STOCK MARKET PREDICTION USING NATURAL

LANGUAGE PROCESSING -A SURVEY

Om mane and Sarvanakumar kandasamy

Department of Computer Science and Engineering,

Vellore Institute of Technology, Vellore, India

ABSTRACT
The stock market is a network which provides a platform for almost all major economic
transactions. While investing in the stock market is a good idea, investing in individual stocks
may not be, especially for the casual investor. Smart stock-picking requires in-depth research
and plenty of dedication. Predicting this stock value offers enormous arbitrage profit
opportunities. This attractiveness of finding a solution has prompted researchers to find a way
past problems like volatility, seasonality, and dependence on time. This paper surveys recent
literature in the domain of natural language processing and machine learning techniques used
to predict stock market movements. The main contributions of this paper include the
sophisticated categorizations of many recent articles and the illustration of the recent trends of
research in stock market prediction and its related areas.

KEYWORDS
Stock market Prediction, Sentiment Analysis, Opinion Mining, Natural Language Processing,
Deep Learning.

1. INTRODUCTION
Stock movement prediction is a central task in computational and quantitative finance. With
recent advances in deep learning and natural language processing technology, event-driven stock
prediction has received increasing research attention [12, 13]. With the increasing influence of
the stock market on economic trends, forecasting the trend of stocks has become a hot topic in
research. Many researchers have conducted scientific and meticulous research on the stock
market, trying to formulate rules for the operation of the stock market. However, the results of the
research have found that the changes in the stock market seem to be unrelated [14, 15] The
efficient market hypothesis theory proposed by Eugene Fame is a more authoritative explanation
in the current financial circles to study the law of stock market changes. In this theory, the stock
price is mainly affected by future information, namely news, rather than being driven by current
or past prices [16-18]. For example, Lin et al. proposed an end-to-end hybrid neural network,
which uses convolutional neural networks (CNNs) to extract data features and uses long- and
short-term memory recurrent neural networks to capture the long-term dependence in the
historical trend sequence of the time series to learn. Contextual features predict the trend of stock
market prices [19]. Hu et al. designed a hybrid attention network (HAN) to predict stock trends
based on related news sequences [20]. Li et al. proposed a multitask recurrent neural network
(RNN) and a high-order Markov random domain to predict the movement direction of stock
prices Hindawi Security and Communication [21]. The most popular technique used in financial
time series analysis to detect the trend and seasonality is Autoregressive integrated moving
average. ARIMA. The current advancement in technology has improved modern techniques in

David C. Wyld et al. (Eds): NLPA, AIS, BDAP, SOENG, IPPR - 2022
pp. 33-48, 2022. CS & IT - CSCP 2022 DOI: 10.5121/csit.2022.121404
34 Computer Science & Information Technology (CS & IT)
forecasting financial time series data. Deep LSTM, Shallow LSTM, 1-CNN and machine learning
models were used to predict stock market data. An attention LSTM model is also used in
prediction of financial time series data. ARIMA model is used in prediction of the closing prices
of time series data. Va Yassine, Khadija and Faddoul in formulated classification model designed
based on LSTM network to predict the probability of investing or not. For each of the selected
papers the extracted data and information about (a) research characteristics, as authors, year of
publication, languages covered, methodology, corpus characteristics; (b) sentiment level and
categorization (binary, ternary, or fine-grained, e.g., rates 0 − 5); (c) deep learning architectures
and techniques, and (d) results and effectiveness of the proposal against baselines or state-of-the-
art models.

This survey can be useful for newcomer researchers in this field as it covers the most famous
Sentiment Analysis (SA) techniques and applications in one research paper. This survey uniquely
gives a refined categorization to the various SA techniques which is not found in other surveys.
Existing work has investigated news representation using deep learning [4, 8], neural fuzzy
networks [2], heterogeneous graphs [7], long short-term memory and the random forest
framework [10].

