Machine Learning for Stock Prediction Based on Fundamental Analysis

Application of machine learning for stock prediction is attracting a lot of attention in recent years. A large amount of research has been conducted in this area and multiple existing results have shown that machine learning methods could be successfully used toward stock predicting using stocks’ historical data. Most of these existing approaches have focused on short term prediction using stocks’ historical price and technical indicators. In this thesis, we prepared 22 years’ worth of stock quarterly financial data and investigated three machine learning algorithms: Feed-forward Neural Network (FNN), Random Forest (RF) and Adaptive Neural Fuzzy Inference System (ANFIS) for stock prediction based on fundamental analysis. In addition, we applied RF based feature selection and bootstrap aggregation in order to improve model performance and aggregate predictions from different models. Our results show that RF model achieves the best prediction results, and feature selection is able to improve test performance of FNN and ANFIS. Moreover, the aggregated model outperforms all baseline models as well as the benchmark DJIA index by an acceptable margin for the test period. Our findings demonstrate that machine learning models could be used to aid fundamental analysts with decision making regarding to stock investment

Machine Learning for Stock Prediction Based on Fundamental Analysis

Application of machine learning for stock prediction is attracting a lot of attention in recent years. A large amount of research has been conducted in this area and multiple existing results have shown that machine learning methods could be successfully used toward stock predicting using stocks’ historical data. Most of these existing approaches have focused on short term prediction using stocks’ historical price and technical indicators. In this paper, we prepared 22 years’ worth of stock quarterly financial data and investigated three machine learning algorithms: Feed-forward Neural Network (FNN), Random Forest (RF) and Adaptive Neural Fuzzy Inference System (ANFIS) for stock prediction based on fundamental analysis. In addition, we applied RF based feature selection and bootstrap aggregation in order to improve model performance and aggregate predictions from different models. Our results show that RF model achieves the best prediction results, and feature selection is able to improve test performance of FNN and ANFIS. Moreover, the aggregated model outperforms all baseline models as well as the benchmark DJIA index by an acceptable margin for the test period. Our findings demonstrate that machine learning models could be used to aid fundamental analysts with decision-making regarding stock investment

Enhanced news sentiment analysis using deep learning methods

We explore the predictive power of historical news sentiments based on financial market performance to forecast financial news sentiments. We define news sentiments based on stock price returns averaged over one minute right after a news article has been released. If the stock price exhibits positive (negative) return, we classify the news article released just prior to the observed stock return as positive (negative). We use Wikipedia and Gigaword five corpus articles from 2014 and we apply the global vectors for word representation method to this corpus to create word vectors to use as inputs into the deep learning TensorFlow network. We analyze high-frequency (intraday) Thompson Reuters News Archive as well as the high-frequency price tick history of the Dow Jones Industrial Average (DJIA 30) Index individual stocks for the period between 1/1/2003 and 12/30/2013. We apply a combination of deep learning methodologies of recurrent neural network with long short-term memory units to train the Thompson Reuters News Archive Data from 2003 to 2012, and we test the forecasting power of our method on 2013 News Archive data. We find that the forecasting accuracy of our methodology improves when we switch from random selection of positive and negative news to selecting the news with highest positive scores as positive news and news with highest negative scores as negative news to create our training data set.Published versio

Practical Deep Reinforcement Learning Approach for Stock Trading

Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock trading strategy and thus maximize investment return. 30 stocks are selected as our trading stocks and their daily prices are used as the training and trading market environment. We train a deep reinforcement learning agent and obtain an adaptive trading strategy. The agent's performance is evaluated and compared with Dow Jones Industrial Average and the traditional min-variance portfolio allocation strategy. The proposed deep reinforcement learning approach is shown to outperform the two baselines in terms of both the Sharpe ratio and cumulative returns

FLANN Based Model to Predict Stock Price Movements of Stock Indices

Financial Forecasting or specifically Stock Market prediction is one of the hottest fields of research lately due to its commercial applications owing to the high stakes and the kinds of attractive benefits that it has to offer. Forecasting the price movements in stock markets has been a major challenge for common investors, businesses, brokers and speculators. As more and more money is being invested the investors get anxious of the future trends of the stock prices in the market. The primary area of concern is to determine the appropriate time to buy, hold or sell. In their quest to forecast, the investors assume that the future trends in the stock market are based at least in part on present and past events and data [1]. However financial time-series is one of the most ‘noisiest’ and ‘non-stationary’ signals present and hence very difficult to forecas