Authors,Author full names,Author(s) ID,Title,Year,Source title,Volume,Issue,Art.

No.,Page start,Page end,Page count,Cited by,DOI,Link,Affiliations,Authors with

affiliations,Abstract,Author Keywords,Index Keywords,Molecular Sequence
Numbers,Chemicals/CAS,Tradenames,Manufacturers,Funding Details,Funding
Texts,References,Correspondence Address,Editors,Publisher,Sponsors,Conference
name,Conference date,Conference location,Conference code,ISSN,ISBN,CODEN,PubMed
ID,Language of Original Document,Abbreviated Source Title,Document Type,Publication
Stage,Open Access,Source,EID
Pagolu V.S.; Reddy K.N.; Panda G.; Majhi B.,"Pagolu, Venkata Sasank (57195073478);
Reddy, Kamal Nayan (57195068756); Panda, Ganapati (7005294702); Majhi, Babita
(57211027422)",57195073478; 57195068756; 7005294702; 57211027422,Sentiment analysis
of Twitter data for predicting stock market movements,2017,"International
Conference on Signal Processing, Communication, Power and Embedded System, SCOPES
2016 - Proceedings",,,7955659,1345,1350,5,296,10.1109/SCOPES.2016.7955659,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85021819859&doi=10.1109%2fSCOPES.2016.7955659&partnerID=40&md5=8f47e11ef600bd9dcc0b
1af8fa91330b,"School of Electrical Sciences, Computer Science and Engineering,
Indian Institute of Technology, Bhubaneswar, 751013, India; Challa School of
Electrical Sciences, Computer Science and Engineering, Indian Institute of
Technology, Bhubaneswar, 751013, India; School of Electrical Sciences, Indian
Institute of Technology, Bhubaneswar, 751013, India; Department of Computer Science
and IT, G.G Vishwavidyalaya, Central University, Bilaspur, 495009, India","Pagolu
V.S., School of Electrical Sciences, Computer Science and Engineering, Indian
Institute of Technology, Bhubaneswar, 751013, India; Reddy K.N., Challa School of
Electrical Sciences, Computer Science and Engineering, Indian Institute of
Technology, Bhubaneswar, 751013, India; Panda G., School of Electrical Sciences,
Indian Institute of Technology, Bhubaneswar, 751013, India; Majhi B., Department of
Computer Science and IT, G.G Vishwavidyalaya, Central University, Bilaspur, 495009,
India","Predicting stock market movements is a well-known problem of interest. Now-
a-days social media is perfectly representing the public sentiment and opinion
about current events. Especially, Twitter has attracted a lot of attention from
researchers for studying the public sentiments. Stock market prediction on the
basis of public sentiments expressed on Twitter has been an intriguing field of
research. Previous studies have concluded that the aggregate public mood collected
from Twitter may well be correlated with Dow Jones Industrial Average Index (DJIA).
The thesis of this work is to observe how well the changes in stock prices of a
company, the rises and falls, are correlated with the public opinions being
expressed in tweets about that company. Understanding author's opinion from a piece
of text is the objective of sentiment analysis. The present paper have employed two
different textual representations, Word2vec and N-gram, for analyzing the public
sentiments in tweets. In this paper, we have applied sentiment analysis and
supervised machine learning principles to the tweets extracted from Twitter and
analyze the correlation between stock market movements of a company and sentiments
in tweets. In an elaborate way, positive news and tweets in social media about a
company would definitely encourage people to invest in the stocks of that company
and as a result the stock price of that company would increase. At the end of the
paper, it is shown that a strong correlation exists between the rise and falls in
stock prices with the public sentiments in tweets. © 2016 IEEE.",N-gram;
Word2vec,Commerce; Costs; Data mining; Embedded systems; Finance; Forecasting;
Investments; Signal processing; Social networking (online); Dow Jones Industrial
averages; N-grams; Sentiment analysis; Stock market prediction; Strong correlation;
Supervised machine learning; Textual representation; Word2vec; Financial
markets,,,,,,,"Qian B., Rasheed K., Stock market prediction with multiple
classifiers, Applied Intelligence, 26, 1, (2007); Fama E.F., The behavior of stock-
market prices, The Journal of Business, 38, 1, (1965); Leskovec J., Adamic L.,
Huberman B., The dynamics of viral marketing, Proceedings of the 7th ACM Conference
on Electronic Commerce, (2006); Jansen B., Zhang M., Sobel K., Chowdury A., Twitter
power: Tweets as electronic word of mouth, Journal of the American Society for
Information Science and Technology, (2009); Pak A., Paroubek P., Twitter as a
corpus for sentiment analysis and opinion mining, Proceedings of the Seventh
International Conference on Language Resources and Evaluation, pp. 1320-1326,
(2010); Asur S., Huberman B.A., Predicting the future with social media,
Proceedings of the ACM International Conference on Web Intelligence, pp. 492-499,
(2010); Ruiz E.J., Hristidis V., Castillo C., Gionis A., Jaimes A., Correlating
financial time se-ries with micro-blogging activity, Proceedings of the Fifth ACM
International Confer-ence on Web Search and Data Mining, pp. 513-522, (2012);
Bordino I., Battiston S., Caldarelli G., Cristelli M., Ukkonen A., Weber I., Web
search queries can predict stock market volumes, PLoS ONE, 7, 7, (2011); Gilbert
E., Karahalios K., Widespread worry and the stock market, Proceedings of the Fourth
International AAAI Conference on Weblogs and Social Media, pp. 58-65, (2010);
Bollen J., Mao H., Zeng X., Twitter mood predicts the stock market, Journal of
Compu-tational Science, 2, 1, pp. 1-8, (2011); Aramaki E., Maskawa S., Morita M.,
Twitter catches the flu: Detecting influenza epidemics using Twitter, Proceedings
of the Conference on Empirical Methods in Natural Language Processing. Association
for Computational Linguistics, (2011); Chen R., Lazer M., Sentiment analysis of
twitter feeds for the prediction of stock market movement, Cs, 229, (2011); Zhang
L., Sentiment Analysis on Twitter with Stock Price and Significant Keyword
Correlation, (2013); Dickinson B., Hu W., Sentiment analysis of investor opinions
on twitter, Social Networking, 4, 3, (2015); Li B., Chan C.K.C., Carol O., Public
sentiment analysis in Twitter data for prediction of a company's stock price
movements, E-Business Engineering (ICEBE), 2014 IEEE 11th International Conference
On. IEEE, (2014); Mittal A., Arpit G., Stock Prediction Using Twitter Sentiment
Analysis, CS229, (2011); Agarwal A., Et al., Sentiment analysis of twitter data,
Proceedings of the Workshop on Languages in Social Media. Association for
Computational Linguistics, (2011); Tomas M., Sutskever I., Chen K., Corrado G.,
Dean J., Distributed representations of words and phrases and their
compositionality, Proceedings of Neural Information Processing Systems, pp. 3111-
3119, (2013); Hall M., Frank E., Holmes G., Pfahringer B., Reutemann P., Witten
I.H., The WEKA data mining software: An update, SIGKDD Explorations, 11, 1,
(2009)",,,Institute of Electrical and Electronics Engineers Inc.,,"2016 IEEE
International Conference on Signal Processing, Communication, Power and Embedded
System, SCOPES 2016",3 October 2016 through 5 October 2016,"Paralakhernundi,
Odisha",128486,,978-150904620-1,,,English,"Int. Conf. Sig. Process., Commun., Power
Embed. Syst., SCOPES - Proc.",Conference paper,Final,All Open Access; Green Open
Access,Scopus,2-s2.0-85021819859
Vijh M.; Chandola D.; Tikkiwal V.A.; Kumar A.,"Vijh, Mehar (57216743156); Chandola,
Deeksha (57163996400); Tikkiwal, Vinay Anand (56040143100); Kumar, Arun
(57202315390)",57216743156; 57163996400; 56040143100; 57202315390,Stock Closing
Price Prediction using Machine Learning Techniques,2020,Procedia Computer
Science,167,,,599,606,7,302,10.1016/j.procs.2020.03.326,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084480317&doi=10.1016%2fj.procs.2020.03.326&partnerID=40&md5=8097b933566307af5bfa
944d741b7e17,"Jaypee Institute of Information Technology, Noida, 201304, India;
Department of Electronics and Communication Engineering, Jaypee Institute of
Information Technology, Noida, 201304, India; Department of Computer Science and
Engineering, National Institute of Technology, Rourkela, 769008, India","Vijh M.,
Jaypee Institute of Information Technology, Noida, 201304, India; Chandola D.,
Department of Electronics and Communication Engineering, Jaypee Institute of
Information Technology, Noida, 201304, India; Tikkiwal V.A., Department of
Electronics and Communication Engineering, Jaypee Institute of Information
Technology, Noida, 201304, India; Kumar A., Department of Computer Science and
Engineering, National Institute of Technology, Rourkela, 769008, India","Accurate
prediction of stock market returns is a very challenging task due to volatile and
non-linear nature of the financial stock markets. With the introduction of
artificial intelligence and increased computational capabilities, programmed
methods of prediction have proved to be more efficient in predicting stock prices.
In this work, Artificial Neural Network and Random Forest techniques have been
utilized for predicting the next day closing price for five companies belonging to
different sectors of operation. The financial data: Open, High, Low and Close
prices of stock are used for creating new variables which are used as inputs to the
model. The models are evaluated using standard strategic indicators: RMSE and MAPE.
The low values of these two indicators show that the models are efficient in
predicting stock closing price. © 2020 The Authors. Published by Elsevier
B.V.",Artificial Neural Network; Random Forest Regression; Stock market
prediction,Commerce; Costs; Decision trees; Electronic trading; Financial markets;
Machine learning; Neural networks; Accurate prediction; Computational capability;
Financial data; Machine learning techniques; Market returns; Non linear; Price
prediction; Stock price; Forecasting,,,,,,,"Masoud N.M., The impact of stock market
performance upon economic growth., International Journal of Economics and Financial
Issues, 3, 4, pp. 788-798, (2017); Murkute A., Sarode T., Forecasting market price
of stock using artificial neural network., International Journal of Computer
Applications, 124, 12, pp. 11-15, (2015); Hur J., Raj M., Riyanto Y.E., Finance and
trade: A cross-country empirical analysis on the impact of financial development
and asset tangibility on international trade., World Development, 34, 10, pp. 1728-
1741, (2006); Lei L., Wu Y., Ou Y., Li Q., Zhou Y., Chen D., Research on machine
learning algorithms and feature extraction for time series, IEEE 28th Annual
International Symposium on Personal, Indoor, and Mobile Radio Communications
(PIMRC), pp. 1-5, (2017); Seber G.A., Lee A.J., Linear Regression Analysis.,
(2012); Reichek N., Devereux R.B., Reliable estimation of peak left ventricular
systolic pressure by M-mode echographic-determined end-diastolic relative wall
thickness: Identification of severe valvular aortic stenosis in adult patients.,
American Heart Journal, 103, 2, pp. 202-209, (1982); Chong T.T.-L., Ng W.-K.,
Technical analysis and the London stock exchange: Testing the MACD and RSI rules
using the FT30., Applied Economics Letters, 15, 14, pp. 1111-1114, (2008); Zhang
P., Time series forecasting using a hybrid ARIMA and neural network mode.,
Neurocomputing, 50, pp. 159-175, (2003); Suykens J.A., Vandewalle J., Least squares
support vector machine classifiers., Neural Processing Letters, 9, 3, pp. 293-300,
(1999); Liaw A., Wiener M., Classification and regression by Random Forest., R
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Nakamori Y., Wang S.-Y., Forecasting stock market movement direction with support
vector machine., Computers & Operations Research, 32, 10, pp. 2513-2522, (2005);
Sreelekshmy S., Vinayakumar R., Gopalakrishnan E.A., Krishna Menon V., Soman K.P.,
Stock price prediction using LSTM, RNN and CNN-sliding window mode, International
Conference on Advances in Computing, Communications and Informatics (ICACCI), pp.
1643-1647, (2017); Hamzacebi C., Akay D., Kutay F., Comparison of direct and
iterative artificial neural network forecast approaches in multi-periodic time
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(2009); Rout A.K., Dash P.K., Dash R., Bisoi R., Forecasting financial time series
using a low complexity recurrent neural network and evolutionary learning
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4, pp. 536-552, (2017); Yunus Y., Kaplan H., Jamshidi M., Stock market prediction
by using artificial neural network, 2014 World Automation Congress (WAC), pp. 718-
722, (2014); Jovina R., Jameel A., Backpropagation and recurrent neural networks in
financial analysis of multiple stock market return, Proceedings of HICSS-29: 29th
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New York electricity market, IEEE PES General Meeting Conference & Exposition, pp.
1-5, (2014); Herrera M., Torgo L., Izquierdo J., Perez-Garcia R., Predictive models
for forecasting hourly urban water demand., Journal of Hydrology, 387, 1-2, pp.
141-150, (2010); Dicle M.F., Levendis J., Importing financial data., The Stata
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Systems., (1992)",,Singh V.; Asari V.K.; Li K.-C.,Elsevier B.V.,,"2019
International Conference on Computational Intelligence and Data Science, ICCIDS
2019",6 September 2019 through 7 September
2019,Gurugram,159537,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85084480317
Ma Y.; Han R.; Wang W.,"Ma, Yilin (57195244434); Han, Ruizhu (24066878200); Wang,
Weizhong (38262121100)",57195244434; 24066878200; 38262121100,Portfolio
optimization with return prediction using deep learning and machine
learning,2021,Expert Systems with
Applications,165,,113973,,,,152,10.1016/j.eswa.2020.113973,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85090326675&doi=10.1016%2fj.eswa.2020.113973&partnerID=40&md5=334358d5b5e6959488b42
42b5571305b,"School of Economics and Management, Southeast University, 2 Southeast
University Road, Jiangning District, Nanjing, 211189, China","Ma Y., School of
Economics and Management, Southeast University, 2 Southeast University Road,
Jiangning District, Nanjing, 211189, China; Han R., School of Economics and
Management, Southeast University, 2 Southeast University Road, Jiangning District,
Nanjing, 211189, China; Wang W., School of Economics and Management, Southeast
University, 2 Southeast University Road, Jiangning District, Nanjing, 211189,
China","Integrating return prediction of traditional time series models in
portfolio formation can improve the performance of original portfolio optimization
model. Since machine learning and deep learning models have shown overwhelming
superiority than time series models, this paper combines return prediction in
portfolio formation with two machine learning models, i.e., random forest (RF) and
support vector regression (SVR), and three deep learning models, i.e., LSTM neural
network, deep multilayer perceptron (DMLP) and convolutional neural network. To be
specific, this paper first applies these prediction models for stock preselection
before portfolio formation. Then, this paper incorporates their predictive results
in advancing mean–variance (MV) and omega portfolio optimization models. In order
to present the superiority of these models, portfolio models with autoregressive
integrated moving average's return prediction are used as benchmarks. Evaluation is
based on historical data of 9 years from 2007 to 2015 of component stocks of China
securities 100 index. Experimental results show that MV and omega models with RF
return prediction, i.e., RF+MVF and RF+OF, outperform the other models. Further,
RF+MVF is superior to RF+OF. Due to the high turnover of these two models, this
paper discusses their performance after deducting the transaction fee cased by
turnover. Experiments present that RF+MVF still performs the best among MVF models
and omega model with SVR prediction (SVR+OF) performs the best among OF models.
Moreover, RF+MVF performs better than SVR+OF and high turnover erodes nearly half
of their total returns especially for RF+OF and RF+MVF. Therefore, this paper
recommends investors to build MVF with RF return prediction for daily trading
investment. © 2020 Elsevier Ltd",Deep learning; Financial trading; Machine
learning; Portfolio optimization; Return prediction,Convolutional neural networks;
Decision trees; Electronic trading; Financial markets; Fintech; Forecasting;
Learning systems; Long short-term memory; Multilayer neural networks; Optimization;
Predictive analytics; Support vector regression; Time series; Auto-regressive
integrated moving average; Historical data; Portfolio optimization; Portfolio
optimization models; Prediction model; Stock pre selections; Support vector
regression (SVR); Time series models; Deep learning,,,,,"National Natural Science
Foundation of China, NSFC, (71390335)",This research was supported by the National
Natural Science Foundation of China (No. 71390335 ).,"Adebiyi A.A., Adewumi A.O.,
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(2013)","R. Han; School of Economics and Management, Southeast University, Nanjing,
2 Southeast University Road, Jiangning District, 211189, China; email: daodao-
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85090326675
Mishev K.; Gjorgjevikj A.; Vodenska I.; Chitkushev L.T.; Trajanov D.,"Mishev,
Kostadin (57194062258); Gjorgjevikj, Ana (57195775477); Vodenska, Irena
(54384672500); Chitkushev, Lubomir T. (22950123300); Trajanov, Dimitar
(8206057700)",57194062258; 57195775477; 54384672500; 22950123300;
8206057700,Evaluation of Sentiment Analysis in Finance: From Lexicons to
Transformers,2020,IEEE
Access,8,,9142175,131662,131682,20,150,10.1109/ACCESS.2020.3009626,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85092294643&doi=10.1109%2fACCESS.2020.3009626&partnerID=40&md5=9206d55410102b5c7be8
912d8369a432,"Faculty of Computer Science and Engineering, Ss. Cyril and Methodius
University, Skopje, North Macedonia; Financial Informatics Lab, Metropolitan
College, Boston University, Boston, MA, United States","Mishev K., Faculty of
Computer Science and Engineering, Ss. Cyril and Methodius University, Skopje, North
Macedonia; Gjorgjevikj A., Faculty of Computer Science and Engineering, Ss. Cyril
and Methodius University, Skopje, North Macedonia; Vodenska I., Financial
Informatics Lab, Metropolitan College, Boston University, Boston, MA, United
States; Chitkushev L.T., Financial Informatics Lab, Metropolitan College, Boston
University, Boston, MA, United States; Trajanov D., Faculty of Computer Science and
Engineering, Ss. Cyril and Methodius University, Skopje, North
Macedonia","Financial and economic news is continuously monitored by financial
market participants. According to the efficient market hypothesis, all past
information is reflected in stock prices and new information is instantaneously
absorbed in determining future stock prices. Hence, prompt extraction of positive
or negative sentiments from news is very important for investment decision-making
by traders, portfolio managers and investors. Sentiment analysis models can provide
an efficient method for extracting actionable signals from the news. However,
financial sentiment analysis is challenging due to domain-specific language and
unavailability of large labeled datasets. General sentiment analysis models are
ineffective when applied to specific domains such as finance. To overcome these
challenges, we design an evaluation platform which we use to assess the
effectiveness and performance of various sentiment analysis approaches, based on
combinations of text representation methods and machine-learning classifiers. We
perform more than one hundred experiments using publicly available datasets,
labeled by financial experts. We start the evaluation with specific lexicons for
sentiment analysis in finance and gradually build the study to include word and
sentence encoders, up to the latest available NLP transformers. The results show
improved efficiency of contextual embeddings in sentiment analysis compared to
lexicons and fixed word and sentence encoders, even when large datasets are not
available. Furthermore, distilled versions of NLP transformers produce comparable
results to their larger teacher models, which makes them suitable for use in
production environments. © 2013 IEEE.",deep-learning; encoders; finance; natural
language processing; sentence embedding; Sentiment analysis; survey; text
representations; transfer-learning; transformers; word embedding,Commerce; Costs;
Decision making; Financial markets; Large dataset; Learning systems; Problem
oriented languages; Sentiment analysis; Signal encoding; Domain specific languages;
Efficient market hypothesis; Evaluation platforms; Investment decision making;
Market participants; Negative sentiments; Production environments; Text
representation; Investments,,,,,Faculty of Computer Science and Engineering,"This
work was supported in part by the Faculty of Computer Science and Engineering, Ss.
Cyril and Methodius University, Skopje.","Yenter A., Verma A., Deep CNN-LSTM with
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[email protected],,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85092294643
Li B.; Hoi S.C.H.; Sahoo D.; Liu Z.-Y.,"Li, Bin (57205685502); Hoi, Steven C.H.
(8710996600); Sahoo, Doyen (56355278800); Liu, Zhi-Yong (56118218400)",57205685502;
8710996600; 56355278800; 56118218400,Moving average reversion strategy for on-line
portfolio selection,2015,Artificial
Intelligence,222,,,104,123,19,113,10.1016/j.artint.2015.01.006,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84922384340&doi=10.1016%2fj.artint.2015.01.006&partnerID=40&md5=da8b3abde9346a87b5d
5e872d094c304,"Economics and Management School, Wuhan University, Wuhan, 430072,
China; School of Information Systems, Singapore Management University, Singapore,
178902, Singapore; Institute of Automation, Chinese Academy of Sciences, Beijing,
100080, China","Li B., Economics and Management School, Wuhan University, Wuhan,
430072, China; Hoi S.C.H., School of Information Systems, Singapore Management
University, Singapore, 178902, Singapore; Sahoo D., School of Information Systems,
Singapore Management University, Singapore, 178902, Singapore; Liu Z.-Y., Institute
of Automation, Chinese Academy of Sciences, Beijing, 100080, China","On-line
portfolio selection, a fundamental problem in computational finance, has attracted
increasing interest from artificial intelligence and machine learning communities
in recent years. Empirical evidence shows that stock's high and low prices are
temporary and stock prices are likely to follow the mean reversion phenomenon.
While existing mean reversion strategies are shown to achieve good empirical
performance on many real datasets, they often make the single-period mean reversion
assumption, which is not always satisfied, leading to poor performance in certain
real datasets. To overcome this limitation, this article proposes a multiple-period
mean reversion, or so-called ""Moving Average Reversion"" (MAR), and a new on-line
portfolio selection strategy named ""On-Line Moving Average Reversion"" (OLMAR),
which exploits MAR via efficient and scalable online machine learning techniques.
From our empirical results on real markets, we found that OLMAR can overcome the
drawbacks of existing mean reversion algorithms and achieve significantly better
results, especially on the datasets where existing mean reversion algorithms
failed. In addition to its superior empirical performance, OLMAR also runs
extremely fast, further supporting its practical applicability to a wide range of
applications. Finally, we have made all the datasets and source codes of this work
publicly available at our project website: http://OLPS.stevenhoi.org/. © 2015
Elsevier B.V. All rights reserved.",Mean reversion; Moving average reversion; On-
line learning; Portfolio selection,Costs; Electronic trading; Financial markets;
Machine learning; Computational finance; Empirical performance; Machine learning
communities; Mean reversion; Moving averages; Online learning; Poor performance;
Portfolio selection; E-learning,,,,,"National Natural Science Foundation of China,
NSFC, (71401128); Fundamental Research Funds for the Central Universities;
Singapore Management University, SMU","We want to thank the associate editor and
anonymous reviewers for their helpful comments and suggestions. This work was in
part supported by the National Natural Science Foundation of China ( 71401128 ) and
“the Fundamental Research Funds for the Central Universities”, and the tier-1
research grant of Singapore Management University. ","Agarwal A., Hazan E., Kale
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Portfolios, (2010); Ottucsak G.,
Vajda I., An asymptotic analysis of the mean-variance portfolio selection, Stat.
