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Forecasting Directional Movement of Stock Prices using Deep Learning

Author

Listed:
  • Deeksha Chandola

    (York University)

  • Akshit Mehta

    (University of Florida Gainesville)

  • Shikha Singh

    (Jaypee Institute of Information Technology)

  • Vinay Anand Tikkiwal

    (Jaypee Institute of Information Technology)

  • Himanshu Agrawal

    (Jaypee Institute of Information Technology)

Abstract

Stock market’s volatile and complex nature makes it difficult to predict the market situation. Deep Learning is capable of simulating and analyzing complex patterns in unstructured data. Deep learning models have applications in image recognition, speech recognition, natural language processing (NLP), and many more. Its application in stock market prediction is gaining attention because of its capacity to handle large datasets and data mapping with accurate prediction. However, most methods ignore the impact of mass media on the company’s stock and investors’ behaviours. This work proposes a hybrid deep learning model combining Word2Vec and long short-term memory (LSTM) algorithms. The main objective is to design an intelligent tool to forecast the directional movement of stock market prices based on financial time series and news headlines as inputs. The binary predicted output obtained using the proposed model would aid investors in making better decisions. The effectiveness of the proposed model is assessed in terms of accuracy of the prediction of directional movement of stock prices of five companies from different sectors of operation.

Suggested Citation

  • Deeksha Chandola & Akshit Mehta & Shikha Singh & Vinay Anand Tikkiwal & Himanshu Agrawal, 2023. "Forecasting Directional Movement of Stock Prices using Deep Learning," Annals of Data Science, Springer, vol. 10(5), pages 1361-1378, October.
    • Handle: RePEc:spr:aodasc:v:10:y:2023:i:5:d:10.1007_s40745-022-00432-6
    DOI: 10.1007/s40745-022-00432-6
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    References listed on IDEAS

    as
    1. B. Shravan Kumar & Vadlamani Ravi & Rishabh Miglani, 2021. "Predicting Indian Stock Market Using the Psycho-Linguistic Features of Financial News," Annals of Data Science, Springer, vol. 8(3), pages 517-558, September.
    2. James M. Tien, 2017. "Internet of Things, Real-Time Decision Making, and Artificial Intelligence," Annals of Data Science, Springer, vol. 4(2), pages 149-178, June.
    3. Suellen Teixeira Zavadzki de Pauli & Mariana Kleina & Wagner Hugo Bonat, 2020. "Comparing Artificial Neural Network Architectures for Brazilian Stock Market Prediction," Annals of Data Science, Springer, vol. 7(4), pages 613-628, December.
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    Cited by:

    1. Muhammad Ali Faisal & Murat Donduran, 2025. "A Two-Stage Analysis of Interaction Between Stock and Exchange Rate Markets: Evidence from Turkey," Annals of Data Science, Springer, vol. 12(1), pages 171-198, February.

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