2. RELATED WORKS
2.1. Noisy Recurrent State Transition

Heyan Huang, Xiao Liu, discussed the prediction of the stock market through news events with
the help of advances in deep learning techniques and machine learning technology. They
proposed a novel future event prediction module to factor in likely next events according to
natural events consequences. The future event module was trained over "future" data over
historical events. They were able to visualize past events over a large time window, and their
model is also more explainable. To their knowledge, they are the first to explicitly model both
events and noise over a fundamental stock value state for news-driven stock movement
prediction.

2.2. Deep Learning

Jiake Li, tried to establish a stock index forecast and network security model based on time series
and deep learning. Based on the time series model, the author proposed to use CNN to extract in
depth emotional information to replace the basic emotional features of the emotional extraction
level. At the data source level, other information sources, such as basic features, are introduced to
further improve the predictive performance of the model. The prediction model constructed in
this paper is also based on the model in the specific direction of deep learning in data mining.
Agüero, M.M. Salas, proposed the method of Multilingual Sentiment Analysis (MSA) which is
an attempt to address the sentiment analysis issue through several strategies. They improved over
previous reviews with wider coverage from 2017 to 2020 as well as a study focused on the
underlying ideas and commonalities behind the different solutions to achieve multilingual
sentiment analysis.

2.3. Constrained Learning

Chen, X., Rajan, D., & Quek, H.C, proposed an efficient and interpretable neuro-fuzzy system for
stock price prediction using multiple technical indicators with focus on interpretability–accuracy
trade-off. Neuro-fuzzy systems offer to represent complex solutions in a natural language like
representation in the form of interpretable fuzzy rules which are easier to comprehend by users.
 Computer Science & Information Technology (CS & IT) 35
These systems are well suited to uncertain and complex real-world problems like stock market
environments as these systems can deal with incomplete and uncertain data conditions and do not
require large numbers of observations as other AI-based prediction models. Various studies have
integrated neuro-fuzzy systems with other techniques to improve the prediction accuracy.
Atsalakis et al. (2011) introduced a novel stock trading system based on neuro-fuzzy modeling
method. The trading system augmented the neuro-fuzzy system with the concepts from Elliot
Wave Theory to enhance forecasting accuracy. The study demonstrated high performance of this
system in predicting the trends in stock prices. Tan et al. (2011) presented an ANFIS-based
model for stock trading. Authors supplemented the model using reinforcement learning (RL).

2.4. Graph based Prediction

Junran Wua, Ke Xua discussed a method to develop a novel framework based on the structural
information embedded in price graphs by conducting numerous experiments on real-world
market data. In this study, they propose a novel framework to address both issues. Specifically, in
terms of transforming time series into complex networks, they convert market price series into
graphs. Then, structural information, referring to associations among temporal points and the
node weights, is extracted from the mapped graphs to resolve the problems regarding long-term
dependencies and the chaotic property. They take graph embeddings to represent the associations
among temporal points as the prediction model inputs. Node weights are used as a priori
knowledge to enhance the learning of temporal attention. The effectiveness of their proposed
framework is validated using real-world stock data, and their approach obtains the best
performance among several state-of-the-art benchmarks. Feature based methods only use simple
lexical features such as bags-of-words, noun phrases and named entities (Kogan et al., 2009;
Schumaker and Chen, 2009) extracted from financial text to predict the movement of stock
market. To better predict the movement of stock market, Ding et al. (2015, 2019) propose to
utilize the event level information extracted from titles or abstracts. Moreover, to capture
contextual information within document, many document representation learning based methods
(Augenstein et al., 2016; Chang et al., 2016; Tang et al., 2015; Yang et al., 2016) are proposed to
learn a distributed representation of the whole document or abstract, and build prediction model
based on the representation vector, so that information from overall document can be utilized for
making predictions.