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Conference on Machine Learning, (2003)","S.C.H. Hoi; School of Information Systems,
Singapore Management University, Singapore, 178902, Singapore; email:
[email protected]",,Elsevier B.V.,,,,,,43702,,AINTB,,English,Artif
Intell,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-84922384340
Atkins A.; Niranjan M.; Gerding E.,"Atkins, Adam (57218991141); Niranjan, Mahesan
(57205698392); Gerding, Enrico (6508139443)",57218991141; 57205698392;
6508139443,Financial news predicts stock market volatility better than close
price,2018,Journal of Finance and Data
Science,4,2,,120,137,17,111,10.1016/j.jfds.2018.02.002,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062597392&doi=10.1016%2fj.jfds.2018.02.002&partnerID=40&md5=e8617eb1256174ea1be75
1499fffcda6,"Electronics and Computer Science, University of Southampton, United
Kingdom","Atkins A., Electronics and Computer Science, University of Southampton,
United Kingdom; Niranjan M., Electronics and Computer Science, University of
Southampton, United Kingdom; Gerding E., Electronics and Computer Science,
University of Southampton, United Kingdom","The behaviour of time series data from
financial markets is influenced by a rich mixture of quantitative information from
the dynamics of the system, captured in its past behaviour, and qualitative
information about the underlying fundamentals arriving via various forms of news
feeds. Pattern recognition of financial data using an effective combination of
these two types of information is of much interest nowadays, and is addressed in
several academic disciplines as well as by practitioners. Recent literature has
focused much effort on the use of news-derived information to predict the direction
of movement of a stock, i.e. posed as a classification problem, or the precise
value of a future asset price, i.e. posed as a regression problem. Here, we show
that information extracted from news sources is better at predicting the direction
of underlying asset volatility movement, or its second order statistics, rather
than its direction of price movement. We show empirical results by constructing
machine learning models of Latent Dirichlet Allocation to represent information
from news feeds, and simple naïve Bayes classifiers to predict the direction of
movements. Empirical results show that the average directional prediction accuracy
for volatility, on arrival of new information, is 56%, while that of the asset
close price is no better than random at 49%. We evaluate these results using a
range of stocks and stock indices in the US market, using a reliable news source as
input. We conclude that volatility movements are more predictable than asset price
movements when using financial news as machine learning input, and hence could
potentially be exploited in pricing derivatives contracts via quantifying
volatility. © 2018 China Science Publishing & Media Ltd.",Computational finance;
Machine learning; Natural language processing; Technical analysis; Volatility
forecasting,,,,,,,,"Glantz M., Kissell R., Multi-asset Risk Modeling: Techniques
for a Global Economy in an Electronic and Algorithmic Trading Era, (2013); Reuters,
Stock Options Trading Volume Strong Even as Volatility Dips, (2017); Settlements
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pursuit of out-of-sample performance and sparsity in index tracking portfolios,
Comput Manag Sci, 10, 1, pp. 21-49, (2012); Hull J.C., Options, Futures, and Other
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(1999)","A. Atkins; Electronics and Computer Science, University of Southampton,
United Kingdom; email: [email protected]",,KeAi Communications
Co.,,,,,,24059188,,,,English,J. Finance Data Sci.,Article,Final,All Open Access;
Gold Open Access; Green Open Access,Scopus,2-s2.0-85062597392
Oliveira N.; Cortez P.; Areal N.,"Oliveira, Nuno (58586092200); Cortez, Paulo
(7003574407); Areal, Nelson (25030151800)",58586092200; 7003574407;
25030151800,"The impact of microblogging data for stock market prediction: Using
Twitter to predict returns, volatility, trading volume and survey sentiment
indices",2017,Expert Systems with
Applications,73,,,125,144,19,279,10.1016/j.eswa.2016.12.036,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85007488685&doi=10.1016%2fj.eswa.2016.12.036&partnerID=40&md5=46773642fbf159d5137e8
4f388c83e88,"ALGORITMI Centre, Department of Information Systems, University of
Minho, 4804-533 Guimarães, Portugal; School of Economics and Management, Department
of Management, University of Minho, 4710-057 Braga, Portugal","Oliveira N.,
ALGORITMI Centre, Department of Information Systems, University of Minho, 4804-533
Guimarães, Portugal; Cortez P., ALGORITMI Centre, Department of Information
Systems, University of Minho, 4804-533 Guimarães, Portugal; Areal N., School of
Economics and Management, Department of Management, University of Minho, 4710-057
Braga, Portugal","In this paper, we propose a robust methodology to assess the
value of microblogging data to forecast stock market variables: returns, volatility
and trading volume of diverse indices and portfolios. The methodology uses
sentiment and attention indicators extracted from microblogs (a large Twitter
dataset is adopted) and survey indices (AAII and II, USMC and Sentix), diverse
forms to daily aggregate these indicators, usage of a Kalman Filter to merge
microblog and survey sources, a realistic rolling windows evaluation, several
Machine Learning methods and the Diebold-Mariano test to validate if the sentiment
and attention based predictions are valuable when compared with an autoregressive
baseline. We found that Twitter sentiment and posting volume were relevant for the
forecasting of returns of S&P 500 index, portfolios of lower market capitalization
and some industries. Additionally, KF sentiment was informative for the forecasting
of returns. Moreover, Twitter and KF sentiment indicators were useful for the
prediction of some survey sentiment indicators. These results confirm the
usefulness of microblogging data for financial expert systems, allowing to predict
stock market behavior and providing a valuable alternative for existing survey
measures with advantages (e.g., fast and cheap creation, daily frequency). © 2016
Elsevier Ltd",Data and text mining; Regression; Stock market; Twitter,Commerce;
Expert systems; Filtration; Financial markets; Large dataset; Learning systems;
Social networking (online); Statistical tests; Surveys; Text mining; Financial
experts; Machine learning methods; Market capitalization; Market variables;
Regression; Sentiment indicators; Stock market prediction; Twitter;
Forecasting,,,,,,,"Al Nasseri A., Tucker A., de Cesare S., Quantifying stocktwits
semantic terms’ trading behavior in financial markets: An effective application of
decision tree algorithms, Expert Systems with Applications, 42, 23, pp. 9192-9210,
(2015); Antweiler W., Frank M.Z., Is all that talk just noise? The information
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Evaluating forecasting methods, Principles of forecasting, pp. 443-472, (2001);
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80, (1992); Baker M., Wurgler J., Investor sentiment and the cross-section of stock
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J., Yuan Y., Global, local, and contagious investor sentiment, Journal of Financial
Economics, 104, 2, pp. 272-287, (2012); Bollen J., Mao H., Zeng X., Twitter mood
predicts the stock market, Journal of Computational Science, 2, 1, pp. 1-8, (2011);
Brown G.W., Cliff M.T., Investor sentiment and the near-term stock market, Journal
of Empirical Finance, 11, 1, pp. 1-27, (2004); Brown G.W., Cliff M.T., Investor
sentiment and asset valuation, (2005); Chen R., Lazer M., Sentiment analysis of
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Procedia-Social and Behavioral Sciences, 26, pp. 55-62, (2011)","N. Oliveira;
ALGORITMI Centre, Department of Information Systems, University of Minho, 4804-533
Guimarães, Portugal; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85007488685
Nam K.; Seong N.,"Nam, KiHwan (57204774328); Seong, NohYoon
(57204876468)",57204774328; 57204876468,Financial news-based stock movement
prediction using causality analysis of influence in the Korean stock
market,2019,Decision Support
Systems,117,,,100,112,12,98,10.1016/j.dss.2018.11.004,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057616674&doi=10.1016%2fj.dss.2018.11.004&partnerID=40&md5=2ebd9dd8cc40dac2469bca
0f3163760b,"College of Business Management Engineering Department, KAIST, Seoul,
South Korea","Nam K., College of Business Management Engineering Department, KAIST,
Seoul, South Korea; Seong N., College of Business Management Engineering
Department, KAIST, Seoul, South Korea","With the advent of the Big Data era and the
development of machine learning technologies, predicting stock movements by
analyzing news articles, which are unstructured data, has been studied actively.
However, so far no attempts have been made to utilize the asymmetric relationship
of firms. Thus far, most papers focus on only the target firm, and few papers focus
on the target firm and relevant firms together. In this article, we propose a novel
machine learning model to forecast stock price movement based on the financial news
considering causality. Specifically, our method analyzes the causal relationship
between companies, and it accounts for the directional impact within the Global
Industry Classification Standard sectors. In our proposed method, transfer entropy
is used to find causality, and multiple kernel learning is used to combine features
of target firm and causal firms. Based on a Korean market dataset and out-of-sample
test, our experimental results reveal that the proposed causal analytic-based
framework outperforms two traditional state-of-the-art algorithms. Furthermore, the
experimental results show that the proposed method can predict the stock price
directional movements even when there is no financial news on the target firm, but
financial news is published on causal firms. Our findings reveal that identifying
causal relationship is important in prediction problems, and we suggest that it is
important to develop machine learning algorithms and it is also important to find
connections with well-established theories such as the complex system theory. ©
2018 Elsevier B.V.",Causal relationship; Multiple kernel learning; Stock movement
prediction; Text mining; Transfer entropy,Artificial intelligence; Big data;
Commerce; Data mining; Electronic trading; Entropy; Financial markets; Forecasting;
Learning algorithms; Learning systems; Statistical tests; Causal relationships;
Multiple Kernel Learning; Stock movement; Text mining; Transfer entropy; Motion
estimation,,,,,,,"Nassirtoussi A.K., Aghabozorgi S., Wah T.Y., Ngo D.C.L., Text
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Process. Manag., 45, pp. 571-583, (2009); Shynkevich Y., McGinnity T.M., Coleman
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parameters for delay-coordinate reconstructions, Phys. Rev. E, 93, (2016); Darmon
D., Rapp P.E., Specific transfer entropy and other state-dependent transfer
entropies for continuous-state input-output systems, Phys. Rev. E, 96, (2017);
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and purpose, Am. Stat., 70, pp. 129-133, (2016); Lee D.-J., Yeon J.-H., Hwang I.-
B., Lee S.-G., KKMA: a tool for utilizing Sejong corpus based on relational
database, J. KIISE Comput. Pract. Lett., 16, pp. 1046-1050, (2010); Gu Y., Wang C.,
You D., Zhang Y., Wang S., Zhang Y., Representative multiple kernel learning for
classification in hyperspectral
imagery, IEEE Trans. Geosci. Remote Sens., 50, pp. 2852-2865, (2012); Jain A.,
Vishwanathan S.V., Varma M., SPF-GMKL: generalized multiple kernel learning with a
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A Practical Guide to Support Vector Classification, (2010); Keerthi S.S., Lin C.-
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kernels for SVM and the training of non-PSD kernels by SMO-type methods, Neural
Comput., 3, pp. 1-32, (2003)","N. Seong; College of Business at Korea Advanced
Institute of Science and Technology (KAIST), Seoul, SUPEX Building, 85 Hoegiro
Dongdaemoon-gu, 130-722, South Korea; email: [email protected]",,Elsevier
B.V.,,,,,,1679236,,DSSYD,,English,Decis Support Syst,Article,Final,,Scopus,2-s2.0-
85057616674
Carta S.; Ferreira A.; Podda A.S.; Reforgiato Recupero D.; Sanna A.,"Carta,
Salvatore (7004254388); Ferreira, Anselmo (36699403000); Podda, Alessandro
Sebastian (56875324700); Reforgiato Recupero, Diego (57206674454); Sanna, Antonio
(57218449863)",7004254388; 36699403000; 56875324700; 57206674454;
57218449863,Multi-DQN: An ensemble of Deep Q-learning agents for stock market
forecasting,2021,Expert Systems with
Applications,164,,113820,,,,146,10.1016/j.eswa.2020.113820,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85089223007&doi=10.1016%2fj.eswa.2020.113820&partnerID=40&md5=232e7e8b9275464d4dfac
1516fbef9ab,"Dept. of Computer Science and Mathematics, Via Ospedale 72, Cagliari,
Sardinia, Italy","Carta S., Dept. of Computer Science and Mathematics, Via Ospedale
72, Cagliari, Sardinia, Italy; Ferreira A., Dept. of Computer Science and
Mathematics, Via Ospedale 72, Cagliari, Sardinia, Italy; Podda A.S., Dept. of
Computer Science and Mathematics, Via Ospedale 72, Cagliari, Sardinia, Italy;
Reforgiato Recupero D., Dept. of Computer Science and Mathematics, Via Ospedale 72,
Cagliari, Sardinia, Italy; Sanna A., Dept. of Computer Science and Mathematics, Via
Ospedale 72, Cagliari, Sardinia, Italy","The stock market forecasting is one of the
most challenging application of machine learning, as its historical data are
naturally noisy and unstable. Most of the successful approaches act in a supervised
manner, labeling training data as being of positive or negative moments of the
market. However, training machine learning classifiers in such a way may suffer
from over-fitting, since the market behavior depends on several external factors
like other markets trends, political events, etc. In this paper, we aim at
minimizing such problems by proposing an ensemble of reinforcement learning
approaches which do not use annotations (i.e. market goes up or down) to learn, but
rather learn how to maximize a return function over the training stage. In order to
achieve this goal, we exploit a Q-learning agent trained several times with the
same training data and investigate its ensemble behavior in important real-world
stock markets. Experimental results in intraday trading indicate better performance
than the conventional Buy-and-Hold strategy, which still behaves well in our
setups. We also discuss qualitative and quantitative analyses of these results. ©
2020 Elsevier Ltd",Financial signal processing; Neural networks for finance; Q-
learning; Reinforcement learning; TD-learning; Trading,Commerce; Financial markets;
Intelligent agents; Learning systems; Reinforcement learning; Buy-and-hold
strategy; Ensemble behavior; Negative moments; Q-learning agents; Qualitative and
quantitative analysis; Reinforcement learning approach; Stock market forecasting;
Training machines; Deep learning,,,,,Nvidia,"The research performed in this paper
has been supported by the “Bando “Aiuti per progetti di Ricerca e Sviluppo” – POR
FESR 2014–2020 – Asse 1, Azione 1.1.3. Project IntelliCredit: AI-powered digital
lending platform”. Furthermore, we gratefully acknowledge the support of NVIDIA
Corporation with the donation of the Titan X Pascal GPU used for this
research.","Asad M., (2015); Azhikodan A., Bhat A., Jadhav M., Stock trading bot
using deep reinforcement learning, Lecture notes in networks and systems, pp. 41-
49, (2019); Barra S., Carta S., Corriga A., Podda A.S., Recupero D.R., Deep
learning and time series-to-image encoding for financial forecasting, IEEE/CAA
Journal of Automatica Sinica, (2020); Chaudhry A., Johnson H.L., The efficacy of
the sortino ratio and other benchmarked performance measures under skewed return
distributions, Australian Journal of Management, 32, pp. 485-502, (2008); Chong E.,
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Sobreiro V.A., Kimura H., Literature review: Machine learning techniques applied to
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s&p 500 via combination of improved bco approach and bp neural network, Expert
Systems with Applications, 36, pp. 8849-8854, (2009)","D. Reforgiato Recupero;
Dept. of Computer Science and Mathematics, Cagliari, Via Ospedale 72, Italy; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85089223007
Ampomah E.K.; Qin Z.; Nyame G.,"Ampomah, Ernest Kwame (57217870888); Qin, Zhiguang
(7202822723); Nyame, Gabriel (57202443122)",57217870888; 7202822723;
57202443122,Evaluation of tree-based ensemble machine learning models in predicting
stock price direction of movement,2020,Information
(Switzerland),11,6,332,,,,124,10.3390/info11060332,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85087745443&doi=10.3390%2finfo11060332&partnerID=40&md5=f28a6cbd6181222e5e36d6b8249
a760f,"School of Information and Software Engineering, University of Electronic
Science and Technology of China (UESTC), Chengdu, 610051, China","Ampomah E.K.,
School of Information and Software Engineering, University of Electronic Science
and Technology of China (UESTC), Chengdu, 610051, China; Qin Z., School of
Information and Software Engineering, University of Electronic Science and
Technology of China (UESTC), Chengdu, 610051, China; Nyame G., School of
Information and Software Engineering, University of Electronic Science and
Technology of China (UESTC), Chengdu, 610051, China","Forecasting the direction and
trend of stock price is an important task which helps investors to make prudent
financial decisions in the stock market. Investment in the stock market has a big
risk associated with it. Minimizing prediction error reduces the investment risk.
Machine learning (ML) models typically perform better than statistical and
econometric models. Also, ensemble ML models have been shown in the literature to
be able to produce superior performance than single ML models. In this work, we
compare the eectiveness of tree-based ensemble ML models (Random Forest (RF),
XGBoost Classifier (XG), Bagging Classifier (BC), AdaBoost Classifier (Ada), Extra
Trees Classifier (ET), and Voting Classifier (VC) in forecasting the direction of
stock price movement. Eight dierent stock data from three stock exchanges (NYSE,
NASDAQ, and NSE) are randomly collected and used for the study. Each data set is
split into training and test set. Ten-fold cross validation accuracy is used to
evaluate the ML models on the training set. In addition, the ML models are
evaluated on the test set using accuracy, precision, recall, F1-score, specificity,
and area under receiver operating characteristics curve (AUC-ROC). Kendall W test
of concordance is used to rank the performance of the tree-based ML algorithms. For
the training set, the AdaBoost model performed better than the rest of the models.
For the test set, accuracy, precision, F1-score, and AUC metrics generated results
significant to rank the models, and the Extra Trees classifier outperformed the
other models in all the rankings. © 2020 by the authors.",Feature extraction;
Machine learning; Stock price; Technical indicators,Adaptive boosting;
Classification (of information); Commerce; Decision trees; Financial markets;
Fintech; Forecasting; Investments; Learning to rank; Statistical tests; Ada boost
classifiers; Financial decisions; Machine learning models; Prediction errors;
Receiver operating characteristics; Stock price movements; Tree-based ensembles;
Voting classifiers; Learning systems,,,,,"Guangdong Provincial Key Laboratory of
Electronic Information Products Reliability Technology, (2013A061401003); NSFC-
Guangdong, (U1401257); National Natural Science Foundation of China, NSFC,
(61133016, 61272527, 61300090); Science and Technology Innovation as a Whole Plan
Projects of Shaanxi Province, (2014JY0172)","Funding: This work was supported by
the NSFC-Guangdong Joint Fund (Grant No. U1401257), National Natural Science
Foundation of China (Grant Nos. 61300090, 61133016, and 61272527), science and
technology plan projects in Sichuan Province (Grant No. 2014JY0172) and the opening
project of Guangdong Provincial Key Laboratory of Electronic Information Products
Reliability Technology (Grant No. 2013A061401003).","Fischer T., Krauss C., Deep
learning with long short-term memory networks for financial market predictions,
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combination of improved bco approach and bp neural network, Expert Syst. Appl, 36,
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(2019)","E.K. Ampomah; School of Information and Software Engineering, University
of Electronic Science and Technology of China (UESTC), Chengdu, 610051, China;
email: [email protected]",,MDPI
AG,,,,,,20782489,,,,English,Information,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85087745443
Li Y.; Pan Y.,"Li, Yang (57221624393); Pan, Yi (24765302500)",57221624393;
24765302500,A novel ensemble deep learning model for stock prediction based on
stock prices and news,2022,International Journal of Data Science and
Analytics,13,2,,139,149,10,100,10.1007/s41060-021-00279-9,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85115058702&doi=10.1007%2fs41060-021-00279-
9&partnerID=40&md5=c34d1644ce67fc4312a01e8c7716d4bf,"Department of Computer
Science, Georgia State University, Atlanta, 30303, GA, United States","Li Y.,
Department of Computer Science, Georgia State University, Atlanta, 30303, GA,
United States; Pan Y., Department of Computer Science, Georgia State University,
Atlanta, 30303, GA, United States","In recent years, machine learning and deep
learning have become popular methods for financial data analysis, including
financial textual data, numerical data, and graphical data. One of the most popular
and complex deep learning in finance topics is future stock prediction. The
difficulty that causes the future stock forecast is that there are too many
different factors that affect the amplitude and frequency of the rise and fall of
stocks at the same time. Some of the company-specific factors that can affect the
share price like news releases on earnings and profits, future estimated earnings,
the announcement of dividends, introduction of a new product or a product recall,
secure a new large contract, employee layoffs, a major change of management,
anticipated takeover or merger, and accounting errors or scandals. Furthermore,
these factors are only company factors, and other factors affect the future trend
of stocks, such as industry performance, investor sentiment, and economic factors.
This paper proposes a novel deep learning approach to predict future stock
movement. The model employs a blending ensemble learning method to combine two
recurrent neural networks, followed by a fully connected neural network. In our
research, we use the S&P 500 Index as our test case. Our experiments show that our
blending ensemble deep learning model outperforms the best existing prediction
model substantially using the same dataset, reducing the mean-squared error from
438.94 to 186.32, a 57.55% reduction, increasing precision rate by 40%, recall by
50%, F1-score by 44.78%, and movement direction accuracy by 33.34%, respectively.
The purpose of this work is to explain our design philosophy and show that ensemble
deep learning technologies can truly predict future stock price trends more
effectively and can better assist investors in making the right investment decision
than other traditional methods. © 2021, The Author(s), under exclusive licence to
Springer Nature Switzerland AG.",Deep learning; Ensemble learning; Machine
learning; Statistical finance; Stock prediction,Blending; Costs; Electronic
trading; Employment; Financial markets; Forecasting; Investments; Mean square
error; Numerical methods; Predictive analytics; Recurrent neural networks; Ensemble
learning; Financial Data Analysis; Fully connected neural network; Investment
decisions; Investor sentiments; Learning technology; Mean squared error; Stock
predictions; Learning systems,,,,,,,"Islam M.D., Salam M., Hasan M.D., Factors
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Syst., (2019)","Y. Li; Department of Computer Science, Georgia State University,
Atlanta, 30303, United States; email: [email protected]",,Springer Science
and Business Media Deutschland GmbH,,,,,,2364415X,,,,English,Int. J. Data Sci.
