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Stock Market Forecasting Using a Neural Network Through Fundamental Indicators, Technical Indicators and Market Sentiment Analysis

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  • Mónica Andrea Arauco Ballesteros

    (Universidad Nacional Autónoma de México)

  • Elio Agustín Martínez Miranda

    (Universidad Nacional Autónoma de México)

Abstract

The objective of this research is to provide evidence that it is possible to obtain a prediction that better aligns with the future performance of a stock if a neural network model is trained with stock market analysis variables and qualitative variables. As a case study, thirty-three companies’ representative of the S&P 500 are selected, and a multilayer perceptron artificial neural network is built and trained with input parameter indicators of fundamental analysis, technical analysis, and market sentiment. By incorporating the latter as an additional variable, the model's accuracy increases by 1.5% for 66% of the companies analyzed. The results confirm the crucial role played by the selection of the neural network model and its variables depending on the type of company to be analyzed. The main contributions of this research are the identification of the best variables combination to train a neural network model depending on the market sector to be analyzed, likewise it is demonstrated that, by using market sentiment, it is possible obtain a high accuracy or increase the accuracy to an existing model.

Suggested Citation

  • Mónica Andrea Arauco Ballesteros & Elio Agustín Martínez Miranda, 2025. "Stock Market Forecasting Using a Neural Network Through Fundamental Indicators, Technical Indicators and Market Sentiment Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 66(2), pages 1715-1745, August.
    • Handle: RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10711-4
    DOI: 10.1007/s10614-024-10711-4
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    JEL classification:

    • D71 - Microeconomics - - Analysis of Collective Decision-Making - - - Social Choice; Clubs; Committees; Associations
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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