2.5. Liquidity Prediction for Learning Models

As an evaluative consideration in investment decisions, stock liquidity is of critical importance

for all stakeholders in the market. It also has implications for the stock market’s growth.
Liquidity sanctions investors and issuers to meet their quotas regarding investment, financing or
hedging, reducing investment costs and the cost of capital experimental results, it can be
concluded that the LSTM model allows for prediction characterized by lowest value of mean
square error (MSE). The aim of [6] is to develop the machine learning models for liquidity
prediction. The subject of research is the Vietnamese stock market, focusing on the recent years -
from 2011 to 2019. Vietnamese stock market differs from developed markets and emerging
markets. It is characterized by a limited number of transactions, which are also relatively small.
The Multilayer Perceptron, Long-Short Term Memory and Linear Regression models have been
developed. Data was prepared for further analysis before data was preliminarily analyzed and
relationships were found that enable illiquidity prediction. After preparing and selecting data, a
deep learning model was developed. The study was conducted on the Ho Chi Minh City Stock
Exchange in Vietnam. A sample of daily data of 220 companies representing different sectors
was used for analysis. The main disadvantage of the proposed approach is the performing
prediction only for one day.
36 Computer Science & Information Technology (CS & IT)

3. ARCHITECTURE
This section gives a detailed explanation about the methods used in analyzing and evaluating the
trend of S&P500 stocks, where a System Architecture of stock market price prediction is designed
which explains its associated process flow. Also, there has been a great interest in novelty
architectures for Sentiment Analysis (SA). One approach that has received substantial attention
when working at the basic document level, is the design of hierarchical models which learn a
representation for sentences from its words, on top of this level, another model can learn
representations for documents. Other substitutes such as Convolutional Neural Networks (CNN)
or Long Short-Term Memory (LSTM) can be used at each level. Works in [25,26] and [27] are
some examples of this approach.

Figure 1. System Architecture [3]

In [1] the authors explicitly model both noise and events over a recurrent stock value state, which
is modelled using LSTM. For each day of trading, they consider the news events happened in that
day as well as the past news events using neural attention [28]. Assessing the impacts of insider
trading, they also pre-suppose future news in the training method and procedure. To model the
high stochasticity of stock market, they illustrate a supplemented noise using a neural module.
Their model is named attention-based noisy recurrent states transition (ANRES) as can be seen
from figure 2.

Figure 2. The ANRES model framework for trading day t in a trading sequence. The black solid elbows
are used both in the training and the evaluating procedures. The red solid elbows are only used in the
training procedure, while the blue dotted elbows in the evaluating procedure [1]
 Computer Science & Information Technology (CS & IT) 37

3.1. Time Series Model

The object of the stock model based on time series is the historical data of stocks. The core step is
to divide the historical data of stocks to facilitate the subsequent stock market forecasts. In this
model, the first and most important step is to collect and process time series data. When
predicting a time series, it is mainly by observing the trend changes of the time series first and
predicting future time series changes by learning the law of past changes. Time series data often
have a large amount of data and are difficult to process directly. This requires dividing it and
dividing the time series by finding the key trend points. Through this division method, the
originally complex data can be compressed while also removing some noise in the stock
sequence. Some points that are not helpful for prediction, so that the retained information is more
effective for the model to learn the changes in the time series data, and the time series rules can
be found more clearly [4].

3.2. Deep Learning Model

First, for traditional classifiers (such as SVM and KNN) to deal with the general problem of time
series data classification, with the help of the recurrent neural network to facilitate the modelling
of time series data, a depth-based stock prediction model learned, and on the basis of this model,
the sentiment analysis results of stock-related data in the social media text are added to construct
a trend prediction model that integrates basic emotional features. Among the deep learning
technologies that have emerged in recent years, convolutional neural networks are the most
widely used. Figure 3 shows the index prediction process based on deep learning [4].