Anal.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-85115058702
Krauss C.; Do X.A.; Huck N.,"Krauss, Christopher (57189242463); Do, Xuan Anh
(57192542526); Huck, Nicolas (25936271700)",57189242463; 57192542526;
25936271700,"Deep neural networks, gradient-boosted trees, random forests:
Statistical arbitrage on the S&P 500",2017,European Journal of Operational
Research,259,2,,689,702,13,396,10.1016/j.ejor.2016.10.031,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85006747541&doi=10.1016%2fj.ejor.2016.10.031&partnerID=40&md5=43373f9352e85afaf7cba
e1612e8935f,"Department of Statistics and Econometrics, University of Erlangen-
Nürnberg, Lange Gasse 20, Nürnberg, 90403, Germany; ICN Business School - CEREFIGE,
13 rue Michel Ney, Nancy, 54037, France","Krauss C., Department of Statistics and
Econometrics, University of Erlangen-Nürnberg, Lange Gasse 20, Nürnberg, 90403,
Germany; Do X.A., Department of Statistics and Econometrics, University of
Erlangen-Nürnberg, Lange Gasse 20, Nürnberg, 90403, Germany; Huck N., ICN Business
School - CEREFIGE, 13 rue Michel Ney, Nancy, 54037, France","In recent years,
machine learning research has gained momentum: new developments in the field of
deep learning allow for multiple levels of abstraction and are starting to
supersede well-known and powerful tree-based techniques mainly operating on the
original feature space. All these methods can be applied to various fields,
including finance. This paper implements and analyzes the effectiveness of deep
neural networks (DNN), gradient-boosted-trees (GBT), random forests (RAF), and
several ensembles of these methods in the context of statistical arbitrage. Each
model is trained on lagged returns of all stocks in the S&P 500, after elimination
of survivor bias. From 1992 to 2015, daily one-day-ahead trading signals are
generated based on the probability forecast of a stock to outperform the general
market. The highest k probabilities are converted into long and the lowest k
probabilities into short positions, thus censoring the less certain middle part of
the ranking. Empirical findings are promising. A simple, equal-weighted ensemble
(ENS1) consisting of one deep neural network, one gradient-boosted tree, and one
random forest produces out-of-sample returns exceeding 0.45 percent per day for
k=10, prior to transaction costs. Irrespective of the fact that profits are
declining in recent years, our findings pose a severe challenge to the semi-strong
form of market efficiency. © 2016 Elsevier B.V.",Deep learning; Ensemble learning;
Finance; Gradient-boosting; Random forests,Commerce; Decision trees; Finance;
Financial markets; Learning systems; Probability; Deep learning; Deep neural
networks; Ensemble learning; Gradient boosting; Machine learning research;
Probability forecasts; Random forests; Statistical arbitrage; Electronic
trading,,,,,,,"Aiolfi M., Timmermann A., Persistence in forecasting performance and
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[email protected]",,Elsevier B.V.,,,,,,3772217,,EJORD,,English,Eur J Oper
Res,Article,Final,,Scopus,2-s2.0-85006747541
Gandhmal D.P.; Kumar K.,"Gandhmal, Dattatray P. (57205063745); Kumar, K.
(7402676231)",57205063745; 7402676231,Systematic analysis and review of stock
market prediction techniques,2019,Computer Science
Review,34,,100190,,,,162,10.1016/j.cosrev.2019.08.001,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074265936&doi=10.1016%2fj.cosrev.2019.08.001&partnerID=40&md5=b185a99a4aec49defbd
c48c1c9711189,"School of Computer Science and Engineering, Vellore Institute of
Technology, Vellore, India","Gandhmal D.P., School of Computer Science and
Engineering, Vellore Institute of Technology, Vellore, India; Kumar K., School of
Computer Science and Engineering, Vellore Institute of Technology, Vellore,
India","Prediction of stock market trends is considered as an important task and is
of great attention as predicting stock prices successfully may lead to attractive
profits by making proper decisions. Stock market prediction is a major challenge
owing to non-stationary, blaring, and chaotic data, and thus, the prediction
becomes challenging among the investors to invest the money for making profits.
Several techniques are devised in the existing techniques to predict the stock
market trends. This work presents the detailed review of 50 research papers
suggesting the methodologies, like Bayesian model, Fuzzy classifier, Artificial
Neural Networks (ANN), Support Vector Machine (SVM) classifier, Neural Network
(NN), Machine Learning Methods and so on, based on stock market prediction. The
obtained papers are classified based on different prediction and clustering
techniques. The research gaps and the challenges faced by the existing techniques
are listed and elaborated, which help the researchers to upgrade the future works.
The works are analyzed using certain datasets, software tools, performance
evaluation measures, prediction techniques utilized, and performance attained by
different techniques. The commonly used technique for attaining effective stock
market prediction is ANN and the fuzzy-based technique. Even though a lot of
research efforts, the current stock market prediction technique still have many
limits. From this survey, it can be concluded that the stock market prediction is a
very complex task, and different factors should be considered for predicting the
future of the market more accurately and efficiently. © 2019 Elsevier Ltd. All
rights reserved.",ANN; Bayesian model; Classification; Clustering; Fuzzy
classifier; Stock market prediction,Bayesian networks; Classification (of
information); Commerce; Electronic trading; Financial markets; Forecasting; Fuzzy
neural networks; Fuzzy sets; Profitability; Support vector machines; Bayesian
model; Clustering; Clustering techniques; Fuzzy classifiers; Machine learning
methods; Prediction techniques; Stock market prediction; Systematic analysis;
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Rev.,Review,Final,,Scopus,2-s2.0-85074265936
Ahmed S.; Alshater M.M.; Ammari A.E.; Hammami H.,"Ahmed, Shamima (57696031700);
Alshater, Muneer M. (57219218652); Ammari, Anis El (55773265500); Hammami, Helmi
(10143556900)",57696031700; 57219218652; 55773265500; 10143556900,Artificial
intelligence and machine learning in finance: A bibliometric review,2022,Research
in International Business and
Finance,61,,101646,,,,137,10.1016/j.ribaf.2022.101646,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85129376013&doi=10.1016%2fj.ribaf.2022.101646&partnerID=40&md5=17544d7375b53b258239
d968eba783c2,"FinArchitect Australia Pte Ltd, Sydney, Australia; Faculty of
Business, Emirates College of Technology, Abu Dhabi, United Arab Emirates; Faculty
of Business, Philadelphia University, Amman, Jordan; University of Monastir,
Mahdia, 5111, Tunisia; Rennes School of Business, Rennes, France","Ahmed S.,
FinArchitect Australia Pte Ltd, Sydney, Australia; Alshater M.M., Faculty of
Business, Emirates College of Technology, Abu Dhabi, United Arab Emirates, Faculty
of Business, Philadelphia University, Amman, Jordan; Ammari A.E., University of
Monastir, Mahdia, 5111, Tunisia; Hammami H., Rennes School of Business, Rennes,
France","This study reviewed the artificial intelligence (AI) and machine learning
(ML) literature in the finance field. Using a bibliometric approach, we collected
348 articles published in 2011–2021 from journals indexed in the Scopus database.
Multiple software (RStudio, VOSviewer, and Excel) were employed to analyze the data
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blockchain. Moreover, the United States, China, and the United Kingdom were the top
three contributors to the literature. Our results provide practical guidance to
market participants, especially, fintech and finance companies, on how AI and ML
can be used in their decision-making. © 2022 Elsevier B.V.",Artificial
intelligence; Bibliometric; Finance; Machine learning,,,,,,,,"Abdou A.H., Alam
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Ahmed; FinArchitect Australia Pte Ltd, Sydney, Australia; email:
[email protected]; M.M. Alshater; Faculty of Business, Emirates College of
Technology, Abu Dhabi, United Arab Emirates; email: [email protected]; M.M.
Alshater; Faculty of Business, Philadelphia University, Amman, Jordan; email:
[email protected]",,Elsevier Ltd,,,,,,2755319,,,,English,Res. Int. Bus.
Financ.,Article,Final,,Scopus,2-s2.0-85129376013
Bloembergen D.; Tuyls K.; Hennes D.; Kaisers M.,"Bloembergen, Daan (55329452000);
Tuyls, Karl (23391251900); Hennes, Daniel (23090662800); Kaisers, Michael
(23090884100)",55329452000; 23391251900; 23090662800; 23090884100,Evolutionary
dynamics of multi-agent learning: A survey,2015,Journal of Artificial Intelligence
Research,53,,,659,697,38,233,10.1613/jair.4818,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84940397349&doi=10.1613%2fjair.4818&partnerID=40&md5=ff698002c1d3bfe1778441299688bf
02,"Department of Computer Science, University of Liverpool, Ashton Building,
Ashton Street, Liverpool, L69 3BX, United Kingdom; Advanced Concepts Team, European
Space Agency, Keplerlaan 1, AZ Noordwijk, 2201, Netherlands; Centrum Wiskunde and
Informatica, Science Park 123, XG Amsterdam, 1098, Netherlands","Bloembergen D.,
Department of Computer Science, University of Liverpool, Ashton Building, Ashton
Street, Liverpool, L69 3BX, United Kingdom; Tuyls K., Department of Computer
Science, University of Liverpool, Ashton Building, Ashton Street, Liverpool, L69
3BX, United Kingdom; Hennes D., Advanced Concepts Team, European Space Agency,
Keplerlaan 1, AZ Noordwijk, 2201, Netherlands; Kaisers M., Centrum Wiskunde and
Informatica, Science Park 123, XG Amsterdam, 1098, Netherlands","The interaction of
multiple autonomous agents gives rise to highly dynamic and nondeterministic
environments, contributing to the complexity in applications such as automated
financial markets, smart grids, or robotics. Due to the sheer number of situations
that may arise, it is not possible to foresee and program the optimal behaviour for
all agents beforehand. Consequently, it becomes essential for the success of the
system that the agents can learn their optimal behaviour and adapt to new
situations or circumstances. The past two decades have seen the emergence of
reinforcement learning, both in single and multiagent settings, as a strong, robust
and adaptive learning paradigm. Progress has been substantial, and a wide range of
algorithms are now available. An important challenge in the domain of multi-agent
learning is to gain qualitative insights into the resulting system dynamics. In the
past decade, tools and methods from evolutionary game theory have been successfully
employed to study multi-agent learning dynamics formally in strategic interactions.
This article surveys the dynamical models that have been derived for various multi-
agent reinforcement learning algorithms, making it possible to study and compare
them qualitatively. Furthermore, new learning algorithms that have been introduced
using these evolutionary game theoretic tools are reviewed. The evolutionary models
can be used to study complex strategic interactions. Examples of such analysis are
given for the domains of automated trading in stock markets and collision avoidance
in multi-robot systems. The paper provides a roadmap on the progress that has been
achieved in analysing the evolutionary dynamics of multi-agent learning by
highlighting the main results and accomplishments. © 2015 AI Access Foundation. All
rights reserved.",,Autonomous agents; Commerce; Electronic trading; Evolutionary
algorithms; Financial markets; Game theory; Machine learning; Multi agent systems;
Multipurpose robots; Reinforcement learning; Surveys; Evolutionary dynamics;
Evolutionary game theory; Evolutionary models; Multi-agent learning; Multi-agent
reinforcement learning; Multi-agent setting; Multi-robot systems; Strategic
interactions; Learning algorithms,,,,,,,"Abdallah S., Kaisers M., Addressing the
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Learning (ICML-2003), (2003)",,,AI Access
Foundation,,,,,,10769757,,JAIRF,,English,J Artif Intell Res,Review,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-84940397349
Zhang K.; Zhong G.; Dong J.; Wang S.; Wang Y.,"Zhang, Kang (57209417998); Zhong,
Guoqiang (56393836400); Dong, Junyu (22634069200); Wang, Shengke (23390909900);
Wang, Yong (57203486588)",57209417998; 56393836400; 22634069200; 23390909900;
57203486588,Stock Market Prediction Based on Generative Adversarial
Network,2019,Procedia Computer
Science,147,,,400,406,6,203,10.1016/j.procs.2019.01.256,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85066019647&doi=10.1016%2fj.procs.2019.01.256&partnerID=40&md5=9fae0bb4a89cd2685930
c41ab5781d92,"Department of Computer Science and Technology, Ocean University of
China, Qingdao, 266100, China","Zhang K., Department of Computer Science and
Technology, Ocean University of China, Qingdao, 266100, China; Zhong G., Department
of Computer Science and Technology, Ocean University of China, Qingdao, 266100,
China; Dong J., Department of Computer Science and Technology, Ocean University of
China, Qingdao, 266100, China; Wang S., Department of Computer Science and
Technology, Ocean University of China, Qingdao, 266100, China; Wang Y., Department
of Computer Science and Technology, Ocean University of China, Qingdao, 266100,
China","Deep learning has recently achieved great success in many areas due to its
strong capacity in data process. For instance, it has been widely used in financial
areas such as stock market prediction, portfolio optimization, financial
information processing and trade execution strategies. Stock market prediction is
one of the most popular and valuable area in finance. In this paper, we propose a
novel architecture of Generative Adversarial Network (GAN) with the Multi-Layer
Perceptron (MLP) as the discriminator and the Long Short-Term Memory (LSTM) as the
generator for forecasting the closing price of stocks. The generator is built by
LSTM to mine the data distributions of stocks from given data in stock market and
generate data in the same distributions, whereas the discriminator designed by MLP
aims to discriminate the real stock data and generated data. We choose the daily
data on S&P 500 Index and several stocks in a wide range of trading days and try to
predict the daily closing price. Experimental results show that our novel GAN can
get a promising performance in the closing price prediction on the real data
compared with other models in machine learning and deep learning. © 2019 The
Author(s).",Data Mining; Deep Learning; Generative Adversarial Networks; Stock
Prediction,Commerce; Data mining; Deep learning; Financial data processing;
Financial markets; Forecasting; Internet of things; Adversarial networks; Data
distribution; Multi layer perceptron; Novel architecture; Portfolio optimization;
Price prediction; Stock market prediction; Stock predictions; Long short-term
memory,,,,,"CERNET Innovation Project, (NGII20170416); Science and Technology
Program of Qingdao, (17-3-3-20-nsh); National Natural Science Foundation of China,
NSFC, (61170312, 61633021); State Key Laboratory of Software Engineering, SKLSE,
(SKLSE2012-09-14); National Key Research and Development Program of China, NKRDPC,
(2016YFC1401004); Fundamental Research Funds for the Central Universities","This
work was supported by the National Key R&D Program of China under Grant
2016YFC1401004, the National Natural Science Foundation of China (NSFC) under Grant
No. 61170312 and 61633021, the Science and Technology Program of Qingdao under
Grant No. 17-3-3-20-nsh, the CERNET Innovation Project under Grant No.
NGII20170416, the State Key Laboratory of Software Engineering under Grant No.
SKLSE2012-09-14, and the Fundamental Research Funds for the Central Universities of
China.","Areekul P., Senjyu T., Toyama H., Yona A., A hybrid arima and neural
network model for short-term price forecasting in deregulated market, IEEE
Transactions on Power Systems Pwrs, (2010); Box G.E.P., Jenkins G.M., Time series
analysis: Forecasting and control, Journal of Time, 31, pp. 238-242, (1976);
Chandar S.K., Sumathi M., Sivanandam S.N., Prediction of stock market price using
hybrid of wavelet transform and artificial neural network, Indian Journal of
Science & Technology, 9, (2016); Ding X., Zhang Y., Liu T., Duan J., Deep learning
for event-driven stock prediction, Proceedings of the Twenty-Fourth International
Joint Conference on Artificial Intelligence, IJCAI 2015, pp. 2327-2333, (2015);
Goodfellow I.J., Pouget-Abadie J., Mirza M., Xu B., Warde-Farley D., Ozair S.,
Courville A.C., Bengio Y., Generative adversarial nets, Advances in Neural
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scale feature extractions with svms for stock index forecasting, Neural Information
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of the 29th International Conference on Machine Learning, ICML 2012, (2012);
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Business Informatics, CBI 2017, 1, pp. 7-12, (2017)","G. Zhong; Department of
Computer Science and Technology, Ocean University of China, Qingdao, 266100, China;
email: [email protected]",Bie R.; Yu J.; Sun Y.,Elsevier B.V.,,"7th International
Conference on Identification, Information and Knowledge in the Internet of Things,
IIKI 2018",19 October 2018 through 21 October
2018,Beijing,147937,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85066019647
Moghar A.; Hamiche M.,"Moghar, Adil (57216967717); Hamiche, Mhamed
(57207842123)",57216967717; 57207842123,Stock Market Prediction Using LSTM
Recurrent Neural Network,2020,Procedia Computer
Science,170,,,1168,1173,5,296,10.1016/j.procs.2020.03.049,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085543372&doi=10.1016%2fj.procs.2020.03.049&partnerID=40&md5=154871f4aeed0ec31d6f
59268fc7b33a,"University Abdelmalek, Essaadi, Morocco","Moghar A., University
Abdelmalek, Essaadi, Morocco; Hamiche M., University Abdelmalek, Essaadi,
Morocco","It has never been easy to invest in a set of assets, the abnormally of
financial market does not allow simple models to predict future asset values with
higher accuracy. Machine learning, which consist of making computers perform tasks
that normally requiring human intelligence is currently the dominant trend in
scientific research. This article aims to build a model using Recurrent Neural
Networks (RNN) and especially Long-Short Term Memory model (LSTM) to predict future
stock market values. The main objective of this paper is to see in which precision
a Machine learning algorithm can predict and how much the epochs can improve our
model. © 2020 The Authors. Published by Elsevier B.V.All rights
reserved.",forecasting; Long Short-Term Memory; prediction; Recurrent Neural
Network; Stock Market,Commerce; Electronic trading; Financial markets; Fintech;
Forecasting; Industry 4.0; Investments; Learning algorithms; Machine learning;
Asset value; Human intelligence; Market values; Recurrent neural network (RNN);
Scientific researches; Short term memory; Stock market prediction; Long short-term
memory,,,,,,,"Batres-Estrada B., Deep Learning for Multivariate Financial Time
Series, (2015); Emerson S., Kennedy R., O'Shea L., O'Brien J., Trends and
applications of machine learning in quantitative finance, 8th International
Conference on Economics and Finance Research (ICEFR 2019), (2019); Heaton J.B.,
Polson N.G., Witte J.H., Deep learning for finance: Deep portfolios, Applied
Stochastic Models in Business and Industry, 33, 1, pp. 3-12, (2017); Moritz B.,
Zimmermann T., Tree-based Conditional Portfolio Sorts: The Relation between Past
and Future Stock Returns, (2016); Olah C., Understanding Lstm Networks-colah's
Blog. Colah. Github. Io, (2015); Paiva F.D., Cardoso R.T.N., Hanaoka G.P., Duarte
W.M., Decision-Making for financial trading: A fusion approach of machine learning
and portfolio selection, Expert Systems with Applications, (2018); Patterson J.,
Deep Learning: A Practitioner's Approach, (2017); Siami-Namini S., Namin A.S.,
Forecasting economics and financial time series: Arima vs. Lstm. ArXiv preprint
arXiv:1803.06386, (2018); Takeuchi L., Lee Y.Y.A., Applying deep learning to
enhance momentum trading strategies in stocks, Technical Report, (2013); Wang S.,
Luo Y., Signal processing: The rise of the machines, Deutsche Bank Quantitative
Strategy, (2012)","A. Moghar; University Abdelmalek, Essaadi, Morocco; email:
[email protected]",Shakshuki E.; Yasar A.-U.-H.,Elsevier B.V.,,"11th
International Conference on Ambient Systems, Networks and Technologies, ANT 2020 /
3rd International Conference on Emerging Data and Industry 4.0, EDI40 2020 /
Affiliated Workshops",6 April 2020 through 9 April
2020,Warsaw,159934,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85085543372
Nti I.K.; Adekoya A.F.; Weyori B.A.,"Nti, Isaac Kofi (57210637914); Adekoya,
Adebayo Felix (37088311400); Weyori, Benjamin Asubam (34973460500)",57210637914;
37088311400; 34973460500,A systematic review of fundamental and technical analysis
of stock market predictions,2020,Artificial Intelligence
Review,53,4,,3007,3057,50,232,10.1007/s10462-019-09754-z,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071154712&doi=10.1007%2fs10462-019-09754-
z&partnerID=40&md5=eb86c690a105b5dd1b36dcdae78799f4,"Department of Computer
Science, Sunyani Technical University, Sunyani, Ghana; Department of Computer
Science and Informatics, University of Energy and Natural Resources, Sunyani,
Ghana","Nti I.K., Department of Computer Science, Sunyani Technical University,
Sunyani, Ghana, Department of Computer Science and Informatics, University of
Energy and Natural Resources, Sunyani, Ghana; Adekoya A.F., Department of Computer
Science and Informatics, University of Energy and Natural Resources, Sunyani,
Ghana; Weyori B.A., Department of Computer Science and Informatics, University of
Energy and Natural Resources, Sunyani, Ghana","The stock market is a key pivot in
every growing and thriving economy, and every investment in the market is aimed at
maximising profit and minimising associated risk. As a result, numerous studies
have been conducted on the stock-market prediction using technical or fundamental
analysis through various soft-computing techniques and algorithms. This study
attempted to undertake a systematic and critical review of about one hundred and
twenty-two (122) pertinent research works reported in academic journals over
11 years (2007–2018) in the area of stock market prediction using machine learning.
The various techniques identified from these reports were clustered into three
categories, namely technical, fundamental, and combined analyses. The grouping was
done based on the following criteria: the nature of a dataset and the number of
data sources used, the data timeframe, the machine learning algorithms used,
machine learning task, used accuracy and error metrics and software packages used
for modelling. The results revealed that 66% of documents reviewed were based on
technical analysis; whiles 23% and 11% were based on fundamental analysis and
combined analyses, respectively. Concerning the number of data source, 89.34% of
documents reviewed, used single sources; whiles 8.2% and 2.46% used two and three
sources respectively. Support vector machine and artificial neural network were
found to be the most used machine learning algorithms for stock market prediction.
