Stock Price Prediction by Deep Neural Generative Model of News Articles
By Takashi Matsubara, Ryo Akita, Kuniaki Uehara. 2018
51 citations recorded by the source corpus.
In this study, we propose a deep neural generative model for predicting daily stock price movements given news articles. Approaches involving conventional technical analysis have been investigated to identify certain patterns in past price movements, which in turn helps to predict future price movements. However, the financial market is highly sensitive to specific events, including corporate buyouts, product releases, and the like. Therefore, recent research has focused on modeling relationships between these events that appear in the news articles and future price movements; however, a very large number of news articles are published daily, each article containing rich information, which results in overfitting to past price movements used for parameter adjustment. Given the above, we propose a model based on a generative model of news articles that includes price movement as a condition, thereby avoiding excessive overfitting thanks to the nature of the generative model. We evaluate our proposed model using historical price movements of Nikkei 225 and Standard & Poor’s 500 Stock Index, confirming that our model predicts future price movements better than such conventional classifiers as support vector machines and multilayer perceptrons. Further, our proposed model extracts significant words from news articles that are directly related to future stock price movements. key words: stock price prediction, news articles, deep learning, generative model
Subfields: Electrical and Electronic Engineering, Management Science and Operations Research, Natural Language Generation, Time-Series & Forecasting
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In Management Science and Operations Research
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Citations in the corpus
- Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019 (2019, methodology): “The authors of [214] proposed a method that used Deep Neural Generative Model (DGM) with news articles using Paragraph Vector algorithm to create the input vector for the prediction of the trend of stocks.”
- Deep Learning for Financial Applications : A Survey (2020, methodology): “[183] Nikkei225, S&P500, news from Reuters and Bloomberg 2001-2013 Stock price data and news DGM Accuracy, MCC, %profit -”
- Applications of deep learning in stock market prediction: recent progress (2020, unknown): “Link: https://www.kaggle.com/ c/two-sigma-financial-news Huang et al. (2018) 78 A-share stocks in CSI 100 and 13 popular HK stocks in the year 2015 and 2016.”