting accuracy. In the employed dataset, it is best to utilize 100 as the window length in forecasting the stock market price. Such a finding indicates the importance of determining the suitable window length for the problem in-hand as there is no One-Size-Fits-All model in time series forecasting

ANALYSIS OF THE FINANCIAL PERFORMANCE OF MACHINE LEARNING MODELS FOR PREDICTING THE DIRECTION OF CHANGES IN CEE AND SEE STOCK MARKET INDICES WITH DIFFERENT CLASSIFICATION EVALUATION METRICS

Cilj analize je istražiti utjecaj odabira metrike za vrednovanje klasifikatora na financijsku uspješnost sustava trgovanja temeljenih na modelima strojnog učenja za burzovne indekse iz zemalja CEE i SEE regija. Tehničkim indikatorima se koriste kao značajke za odabrane algoritme strojnog učenja pri predviđanju smjera promjena vrijednosti indeksa, tj. klasificiranje dana trgovanja u dvije klase. Istraživanje je pokazalo da odabir metrike za vrednovanje klasifikatora nema veliki utjecaj na financijsku uspješnost takvog sustava, no ipak su najveći prosječni prinosi po transakciji postignuti maksimizacijom točnosti. Nadalje, algoritam slučajne šume i naivni Bayesov klasifikator dali su najveće prosječne prinose korištenjem točnosti, dok su stroj potpornih vektora i algoritam k najbližih susjeda najveće prosječne prinose postigli pri korištenju površine ispod krivulje operativnih karakteristika. Utvrđeno je da očekivano veliki utjecaj na financijsku uspješnost ima odabir algoritma za strojno učenje te da algoritam slučajne šume daje najbolje rezultate na ovim podacima.The aim of the analysis is to investigate the influence of the selection of classification evaluation metrics on the financial performance of trading systems based on machine learning models for stock market indices from CEE and SEE regions. Technical indicators are used as features for selected machine learning algorithms when predicting the direction of index value changes, i.e. classifying trading days into two classes. The research showed that the choice of classifier evaluation metrics does not have a great impact on the financial performance of such a system. However, the highest average returns per trade were achieved by maximizing accuracy. Furthermore, the random forest algorithm and the naive Bayesian classifier gave the highest average returns using accuracy, while the support vector machine and the k-nearest neighbor algorithm achieved the highest average returns when using the area under the receiver operating characteristic curve. It was determined that the choice of machine learning algorithm has an expectedly large impact on financial performance and that the random forest algorithm gives the best results on this data

Techniques for Stock Market Prediction: A Review

Stock market forecasting has long been viewed as a vital real-life topic in economics world. There are many challenges in stock market prediction systems such as the Efficient Market Hypothesis (EMH), Nonlinearity, complex, diverse datasets, and parameter optimization. A stock's value on the stock market fluctuates due to many factors like previous trends of the stock, the current news, twitter feeds, any online customer feedbacks etc. In this paper, the literature is critically analysed on approaches used for stock market prediction in terms of stock datasets, features used, evaluation metrics used, statistical, machine learning and deep learning techniques along with the directions for the future. The focus of this review is on trend and value prediction for stocks. Overall, 68 research papers have been considered for review from years 1998-2023. From the review, Indian stock market datasets are found to be most frequently used datasets. Evaluation metrics used commonly are accuracy and Mean Absolute Percentage Error. ARIMA is reported as the most used frequently statistical technique for stick market prediction. Long-Short Term Memory and Support Vector Machine are the commonly used algorithms in stock market prediction. The advantages and disadvantages of frequently used evaluation metrics, machine learning, deep learning and statistical approaches are also included in this survey

The Stock Exchange Prediction using Machine Learning Techniques: A Comprehensive and Systematic Literature Review

This literature review identifies and analyzes research topic trends, types of data sets, learning algorithm, methods improvements, and frameworks used in stock exchange prediction. A total of 81 studies were investigated, which were published regarding stock predictions in the period January 2015 to June 2020 which took into account the inclusion and exclusion criteria. The literature review methodology is carried out in three major phases: review planning, implementation, and report preparation, in nine steps from defining systematic review requirements to presentation of results. Estimation or regression, clustering, association, classification, and preprocessing analysis of data sets are the five main focuses revealed in the main study of stock prediction research. The classification method gets a share of 35.80% from related studies, the estimation method is 56.79%, data analytics is 4.94%, the rest is clustering and association is 1.23%. Furthermore, the use of the technical indicator data set is 74.07%, the rest are combinations of datasets. To develop a stock prediction model 48 different methods have been applied, 9 of the most widely applied methods were identified. The best method in terms of accuracy and also small error rate such as SVM, DNN, CNN, RNN, LSTM, bagging ensembles such as RF, boosting ensembles such as XGBoost, ensemble majority vote and the meta-learner approach is ensemble Stacking. Several techniques are proposed to improve prediction accuracy by combining several methods, using boosting algorithms, adding feature selection and using parameter and hyper-parameter optimization