3.3. Heterogeneous Graphs

Given one or several news documents of a corporation, [7]’s goal is to predict the future stock
reaction of this corporation based on corresponding financial text. Rather than predicting the
specific price reaction range, we formulate the prediction as fluctuation polarity. The prediction
will be “Positive” for the rise in stock price or “Negative” for the decline in stock price. The
edges in the heterogeneous graphs are undirected.

Table 1. Example of sentences in Financial Text and stock prices of corporations

After three consecutive days rise on

Sentence stock prices, H & M was pushed to the forefront of
public opinion due to the Xinjiang cotton incident.

Stock Price Reaction H&M Negative

4. METHODOLOGY
4.1. Dataset Description

To study the proposed algorithm, Hadi Rezaei, Hamidreza Faaljou extract the historical daily
financial time series from January 2010 to September 2019 from the Yahoo Finance Website.
The daily data includes the close price of S&P 500, Dow Jones, DAX, and Nikkei225. The
authors use the dataset released by Duan et al. in their experiments. The dataset includes more
than 100k financial articles from Reuters. They have used an open source openIE tool for
information extraction. Training is stopped if the performance doesn't improve for 10 epochs.
38 Computer Science & Information Technology (CS & IT)
Use of heuristic rules to build connections among words, event triples and sentences is done.
Employment of multi-grained encoders to encode the nodes within HGk into embedding is done.
Following baselines are used in this model: Sentiment, Event Tensor, Event Tensor-CS, TGT-
CTX-LSTM, Conditional Encoding, TGT-HN, TGT-HAN, GCN, GAT. The paper [6] covers the
sample period from January 2011 to December 2019, which contains 2,242 trading days. The
eligible stocks in the sample consist of 378 companies in two stock exchanges, which included
179 stocks on the HOSE and 199 stocks on the HNX. Stock market liquidity is represented by
seven liquidity measures.

[6] Covers the sample period from January 2011 to December 2019, which contains 2,242 trading
days. The eligible stocks in the sample consist of 378 companies in two stock exchanges, which
included 179 stocks on the HOSE and 199 stocks on the HNX. In [2] Daily stock data of three
indices, viz. BSE, CNX Nifty and S&P 500, comprising of five fundamental stock quantities,
namely maximum price, open price, minimum price, close price, and trading volume, are used to
evaluate the proposed system. The dataset of BSE index is from January 30, 2005, to December
30, 2015. For Nifty index, dataset from January3, 2005, to December 24, 2015, is used. In case of
S&P 500, daily stock data of 2865 records from February 9, 2005, to June 28, 2016, have been
used.

4.2. Dataset Pre-Processing

To work with this dataset, there is a need to pre-process it, wherein visualization followed by
illustration is foremost importance. This results in us being able to identify trends, missing
values, noise, and outliers. To study the proposed algorithm, data was extracted from the
historical daily financial time series from October 2021 to April 2022 from the Yahoo Finance
Website. The daily data includes the close price of S&P500, Dow Jones and DAX. To better
visualize these indices, The data is described in graph 1.

Graph 1. Price Index for S&P 500, Dow Jones, DAX

Due to the complexity of financial stock exchange environment, stock prices contain a lot of
noise that make it very difficult to achieve a good model accuracy when trying to forecast it trend
movement. Since is the interest of investors to achieve good forecasting model, then there is a
need to reduce the noise in the dataset because stock environment is containing noise from the
news articles and other source media information. A wavelength transform, a mathematical
function introduced in the pre-processing stage by de noise S&P500 dataset and present it trend
and structure of the dataset. The authors transform the dataset using wavelength mathematical
transform function:
 Computer Science & Information Technology (CS & IT) 39

∞
1 𝑡−𝑏
𝑋𝜔 𝑎, 𝑏 = 𝑥 𝑡 𝜓 ⅆ𝑡
𝑎 𝑎
−∞

After transformation we drop the co-efficient with more standard deviation away from the co-
efficient and inversely transform the new co-efficient to get the denoise S&P 500 dataset [3].