© 2019, Springer Nature B.V.",Artificial intelligence; Ensemble; Fundamental-
analysis; Machine-learning; Stock-prediction; Technical-analysis,Artificial
intelligence; Commerce; Electronic trading; Financial markets; Forecasting;
Investments; Learning systems; Machine learning; Neural networks; Soft computing;
Support vector machines; Combined analysis; Ensemble; Fundamental analysis;
Softcomputing techniques; Stock market prediction; Stock predictions; Systematic
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Syst Appl, 40, 14, pp. 5501-5506, (2013); Tsai C.-F., Hsiao Y.-C., Combining
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opinion mining to analyze news for stock market prediction, Int J Adv Soft Comput
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stock prediction modeling, Neurocomputing, 142, pp. 48-59, (2014); Zhang X., Et
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Stock in China: Volatility, Causality and Prediction, (2017); Zhou X., Et al.,
Stock market prediction on high frequency data using generative adversarial nets,
Math Probl Eng, 2018, pp. 1-12, (2018)","I.K. Nti; Department of Computer Science,
Sunyani Technical University, Sunyani, Ghana; email:
[email protected]",,Springer,,,,,,2692821,,AIRVE,,English,Artif Intell
Rev,Article,Final,,Scopus,2-s2.0-85071154712
Day M.-Y.; Lee C.-C.,"Day, Min-Yuh (14031006200); Lee, Chia-Chou
(57192545763)",14031006200; 57192545763,Deep learning for financial sentiment
analysis on finance news providers,2016,"Proceedings of the 2016 IEEE/ACM
International Conference on Advances in Social Networks Analysis and Mining, ASONAM
2016",,,7752381,1127,1134,7,116,10.1109/ASONAM.2016.7752381,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85006762277&doi=10.1109%2fASONAM.2016.7752381&partnerID=40&md5=5c860a834a664936864e
5bdb8840ebcc,"Department of Information Management, Tamkang University,
Taiwan","Day M.-Y., Department of Information Management, Tamkang University,
Taiwan; Lee C.-C., Department of Information Management, Tamkang University,
Taiwan","Investors have always been interested in stock price forecasting. Since
the development of electronic media, hundreds pieces of financial news are released
on different media every day. Numerous studies have attempted to examine whether
the stock price forecasting through text mining technology and machine learning
could lead to abnormal returns. However, few of them involved the discussion on
whether using different media could affect forecasting results. Financial sentiment
analysis is an important research area of financial technology (FinTech). This
research focuses on investigating the influence of using different financial
resources to investment and how to improve the accuracy of forecasting through deep
learning. The experimental result shows various financial resources have
significantly different effects to investors and their investments, while the
accuracy of news categorization could be improved through deep learning. © 2016
IEEE.",Deep Learning; Finance News Providers; Financial Sentiment Analysis;
Financial Technology (FinTech); Stock Prediction,Data mining; Engineering
education; Financial markets; Forecasting; Investments; Learning systems; Natural
language processing systems; Deep learning; Different effects; Electronic media;
Financial resources; Financial Technology (FinTech); Sentiment analysis; Stock
predictions; Stock price forecasting; Finance,,,,,"Tamkang University, TKU",This
research was supported in part by Tamkang University (TKU) research grant,"Li Q.,
Wang T., Li P., Liu L., Gong Q., Chen Y., The effect of news and public mood on
stock movements, Information Sciences, 278, pp. 826-840, (2014); Loughran T.,
McDonald B., When is a liability not a liability Textual analysis, dictionaries,
and 10Ks, The Journal of Finance, 66, 1, pp. 35-65, (2011); Lin I., Creating and
Verifying Sentiment Dictionary of Finance and Economics Via Financial, pp. 1-60,
(2013); Sullivan D., Document Warehousing and Text Mining: Techniques for Improving
Business Operations, Marketing, and Sales, (2001); Dong Z., Dong Q., HowNet and the
Computation of Meaning: World Scientific, (2006); Ku L.W., Chen H.H., Mining
opinions from the Web: Beyond relevance retrieval, Journal of the American Society
for Information Science and Technology, 58, 12, pp. 1838-1850, (2007); Ou J.A.,
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Events: An Analysis of Keywords and Indexical Names; Hinton G.E., Salakhutdinov
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of Innovations & Advancement in Computer Science, (2015)",,Kumar R.; Caverlee J.;
Tong H.,Institute of Electrical and Electronics Engineers Inc.,ACM SIGMOD;
Association for Computing Machinery (ACM); et al.; IEEE; IEEE Computer Society;
IEEE TCDE,"2016 IEEE/ACM International Conference on Advances in Social Networks
Analysis and Mining, ASONAM 2016",18 August 2016 through 21 August 2016,San
Francisco,125031,,978-150902846-7,,,English,"Proc. IEEE/ACM Int. Conf. Adv. Soc.
Netw. Anal. Min., ASONAM",Conference paper,Final,,Scopus,2-s2.0-85006762277
Hosaka T.,"Hosaka, Tadaaki (34770029100)",34770029100,Bankruptcy prediction using
imaged financial ratios and convolutional neural networks,2019,Expert Systems with
Applications,117,,,287,299,12,179,10.1016/j.eswa.2018.09.039,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85054193476&doi=10.1016%2fj.eswa.2018.09.039&partnerID=40&md5=1caf67dfdb1dbc546822f
e55721cbd2d,"Tokyo University of Science, 1-11-2 Fujimi, Chiyoda City, Tokyo,
Japan","Hosaka T., Tokyo University of Science, 1-11-2 Fujimi, Chiyoda City, Tokyo,
Japan","Convolutional neural networks are being applied to identification problems
in a variety of fields, and in some areas are showing higher discrimination
accuracies than conventional methods. However, applications of convolutional neural
networks to financial analyses have only been reported in a small number of studies
on the prediction of stock price movements. The reason for this seems to be that
convolutional neural networks are more suitable for application to images and less
suitable for general numerical data including financial statements. Hence, in this
research, an attempt is made to apply a convolutional neural network to the
prediction of corporate bankruptcy, which in most cases is treated as a two-class
classification problem. We use the financial statements (balance sheets and profit-
and-loss statements) of 102 companies that have been delisted from the Japanese
stock market due to de facto bankruptcy as well as the financial statements of 2062
currently listed companies over four financial periods. In our proposed method, a
set of financial ratios are derived from the financial statements and represented
as a grayscale image. The image generated by this process is utilized for training
and testing a convolutional neural network. Moreover, the size of the dataset is
increased using the weighted averages to create synthetic data points. A total of
7520 images for the bankrupt and continuing enterprises classes are used for
training the convolutional neural network based on GoogLeNet. Bankruptcy
predictions through the trained network are shown to have a higher performance
compared to methods using decision trees, linear discriminant analysis, support
vector machines, multi-layer perceptron, AdaBoost, or Altman's Z′′-score. © 2018
Elsevier Ltd",Business failure; Deep learning; Financial statement;
Imaging,Adaptive boosting; Convolution; Decision trees; Deep learning; Discriminant
analysis; Financial markets; Forecasting; Imaging techniques; Neural networks;
Plant shutdowns; Business failure; Convolutional neural network; Discrimination
accuracy; Financial statements; Linear discriminant analysis; Multi layer
perceptron; Profit and loss statement; Two-class classification problems;
Electronic trading,,,,,"Japan Society for the Promotion of Science, JSPS,
(15K21395)",This research was supported by Japan Society for the Promotion of
Science KAKENHI grant number 15K21395 . ,"Aggarwal S., Aggarwal S., Deep
investment in financial markets using deep learning models, International Journal
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Financial ratios, discriminant analysis and the prediction of corporate bankruptcy,
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Yue J., Rao Y., A deep learning framework for financial time series using stacked
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neural language models, Proceedings of the 31st International Conference on Machine
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on artificial intelligence (PRICAI), pp. 759-769, (2014)",,,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85054193476
Kontokosta C.E.; Tull C.,"Kontokosta, Constantine E. (55070914600); Tull,
Christopher (24077511600)",55070914600; 24077511600,A data-driven predictive model
of city-scale energy use in buildings,2017,Applied
Energy,197,,,303,317,14,196,10.1016/j.apenergy.2017.04.005,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85018463769&doi=10.1016%2fj.apenergy.2017.04.005&partnerID=40&md5=b14d8dfe0e29d6430
0ef23192ef40c09,"Center for Urban Science and Progress & Tandon School of
Engineering, New York University, 1 Metrotech Center, 19th Floor, Brooklyn, 11201,
NY, United States; Center for Urban Science and Progress, New York University, 1
Metrotech Center, 19th Floor, Brooklyn, 11201, NY, United States","Kontokosta C.E.,
Center for Urban Science and Progress & Tandon School of Engineering, New York
University, 1 Metrotech Center, 19th Floor, Brooklyn, 11201, NY, United States;
Tull C., Center for Urban Science and Progress, New York University, 1 Metrotech
Center, 19th Floor, Brooklyn, 11201, NY, United States","Many cities across the
United States have turned to building energy disclosure (or benchmarking) laws to
encourage transparency in energy efficiency markets and to support sustainability
and carbon reduction plans. In addition to direct peer-to-peer comparisons, the
benchmarking data published under these laws have been used as a tool by
researchers and policy-makers to study the distribution and determinants of energy
use in large buildings. However, these policies only cover a small subset of the
building stock in a given city, and thus capture only a fraction of energy use at
the urban scale. To overcome this limitation, we develop a predictive model of
energy use at the building, district, and city scales using training data from
energy disclosure policies and predictors from widely-available property and zoning
information. We use statistical models to predict the energy use of 1.1 million
buildings in New York City using the physical, spatial, and energy use attributes
of a subset derived from 23,000 buildings required to report energy use data each
year. Linear regression (OLS), random forest, and support vector regression (SVM)
algorithms are fit to the city's energy benchmarking data and then used to predict
electricity and natural gas use for every property in the city. Model accuracy is
assessed and validated at the building level and zip code level using actual
consumption data from calendar year 2014. We find the OLS model performs best when
generalizing to the City as a whole, and SVM results in the lowest mean absolute
error for predicting energy use within the LL84 sample. Our median predicted
electric energy use intensity for office buildings is 71.2 kbtu/sf and for
residential buildings is 31.2 kbtu/sf with mean absolute log accuracy ratio of
0.17. Building age is found to be a significant predictor of energy use, with newer
buildings (particularly those built since 1991) found to have higher consumption
levels than those constructed before 1930. We also find higher electric consumption
in office and retail buildings, although the sign is reversed for natural gas. In
general, larger buildings use less energy per square foot, while taller buildings
with more stories, controlling for floor area, use more energy per square foot.
Attached buildings – those with adjacent buildings and a shared party wall – are
found to have lower natural gas use intensity. The results demonstrate that
electricity consumption can be reliably predicted using actual data from a
relatively small subset of buildings, while natural gas use presents a more
complicated problem given the bimodal distribution of consumption and
infrastructure availability. © 2017 Elsevier Ltd",Building energy; Energy
efficiency; Energy prediction; Machine learning; Urban dynamics,New York [New York
(STT)]; New York [United States]; United States; Benchmarking; Buildings; Carbon;
Decision trees; Energy utilization; Forecasting; Learning systems; Natural gas;
Office buildings; Urban planning; Bimodal distribution; Building energy;
Electricity-consumption; Energy prediction; Energy use in buildings; Residential
building; Support vector regression (SVR); Urban dynamics; algorithm; benchmarking;
building; data processing; electricity; emission control; energy efficiency; energy
use; model test; natural gas; prediction; regression analysis; statistical
analysis; support vector machine; sustainability; urban area; Energy
efficiency,,,,,"New York City Mayor's Office of Sustainability; National Science
Foundation, NSF, (1653772)",The authors would like to thank the New York City
Mayor's Office of Sustainability for providing the data necessary for this
research. This material is based upon work supported by the National Science
Foundation under Grant No. 1653772.,"Bassett E., Shandas V., Innovation and climate
action planning: perspectives from municipal plans, J Am Plann Assoc, 76, 4, pp.
435-450, (2010); Kontokosta C.E., Greening the regulatory landscape: the spatial
and temporal diffusion of green building policies in US cities, J Sustain Real
Estate, 3, 1, pp. 68-90, (2011); Kontokosta C.E., Energy disclosure, market
behavior, and the building data ecosystem, Ann N Y Acad Sci, 1295, 1, pp. 34-43,
(2013); Wheeler S.M., State and municipal climate change plans: the first
generation, J Am Plann Assoc, 74, 4, pp. 481-496, (2008); City of New York, New
York City Local Law 84 Benchmarking Report, August 2012, (2012); City of New York,
New York City Local Law 84 Benchmarking Report, September 2013, (2013); City of New
York, New York City Local Law 84 Benchmarking Report, 2014, (2014); Kontokosta
C.E., A market-specific methodology for a commercial building energy performance
index, J Real Estate Financ Econ, 51, 2, pp. 288-316, (2015); Dhakal S., Urban
energy use and carbon emissions from cities in China and policy implications,
Energy Policy, 37, 11, pp. 4208-4219, (2009); Bennett M., Newborough M., Auditing
energy use in cities, Energy Policy, 29, 2, pp. 125-134, (2001); Lin J., Cao B.,
Cui S., Wang W., Bai X., Evaluating the effectiveness of urban energy conservation
and GHG mitigation measures: the case of Xiamen city, China, Energy Policy, 38, 9,
pp. 5123-5132, (2010); Brownsword R.A., Fleming P.D., Powell J.C., Pearsall N.,
Sustainable cities–modelling urban energy supply and demand, Appl Energy, 82, 2,
pp. 167-180, (2005); Kontokosta C., (2012); Heiple S., Sailor D.J., Using building
energy simulation and geospatial modeling techniques to determine high resolution
building sector energy consumption profiles, Energy Build, 40, 8, pp. 1426-1436,
(2008); Touchie M.F., Binkley C., Pressnail K.D., Correlating energy consumption
with multi-unit residential building characteristics in the city of Toronto, Energy
Build, 66, pp. 648-656, (2013); Kavgic M., Mumovic D., Summerfield A., Stevanovic
Z., Ecim-Djuric O., Uncertainty and modeling energy consumption: sensitivity
analysis for a city-scale domestic energy model, Energy Build, 60, pp. 1-11,
(2013); Keirstead J., Jennings M., Sivakumar A., A review of urban energy system
models: approaches, challenges and opportunities, Renew Sustain Energy Rev, 16, 6,
pp. 3847-3866, (2012); Howard B., Parshall L., Thompson J., Hammer S., Dickinson
J., Modi V., Spatial distribution of urban building energy consumption by end use,
Energy Build, 45, pp. 141-151, (2012); Ewing R., Rong F., The impact of urban form
on US residential energy use, Housing Policy Debate, 19, 1, pp. 1-30, (2008); Zhao
H.X., Magoules F., A review on the prediction of building energy consumption, Renew
Sustain Energy Rev, 16, 6, pp. 3586-3592, (2012); Marasco D.E., Kontokosta C.E.,
Applications of machine learning methods to identifying and predicting building
retrofit opportunities, Energy Build, 128, pp. 431-441, (2016); Baker K.J., Rylatt
R.M., Improving the prediction of UK domestic energy-demand using annual
consumption-data, Appl Energy, 85, 6, pp. 475-482, (2008); Hsu D., How much
information disclosure of building energy performance is necessary?, Energy Policy,
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learning: data mining, inference, and prediction, 2, (2009)",,,Elsevier
Ltd,,,,,,3062619,,APEND,,English,Appl. Energy,Article,Final,All Open Access; Bronze
Open Access,Scopus,2-s2.0-85018463769
Kraus M.; Feuerriegel S.,"Kraus, Mathias (57196032478); Feuerriegel, Stefan
(53881265200)",57196032478; 53881265200,Decision support from financial disclosures
with deep neural networks and transfer learning,2017,Decision Support
Systems,104,,,38,48,10,224,10.1016/j.dss.2017.10.001,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85031095253&doi=10.1016%2fj.dss.2017.10.001&partnerID=40&md5=254a7780c757298d231dc1
9792dd5f4f,"Chair for Information Systems Research, University of Freiburg, Platz
der Alten Synagoge, Freiburg, 79098, Germany; ETH Zurich, Weinbergstr. 56/58,
Zurich, 8092, Switzerland","Kraus M., Chair for Information Systems Research,
University of Freiburg, Platz der Alten Synagoge, Freiburg, 79098, Germany;
Feuerriegel S., Chair for Information Systems Research, University of Freiburg,
Platz der Alten Synagoge, Freiburg, 79098, Germany, ETH Zurich, Weinbergstr. 56/58,
Zurich, 8092, Switzerland","Company disclosures greatly aid in the process of
financial decision-making; therefore, they are consulted by financial investors and
automated traders before exercising ownership in stocks. While humans are usually
able to correctly interpret the content, the same is rarely true of computerized
decision support systems, which struggle with the complexity and ambiguity of
natural language. A possible remedy is represented by deep learning, which
overcomes several shortcomings of traditional methods of text mining. For instance,
recurrent neural networks, such as long short-term memories, employ hierarchical
structures, together with a large number of hidden layers, to automatically extract
features from ordered sequences of words and capture highly non-linear
relationships such as context-dependent meanings. However, deep learning has only
recently started to receive traction, possibly because its performance is largely
untested. Hence, this paper studies the use of deep neural networks for financial
decision support. We additionally experiment with transfer learning, in which we
pre-train the network on a different corpus with a length of 139.1 million words.
Our results reveal a higher directional accuracy as compared to traditional machine
learning when predicting stock price movements in response to financial
disclosures. Our work thereby helps to highlight the business value of deep
learning and provides recommendations to practitioners and executives. © 2017
Elsevier B.V.",Decision support; Deep learning; Financial news; Machine learning;
Text mining; Transfer learning,Decision making; Decision support systems; Deep
neural networks; Electronic trading; Financial markets; Learning systems; Long
short-term memory; Multilayer neural networks; Natural language processing systems;
Text mining; Transfer learning; Computerized decision; Decision supports; Financial
decision support; Financial disclosure; Financial news; Hierarchical structures;
Non-linear relationships; Stock price movements; Deep learning,,,,,,,"Fama E.F.,
The behavior of stock-market prices, J. Bus., 38, pp. 34-105, (1965); Fisher I.E.,
Garnsey M.R., Hughes M.E., Natural language processing in accounting, auditing and
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sentiment in finance: a survey of methods and models, Int. Rev. Financ. Anal., 33,
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B., Textual analysis in accounting and finance: a survey, J. Account. Res., 54, pp.
1187-1230, (2016); Feuerriegel S., Prendinger H., News-based trading strategies,
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1139-1168, (2007)","M. Kraus; Chair for Information Systems Research, University of
Freiburg, Freiburg, Platz der Alten Synagoge, 79098, Germany; email:
[email protected]",,Elsevier
B.V.,,,,,,1679236,,DSSYD,,English,Decis Support Syst,Article,Final,All Open
Access; Green Open Access,Scopus,2-s2.0-85031095253
Nti I.K.; Adekoya A.F.; Weyori B.A.,"Nti, Isaac Kofi (57210637914); Adekoya,
Adebayo Felix (37088311400); Weyori, Benjamin Asubam (34973460500)",57210637914;
37088311400; 34973460500,A comprehensive evaluation of ensemble learning for stock-
market prediction,2020,Journal of Big Data,7,1,20,,,,163,10.1186/s40537-020-00299-
5,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85081721356&doi=10.1186%2fs40537-020-00299-
5&partnerID=40&md5=5e37afa5d27763ee1700d40932846dea,"Department of Computer Science
and Informatics, University of Energy and Natural Resources, Sunyani, Ghana;
Department of Computer Science, Sunyani Technical University, Sunyani, Ghana","Nti
I.K., Department of Computer Science and Informatics, University of Energy and
Natural Resources, Sunyani, Ghana, Department of Computer Science, Sunyani
Technical University, Sunyani, Ghana; Adekoya A.F., Department of Computer Science
and Informatics, University of Energy and Natural Resources, Sunyani, Ghana; Weyori
B.A., Department of Computer Science and Informatics, University of Energy and
Natural Resources, Sunyani, Ghana","Stock-market prediction using machine-learning
technique aims at developing effective and efficient models that can provide a
better and higher rate of prediction accuracy. Numerous ensemble regressors and
classifiers have been applied in stock market predictions, using different
combination techniques. However, three precarious issues come in mind when
constructing ensemble classifiers and regressors. The first concerns with the
choice of base regressor or classifier technique adopted. The second concerns the
combination techniques used to assemble multiple regressors or classifiers and the
third concerns with the quantum of regressors or classifiers to be ensembled.
Subsequently, the number of relevant studies scrutinising these previously
mentioned concerns are limited. In this study, we performed an extensive
comparative analysis of ensemble techniques such as boosting, bagging, blending and
super learners (stacking). Using Decision Trees (DT), Support Vector Machine (SVM)
and Neural Network (NN), we constructed twenty-five (25) different ensembled
regressors and classifiers. We compared their execution times, accuracy, and error
metrics over stock-data from Ghana Stock Exchange (GSE), Johannesburg Stock
Exchange (JSE), Bombay Stock Exchange (BSE-SENSEX) and New York Stock Exchange
(NYSE), from January 2012 to December 2018. The study outcome shows that stacking
and blending ensemble techniques offer higher prediction accuracies (90–100%) and
(85.7–100%) respectively, compared with that of bagging (53–97.78%) and boosting
(52.7–96.32%). Furthermore, the root means square error (RMSE) recorded by stacking
(0.0001–0.001) and blending (0.002–0.01) shows a better fit of ensemble classifiers
and regressors based on these two techniques in market analyses compared with
bagging (0.01–0.11) and boosting (0.01–0.443). Finally, the results undoubtedly
suggest that an innovative study in the domain of stock market direction prediction
ought to include ensemble techniques in their sets of algorithms. © 2020, The
Author(s).",Artificial intelligence; Blending; Ensemble-classifiers; Ensemble-
regressors; Machine-learning; Predictions; Stacking,Adaptive boosting; Commerce;
Decision trees; Electronic trading; Financial markets; Forecasting; Learning
systems; Support vector machines; Comprehensive evaluation; Ensemble learning;
Ensemble techniques; Ensemble-classifier; Ensemble-regressor; Machine-learning;
Prediction accuracy; Stackings; Stock exchange; Stock market prediction;
Blending,,,,,,,"Nti I.K., Adekoya A.F., Weyori B.A., A systematic review of
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Learning Algorithm, (2018)","I.K. Nti; Department of Computer Science and
Informatics, University of Energy and Natural Resources, Sunyani, Ghana; email:
[email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,21961115,,,,English,J. Big Data,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85081721356
Nelson D.M.Q.; Pereira A.C.M.; De Oliveira R.A.,"Nelson, David M. Q. (57196020567);
Pereira, Adriano C. M. (35579191200); De Oliveira, Renato A.
