Forecasting Chinese Stock Market Prices using Baidu Search Index with a Learning-Based Data Collection Method

In this study, to address search index selection and volatility problems, we propose a learning-based search index collection method that collects the search data fraction for modeling by learning the best criteria from robust statistics. Based on the fraction of collected search index from internet search engine (Baidu.com) data sources, a novel model is formulated for Chinese stock market price forecasting. We empirically test our method on the two main Chinese stock market price indexes and discover that the prediction accuracy is equivalent or superior to the benchmarks from previous studies that used alternative search index collection methods or lagged data prediction models. All prediction results outstand the importance of an effective data collection method for the robustness of forecast models and demonstrate the utility of a learning-based collection method for addressing search index collection problem, leading to a significant improvement in Chinese stock market price prediction accuracy.