4.3. Equations

From [1] the ANRES model uses LSTM with peephole connections. The underlying stock value
trends are represented as a recurrent state z transited over time, which can reflect the
fundamentals of a stock. In each trading day, they consider the impact of corresponding news
events and a random noise.

𝑧𝑡′ = 𝐋𝐒𝐓𝐌 𝑣𝑡 , 𝑧𝑡 − 1

𝑧𝑡 = 𝑓 𝑧𝑡′

where 𝑣𝑡 is the news events impact vector on the trading day t and f is a function in which
random noise will be integrated. In deep learning models, loss error is usually used to evaluate
the prediction, which refers to the difference between the actual observed value and the predicted
value. In order to evaluate the loss error, different tools can be used. The standard metrics in this
type of models include root-mean square error (RMSE), mean absolute error (MAE), and mean
absolute percentage error (MAPE) [8]. The formula for their calculation is as follows:
𝑛
1 2
𝑀𝑆𝐸 = 𝑦𝑖 − 𝑦𝑖
𝑛
𝑖

𝑛
1
𝑀𝐴𝐸 = 𝑦𝑖 − 𝑦𝑖
𝑛
𝑖=1

𝑛
1 𝑦𝑖 − 𝑦𝑖
𝑀𝐴𝑃𝐸 =
𝑛 𝑦𝑖
𝑖=1

In order to select key information and get the stock price fluctuation of a specific corporation.
Firstly, we use the corporation to softly select relevant information from sentences:

𝛼𝑖 = 𝐻𝑐 𝐻𝑠′ ,
𝛼𝑖
𝐴𝑖 =
𝛴𝑗𝜖 𝑆𝑘 𝛼𝑗

𝑢 = 𝐴𝐻𝑠

where 𝐻𝑐 𝜖ℝ𝑑 is the corporation representation and 𝐻𝑠′ 𝜖ℝ𝑑∗𝑟 is the embedding of sentences,
𝐴𝜖ℝ𝑟 is the weight matrix and 𝑈𝜖ℝ𝑑 is the weight sum of sentences representation.
40 Computer Science & Information Technology (CS & IT)

Figure 3. Index prediction process based on deep learning [4]

Therefore, based on U, the authors have used a linear function to predict future stock market
fluctuation of this corporation:

𝑋𝑝𝑟 ⅇ𝑑 = 𝐶𝑜𝑛𝑐𝑎𝑡𝑒[𝐻𝑐 ,U],

𝑃𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 = 𝑆𝑜𝑓𝑡𝑚𝑎𝑥 𝑊𝑝𝑟𝑒𝑑 𝑋𝑝𝑟𝑒𝑑 ,

𝑃𝑟𝑒𝑑𝑖𝑐𝑡𝑖𝑜𝑛 = 𝐴𝑟𝑔𝑀𝑎𝑥 𝑃𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑖𝑒𝑠 ,

 Computer Science & Information Technology (CS & IT) 41

where 𝑋𝑝𝑟ⅇ𝑑 𝜖ℝ2∗𝑑 is the concatenation of corporation and sentence representation and
𝑊𝑝𝑟ⅇ𝑑 𝜖ℝ𝑑 is a trainable parameter. Probabilities 𝜖 ℝ2 denotes the final distribution of Positive
and Negative. Predictions are the final prediction on stock market fluctuation, 0 and 1 denotes
Negative and Positive, respectively.