(57196021827)",57196020567; 35579191200; 57196021827,Stock market's price movement
prediction with LSTM neural networks,2017,Proceedings of the International Joint
Conference on Neural
Networks,2017-May,,7966019,1419,1426,7,580,10.1109/IJCNN.2017.7966019,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85031022947&doi=10.1109%2fIJCNN.2017.7966019&partnerID=40&md5=80610795bfcddb3a55fc7
ddfbb77b657,"Departamento de Ciencia da Computação (DCC), Universidade Federal de
Minas Gerais (UFMG), Belo Horizonte - MG, Brazil","Nelson D.M.Q., Departamento de
Ciencia da Computação (DCC), Universidade Federal de Minas Gerais (UFMG), Belo
Horizonte - MG, Brazil; Pereira A.C.M., Departamento de Ciencia da Computação
(DCC), Universidade Federal de Minas Gerais (UFMG), Belo Horizonte - MG, Brazil; De
Oliveira R.A., Departamento de Ciencia da Computação (DCC), Universidade Federal de
Minas Gerais (UFMG), Belo Horizonte - MG, Brazil","Predictions on stock market
prices are a great challenge due to the fact that it is an immensely complex,
chaotic and dynamic environment. There are many studies from various areas aiming
to take on that challenge and Machine Learning approaches have been the focus of
many of them. There are many examples of Machine Learning algorithms been able to
reach satisfactory results when doing that type of prediction. This article studies
the usage of LSTM networks on that scenario, to predict future trends of stock
prices based on the price history, alongside with technical analysis indicators.
For that goal, a prediction model was built, and a series of experiments were
executed and theirs results analyzed against a number of metrics to assess if this
type of algorithm presents and improvements when compared to other Machine Learning
methods and investment strategies. The results that were obtained are promising,
getting up to an average of 55.9% of accuracy when predicting if the price of a
particular stock is going to go up or not in the near future. © 2017
IEEE.",,Artificial intelligence; Commerce; Costs; Electronic trading; Finance;
Financial markets; Forecasting; Investments; Learning algorithms; Learning systems;
Dynamic environments; Investment strategy; Machine learning approaches; Machine
learning methods; Prediction model; Price movement; Stock market prices; Technical
analysis; Motion estimation,,,,,"Brazilian National Institute of Science and
Technology; EUBra-BIGSEA, (690116, GA-000650/04); FAPEMIG/PRONEX, (APQ-01400-14);
Coordenação de Aperfeiçoamento de Pessoal de Nível Superior, CAPES; Conselho
Nacional de Desenvolvimento Científico e Tecnológico, CNPq, (477709/2012-5,
573871/2008-6); Fundação de Amparo à Pesquisa do Estado de Minas Gerais,
FAPEMIG","This research was supported by the Brazilian National Institute of
Science and Technology for the Web (CNPq grant numbers 573871/2008-6 and
477709/2012-5), MASWeb (grant FAPEMIG/PRONEX APQ-01400-14), EUBra-BIGSEA (H2020-
EU.2.1.1 690116, Brazil/MCTI/RNP GA-000650/04), CAPES, CNPq, and Fapemig.","Fama
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market price movements, Nternational Journal of Economics and Management Systems,
1, pp. 158-162, (2016); Khaidem L., Saha S., Dey S.R., Predicting the Direction of
Stock Market Prices Using Random Forest, (2016)",,,Institute of Electrical and
Electronics Engineers Inc.,Brain-Mind Institute (BMI); Budapest Semester in
Cognitive Science (BSCS); Intel,"2017 International Joint Conference on Neural
Networks, IJCNN 2017",14 May 2017 through 19 May 2017,Anchorage,128847,,978-
150906181-5,85OFA,,English,Proc Int Jt Conf Neural Networks,Conference
paper,Final,,Scopus,2-s2.0-85031022947
Orabi M.; Mouheb D.; Al Aghbari Z.; Kamel I.,"Orabi, Mariam (57216391429); Mouheb,
Djedjiga (35248936000); Al Aghbari, Zaher (57195975682); Kamel, Ibrahim
(56266264600)",57216391429; 35248936000; 57195975682; 56266264600,Detection of Bots
in Social Media: A Systematic Review,2020,Information Processing and
Management,57,4,102250,,,,145,10.1016/j.ipm.2020.102250,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85083397956&doi=10.1016%2fj.ipm.2020.102250&partnerID=40&md5=9aaa237cd49c35ceb0eaa9
5d2823de07,"College of Computing and Informatics, University of Sharjah, United
Arab Emirates","Orabi M., College of Computing and Informatics, University of
Sharjah, United Arab Emirates; Mouheb D., College of Computing and Informatics,
University of Sharjah, United Arab Emirates; Al Aghbari Z., College of Computing
and Informatics, University of Sharjah, United Arab Emirates; Kamel I., College of
Computing and Informatics, University of Sharjah, United Arab Emirates","Social
media bots (automated accounts) attacks are organized crimes that pose potential
threats to public opinion, democracy, public health, stock market and other
disciplines. While researchers are building many models to detect social media bot
accounts, attackers, on the other hand, evolve their bots to evade detection. This
everlasting cat and mouse game makes this field vibrant and demands continuous
development. To guide and enhance future solutions, this work provides an overview
of social media bots attacks, current detection methods and challenges in this
area. To the best of our knowledge, this paper is the first systematic review based
on a predefined search strategy, which includes literature concerned about social
media bots detection methods, published between 2010 and 2019. The results of this
review include a refined taxonomy of detection methods, a highlight of the
techniques used to detect bots in social media and a comparison between current
detection methods. Some of the gaps identified by this work are: the literature
mostly focus on Twitter platform only and rarely use methods other than supervised
machine learning, most of the public datasets are not accurate or large enough,
integrated systems and real-time detection are required, and efforts to spread
awareness are needed to arm legitimate users with knowledge. © 2020 Elsevier
Ltd",Attack detection; Bot; Cybersecurity; Detection methods taxonomy; Malicious
attack; Social Media; Socialbot; Sybil; Systematic literature review,Botnet;
Electric current measurement; Health risks; Large dataset; Real time systems;
Social aspects; Supervised learning; Continuous development; Current detection;
Integrated systems; Potential threats; Real-time detection; Search strategies;
Supervised machine learning; Systematic Review; Social networking
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network sybils in the wild, ACM Transactions on Knowledge Discovery from Data
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learning literature survey, Technical Report, (2005)","M. Orabi; College of
Computing and Informatics, University of Sharjah, United Arab Emirates; email:
[email protected]",,Elsevier Ltd,,,,,,3064573,,IPMAD,,English,Inf. Process.
Manage.,Article,Final,,Scopus,2-s2.0-85083397956
Mohan S.; Mullapudi S.; Sammeta S.; Vijayvergia P.; Anastasiu D.C.,"Mohan, Saloni
(57197529095); Mullapudi, Sahitya (57211270228); Sammeta, Sudheer (57211274930);
Vijayvergia, Parag (57211276340); Anastasiu, David C. (35316821200)",57197529095;
57211270228; 57211274930; 57211276340; 35316821200,Stock price prediction using
news sentiment analysis,2019,"Proceedings - 5th IEEE International Conference on
Big Data Service and Applications, BigDataService 2019, Workshop on Big Data in
Water Resources, Environment, and Hydraulic Engineering and Workshop on Medical,
Healthcare, Using Big Data
Technologies",,,8848203,205,208,3,138,10.1109/BigDataService.2019.00035,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073210332&doi=10.1109%2fBigDataService.2019.00035&partnerID=40&md5=6ad1f636f6301a
dc0320d84e258686ff,"Computer Engineering, San José State University, San José, CA,
United States","Mohan S., Computer Engineering, San José State University, San
José, CA, United States; Mullapudi S., Computer Engineering, San José State
University, San José, CA, United States; Sammeta S., Computer Engineering, San José
State University, San José, CA, United States; Vijayvergia P., Computer
Engineering, San José State University, San José, CA, United States; Anastasiu
D.C., Computer Engineering, San José State University, San José, CA, United
States","Predicting stock market prices has been a topic of interest among both
analysts and researchers for a long time. Stock prices are hard to predict because
of their high volatile nature which depends on diverse political and economic
factors, change of leadership, investor sentiment, and many other factors.
Predicting stock prices based on either historical data or textual information
alone has proven to be insufficient. Existing studies in sentiment analysis have
found that there is a strong correlation between the movement of stock prices and
the publication of news articles. Several sentiment analysis studies have been
attempted at various levels using algorithms such as support vector machines, naive
Bayes regression, and deep learning. The accuracy of deep learning algorithms
depends upon the amount of training data provided. However, the amount of textual
data collected and analyzed during the past studies has been insufficient and thus
has resulted in predictions with low accuracy. In our paper, we improve the
accuracy of stock price predictions by gathering a large amount of time series data
and analyzing it in relation to related news articles, using deep learning models.
The dataset we have gathered includes daily stock prices for S&P500 companies for
five years, along with more than 265,000 financial news articles related to these
companies. Given the large size of the dataset, we use cloud computing as an
invaluable resource for training prediction models and performing inference for a
given stock in real time. © 2019 IEEE.",Big data; Cloud computing; Machine
learning; Regression; Stock market prediction,Big data; Cloud computing; Commerce;
Costs; Deep learning; Electronic trading; Financial markets; Fluid mechanics;
Forecasting; Investments; Large dataset; Learning systems; Machine learning;
Sentiment analysis; Shore protection; Support vector machines; Water resources;
Investor sentiments; Regression; Stock market prediction; Stock market prices;
Stock price prediction; Strong correlation; Textual information; Time-series data;
Learning algorithms,,,,,,,"Alostad H., Davulcu H., Directional prediction of stock
prices using breaking news on twitter, 2015 IEEE/WIC/ACM International Conference
on Web Intelligence and Intelligent Agent Technology (WIIAT), 1, pp. 523-530,
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Y., Forecasting price movements using technical indicators: Investigating the
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using deep neural network, Proceedings of the Eighth International Symposium on
Information and Communication Technology, Ser. SoICT 2017, pp. 57-62, (2017);
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financial news: The azfin text system, ACM Trans. Inf. Syst., 27, 2, pp. 121-1219,
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error for regression models, Neurocomputing, 192, pp. 38-48, (2016)","D.C.
Anastasiu; Computer Engineering, San José State University, San José, United
States; email: [email protected]",,Institute of Electrical and Electronics
Engineers Inc.,,"5th IEEE International Conference on Big Data Service and
Applications, BigDataService 2019",4 April 2019 through 9 April
2019,Newark,152257,,978-172810059-3,,,English,"Proc. - IEEE Int. Conf. Big Data
Serv. Appl., BigDataService , Workshop Big Data Water Resour., Environ., Hydraul.
Eng. Workshop Med., Healthc., Using Big Data Technol.",Conference
paper,Final,,Scopus,2-s2.0-85073210332
Nosratabadi S.; Mosavi A.; Duan P.; Ghamisi P.; Filip F.; Band S.S.; Reuter U.;
Gama J.; Gandomi A.H.,"Nosratabadi, Saeed (57192426323); Mosavi, Amirhosein
(57191408081); Duan, Puhong (57188576823); Ghamisi, Pedram (53663404300); Filip,
Ferdinand (24080069300); Band, Shahab S. (57221738247); Reuter, Uwe (7006635270);
Gama, Joao (57194210743); Gandomi, Amir H. (26421192100)",57192426323; 57191408081;
57188576823; 53663404300; 24080069300; 57221738247; 7006635270; 57194210743;
26421192100,Data science in economics: Comprehensive review of advanced machine
learning and deep learning
methods,2020,Mathematics,8,10,1799,1,25,24,109,10.3390/math8101799,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85086140360&doi=10.3390%2fmath8101799&partnerID=40&md5=1c8af62eb552ab6906f2aef25ec1
6f1e,"School of Management and Business Administration, Szent Istvan University,
Godollo, 2100, Hungary; Environmental Quality, Atmospheric Science and Climate
Change Research Group, Ton Duc Thang University, Ho Chi Minh, Viet Nam; Faculty of
Environment and Labour Safety, Ton Duc Thang University, Ho Chi Minh, Viet Nam;
College of Electrical and Information Engineering, Hunan University, Changsha,
410082, China; Helmholtz-Zentrum Dresden-Rossendorf, Helmholtz Institute Freiberg
for Resource Technology, Freiberg, D-09599, Germany; Department of Mathematics, J.
Selye University, Komarno, 94501, Slovakia; Institute of Research and Development,
Duy Tan University, Da Nang, 550000, Viet Nam; Future Technology Research Center,
College of Future, National Yunlin University of Science and Technology, 123
University Road, Section 3, Douliou, Yunlin, 64002, Taiwan; Faculty of Civil
Engineering, Technische Universität Dresden, Dresden, 01069, Germany; Faculty
Laboratory of Artificial Intelligence and Decision Support (LIAAD)-INESC TEC,
Campus da FEUP, Rua Roberto Frias, Porto, 4200-465, Portugal; Faculty of
Engineering and Information Technology, University of Technology Sydney, Sydney,
2007, NSW, Australia","Nosratabadi S., School of Management and Business
Administration, Szent Istvan University, Godollo, 2100, Hungary; Mosavi A.,
Environmental Quality, Atmospheric Science and Climate Change Research Group, Ton
Duc Thang University, Ho Chi Minh, Viet Nam, Faculty of Environment and Labour
Safety, Ton Duc Thang University, Ho Chi Minh, Viet Nam; Duan P., College of
Electrical and Information Engineering, Hunan University, Changsha, 410082, China;
Ghamisi P., Helmholtz-Zentrum Dresden-Rossendorf, Helmholtz Institute Freiberg for
Resource Technology, Freiberg, D-09599, Germany; Filip F., Department of
Mathematics, J. Selye University, Komarno, 94501, Slovakia; Band S.S., Institute of
Research and Development, Duy Tan University, Da Nang, 550000, Viet Nam, Future
Technology Research Center, College of Future, National Yunlin University of
Science and Technology, 123 University Road, Section 3, Douliou, Yunlin, 64002,
Taiwan; Reuter U., Faculty of Civil Engineering, Technische Universität Dresden,
Dresden, 01069, Germany; Gama J., Faculty Laboratory of Artificial Intelligence and
Decision Support (LIAAD)-INESC TEC, Campus da FEUP, Rua Roberto Frias, Porto, 4200-
465, Portugal; Gandomi A.H., Faculty of Engineering and Information Technology,
University of Technology Sydney, Sydney, 2007, NSW, Australia","This paper provides
a comprehensive state-of-the-art investigation of the recent advances in data
science in emerging economic applications. The analysis is performed on the novel
data science methods in four individual classes of deep learning models, hybrid
deep learning models, hybrid machine learning, and ensemble models. Application
domains include a broad and diverse range of economics research from the stock
market, marketing, and e-commerce to corporate banking and cryptocurrency. Prisma
method, a systematic literature review methodology, is used to ensure the quality
of the survey. The findings reveal that the trends follow the advancement of hybrid
models, which outperform other learning algorithms. It is further expected that the
trends will converge toward the evolution of sophisticated hybrid deep learning
models. © 2020 by the authors. Licensee MDPI, Basel, Switzerland.",Artificial
intelligence; Big data; Bitcoin; Cryptocurrency; Data science; Deep learning; Deep
reinforcement learning; Economic model; Economics; Ensemble; Literature review;
Machine learning; Network science; Prediction; Survey; Time series,,,,,,"Hungarian-
Mexican bilateral Scientific and Technological, (2019-2.1.11-TÉT-2019-00007, EFOP-
3.6.2-16-2017-00016); European Commission, EC; European Social Fund, ESF","Funding:
This research in part by the Hungarian-Mexican bilateral Scientific and
Technological (2019-2.1.11-TÉT-2019-00007) project, and also EFOP-3.6.2-16-2017-
00016 project in the framework of the New Szechenyi Plan. Completing this project
is supported by the European Union and co-financed by the European social
fund.","Nosratabadi S., Mosavi A., Keivani R., Ardabili S., Aram F., State of the
art survey of deep learning and machine learning models for smart cities and urban
sustainability, Proceedings of the International Conference on Global Research and
Education, pp. 228-238, (2019); Mittal S., Stoean C., Kajdacsy-Balla A., Bhargava
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PRISMA Statement for Reporting Literature Searches in Systematic Reviews of the
Bioethanol Sector, Energies, 13, (2020)","A. Mosavi; Environmental Quality,
Atmospheric Science and Climate Change Research Group, Ton Duc Thang University, Ho
Chi Minh, Viet Nam; email: [email protected]; A. Mosavi; Faculty of
Environment and Labour Safety, Ton Duc Thang University, Ho Chi Minh, Viet Nam;
email: [email protected]; S.S. Band; Institute of Research and
Development, Duy Tan University, Da Nang, 550000, Viet Nam; email:
[email protected]; S.S. Band; Future Technology Research
Center, College of Future, National Yunlin University of Science and Technology,
Douliou, Yunlin, 123 University Road, Section 3, 64002, Taiwan; email:
[email protected]",,MDPI
AG,,,,,,22277390,,,,English,Mathematics,Review,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85086140360
Zhong X.; Enke D.,"Zhong, Xiao (57191349342); Enke, David
(54945335700)",57191349342; 54945335700,Predicting the daily return direction of
the stock market using hybrid machine learning algorithms,2019,Financial
Innovation,5,1,4,,,,169,10.1186/s40854-019-0138-0,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85067363981&doi=10.1186%2fs40854-019-0138-
0&partnerID=40&md5=1673b3c13af1a42fab35c2b952fa0c87,"Graduate School of Management,
Clark University, 313B Carlson Hall, 950 Main Street, Worcester, 01610, MA, United
States; Laboratory for Investment and Financial Engineering, Department of
Engineering Management and Systems Engineering, Missouri University of Science and
Technology, 221 Engineering Management, 600 W. 14th Street, Rolla, 65409-0370, MO,
United States","Zhong X., Graduate School of Management, Clark University, 313B
Carlson Hall, 950 Main Street, Worcester, 01610, MA, United States; Enke D.,
Laboratory for Investment and Financial Engineering, Department of Engineering
Management and Systems Engineering, Missouri University of Science and Technology,
221 Engineering Management, 600 W. 14th Street, Rolla, 65409-0370, MO, United
States","Big data analytic techniques associated with machine learning algorithms
are playing an increasingly important role in various application fields, including
stock market investment. However, few studies have focused on forecasting daily
stock market returns, especially when using powerful machine learning techniques,
such as deep neural networks (DNNs), to perform the analyses. DNNs employ various
deep learning algorithms based on the combination of network structure, activation
function, and model parameters, with their performance depending on the format of
the data representation. This paper presents a comprehensive big data analytics
process to predict the daily return direction of the SPDR S&P 500 ETF (ticker
symbol: SPY) based on 60 financial and economic features. DNNs and traditional
artificial neural networks (ANNs) are then deployed over the entire preprocessed
but untransformed dataset, along with two datasets transformed via principal
component analysis (PCA), to predict the daily direction of future stock market
index returns. While controlling for overfitting, a pattern for the classification
accuracy of the DNNs is detected and demonstrated as the number of the hidden
layers increases gradually from 12 to 1000. Moreover, a set of hypothesis testing
procedures are implemented on the classification, and the simulation results show
that the DNNs using two PCA-represented datasets give significantly higher
classification accuracy than those using the entire untransformed dataset, as well
as several other hybrid machine learning algorithms. In addition, the trading
strategies guided by the DNN classification process based on PCA-represented data
perform slightly better than the others tested, including in a comparison against
two standard benchmarks. © 2019, The Author(s).",Daily stock return forecasting;
Data representation; Deep neural networks (DNNs); Hybrid machine learning
algorithms; Return direction classification; Trading strategies,,,,,,"Department of
Engineering Management and Systems Engineering; Laboratory for Investment and
Financial Engineering; Missouri University of Science and Technology, MST",The
authors would like to acknowledge the Laboratory for Investment and Financial
Engineering and the Department of Engineering Management and Systems Engineering at
the Missouri University of Science and Technology for their financial support and
the use of their facilities.,"Aizenberg I., Aizenberg N.N., Vandewalle J.P.L.,
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Enke; Laboratory for Investment and Financial Engineering, Department of
Engineering Management and Systems Engineering, Missouri University of Science and
Technology, Rolla, 221 Engineering Management, 600 W. 14th Street, 65409-0370,
United States; email:
[email protected]",,SpringerOpen,,,,,,21994730,,,,English,Financial
Innov.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85067363981
Aoun J.E.,"Aoun, Joseph E. (57197865395)",57197865395,Robot-proof: Higher education
in the age of artificial intelligence,2017,Robot-Proof: Higher Education in the Age
of Artificial Intelligence,,,,1,187,186,287,,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85035781692&partnerID=40&md5=e5814f18f5e24103ad4785961c5c86dc,,,"Driverless cars
are hitting the road, powered by artificial intelligence. Robots can climb stairs,
open doors, win Jeopardy, analyze stocks, work in factories, find parking spaces,
advise oncologists. In the past, automation was considered a threat to low-skilled
labor. Now, many high-skilled functions, including interpreting medical images,
doing legal research, and analyzing data, are within the skill sets of machines.
How can higher education prepare students for their professional lives when
professions themselves are disappearing? In Robot-Proof, Northeastern University
president Joseph Aoun proposes a way to educate the next generation of college
students to invent, to create, and to discover -- to fill needs in society that
even the most sophisticated artificial intelligence agent cannot.A “robot-proof”
education, Aoun argues, is not concerned solely with topping up students’ minds
with high-octane facts. Rather, it calibrates them with a creative mindset and the
mental elasticity to invent, discover, or create something valuable to society -- a
scientific proof, a hip-hop recording, a web comic, a cure for cancer. Aoun lays
out the framework for a new discipline, humanics, which builds on our innate
strengths and prepares students to compete in a labor market in which smart
machines work alongside human professionals. The new literacies of Aoun’s humanics
are data literacy, technological literacy, and human literacy. Students will need
data literacy to manage the flow of big data, and technological literacy to know
how their machines work, but human literacy -- the humanities, communication, and
design -- to function as a human being. Life-long learning opportunities will
support their ability to adapt to change.The only certainty about the future is
change. Higher education based on the new literacies of humanics can equip students
for living and working through change. © 2017 Massachusetts Institute of
Technology. All rights reserved.",,Artificial intelligence; Big data; Educational
robots; Intelligent robots; Medical imaging; Technology transfer; Artificial
intelligence agent; College students; Higher education; Life long learning; Low-
skilled labor; Northeastern University; Professional life; Technological literacy;
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(1956)",,,The MIT Press,,,,,,,978-026234431-9; 978-026203728-0,,,English,Robot-
Proof: High. Education in the Age of Artificial Intelligence,Book,Final,,Scopus,2-
s2.0-85035781692
Lu W.; Li J.; Li Y.; Sun A.; Wang J.,"Lu, Wenjie (55484318500); Li, Jiazheng
(57219980015); Li, Yifan (57221625757); Sun, Aijun (57220768272); Wang, Jingyang
(55742634700)",55484318500; 57219980015; 57221625757; 57220768272; 55742634700,A
CNN-LSTM-based model to forecast stock
prices,2020,Complexity,2020,,6622927,,,,286,10.1155/2020/6622927,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85097576478&doi=10.1155%2f2020%2f6622927&partnerID=40&md5=953e95e9793708a8c1da063f4
b6fe4ff,"Business School, Jiangsu Second Normal University, Nanjing, 210000, China;
School of Economics and Management, Hebei University of Science and Technology,
Shijiazhuang, 050018, China; School of Information Science and Engineering, Hebei
University of Science and Technology, Shijiazhuang, 050018, China","Lu W., Business
School, Jiangsu Second Normal University, Nanjing, 210000, China, School of
Economics and Management, Hebei University of Science and Technology, Shijiazhuang,
050018, China; Li J., School of Information Science and Engineering, Hebei
University of Science and Technology, Shijiazhuang, 050018, China; Li Y., School of
Information Science and Engineering, Hebei University of Science and Technology,
Shijiazhuang, 050018, China; Sun A., Business School, Jiangsu Second Normal
University, Nanjing, 210000, China; Wang J., School of Information Science and
Engineering, Hebei University of Science and Technology, Shijiazhuang, 050018,
China","Stock price data have the characteristics of time series. At the same time,
based on machine learning long short-term memory (LSTM) which has the advantages of
analyzing relationships among time series data through its memory function, we
propose a forecasting method of stock price based on CNN-LSTM. In the meanwhile, we
use MLP, CNN, RNN, LSTM, CNN-RNN, and other forecasting models to predict the stock
price one by one. Moreover, the forecasting results of these models are analyzed
and compared. The data utilized in this research concern the daily stock prices
from July 1, 1991, to August 31, 2020, including 7127 trading days. In terms of
historical data, we choose eight features, including opening price, highest price,
lowest price, closing price, volume, turnover, ups and downs, and change. Firstly,
we adopt CNN to efficiently extract features from the data, which are the items of
the previous 10 days. And then, we adopt LSTM to predict the stock price with the
extracted feature data. According to the experimental results, the CNN-LSTM can
provide a reliable stock price forecasting with the highest prediction accuracy.
