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A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing

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  • Sidra Mehtab
  • Jaydip Sen

Abstract

Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and derive profit from it. Improving the prediction accuracy remains the single most challenge in this area of research. We propose a hybrid approach for stock price movement prediction using machine learning, deep learning, and natural language processing. We select the NIFTY 50 index values of the National Stock Exchange of India, and collect its daily price movement over a period of three years (2015 to 2017). Based on the data of 2015 to 2017, we build various predictive models using machine learning, and then use those models to predict the closing value of NIFTY 50 for the period January 2018 till June 2019 with a prediction horizon of one week. For predicting the price movement patterns, we use a number of classification techniques, while for predicting the actual closing price of the stock, various regression models have been used. We also build a Long and Short-Term Memory - based deep learning network for predicting the closing price of the stocks and compare the prediction accuracies of the machine learning models with the LSTM model. We further augment the predictive model by integrating a sentiment analysis module on twitter data to correlate the public sentiment of stock prices with the market sentiment. This has been done using twitter sentiment and previous week closing values to predict stock price movement for the next week. We tested our proposed scheme using a cross validation method based on Self Organizing Fuzzy Neural Networks and found extremely interesting results.

Suggested Citation

  • Sidra Mehtab & Jaydip Sen, 2019. "A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing," Papers 1912.07700, arXiv.org.
  • Handle: RePEc:arx:papers:1912.07700
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    References listed on IDEAS

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    1. Jaydip SEN & Tamal DATTA CHAUDHURI, 2016. "An Alternative Framework for Time Series Decomposition and Forecastingand its Relevance for Portfolio Choice – A Comparative Study of the Indian Consumer Durable and Small Cap Sectors," Journal of Economics Library, KSP Journals, vol. 3(2), pages 303-326, June.
    2. Jaydip SEN & Tamal DATTA CHAUDHURI, 2017. "A Predictive Analysis of the Indian FMCG Sector using Time Series Decomposition - Based Approach," Journal of Economics Library, KSP Journals, vol. 4(2), pages 206-226, June.
    3. Jaydip Sen & Tamal Datta Chaudhuri, 2016. "Decomposition of Time Series Data of Stock Markets and its Implications for Prediction: An Application for the Indian Auto Sector," Papers 1601.02407, arXiv.org.
    4. Jaydip Sen & Tamal Datta Chaudhuri, 2018. "Understanding the sectors of Indian economy for portfolio choice," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 4(2), pages 178-222.
    5. Jaydip Sen & Tamal Datta Chaudhuri, 2017. "A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector," Papers 1705.01144, arXiv.org.
    6. Jaffe, Jeffrey & Keim, Donald B & Westerfield, Randolph, 1989. " Earnings Yields, Market Values, and Stock Returns," Journal of Finance, American Finance Association, vol. 44(1), pages 135-148, March.
    7. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    8. Chui, Andy C. W. & Wei, K. C. John, 1998. "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 275-293, August.
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    Citations

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    Cited by:

    1. Jaydip Sen & Abhishek Dutta & Sidra Mehtab, 2021. "Stock Portfolio Optimization Using a Deep Learning LSTM Model," Papers 2111.04709, arXiv.org.
    2. Jaydip Sen & Sidra Mehtab & Abhishek Dutta & Saikat Mondal, 2022. "Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks," Papers 2202.02728, arXiv.org.
    3. Sidra Mehtab & Jaydip Sen, 2020. "A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models," Papers 2004.11697, arXiv.org, revised May 2021.
    4. Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2022. "Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Model," Papers 2202.02723, arXiv.org.
    5. Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseries," Papers 2001.09769, arXiv.org.
    6. Sidra Mehtab & Jaydip Sen & Abhishek Dutta, 2020. "Stock Price Prediction Using Machine Learning and LSTM-Based Deep Learning Models," Papers 2009.10819, arXiv.org.
    7. Tran Phuoc & Pham Thi Kim Anh & Phan Huy Tam & Chien V. Nguyen, 2024. "Applying machine learning algorithms to predict the stock price trend in the stock market – The case of Vietnam," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-18, December.
    8. Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using CNN and LSTM-Based Deep Learning Models," Papers 2010.13891, arXiv.org.
    9. Jaydip Sen & Sidra Mehtab & Abhishek Dutta & Saikat Mondal, 2022. "Precise Stock Price Prediction for Optimized Portfolio Design Using an LSTM Model," Papers 2203.01326, arXiv.org.
    10. Maudud Hassan Uzzal & Robert Ślepaczuk, 2023. "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers 2023-05, Faculty of Economic Sciences, University of Warsaw.
    11. Jaydip Sen, 2022. "Designing Efficient Pair-Trading Strategies Using Cointegration for the Indian Stock Market," Papers 2211.07080, arXiv.org.
    12. Sidra Mehtab & Jaydip Sen & Subhasis Dasgupta, 2020. "Robust Analysis of Stock Price Time Series Using CNN and LSTM-Based Deep Learning Models," Papers 2011.08011, arXiv.org, revised Jan 2021.
    13. Jaydip Sen & Saikat Mondal & Gourab Nath, 2022. "Robust Portfolio Design and Stock Price Prediction Using an Optimized LSTM Model," Papers 2204.01850, arXiv.org.
    14. Jaydip Sen & Abhishek Dutta & Sidra Mehtab, 2021. "Profitability Analysis in Stock Investment Using an LSTM-Based Deep Learning Model," Papers 2104.06259, arXiv.org.
    15. Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2021. "Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model," Papers 2111.04976, arXiv.org.
    16. Jaydip Sen & Abhishek Dutta, 2022. "Design and Analysis of Optimized Portfolios for Selected Sectors of the Indian Stock Market," Papers 2210.03943, arXiv.org.
    17. Jaydip Sen & Ashwin Kumar R S & Geetha Joseph & Kaushik Muthukrishnan & Koushik Tulasi & Praveen Varukolu, 2022. "Precise Stock Price Prediction for Robust Portfolio Design from Selected Sectors of the Indian Stock Market," Papers 2201.05570, arXiv.org.
    18. Jaydip Sen & Rajdeep Sen & Abhishek Dutta, 2021. "Machine Learning in Finance-Emerging Trends and Challenges," Papers 2110.11999, arXiv.org.
    19. Jaydip Sen & Subhasis Dasgupta, 2023. "Portfolio Optimization: A Comparative Study," Papers 2307.05048, arXiv.org.
    20. Jaydip Sen & Abhishek Dutta, 2022. "A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks," Papers 2210.00984, arXiv.org.
    21. Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2021. "Stock Price Prediction Using Time Series, Econometric, Machine Learning, and Deep Learning Models," Papers 2111.01137, arXiv.org.
    22. Federico Mecchia & Marcellino Gaudenzi, 2022. "The dynamics of the prices of the companies of the STOXX Europe 600 Index through the logit model and neural network," Papers 2206.09899, arXiv.org.
    23. Jaydip Sen & Sidra Mehtab, 2021. "Design and Analysis of Robust Deep Learning Models for Stock Price Prediction," Papers 2106.09664, arXiv.org.

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