5. EXPERIMENTS AND EVALUATION

5.1. Evaluation Metrics

In [2] in order to evaluate the performance of the proposed model, root- mean-squared error
(RMSE) and mean average percentage (MAPE) have been used to measure forecasting accuracy.
RMSE and MAPE measure the deviation between the actual and the forecasted values. Smaller
the value of these metrics larger is the forecasting performance of the model. Also, directional
accuracy (DA) has been used which gives the correctness of a system for the predicted trend of a
stock price index. For [3] MACD Moving average convergence divergence displays the trend
following the characteristic of market prices. CCI Consumer channel index identifies price
reversals, price extreme and the strength of rise prices. ROC Rate of change is a momentum
indicator that measures the percentage change in prices from one period to the next. For
comparison, the baseline approach is chosen based on classical machine learning algorithms. The
machine learning algorithm is a traditional method that is widely used but less complex than the
model used in this work. Using the same input variables trained and tested their system
architecture predictions on S&P 500 new process data. They chose the Logistic regression and
Random Forest model. They implemented the two baseline models using Scikit -Learn library.
List of supporting algorithms used in this paper are RSI, Momentum, OBV, MA, EMA, ADX. In
[7] the authors use the dataset released by Duan et al. (2018) in their experiments. The dataset
includes more than 100k financial articles from Reuters2, which also includes stock prices of
different corporations. The time interval of the articles starts from October 2006 to December
2015. Only articles that mentioned at least one firm are selected by them, and the dataset is
balanced on positive and negative classes. The statistics of this dataset are listed in Table 2.
Evaluation Metrics Follow the metrics used in prior works (Chang et al., 2016; Duan et al.,
2018), they adopt the area under the precision-recall curve (AUC) as our evaluation metrics. To
construct the heterogeneous graph, they use an open source openIE tool (Schmitz et al., 2012) for
information extraction. Following the settings of Wang et al. (2020), they initialize the word
nodes with 300-dimension GloVe embeddings (Pennington et al., 2014), and the dimension of
every node feature is d = 128. The heads of multi-head attention is set as 8. For the training
process, the learning rate is set as 5e-4. Moreover, they apply an early stopping mechanism,
training will be stopped if the performance on the development set doesn’t improve for 10
epochs.

Table 2. The statistics of [7] dataset.

Train Development Test

Positive 9,376 477 973

Negative 9,394 486 981

Total 18,770 963 1,954

Docs 27,657 1,419 2,989

42 Computer Science & Information Technology (CS & IT)
For trend forecasting in financial time series with indicator system, the evaluation metric formula
is as follows:
0, 𝑦model < 0.5
𝑦𝑝𝑟𝑜𝑏 =
1, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

They further move on to evaluate the performance of our prediction model, the selected
performance metrics: Recall, Precision and F1 is chosen. They define the chosen metrics as
positive class (true positive), negative class (true negative).
𝑡𝑟𝑢𝑒𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒
𝑃𝑟𝑒𝑐𝑖𝑠𝑖𝑜𝑛 =
𝑡𝑟𝑢𝑒𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒 + 𝑓𝑎𝑙𝑠𝑒𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒

𝑡𝑟𝑢𝑒𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒
𝑅𝑒𝑐𝑎𝑙𝑙 =
𝑡𝑟𝑢𝑒𝑝𝑜𝑠𝑖𝑡𝑖𝑣𝑒 + 𝑓𝑎𝑙𝑠𝑒𝑛𝑒𝑔𝑎𝑡𝑖𝑣𝑒

For ANRES Model in [1] the authors use the public financial news dataset released by [13],
which is crawled from Reuters and Bloomberg over the period from October 2006 to November
2013. They conduct their experiments on predicting the Standard & Poor’s 500 stock (S&P 500)
index and its selected individual stocks, obtaining indices and prices from Yahoo Finance.
Detailed statistics of the training, development and test sets are shown in Table 3.