This forecasting method not only provides a new research idea for stock price
forecasting but also provides practical experience for scholars to study financial
time series data. Copyright © 2020 Wenjie Lu et al. This is an open access article
distributed under the Creative Commons Attribution License, which permits
unrestricted use, distribution, and reproduction in any medium, provided the
original work is properly cited.",,Costs; Data mining; Financial data processing;
Financial markets; Forecasting; Time series; Financial time series; Forecasting
methods; Forecasting models; Memory functions; Practical experience; Prediction
accuracy; Stock price forecasting; Time-series data; Long short-term
memory,,,,,,,"Vanaga R., Sloka B., Financial and capital market commission
financing: Aspects and challenges, Journal of Logistics, Informatics and Service
Science, 7, 1, pp. 17-30, (2020); Zhang L., Kim H., The influence of financial
service characteristics on use intention through customer satisfaction with mobile
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Montevechi J., Miranda R., Economic lot-size using machine learning, parallelism,
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Science, 18, 2, pp. 205-216, (2019); Coser A., Maer-Matei M.M., Albu C., Predictive
models for loan default risk assessment, Economic Computation and Economic
Cybernetics Studies and Research, 53, 2, pp. 149-165, (2019); Qiao R., Stock
prediction model based on neural network, Operations Research and Management
Science, 28, 10, pp. 132-140, (2019); Jung C., Boyd R., Forecasting UK stock
prices, Applied Financial Economics, 6, 3, pp. 279-286, (1996); Bleesser W.,
Liicoff P., Predicting stock returns with Bayesian vector autoregressive, Data
Analysis, Machine Learning and Applications, 1, pp. 499-506, (2005); Adebiyi A.,
Adewumi A., Ayo C., Stock price prediction using the ARIMA model, Proceedings of
the 2014 UKSimAMSS 16th International Conference on Computer Modelling and
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based on deep LSTM neural network, Statistical Research, 36, 6, pp. 65-77, (2019);
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technology to behavioural recognition in intelligent video, Tehnicki Vjesnik-
Technical Gazette, 25, 2, pp. 528-535, (2018); Hochreiter S., Schmidhuber J., Long
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Portfolio optimization-based stock prediction using long-short term memory network
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system for pumping water based on artificial neural network controller, Studies in
Informatics and Control, 28, 1, pp. 35-44, (2019); Saric T., Simunovic G., Vukelic
D., Simunovic K., Lujic R., Estimation of CNC grinding process parameters using
different neural networks, Tehnicki Vjesnik-Technical Gazette, 25, 6, pp. 1770-
1775, (2018); Gupta N., Jalal A., Integration of textual cues for fine-grained
image captioning using deep CNN and LSTM, Neural Computing and Applications, 12,
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prediction in Indian stock market, Procedia Computer Science, 167, pp. 2091-2100,
(2020); Kim H.Y., Won C.H., Forecasting the volatility of stock price index: A
hybrid model integrating LSTM with multiple GARCH-type models, Expert Systems with
Applications, 103, pp. 25-37, (2018); Petersen N.C., Christoffer R., Rodrigues F.,
Pereira F.C., Multi-output bus travel time prediction with convolutional LSTM
neural network, Expert Systems with Applications, 120, pp. 426-435, (2019); Jin Z.,
Yang Y., Liu Y., Stock closing price prediction based on sentiment analysis and
LSTM, Neural Computing and Applications, 32, 13, pp. 9713-9729, (2020); Svetlana
B., Ioannis T., An ensemble of LSTM neural networks for high-frequency stock market
classification, Journal of Forecasting, 38, 6, pp. 600-619, (2019)","A. Sun;
Business School, Jiangsu Second Normal University, Nanjing, 210000, China; email:
[email protected]",,Hindawi
Limited,,,,,,10762787,,,,English,Complexity,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85097576478
Liu H.; Long Z.,"Liu, Hui (56693225600); Long, Zhihao (57211904344)",56693225600;
57211904344,An improved deep learning model for predicting stock market price time
series,2020,Digital Signal Processing: A Review
Journal,102,,102741,,,,115,10.1016/j.dsp.2020.102741,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85083373946&doi=10.1016%2fj.dsp.2020.102741&partnerID=40&md5=e603979070a8f5809f1a16
12b891a39d,"Institute of Artificial Intelligence and Robotics (IAIR), Key
Laboratory of Traffic Safety on Track of Ministry of Education, School of Traffic
and Transportation Engineering, Central South University, Changsha, 410075, Hunan,
China","Liu H., Institute of Artificial Intelligence and Robotics (IAIR), Key
Laboratory of Traffic Safety on Track of Ministry of Education, School of Traffic
and Transportation Engineering, Central South University, Changsha, 410075, Hunan,
China; Long Z., Institute of Artificial Intelligence and Robotics (IAIR), Key
Laboratory of Traffic Safety on Track of Ministry of Education, School of Traffic
and Transportation Engineering, Central South University, Changsha, 410075, Hunan,
China","As an important component of the economic market, the stock market has been
concerned by many researchers. How to get the trend of the stock market and predict
the stock price is a problem that many researchers are studying. In previous works,
the prediction methods are mainly focused on statistical models and traditional
neural network models which are relatively popular in recent years. Deep learning
is not often used in the field of financial time series, but it has a strong
learning ability and is suitable for complex time series such as financial time
series. In particular, the LSTM network has the function of long-term memory
because of its cyclic structure, so it is very suitable for financial time series
prediction in theory. In the study, a novel stock closing price forecasting
framework is proposed, which has a higher prediction than traditional models. The
data processing part, the deep learning predictor part, and the predictor
optimization method are the components of this deep hybrid framework. Data
processing includes empirical wavelet transform (EWT) based preprocessing and
outlier robust extreme learning machine (ORELM) model based post-processing. Long
short-term memory (LSTM) network based deep learning network predictor, as the main
part of the mixed frame, is jointly optimized by dropout strategy and particle
swarm optimization (PSO) algorithm. Each algorithm in the hybrid framework can give
full play to its own functions to achieve better prediction accuracy. In order to
verify the performance of the model, three challenging datasets are selected for
forecasting experiments. Some comparative models are also selected to prove the
effectiveness of the proposed framework. Experimental results show that the hybrid
framework proposed in the study has the best prediction accuracy and can be applied
to stock market monitoring or financial data analysis and research. © 2020 Elsevier
Inc.",Data processing; Deep learning network; Error correction; Stock market price;
Time series forecasting,Commerce; Data handling; Electronic trading; Financial
markets; Forecasting; Learning systems; Long short-term memory; Particle swarm
optimization (PSO); Time series; Wavelet transforms; Complex time series; Extreme
learning machine; Financial Data Analysis; Financial time series; Financial time
series predictions; Neural network model; Particle swarm optimization algorithm;
Stock market prices; Deep learning,,,,,"Changsha Science & Technology Project;
National Natural Science Foundation of China, NSFC, (61873283); Central South
University, CSU, (2019CX005); Changsha Science and Technology Project,
(KQ1707017)","Funding text 1: This study is fully supported by the National Natural
Science Foundation of China (Grant No. 61873283), the Changsha Science & Technology
Project (Grant No. KQ1707017), the Shenghua Yu-ying Talents Program of the Central
South University and the innovation driven project of the Central South University
(Project No. 2019CX005).; Funding text 2: This study is fully supported by the
National Natural Science Foundation of China (Grant No. 61873283 ), the Changsha
Science & Technology Project (Grant No. KQ1707017 ), the Shenghua Yu-ying Talents
Program of the Central South University and the innovation driven project of the
Central South University (Project No. 2019CX005 ). ","Sim N., Zhou H., Oil prices,
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Syst. Signal Process., 70, pp. 1-35, (2016)","H. Liu; Institute of Artificial
Intelligence and Robotics (IAIR), Key Laboratory of Traffic Safety on Track of
Ministry of Education, School of Traffic and Transportation Engineering, Central
South University, Changsha, 410075, China; email: [email protected]",,Elsevier
Inc.,,,,,,10512004,,DSPRE,,English,Digital Signal Process Rev
J,Article,Final,,Scopus,2-s2.0-85083373946
Paiva F.D.; Cardoso R.T.N.; Hanaoka G.P.; Duarte W.M.,"Paiva, Felipe Dias
(57195507454); Cardoso, Rodrigo Tomás Nogueira (23974114700); Hanaoka, Gustavo
Peixoto (57195506214); Duarte, Wendel Moreira (57203788628)",57195507454;
23974114700; 57195506214; 57203788628,Decision-making for financial trading: A
fusion approach of machine learning and portfolio selection,2019,Expert Systems
with Applications,115,,,635,655,20,157,10.1016/j.eswa.2018.08.003,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85052942866&doi=10.1016%2fj.eswa.2018.08.003&partnerID=40&md5=3fd1709b2d2ec3f6fe16c
f1b2bf4ad8e,"Centro Federal de Educação Tecnológica de Minas Gerais, Pós-Graduação
em Administração, Av. Amazonas, 7675, zip code 30510-000, Belo Horizonte, MG,
Brazil; Complex Systems Group (GESC), Centro Federal de Educação Tecnológica de
Minas Gerais, Brazil","Paiva F.D., Centro Federal de Educação Tecnológica de Minas
Gerais, Pós-Graduação em Administração, Av. Amazonas, 7675, zip code 30510-000,
Belo Horizonte, MG, Brazil; Cardoso R.T.N., Complex Systems Group (GESC), Centro
Federal de Educação Tecnológica de Minas Gerais, Brazil; Hanaoka G.P., Complex
Systems Group (GESC), Centro Federal de Educação Tecnológica de Minas Gerais,
Brazil; Duarte W.M., Centro Federal de Educação Tecnológica de Minas Gerais, Pós-
Graduação em Administração, Av. Amazonas, 7675, zip code 30510-000, Belo Horizonte,
MG, Brazil","Forecasting stock returns is an exacting prospect in the context of
financial time series. This study proposes a unique decision-making model for day
trading investments on the stock market. In this regard, the model was developed
using a fusion approach of a classifier based on machine learning, with the support
vector machine (SVM) method, and the mean-variance (MV) method for portfolio
selection. The model's experimental evaluation was based on assets from the São
Paulo Stock Exchange Index (Ibovespa). Monthly rolling windows were used to choose
the best-performing parameter sets (the in-sample phase) and testing (the out-of-
sample phase). The monthly windows were composed of daily rolling windows, with new
training of the classifying algorithm and portfolio optimization. A total of 81
parameter arrangements were formulated. To compare the proposed model's
performance, two other models were suggested: (i) SVM + 1/N, which maintained the
process of classifying the trends of the assets that reached a certain target of
gain and which invested equally in all assets that had positive signals in their
classifications, and (ii) Random + MV, which also maintained the selection of those
assets with a tendency to reach a certain target of gain, but where the selection
was randomly defined. Then, the portfolio's composition was determined using the MV
method. Together, the alternative models registered 36 parameter variations. In
addition to these two models, the results were also compared with the Ibovespa's
performance. The experiments were formulated using historical data for 3716 trading
days for the out-of-sample analysis. Simulations were conducted without including
transaction costs and also with the inclusion of a proportion of such costs. We
specifically analyzed the effect of brokerage costs on buying and selling stocks on
the Brazilian market. This study also evaluated the classifier's performance,
portfolios’ cardinality, and models’ returns and risks. The proposed main model
showed significant results, although demand for trading value can be a limiting
factor for its implementation. Nonetheless, this study extends the theoretical
application of machine learning and offers a potentially practical approach to
anticipating stock prices. © 2018 Elsevier Ltd",Decision-making; Financial trading;
Portfolio selection; Stock market; Support vector machines,Artificial intelligence;
Commerce; Decision making; Electronic trading; Financial markets; Investments;
Support vector machines; Buying and selling stocks; Classifier's performance;
Decision making models; Experimental evaluation; Financial time series; Financial
trading; Portfolio optimization; Portfolio selection; Costs,,,,,"Conselho Nacional
de Desenvolvimento Científico e Tecnológico, CNPq, (460,048/2014-7); Companhia
Energética de Minas Gerais, CEMIG; Universidade Federal de Minas Gerais,
UFMG","Funding text 1: This work was supported by the Centro Federal de Educação
Tecnológica de Minas Gerais (CEFET-MG) and Conselho Nacional de Desenvolvimento
Científico e Tecnológico (CNPq) (Process number 460,048/2014-7). ; Funding text 2:
This study is a collaborative effort. The authors are grateful to the Companhia
Energética de Minas Gerais (CEMIG) for providing the financial database of
Brazilian companies. The authors would also like to thank Mr. Joaquim Dias for his
support.","Awad M., Khanna R., Efficient learning machines: Theories, concepts, and
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D., Hespeels N., Gryp R., Evaluating multiple classifiers for stock price direction
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by PSO, Soft Computing, 17, pp. 805-818, (2013)","F.D. Paiva; Centro Federal de
Educação Tecnológica de Minas Gerais, Pós-Graduação em Administração, Belo
Horizonte, Av. Amazonas, 7675, zip code 30510-000, Brazil; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85052942866
Jiang W.,"Jiang, Weiwei (57188758602)",57188758602,Applications of deep learning in
stock market prediction: Recent progress,2021,Expert Systems with
Applications,184,,115537,,,,310,10.1016/j.eswa.2021.115537,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85110274449&doi=10.1016%2fj.eswa.2021.115537&partnerID=40&md5=10c2f1b635daab5add307
20df826cab9,"Department of Electronic Engineering, Tsinghua University, Beijing,
100084, China","Jiang W., Department of Electronic Engineering, Tsinghua
University, Beijing, 100084, China","Stock market prediction has been a classical
yet challenging problem, with the attention from both economists and computer
scientists. With the purpose of building an effective prediction model, both linear
and machine learning tools have been explored for the past couple of decades.
Lately, deep learning models have been introduced as new frontiers for this topic
and the rapid development is too fast to catch up. Hence, our motivation for this
survey is to give a latest review of recent works on deep learning models for stock
market prediction. We not only category the different data sources, various neural
network structures, and common used evaluation metrics, but also the implementation
and reproducibility. Our goal is to help the interested researchers to synchronize
with the latest progress and also help them to easily reproduce the previous
studies as baselines. Based on the summary, we also highlight some future research
directions in this topic. © 2021 Elsevier Ltd",Convolutional neural network; Deep
learning; Feedforward neural network; Machine learning; Recurrent neural network;
Stock market prediction,Commerce; Deep neural networks; Electronic trading;
Financial markets; Forecasting; Recurrent neural networks; Computer scientists;
Convolutional neural network; Deep learning; Feedforwards; Learning models;
Machine-learning; Neural-networks; Recent progress; Stock market prediction;
Feedforward neural networks,,,,,,,"de A., (2019); Aguilar-Rivera R., Valenzuela-
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Mechanics and its Applications, (2019)","W. Jiang; Department of Electronic
Engineering, Tsinghua University, Beijing, 100084, China; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert
Sys Appl,Review,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85110274449
Chen W.; Zhang H.; Mehlawat M.K.; Jia L.,"Chen, Wei (57212625483); Zhang, Haoyu
(58853120500); Mehlawat, Mukesh Kumar (23035630900); Jia, Lifen
(57192080197)",57212625483; 58853120500; 23035630900; 57192080197,Mean–variance
portfolio optimization using machine learning-based stock price
prediction,2021,Applied Soft
Computing,100,,106943,,,,162,10.1016/j.asoc.2020.106943,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85097583605&doi=10.1016%2fj.asoc.2020.106943&partnerID=40&md5=71568e34b2263b8bcc583
f235b1bd6e6,"School of Management and Engineering, Capital University of Economics
and Business, Beijing, China; Department of Operational Research, University of
Delhi, Delhi, India","Chen W., School of Management and Engineering, Capital
University of Economics and Business, Beijing, China; Zhang H., School of
Management and Engineering, Capital University of Economics and Business, Beijing,
China; Mehlawat M.K., Department of Operational Research, University of Delhi,
Delhi, India; Jia L., School of Management and Engineering, Capital University of
Economics and Business, Beijing, China","The success of portfolio construction
depends primarily on the future performance of stock markets. Recent developments
in machine learning have brought significant opportunities to incorporate
prediction theory into portfolio selection. However, many studies show that a
single prediction model is insufficient to achieve very accurate predictions and
affluent returns. In this paper, a novel portfolio construction approach is
developed using a hybrid model based on machine learning for stock prediction and
mean–variance (MV) model for portfolio selection. Specifically, two stages are
involved in this model: stock prediction and portfolio selection. In the first
stage, a hybrid model combining eXtreme Gradient Boosting (XGBoost) with an
improved firefly algorithm (IFA) is proposed to predict stock prices for the next
period. The IFA is developed to optimize the hyperparameters of the XGBoost. In the
second stage, stocks with higher potential returns are selected, and the MV model
is employed for portfolio selection. Using the Shanghai Stock Exchange as the study
sample, the obtained results demonstrate that the proposed method is superior to
traditional ways (without stock prediction) and benchmarks in terms of returns and
risks. © 2020 Elsevier B.V.",eXtreme Gradient Boosting; Firefly algorithm; Mean–
variance model; Portfolio selection; Stock prediction,Financial data processing;
Financial markets; Forecasting; Machine learning; Optimization; Predictive
analytics; Accurate prediction; Construction approaches; Firefly algorithms; Future
performance; Portfolio optimization; Portfolio selection; Shanghai stock exchanges;
Stock price prediction; Fintech,,,,,"Beijing Municipal Colleges and Universities of
Capital University of Economics and Business, Beijing, China, (QNTD202002); Beijing
Municipal Universities in the Period of 13th Five-year Plan, China,
(CIT&TCD20190338); Department of Science and Technology, Ministry of Science and
Technology, India, डीएसटी; National Natural Science Foundation of China, NSFC,
(71720107002, 72071134); Humanities and Social Sciences Youth Foundation, Ministry
of Education of the People's Republic of China, (19YJAZH005)","This research was
supported by the National Natural Science Foundation of China (Nos. 72071134,
71720107002 ), the Special Fund for Basic Scientific Research Operating Expenses of
Beijing Municipal Colleges and Universities of Capital University of Economics and
Business, Beijing, China ( QNTD202002 ), the Project of High-level Teachers in
Beijing Municipal Universities in the Period of 13th Five-year Plan, China
( CIT&TCD20190338 ), the Humanity and Social Science Foundation of Ministry of
Education of China (No. 19YJAZH005 ). The third author, Mukesh Kumar Mehlawat,
acknowledges the support through MATRICS Scheme of DST-SERB, New Delhi,
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Internet Things J., 6, 4, pp. 6997-7010, (2019)","W. Chen; School of Management and
Engineering, Capital University of Economics and Business, Beijing, China; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft
Comput.,Article,Final,,Scopus,2-s2.0-85097583605
Shynkevich Y.; McGinnity T.M.; Coleman S.A.; Belatreche A.; Li Y.,"Shynkevich,
Yauheniya (56392861600); McGinnity, T.M. (7003792410); Coleman, Sonya A.
(7201402808); Belatreche, Ammar (15043716600); Li, Yuhua
(55719077900)",56392861600; 7003792410; 7201402808; 15043716600;
55719077900,Forecasting price movements using technical indicators: Investigating
the impact of varying input window
length,2017,Neurocomputing,264,,,71,88,17,133,10.1016/j.neucom.2016.11.095,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85021121819&doi=10.1016%2fj.neucom.2016.11.095&partnerID=40&md5=fcd7fa1c9cf247c502e
e07ab7242615a,"Intelligent Systems Research Centre, Ulster University, Derry,
United Kingdom; School of Science and Technology, Nottingham Trent University,
Nottingham, United Kingdom; Department of Computer and Information Sciences,
Faculty of Engineering and Environment, Northumbria University, Newcastle upon
Tyne, United Kingdom; School of Computing, Science and Engineering, University of
Salford, Manchester, United Kingdom","Shynkevich Y., Intelligent Systems Research
Centre, Ulster University, Derry, United Kingdom; McGinnity T.M., Intelligent
Systems Research Centre, Ulster University, Derry, United Kingdom, School of
Science and Technology, Nottingham Trent University, Nottingham, United Kingdom;
Coleman S.A., Intelligent Systems Research Centre, Ulster University, Derry, United
Kingdom; Belatreche A., Department of Computer and Information Sciences, Faculty of
Engineering and Environment, Northumbria University, Newcastle upon Tyne, United
Kingdom; Li Y., School of Computing, Science and Engineering, University of
Salford, Manchester, United Kingdom","The creation of a predictive system that
correctly forecasts future changes of a stock price is crucial for investment
management and algorithmic trading. The use of technical analysis for financial
forecasting has been successfully employed by many researchers. Input window length
is a time frame parameter required to be set when calculating many technical
indicators. This study explores how the performance of the predictive system
depends on a combination of a forecast horizon and an input window length for
forecasting variable horizons. Technical indicators are used as input features for
machine learning algorithms to forecast future directions of stock price movements.
The dataset consists of ten years daily price time series for fifty stocks. The
highest prediction performance is observed when the input window length is
approximately equal to the forecast horizon. This novel pattern is studied using
multiple performance metrics: prediction accuracy, winning rate, return per trade
and Sharpe ratio. © 2017",Decision making; Financial forecasting; Stock price
prediction; Technical trading,Commerce; Decision making; Financial markets;
Forecasting; Investments; Learning algorithms; Machine learning; Financial
forecasting; Investment management; Performance metrics; Prediction accuracy;
Prediction performance; Stock price movements; Stock price prediction; Technical
trading; algorithm; Article; calculation; cost; economic aspect; finance;
forecasting; investment; machine learning; mathematical parameters; moving average;
prediction; priority journal; relative strength index; stock price movement;
technical indicator; Electronic trading,,,,,,,"Yeh C.-Y., Huang C.-W., Lee S.-J., A
multiple-kernel support vector regression approach for stock market price
forecasting, Expert Syst. Appl., 38, 3, pp. 2177-2186, (2011); Atsalakis G.S.,
Valavanis K.P., Surveying stock market forecasting techniques – Part II: soft
computing methods, Expert Syst. Appl., 36, 3, pp. 5932-5941, (2009); Bodas-Sagi
D.J., Fernandez-Blanco P., Hidalgo J.I., Soltero-Domingo F.J., A parallel
evolutionary algorithm for technical market indicators optimization, Natural
Comput., 12, 2, pp. 195-207, (2012); Andrade de Oliveira F., Enrique Zarate L., de
Azevedo Reis M., Neri Nobre C., The use of artificial neural networks in the
analysis and prediction of stock prices, Proceedings of the IEEE International
Conference on Systems, Man, and Cybernetics, pp. 2151-2155, (2011); Fama E., The
behavior of stock-market prices, J. Bus., 38, 1, pp. 34-105, (1965); Lo A.W.,
Reconciling efficient markets with behavioral finance: the adaptive markets
hypothesis, J. Invest. Consult., 7, 2, pp. 21-44, (2005); Friesen G., Weller P.A.,
Quantifying cognitive biases in analyst earnings forecasts, J. Financ. Mark., 9, 4,
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Evidence from major stock markets using very long run historic data, Int. Rev.
Financ. Anal., 28, pp. 130-142, (2013); Park C.-H., Irwin S.H., What do we know
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Financ., 18, 5, pp. 868-879, (2011); Taylor N., The rise and fall of technical
trading rule success, J. Bank. Financ., 40, pp. 286-302, (2014); Fernandez-Blanco
P., Bodas-Sagi D.J., Soltero-Domingo F.J., Hidalgo J.I., Technical market
indicators optimization using evolutionary algorithms, Proceedings of the Tenth
Annual Genetic and Evolutionary Computation Conference, pp. 1851-1857, (2008);
Bodas-Sagi D.J., Fernandez-Blanco P., Hidalgo J.I., Soltero-Domingo F.J., Risco-
Martin J.L., Multiobjective optimization of technical market indicators,
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Ulster University, Derry, United
Kingdom; email: [email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85021121819
Nabipour M.; Nayyeri P.; Jabani H.; Mosavi A.; Salwana E.; Shahab S.,"Nabipour, M.
(57211795722); Nayyeri, P. (57214233689); Jabani, H. (57218625017); Mosavi, A.
(57191408081); Salwana, E. (57194512218); Shahab, S. (57221738247)",57211795722;
57214233689; 57218625017; 57191408081; 57194512218; 57221738247,Deep learning for
stock market prediction,2020,Entropy,22,8,840,,,,227,10.3390/E22080840,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85089841373&doi=10.3390%2fE22080840&partnerID=40&md5=1d8dbf047ac9b21eeddc10f1e5a4c5
56,"Faculty of Mechanical Engineering, Tarbiat Modares University, Tehran, 14115-
143, Iran; School of Mechanical Engineering, College of Engineering, University of
Tehran, Tehran, 1439956153, Iran; Department of Economics, Payame Noor University,
West Tehran Branch, Tehran, 1455643183, Iran; Faculty of Civil Engineering,
Technische Universität Dresden, Dresden, 01069, Germany; Department of Informatics,
J. Selye University, Komarno, 94501, Slovakia; Institute of IR4.0, Universiti
Kebangsaan Malaysia, Bangi, 43600, Malaysia; Institute of Research and Development,
Duy Tan University, Da Nang, 550000, Viet Nam","Nabipour M., Faculty of Mechanical
Engineering, Tarbiat Modares University, Tehran, 14115-143, Iran; Nayyeri P.,
School of Mechanical Engineering, College of Engineering, University of Tehran,
Tehran, 1439956153, Iran; Jabani H., Department of Economics, Payame Noor
University, West Tehran Branch, Tehran, 1455643183, Iran; Mosavi A., Faculty of
Civil Engineering, Technische Universität Dresden, Dresden, 01069, Germany,
Department of Informatics, J. Selye University, Komarno, 94501, Slovakia; Salwana
E., Institute of IR4.0, Universiti Kebangsaan Malaysia, Bangi, 43600, Malaysia;
Shahab S., Institute of Research and Development, Duy Tan University, Da Nang,
550000, Viet Nam","The prediction of stock groups values has always been attractive
and challenging for shareholders due to its inherent dynamics, non-linearity, and
complex nature. This paper concentrates on the future prediction of stock market
groups. Four groups named diversified financials, petroleum, non-metallic minerals,
and basic metals from Tehran stock exchange were chosen for experimental
evaluations. Data were collected for the groups based on 10 years of historical
records. The value predictions are created for 1, 2, 5, 10, 15, 20, and 30 days in
advance. Various machine learning algorithms were utilized for prediction of future
values of stock market groups. We employed decision tree, bagging, random forest,
adaptive boosting (Adaboost), gradient boosting, and eXtreme gradient boosting
(XGBoost), and artificial neural networks (ANN), recurrent neural network (RNN) and
long short-term memory (LSTM). Ten technical indicators were selected as the inputs
into each of the prediction models. Finally, the results of the predictions were
presented for each technique based on four metrics. Among all algorithms used in
this paper, LSTM shows more accurate results with the highest model fitting
ability. In addition, for tree-based models, there is often an intense competition
between Adaboost, Gradient Boosting, and XGBoost. © 2020 by the authors.",Business
intelligence; Deep learning; Economics; Finance; Financial forecast; Information
economics; Information science; Long short-term memory; LSTM; Machine learning;
Regression analysis; Stock market; Stock market prediction; Tree-based
methods,,,,,,,,"Asadi S., Hadavandi E., Mehmanpazir F., Nakhostin M.M.,
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movement using artificial neural networks and support vector machines: The sample
of the Istanbul Stock Exchange, Expert Syst. Appl., 38, pp. 5311-5319, (2011);
Patel J., Shah S., Thakkar P., Kotecha K., Predicting stock market index using
fusion of machine learning techniques, Expert Syst. Appl., 42, pp. 2162-2172,
(2015); Patel J., Shah S., Thakkar P., Kotecha K., Predicting stock and stock price
index movement using trend deterministic data preparation and machine learning
techniques, Expert Syst. Appl., 42, pp. 259-268, (2015); Matloff N., Statistical
Regression and Classification: From Linear Models to Machine Learning, (2017)","A.
Mosavi; Faculty of Civil Engineering, Technische Universität Dresden, Dresden,
01069, Germany; email: [email protected]; S. Shahab; Institute of
Research and Development, Duy Tan University, Da Nang, 550000, Viet Nam; email:
[email protected]",,MDPI
AG,,,,,,10994300,,,,English,Entropy,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85089841373
Sharma A.; Bhuriya D.; Singh U.,"Sharma, Ashish (57199494454); Bhuriya, Dinesh
(57188753097); Singh, Upendra (54785303500)",57199494454; 57188753097;
54785303500,Survey of stock market prediction using machine learning
approach,2017,"Proceedings of the International Conference on Electronics,
Communication and Aerospace Technology, ICECA 2017",2017-
January,,,506,509,3,140,10.1109/ICECA.2017.8212715,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85047096304&doi=10.1109%2fICECA.2017.8212715&partnerID=40&md5=498b210ac6d40a6670f73
0f24b1c312d,"Govt. Women's Polytechnic, Indore, India","Sharma A., Govt. Women's
Polytechnic, Indore, India; Bhuriya D., Govt. Women's Polytechnic, Indore, India;
Singh U.","Stock market is basically nonlinear in nature and the research on stock
market is one of the most important issues in recent years. People invest in stock
market based on some prediction. For predict, the stock market prices people search
such methods and tools which will increase their profits, while minimize their
risks. Prediction plays a very important role in stock market business which is
very complicated and challenging process. Employing traditional methods like
fundamental and technical analysis may not ensure the reliability of the
prediction. To make predictions regression analysis is used mostly. In this paper
we survey of well-known efficient regression approach to predict the stock market
price from stock market data based. In future the results of multiple regression
approach could be improved using more number of variables. © 2017 IEEE.",Data
Mining; linear regression; Multiple Regression; polynomial regression; Prediction;
Stock Market,Commerce; Data mining; Financial markets; Forecasting; Learning
systems; Linear regression; Regression analysis; Reliability analysis; Surveys;
Machine learning approaches; Multiple regression approach; Multiple regressions;
People searches; Polynomial regression; Stock market prediction; Stock market
prices; Technical analysis; Investments,,,,,,,"Fama E.F., The behavior of stock
market prices, The Journal of Business, 2, 2, pp. 7-26, (1965); Das A.P., Security
Analysis and Portfolio Management, (2008); Introduction to Data Mining and
Knowledge Discovery, (1999); Larose D.T., Discovering Knowledge in Data: An
Introduction to Data Mining, (2005); Dunham M.H., Sridhar S., Data Mining:
Introductory and Advanced Topics, (2006); Stock Market Challenges; Sheta A.,
Software effort estimation and stock market prediction using takagi-sugeno fuzzy
models, Proceedings of the IEEE International Conference on Fuzzy Systems, pp. 171-
178, (2006); Fazel Zarandi M.H., Rezaee B., Turksen I.B., Neshat E., A type-2 fuzzy
rule-based expert system model forstock price analysis, Expert Systems with
Applications, 36, 1, pp. 139-154, (2009); Lai R.K., Fan C.-Y., Huang W.-H., Chang
P.-C., Evolving and clustering fuzzy decisiontree for financial time series data
forecasting, An International Journal of Expert Systems with Applications, 36, 2,
pp. 3761-3773, (2009); Chen S., Chang Y., Multi-variable fuzzy forecasting based on
fuzzy clustering and fuzzy rule interpolation techniques, Information Sciences,
180, 24, pp. 4772-4783, (2010); Abdulsalam-Sulaiman-Olaniyi S., Adewole K.S., Jimoh
R.G., Stock trend prediction using regression analysis - A data mining approach,
ARPN Journal of Systems and Software, 1, 4, (2011)",,,Institute of Electrical and
Electronics Engineers Inc.,,"2017 International Conference on Electronics,
Communication and Aerospace Technology, ICECA 2017",20 April 2017 through 22 April
2017,Coimbatore,133534,,,,,English,"Proc. Int. Conf. Electron., Commun. Aerosp.
Technol., ICECA",Conference paper,Final,,Scopus,2-s2.0-85047096304
Jiang M.; Liu J.; Zhang L.; Liu C.,"Jiang, Minqi (57688177800); Liu, Jiapeng
(55900044400); Zhang, Lu (55709197700); Liu, Chunyu (57210106435)",57688177800;
55900044400; 55709197700; 57210106435,An improved Stacking framework for stock
index prediction by leveraging tree-based ensemble models and deep learning
algorithms,2020,Physica A: Statistical Mechanics and its
Applications,541,,122272,,,,103,10.1016/j.physa.2019.122272,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85077066213&doi=10.1016%2fj.physa.2019.122272&partnerID=40&md5=2e49ab42191d487c300f
e3be12399390,"Department of Financial Engineering, China Jiliang University,
China","Jiang M., Department of Financial Engineering, China Jiliang University,
China; Liu J., Department of Financial Engineering, China Jiliang University,
China; Zhang L., Department of Financial Engineering, China Jiliang University,
China; Liu C., Department of Financial Engineering, China Jiliang University,
China","Stock price index is an essential component of financial systems and
indicates the economic performance in the national level. Even if a small
improvement in its forecasting performance will be highly profitable and
meaningful. This manuscript input technical features together with macroeconomic
indicators into an improved Stacking framework for predicting the direction of the
stock price index in respect of the price prevailing some time earlier, if
necessary, a month. Random forest (RF), extremely randomized trees (ERT), extreme
gradient boosting (XGBoost) and light gradient boosting machine (LightGBM), which
pertain to the tree-based algorithms, and recurrent neural networks (RNN),
bidirectional RNN, RNN with long short-term memory (LSTM) and gated recurrent unit
(GRU) layer, which pertain to the deep learning algorithms, are stacked as base
classifiers in the first layer. Cross-validation method is then implemented to
iteratively generate the input for the second level classifier in order to prevent
overfitting. In the second layer, logistic regression, as well as its regularized
version, are employed as meta-classifiers to identify the unique learning pattern
of the base classifiers. Empirical results over three major U.S. stock indices
indicate that our improved Stacking method outperforms state-of-the-art ensemble
learning algorithms and deep learning models, achieving a higher level of accuracy,
F-score and AUC value. Besides, another contribution in our research paper is the
design of a Lasso (least absolute shrinkage and selection operator) based meta-
classifier that is capable of automatically weighting/selecting the optimal base
learners for the forecasting task. Our findings provide an integrated Stacking
framework in the financial area. © 2019 Elsevier B.V.",Deep learning; Information
fusion; Stacking algorithm; Stock index prediction; Tree-based ensemble
models,Commerce; Decision trees; Deep learning; Electronic trading; Financial
markets; Forecasting; Genetic algorithms; Information fusion; Iterative methods;
Learning systems; Logistic regression; Long short-term memory; Multilayer neural
networks; Cross-validation methods; Ensemble learning algorithm; Least absolute
shrinkage and selection operators; Macroeconomic indicators; Recurrent neural
network (RNN); Stacking algorithms; Stock index predictions; Tree-based ensembles;
Learning algorithms,,,,,"National Social Science Foundation of China; Natural
Science Foundation of Zhejiang Province, (LQ17G030008); Natural Science Foundation
of Zhejiang Province; Zhejiang University, ZJU, (2016GH019); Zhejiang University,
ZJU; National Aerospace Science Foundation of China, (18BGL224); National Aerospace
Science Foundation of China; key humanities and social science projects in Zhejiang
Province university; soft science project of Zhejiang Province,
(2017C35027)","Funding text 1: This paper acknowledges the financial support from
the National Social Science Foundation of China ( 18BGL224 ), the soft science
project of Zhejiang Province ( 2017C35027 ), the Natural Science Foundation of
Zhejiang Province ( LQ17G030008 ), and the key humanities and social science
projects in Zhejiang Province university ( 2016GH019 ). Appendix See Table A.1
; Funding text 2: This paper acknowledges the financial support from the National
Social Science Foundation of China (18BGL224), the soft science project of Zhejiang
Province (2017C35027), the Natural Science Foundation of Zhejiang Province
(LQ17G030008), and the key humanities and social science projects in Zhejiang
Province university (2016GH019).","Leung M.T., Daouk H., Chen A.-S., Forecasting
stock indices: a comparison of classification and level estimation models, Int. J.
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Index Movement: A Comparison of Support Vector Machines and Random Forest, (2006);
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Comput. Oper. Res., 32, pp. 2513-2522, (2005); Kim K.-J., Financial time series
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Schapire R.E., Experiments with a new boosting algorithm, pp. 148-156, (1996); Tian
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Netw., pp. 241-259, (1992); Weng B., Martinez W., Tsai Y.-T., Li C., Lu L., Barth
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for financial sequence predictions, Procedia Comput. Sci., 131, pp. 895-903,
(2018); Cao J., Li Z., Li J., Financial time series forecasting model based on
CEEMDAN and LSTM, Physica A, 519, pp. 127-139, (2019); Bao W., Yue J., Rao Y., A
deep learning framework for financial time series using stacked autoencoders and
long-short term memory, PLoS One, 12, (2017); Luo L., You S., Xu Y., Hong P.,
Improving the integration of piece wise linear representation and weighted support
vector machine for stock trading signal prediction, Appl. Soft Comput., 56, pp.
199-216, (2017); Kara Y., Boyacioglu M.A., Baykan O.K., Predicting direction of
stock price index movement using artificial neural networks and support vector
machines: The sample of the Istanbul Stock Exchange, Expert Syst. Appl., 38, pp.
5311-5319, (2011); Patel J., Shah S., Thakkar P., Kotecha K., Predicting stock and
stock price index movement using Trend Deterministic Data Preparation and machine
learning techniques, Expert Syst. Appl. Int. J., 42, pp. 259-268, (2015); Breiman
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(2016); Palangi H., Li D., Shen Y., Gao J., He X., Chen J., Song X., Ward R., Deep
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systematic analysis of performance measures for classification tasks, Inf. Process.
Manage., 45, pp. 427-437, (2009)","J. Liu; Number 258, Xueyuan Street, Xiasha
Higher Education District, China; email: [email protected]",,Elsevier
B.V.,,,,,,3784371,,PHYAD,,English,Phys A Stat Mech Appl,Article,Final,,Scopus,2-
s2.0-85077066213
Zhu Y.; Xie C.; Wang G.-J.; Yan X.-G.,"Zhu, You (57188963262); Xie, Chi
(16403910800); Wang, Gang-Jin (57222304383); Yan, Xin-Guo
(55949301000)",57188963262; 16403910800; 57222304383; 55949301000,"Comparison of
individual, ensemble and integrated ensemble machine learning methods to predict
China’s SME credit risk in supply chain finance",2017,Neural Computing and
Applications,28,,,41,50,9,101,10.1007/s00521-016-2304-x,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84964335230&doi=10.1007%2fs00521-016-2304-
x&partnerID=40&md5=b501a2e3682880c3e4b4ca005da1401d,"College of Business
Administration, Hunan University, Changsha, 410082, China; Center of Finance and
Investment Management, Hunan University, Changsha, 410082, China","Zhu Y., College
of Business Administration, Hunan University, Changsha, 410082, China; Xie C.,
College of Business Administration, Hunan University, Changsha, 410082, China,
Center of Finance and Investment Management, Hunan University, Changsha, 410082,
China; Wang G.-J., College of Business Administration, Hunan University, Changsha,
410082, China, Center of Finance and Investment Management, Hunan University,
Changsha, 410082, China; Yan X.-G., College of Business Administration, Hunan
University, Changsha, 410082, China","Supply chain finance (SCF) becomes more
important for small- and medium-sized enterprises (SMEs) due to global credit
crunch, supply chain financing woes and tightening credit criteria for corporate
lending. Currently, predicting SME credit risk is significant for guaranteeing SCF
in smooth operation. In this paper, we apply six methods, i.e., one individual
machine learning (IML, i.e., decision tree) method, three ensemble machine learning
methods [EML, i.e., bagging, boosting, and random subspace (RS)], and two
integrated ensemble machine learning methods (IEML, i.e., RS–boosting and multi-
boosting), to predict SMEs credit risk in SCF and compare the effectiveness and
feasibility of six methods. In the experiment, we choose the quarterly financial
and non-financial data of 48 listed SMEs from Small and Medium Enterprise Board of
Shenzhen Stock Exchange, six listed core enterprises (CEs) from Shanghai Stock
Exchange and three listed CEs from Shenzhen Stock Exchange during the period of
2012–2013 as the empirical samples. Experimental results reveal that the IEML
methods acquire better performance than IML and EML method. In particular, RS–
boosting is the best method to predict SMEs credit risk among six methods. © 2016,
The Natural Computing Applications Forum.",Core enterprises; Credit risk; Ensemble
machine learning; Individual machine learning; Integrated ensemble machine
learning; Small- and medium-sized enterprises; Supply chain finance,Adaptive
boosting; Artificial intelligence; Decision trees; Finance; Financial markets;
Forecasting; Risk assessment; Supply chains; Core enterprise; Credit risks; Machine
learning methods; Shanghai stock exchanges; Shenzhen stock exchanges; Small and
medium enterprise; Small and medium sized enterprise; Supply chain finances;
Learning systems,,,,,"National Natural Science Foundation of China, NSFC,
(71373072, 71501066); China Scholarship Council, CSC, (201506135022); Foundation
for Innovative Research Groups of the National Natural Science Foundation of China,
(71221001); Specialized Research Fund for the Doctoral Program of Higher Education
of China, SRFDP, (20130161110031)","Funding text 1: Acknowledgments This work was
supported by the National Natural Science Foundation of China under Grant Nos.
71373072 and 71501066; the China Scholarship Council under Grant No. 201506135022;
Specialized Research Fund for the Doctoral Program of Higher Education under Grant
No. 20130161110031; and; Funding text 2: IML (i.e., DT) method, respectively in a
and b. a The area of ROC curve of multi-boosting is enclosed by red circles line,
which is obvious larger than the area of ROC curve of other methods; b the area of
ROC curve of RS–boosting is enclosed by red squares line, which is obvious larger
than the area of ROC curve other methods (color figure online) Foundation for
Innovative Research Groups of the National Natural Science Foundation of China
under Grant No. 71221001.; Funding text 3: This work was supported by the National
Natural Science Foundation of China under Grant Nos. 71373072 and 71501066; the
China Scholarship Council under Grant No. 201506135022; Specialized Research Fund
for the Doctoral Program of Higher Education under Grant No. 20130161110031; and
Foundation for Innovative Research Groups of the National Natural Science
Foundation of China under Grant No. 71221001.","More D., Basu P., Challenges of
supply chain finance: a detailed study and a hierarchical model based on the
experiences of an Indian firm, Bus Process Manag J, 19, 4, pp. 624-647, (2013);
Fairchild A., Intelligent matching: integrating efficiencies in the financial
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Comput Linguist, 33, 3, pp. 293-303, (2007)","C. Xie; College of Business
Administration, Hunan University, Changsha, 410082, China; email:
[email protected]",,Springer London,,,,,,9410643,,,,English,Neural Comput.