Table 3. Statistics of ANRES Model Dataset

Training Development Test

#documents 358,122 96,299 99,030

#samples 1,425 169 191

10/20/2006- 02/22/2013-
time span 06/19/2012-02/21/2013
06/18/2012 11/21/2013

Following previous work [20, 3, 21], they adopt the standard measure of accuracy and Matthews
Correlation Coefficient (MCC) to evaluate S&P 500 index prediction and selected individual
stock prediction. MCC is applied because it avoids bias due to data skew. Given the confusion
matrix which contains true positive(tp), false positive(fp), true negative(tn) and false negative(fn)
values, MCC is calculated as:

tp ×tn −fp ×fn

𝑀𝐶𝐶 =
(tp +fp )(tp +fn )(tn +fp )(tn +fn )

In summary, the following four baselines are designed:

• ANRES_Sing_R: randomly initializing the states for each single trading day.
• ANRES_Sing_Z: initializing the states as zeros for each single trading day.
•ANRES_Seq_R: randomly initializing the first states for each trading sequence only.
• ANRES_Seq_Z: initializing the first states as zeros for each trading sequence only.
 Computer Science & Information Technology (CS & IT) 43
For Deep Learning Model, the evaluation is done by Simulation Environment and Data.
Compared with individual stocks, the volatility of stock indexes is generally smaller because
stock indexes are composed of many stocks in different industries and can better reflect the
overall economic momentum and overall condition. Index Forecasting Effect Analysis. Using the
1219-day data samples of the Shanghai Composite Index for 5 years from 2015 to 2019, the stock
data of 10 consecutive days and 20 days were used as input samples to establish a prediction
model for closing price prediction. Using the 731-day data sample of the Shanghai Composite
Index for 3 years from 2017 to 2019, 5 consecutive days and 10 days of stock data were used as
input samples to establish a prediction model for closing price prediction.

5.2. Baselines

 Sentiment (Mayew and Venkatachalam, 2012) is a lexicon-based sentiment analysis

method. We use the sentiment lexicons and method released by Loughran and McDonald
(2011).
 Event Tensor (Ding et al., 2015) is a neural tensor network based event representation
learning method. They extract event triples from titles or abstracts. The event triples from
the abstract will be averaged for prediction
 Event Tensor-CS (Ding et al., 2019) is an external common sense knowledge enhanced
event representation learning method. Similar events are trained to be close to each other
in vector space by predicting their sentiment polarities and contextual events.
 TGT-CTX-LSTM (Chang et al., 2016) uses dependency parse tree to learn a target-
related representation of abstract for stock market prediction.
 LSTM: a basic LSTM network used to predict the future trends of stock prices based on
historical price data [29].
 DARNN: a dual-stage attention-based RNN that employs input attention and temporal
attention in the encoder and decoder stages, respectively [30].
 DARNN-SA: an extension of the DARNN that employs a self-attention layer between
the output of the DARNN and the prediction layer [9]
 MFNN: a multifilter deep learning model that integrates convolutional and recurrent
neurons for feature extraction with respect to financial time series and stock prediction
[31].
 CA-SFCN: a fully convolutional network (FCN) incorporating cross attention (CA), in
which CA is also used as dual-stage attention for the variable and temporal dimensions
(with temporal attention first) [32].
44 Computer Science & Information Technology (CS & IT)

6. RESULTS
Given below are the results which were obtained after reviewing several research papers:

Table 4. Result of Deep Learning (LSTM) and Baseline models by indicator system

Deep Learning (LSTM Baseline (random Baseline (logistic regression

Metrics model) (%) forest model) model)

Accuracy 0.687% 0.56% 0.551%

Precision 0.538 0.514 0.594

Recall 0.697 0.412 0.236

In heterogeneous graphs the overall results are shown in Table 5, from which we can make the
following observations:

Table 5. Results of heterogenous graph method [7]

Methods AUC
Sentiment 0.533
Event Tensor + Title 0.544
Event Tensor + Abstract 0.549
Event Tensor-CS + Title 0.564
Event Tensor-CS + Abstract 0.570
Conditional Encoding 0.603
TGT-CTX-LSTM 0.632
TGT-HN 0.615
TGT-HAN 0.633
GCN 0.621
GAT 0.615
HGM-GIF 0.638

1. Semantic knowledge acquisition methods (Event Tensor, Conditional Encoding, TGT-

CTX-LSTM, TGT-HN, TGTHAN, HGM-GIF) achieve better results than feature-based
method. The reason is that learning semantics within financial text is more effective than
learning linguistic features for stock market prediction.

2. Comparison between Event Tensor –CS, Conditional Encoding, TGT-CTX-LSTM, TGT-

HN, TGT-HAN, HGM-GIF and Event Tensor shows that external knowledge or
sentences within documents can supplement contextual information and offer more
useful information for prediction. This confirms that predictions need rich contextual
information. With the sequential heterogeneous graph layer, we can capture rich
contextual information within financial text.
 Computer Science & Information Technology (CS & IT) 45

Figure 4. The prediction results of the Shanghai Composite Index at 30-days.

Using the 1219-day data samples of the Shanghai Composite Index for 5 years from 2018 to
2022, the stock data of 7 consecutive days and 30 days were used as input samples to
establish a prediction model for closing price prediction. +ese two models are called
SHYSD10 and SHYSD20, respectively. Figures 4 and 5 show their prediction results. Figure
4 shows the prediction results of the Shanghai Composite Index at 30-day intervals. Figure 5
shows the forecast results of the Shanghai Composite Index at 70 consecutive days.

Figure 5. The prediction results of the Shanghai Composite Index at 7 consecutive days.
46 Computer Science & Information Technology (CS & IT)

Figure 6. Prediction based on EMD based algorithm

7. CONCLUSION
Concerning the significance of stock market prediction and its challenges, researchers always try
to introduce modern methods in the analysis of these markets. LSTM as a state-of-the-art model
and CNN which are deep learning models yield good results in the analysis of stock market.
EMD and CEEMD are among the effective algorithms that have recently been considered in this
research area. Thus, this article sought to introduce the proposed algorithm of CEEMD-CNN-
LSTM by studying each of these models and evaluate them based on data of different stock price
indices. The major concept of the suggested algorithm was to create a collaboration between
CEEMD, CNN, and LSTM models by joining them together, which could extract deep features
and time sequences. Then, we applied the trained algorithm for one-step-ahead stock price
forecasting. In this regard, first, we decomposed the financial time series to different IMFs and
the residual by CEEMD and EMD algorithms. The IMFs and the residual were separately
analysed by CNN-LSTM model. Facilitation of their analysis with CEEMD and EMD, as well as
extracting features and patterns in data with CNN and further analysis in the context of the time
plus analysis of the dependencies with LSTM enhanced the predictive capabilities of this model.
The practical results of this article also support this claim. Note that the assessment metrics used
in this study were RMSE, MAE, and MAPE [3].

8. FUTURE WORKS
ANRES model tends to pay more attention to a new event when it first occurs, which offers us a
potential improving direction in the future. In future, the model can be applied to other stock
indexes like NSE, TAIEX. For further improving the system accuracy, an underlying TSK-based
fuzzy system with a constrained gradient-based technique can be employed. Also, a constrained
gradient-based technique can be integrated with a Mamdani-type fuzzy system so that
interpretability is not compromised which may happen in case of a TSK system. For reducing the
rule base size, techniques like similar rule merging can also be used. Some area that will be
needed to achieved better accuracy in our future work, some scholars are concerning the used of
sentiment analysis on twitter to predict stock market trend movement, Beside the social media,
other qualitative indicators like news, internet and domestic policy changes can also be used as
input to predict the trend of stocks. Another important concept is Elliot waves principles which
can perform better on stock market trend prediction.
 Computer Science & Information Technology (CS & IT) 47

ACKNOWLEDGEMENTS

The authors would like to thank Vellore Institute of Technology for providing them with the
resources necessary to complete this paper.

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AUTHOR
Om Mane is a sophomore at Vellore Institute of Technology, Vellore in Computer
Science and Engineering.

© 2022 By AIRCC Publishing Corporation. This article is published under the Creative Commons
Attribution (CC BY) license.