Appl.,Article,Final,,Scopus,2-s2.0-84964335230
Chen Y.; Hao Y.,"Chen, Yingjun (55585632600); Hao, Yongtao
(9634647100)",55585632600; 9634647100,A feature weighted support vector machine and
K-nearest neighbor algorithm for stock market indices prediction,2017,Expert
Systems with Applications,80,,,340,355,15,263,10.1016/j.eswa.2017.02.044,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85016570950&doi=10.1016%2fj.eswa.2017.02.044&partnerID=40&md5=c81dc4245af1a42a8c426
0031bd24599,"Department of Computer Science and Technology, Tongji University,
Shanghai 201804, China","Chen Y., Department of Computer Science and Technology,
Tongji University, Shanghai 201804, China; Hao Y., Department of Computer Science
and Technology, Tongji University, Shanghai 201804, China","This study investigates
stock market indices prediction that is an interesting and important research in
the areas of investment and applications, as it can get more profits and returns at
lower risk rate with effective exchange strategies. To realize accurate prediction,
various methods have been tried, among which the machine learning methods have
drawn attention and been developed. In this paper, we propose a basic hybridized
framework of the feature weighted support vector machine as well as feature
weighted K-nearest neighbor to effectively predict stock market indices. We first
establish a detailed theory of feature weighted SVM for the data classification
assigning different weights for different features with respect to the
classification importance. Then, to get the weights, we estimate the importance of
each feature by computing the information gain. Lastly, we use feature weighted K-
nearest neighbor to predict future stock market indices by computing k weighted
nearest neighbors from the historical dataset. Experiment results on two well known
Chinese stock market indices like Shanghai and Shenzhen stock exchange indices are
finally presented to test the performance of our established model. With our
proposed model, it can achieve a better prediction capability to Shanghai Stock
Exchange Composite Index and Shenzhen Stock Exchange Component Index in the short,
medium and long term respectively. The proposed algorithm can also be adapted to
other stock market indices prediction. © 2017 Elsevier Ltd",Feature weighted K-
nearest neighbor (FWKNN); Feature weighted SVM (FWSVM); Information gain; Stock
market indices,Classification (of information); Commerce; Computation theory;
Electronic trading; Finance; Financial markets; Forecasting; Learning algorithms;
Learning systems; Motion compensation; Nearest neighbor search; Pattern
recognition; Support vector machines; Feature weighted SVM (FWSVM); Information
gain; K nearest neighbor algorithm; Shanghai stock exchange composite indices;
Shenzhen stock exchanges; Stock market index; Weighted k-nearest neighbors;
Weighted support vector machine; Investments,,,,,"National Natural Science
Foundation of China, NSFC, (E050604/51075306); National Science and Technology
Program during the Twelfth Five-year Plan Period, (2015BAF10B01)","This work is
partly supported by National Natural Science Foundation of China
(E050604/51075306), The National Science & Technology Pillar Program during the
Twelve Five-Year Plan Period (2015BAF10B01).","Box G.E., Jenkins G.M., Reinsel
G.C., Ljung G.M., Time series analysis: Forecasting and control, (2015); Cao L.-J.,
Tay F.E.H., Support vector machine with adaptive parameters in financial time
series forecasting, IEEE Transactions on Neural Networks, 14, pp. 1506-1518,
(2003); Cervello-Royo R., Guijarro F., Michniuk K., Stock market trading rule based
on pattern recognition and technical analysis: Forecasting the djia index with
intraday data, Expert Systems with Applications, 42, pp. 5963-5975, (2015);
Chakravarty S., Dash P., A pso based integrated functional link net and interval
type-2 fuzzy logic system for predicting stock market indices, Applied Soft
Computing, 12, pp. 931-941, (2012); Chang C.-C., Lin C.-J., Libsvm: A library for
support vector machines, ACM Transactions on Intelligent Systems and Technology
(TIST), 2, (2011); Chiang W.-C., Enke D., Wu T., Wang R., An adaptive stock index
trading decision support system, Expert Systems with Applications, 59, pp. 195-207,
(2016); Dai J., Xu Q., Attribute selection based on information gain ratio in fuzzy
rough set theory with application to tumor classification, Applied Soft Computing,
13, pp. 211-221, (2013); Dash R., Dash P.K., Bisoi R., A self adaptive differential
harmony search based optimized extreme learning machine for financial time series
prediction, Swarm and Evolutionary Computation, 19, pp. 25-42, (2014); Fletcher R.,
Practical methods of optimization, (2013); Fu-Yuan H., (2008); Gocken M., Ozcalici
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(2002)","Y. Hao; Department of Computer Science and Technology, Tongji University,
Shanghai 201804, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85016570950
Wu D.D.; Zheng L.; Olson D.L.,"Wu, Desheng Dash (34769206000); Zheng, Lijuan
(55265365700); Olson, David L. (35561732100)",34769206000; 55265365700;
35561732100,A decision support approach for online stock forum sentiment
analysis,2014,"IEEE Transactions on Systems, Man, and Cybernetics:
Systems",44,8,6705664,1077,1087,10,115,10.1109/TSMC.2013.2295353,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84904598315&doi=10.1109%2fTSMC.2013.2295353&partnerID=40&md5=b6411c122cd3069b5ba113
3dab107cf3,"RiskLab, University of Toronto, Toronto, ON M5S 3G3, Canada; School of
Management, University of Science and Technology of China, Chinese Academy of
Sciences, Beijing, China; Department of Management Science and Engineering, School
of Economics and Management, Tongji University, Shanghai 200092, China; Department
of Management, University of Nebraska, Lincoln, NE 68588-0491, United States","Wu
D.D., RiskLab, University of Toronto, Toronto, ON M5S 3G3, Canada, School of
Management, University of Science and Technology of China, Chinese Academy of
Sciences, Beijing, China; Zheng L., Department of Management Science and
Engineering, School of Economics and Management, Tongji University, Shanghai
200092, China; Olson D.L., Department of Management, University of Nebraska,
Lincoln, NE 68588-0491, United States",The Internet provides the opportunity for
investors to post online opinions that they share with fellow investors. Sentiment
analysis of online opinion posts can facilitate both investors' investment decision
making and stock companies' risk perception. This paper develops a novel sentiment
ontology to conduct context-sensitive sentiment analysis of online opinion posts in
stock markets. The methodology integrates popular sentiment analysis into machine
learning approaches based on support vector machine and generalized autoregressive
conditional heteroskedasticity modeling. A typical financial website called Sina
Finance has been selected as an experimental platform where a corpus of financial
review data was collected. Empirical results suggest solid correlations between
stock price volatility trends and stock forum sentiment. Computational results show
that the statistical machine learning approach has a higher classification accuracy
than that of the semantic approach. Results also imply that investor sentiment has
a particularly strong effect for value stocks relative to growth stocks. © 2014
IEEE.,Decision support; generalized autoregressive conditional heteroskedasticity
(GARCH); sentiment analysis; stock price; support vector machine (SVM);
volatility,Decision support systems; Financial markets; Learning systems; Risk
assessment; Risk perception; Semantics; Sentiment analysis; Support vector
machines; Decision supports; Generalized autoregressive conditional
heteroskedasticity; Investment decision making; Machine learning approaches;
Statistical machine learning; Stock price; Stock price volatilities; volatility;
Investments,,,,,,,"Watkins B., Riding the wave of sentiment: An analysis of return
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Interrelation Maps, (2013)",,,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21682216,,,,English,IEEE Trans. Syst. Man Cybern.
Syst.,Article,Final,,Scopus,2-s2.0-84904598315
Kurani A.; Doshi P.; Vakharia A.; Shah M.,"Kurani, Akshit (57224443991); Doshi,
Pavan (57224449747); Vakharia, Aarya (57224444643); Shah, Manan
(57200131797)",57224443991; 57224449747; 57224444643; 57200131797,A Comprehensive
Comparative Study of Artificial Neural Network (ANN) and Support Vector Machines
(SVM) on Stock Forecasting,2023,Annals of Data
Science,10,1,,183,208,25,249,10.1007/s40745-021-00344-x,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107524120&doi=10.1007%2fs40745-021-00344-
x&partnerID=40&md5=f0657f8cf368555ed4928595677d2e2d,"Department of Computer
Engineering, Indus University, Gujarat, Ahmedabad, India; Department of Computer
Science and Engineering, Indus University, Gujarat, Ahmedabad, India; Department of
Chemical Engineering, School of Technology, Pandit Deendayal Petroleum University,
Gujarat, Gandhinagar, 382007, India","Kurani A., Department of Computer
Engineering, Indus University, Gujarat, Ahmedabad, India; Doshi P., Department of
Computer Science and Engineering, Indus University, Gujarat, Ahmedabad, India;
Vakharia A., Department of Computer Science and Engineering, Indus University,
Gujarat, Ahmedabad, India; Shah M., Department of Chemical Engineering, School of
Technology, Pandit Deendayal Petroleum University, Gujarat, Gandhinagar, 382007,
India","From exchanging budgetary instruments to tracking individual spending plans
to detail a business's profit, money-related organisations utilise computational
innovation day by day. Here in this paper, we focus on the significance of
innovation in accounts such as financial risk management and stock prediction. We
discuss two significant algorithms that have a notable role in stock forecasting.
Artificial Neural Networks (ANN), as absenteeism of some data points, does not
hamper the network functioning. Secondly, Support Vector Machines (SVM) has several
features, and due to simple decision boundaries, it avoids over-fitting. The paper
first looks at the different technologies applied in stock market prediction. It
examines how sentimental analysis, decision trees, moving average algorithm, and
data mining is applied in various stock prediction scenarios. The paper covers the
recent past studies to explore the concepts and methodologies through which ANN's
and SVM's have been used. Additionally, the paper incorporates significant aspects
of novel methods and technologies in which ANN as a hybrid model like ANN-MLP,
GARCH-MLP, a combination of the Backpropagation algorithm and Multilayer Feed-
forward network, yields better results. Simultaneously, SVM's have been
successfully applied in stock prediction, giving an accuracy of about 60%–70% for
simple SVM, which is further improved by combining methods like Random Forest,
Genetic Algorithm more accurate outcomes. Further, we present our thoughts on where
SVM's and ANN's stand as prediction algorithms and challenges like the time
constraint, current scenarios, data limitation, and cold start problems were
raised. Conclusively SVM and ANN played prominent roles in tackling these issue to
an extent and can further be enhanced with their integration with other novel
techniques resulting in hybrid methodologies. It will lead students, researchers
and financial enthusiasts to more potent approaches for Stock forecasting. © 2021,
The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of
Springer Nature.",ANN; Machine learning; SVM,,,,,,"Indus University; Pandit
Deendayal Energy University; Department of Chemical Engineering, Universiti
Teknologi Petronas; Department of Computer Science and Engineering, Seoul National
University, CSE, SNU","The authors are grateful to Department of Computer Science
Engineering, Indus University and Department of Chemical Engineering, Pandit
Deendayal Energy University for the permission to publish this research.","Haider
Khan Z., Sharmin Alin T., Hussain A., Price prediction of share market using
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Soft Comput J, 93, (2020); Dey S., Kumar Y., Saha S., Basak S., Forecasting to
Classification : Predicting the Direction of Stock Market Price Using Xtreme
Gradient Boosting Forecasting to Classification, (2016); Farquad M.A.H., Ravi V.,
Raju S.B., Analytical CRM in banking and finance using SVM: a modified active
learning-based rule extraction approach, Int J Electron Cust Relatsh Manag, 6, pp.
48-73, (2012); Huang W., Lai K.K., Nakamori Y., Et al., Neural networks in finance
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analyzing the online financial news using Naive Bayes classifier and local economic
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using support vector machine, Int J Curr Trends Eng Technol, 2, pp. 18-25, (2016);
Pan J., Zhuang Y., Fong S., The impact of data normalization on stock market
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88, (2016); Di X., Stock Trend Prediction with Technical Indicators using SVM,
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Support Vector Machine, Proc 2013 6Th Int Conf Inf Manag Innov Manag Ind Eng ICIII
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Using Machine Learning Algorithms, (2012)","M. Shah; Department of Chemical
Engineering, School of Technology, Pandit Deendayal Petroleum University,
Gandhinagar, Gujarat, 382007, India; email: [email protected]",,Springer
Science and Business Media Deutschland GmbH,,,,,,21985804,,,,English,Ann. Data
Sci.,Review,Final,,Scopus,2-s2.0-85107524120
Nabipour M.; Nayyeri P.; Jabani H.; Shahab S.; Mosavi A.,"Nabipour, Mojtaba
(57211795722); Nayyeri, Pooyan (57214233689); Jabani, Hamed (57218625017); Shahab,
S. (57221738247); Mosavi, Amir (57191408081)",57211795722; 57214233689;
57218625017; 57221738247; 57191408081,Predicting Stock Market Trends Using Machine
Learning and Deep Learning Algorithms Via Continuous and Binary Data; A Comparative
Analysis,2020,IEEE
Access,8,,9165760,150199,150212,13,248,10.1109/ACCESS.2020.3015966,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85090272444&doi=10.1109%2fACCESS.2020.3015966&partnerID=40&md5=329f7b4afedbea58921d
c86f8e1248ff,"Faculty of Mechanical Engineering, Tarbiat Modares University,
Tehran, 14117-13116, Iran; School of Mechanical Engineering, College of
Engineering, University of Tehran, Tehran, 14155-6311, Iran; Department of
Economics, Payame Noor University, West Tehran Branch, Tehran, 19395-4697, Iran;
Institute of Research and Development, Duy Tan University, Da Nang, 550000, Viet
Nam; Future Technology Research Center, College of Future, National Yunlin
University of Science and Technology, Douliou, 64002, Taiwan; Kalman Kando Faculty
of Electrical Engineering, Obuda University, Budapest, 1034, Hungary; John von
Neumann Faculty of Informatics, Obuda University, Budapest, 1034, Hungary;
Department of Mathematics and Informatics, J. Selye University, Komarno, 94501,
Slovakia","Nabipour M., Faculty of Mechanical Engineering, Tarbiat Modares
University, Tehran, 14117-13116, Iran; Nayyeri P., School of Mechanical
Engineering, College of Engineering, University of Tehran, Tehran, 14155-6311,
Iran; Jabani H., Department of Economics, Payame Noor University, West Tehran
Branch, Tehran, 19395-4697, Iran; Shahab S., Institute of Research and Development,
Duy Tan University, Da Nang, 550000, Viet Nam, Future Technology Research Center,
College of Future, National Yunlin University of Science and Technology, Douliou,
64002, Taiwan; Mosavi A., Kalman Kando Faculty of Electrical Engineering, Obuda
University, Budapest, 1034, Hungary, John von Neumann Faculty of Informatics, Obuda
University, Budapest, 1034, Hungary, Department of Mathematics and Informatics, J.
Selye University, Komarno, 94501, Slovakia","The nature of stock market movement
has always been ambiguous for investors because of various influential factors.
This study aims to significantly reduce the risk of trend prediction with machine
learning and deep learning algorithms. Four stock market groups, namely diversified
financials, petroleum, non-metallic minerals and basic metals from Tehran stock
exchange, are chosen for experimental evaluations. This study compares nine machine
learning models (Decision Tree, Random Forest, Adaptive Boosting (Adaboost),
eXtreme Gradient Boosting (XGBoost), Support Vector Classifier (SVC), Naïve Bayes,
K-Nearest Neighbors (KNN), Logistic Regression and Artificial Neural Network (ANN))
and two powerful deep learning methods (Recurrent Neural Network (RNN) and Long
short-term memory (LSTM). Ten technical indicators from ten years of historical
data are our input values, and two ways are supposed for employing them. Firstly,
calculating the indicators by stock trading values as continuous data, and secondly
converting indicators to binary data before using. Each prediction model is
evaluated by three metrics based on the input ways. The evaluation results indicate
that for the continuous data, RNN and LSTM outperform other prediction models with
a considerable difference. Also, results show that in the binary data evaluation,
those deep learning methods are the best; however, the difference becomes less
because of the noticeable improvement of models' performance in the second way. ©
2013 IEEE.",classification; deep learning; machine learning; Stock market; trends
prediction,Adaptive boosting; Commerce; Decision trees; Electronic trading;
Financial markets; Fintech; Forecasting; Investments; Learning systems; Logistic
regression; Long short-term memory; Nearest neighbor search; Predictive analytics;
Random forests; Support vector regression; Comparative analysis; Experimental
evaluation; K nearest neighbor (KNN); Machine learning models; Nonmetallic
minerals; Recurrent neural network (RNN); Support vector classifiers; Tehran stock
exchanges; Deep learning,,,,,"J. Selye University; European Commission, EC, (2017-
1.3.1-VKE-2017-00025, EFOP-3.6.1-16-2016-00010); European Regional Development
Fund, FEDER, (NFP313010T504)","This work was supported in part by the Hungarian
State and the European Union under Project EFOP-3.6.1-16-2016-00010 and Project
2017-1.3.1-VKE-2017-00025, and in part by the research and development activities
of the J. Selye University in the field of Digital Slovakia and creative industry’
of the Research & Innovation Operational Programme, co-funded by the European
Regional Development Fund, under Grant NFP313010T504.","Murphy J.J., Technical
Analysis of the Financial Markets: A Comprehen-sive Guide to Trading Methods and
Applications, (1999); Turner T., A Beginner's Guide to Day Trading Online, 2nd Ed,
(2007); Maqsood H., Mehmood I., Maqsood M., Yasir M., Afzal S., Aadil F., Selim
M.M., Muhammad K., A local and global event sentiment based efficient stock
exchange forecasting using deep learning, Int. J. Inf. Manage., 50, pp. 432-451,
(2020); Long W., Lu Z., Cui L., Deep learning-based feature engineering for stock
price movement prediction, Knowl.-Based Syst., 164, pp. 163-173, (2019); Duarte
J.B.D., Sarmiento L.H.T., Juarez K.J.S., Evaluation of the effect of investor
psychology on an Artificial stock market through its degree of efficiency,
Contaduría y Administración, 62, 4, pp. 1361-1376, (2017); Lu N., A Machine
Learning Approach to Automated Trading, (2016); Hassan M.R., Nath B., Kirley M., A
fusion model of hmm, ann and ga for stock market forecasting, Expert Syst. Appl.,
33, 1, pp. 171-180, (2007); Huang W., Nakamori Y., Wang S.-Y., Forecasting stock
market movement direction with support vector machine, Comput. Oper. Res., 32, 10,
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vector machines: Ensemble vs. Individual, Appl. Soft Comput., 12, 8, pp. 2254-2265,
(2012); Ou P., Wang H., Prediction of stock market index movement by ten data
mining techniques, Modern Appl. Sci., 3, 12, pp. 28-42, (2009); Liu F., Wang J.,
Fluctuation prediction of stock market index by legendre neural network with random
time strength function, Neurocomputing, 83, pp. 12-21, (2012); Tsai C.-F., Lin Y.-
C., Yen D.C., Chen Y.-M., Predicting stock returns by Classifier ensembles, Appl.
Soft Comput., 11, 2, pp. 2452-2459, (2011); Araajo R.D.A., Ferreira T.A.E., A
Morphological-Rank-Linear evolutionary method for stock market prediction, Inf.
Sci., 237, pp. 3-17, (2013); Ballings M., Van Den Poel D., Hespeels N., Gryp R.,
Evaluating multiple Classifiers for stock price direction prediction, Expert Syst.
Appl., 42, 20, pp. 7046-7056, (2015); Basak S., Kar S., Saha S., Khaidem L., Dey
S.R., Predicting the direction of stock market prices using tree-based Classifiers,
North Amer. J. Econ. Finance, 47, pp. 552-567, (2019); Weng B., Martinez W., Tsai
Y.-T., Li C., Lu L., Barth J.R., Megahed F.M., Macroeconomic indicators alone can
predict the monthly closing price of major U.S. indices: Insights from Artificial
intelligence, time-series analysis and hybrid models, Appl. Soft Comput., 71, pp.
685-697, (2018); Long J., Chen Z., He W., Wu T., Ren J., An integrated framework of
deep learning and knowledge graph for prediction of stock price trend: An
application in Chinese stock exchange market, Appl. Soft Comput., 91, (2020); Rekha
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neural network strategies, J. Comput. Theor. Nanoscience, 16, 5, pp. 2333-2336,
(2019); Pang X., Zhou Y., Wang P., Lin W., Chang V., An innovative neural network
approach for stock market prediction, J. Supercomput., 76, 3, pp. 2098-2118,
(2020); Kelotra A., Pandey P., Stock market prediction using optimized deep-
convLSTM model, Big Data, 8, 1, pp. 5-24, (2020); Baek Y., Kim H.Y., ModAugNet: A
new forecasting framework for stock market index value with an overfitting
prevention LSTM module and a prediction LSTM module, Expert Syst. Appl., 113, pp.
457-480, (2018); Chung H., Shin K.-S., Genetic algorithm-optimized long short-term
memory network for stock market prediction, Sustainability, 10, 10, (2018);
Nabipour M., Nayyeri P., Jabani H., Mosavi A., Salwana E., Deep learning for Stock
Market Prediction, Entropy, 22, 8, (2020); Kara Y., Acar Boyacioglu M., Baykan
O.K., Predicting direction of stock price index movement using Artificial neural
networks and support vector machines: The sample of the istanbul stock exchange,
Expert Syst. Appl., 38, 5, pp. 5311-5319, (2011); Patel J., Shah S., Thakkar P.,
Kotecha K., Predicting stock market index using fusion of machine learning
techniques, Expert Syst. Appl., 42, 4, pp. 2162-2172, (2015); Patel J., Shah S.,
Thakkar P., Kotecha K., Predicting stock and stock price index movement using trend
deterministic data preparation and machine learning techniques, Expert Syst. Appl.,
42, 1, pp. 259-268, (2015); Majhi R., Panda G., Majhi B., Sahoo G., Efficient
prediction of stock market indices using adaptive bacterial foraging optimization
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(2009); Chen Y., Hao Y., A feature weighted support vector machine and Knearest
neighbor algorithm for stock market indices prediction, Expert Syst. Appl., 80, pp.
340-355, (2017)","S. Shahab; Institute of Research and Development, Duy Tan
University, Da Nang, 550000, Viet Nam; email:
[email protected]; A. Mosavi; Kalman Kando Faculty of
Electrical Engineering, Obuda University, Budapest, 1034,
Hungary; email: [email protected]",,Institute of Electrical and
Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85090272444
Eapen J.; Bein D.; Verma A.,"Eapen, Jithin (57208134733); Bein, Doina
(56028586000); Verma, Abhishek (57213158945)",57208134733; 56028586000;
57213158945,Novel deep learning model with CNN and bi-directional LSTM for improved
stock market index prediction,2019,"2019 IEEE 9th Annual Computing and
Communication Workshop and Conference, CCWC
2019",,,8666592,264,270,6,117,10.1109/CCWC.2019.8666592,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85063886310&doi=10.1109%2fCCWC.2019.8666592&partnerID=40&md5=10c66e3029ba2db5f6d9a9
4d20fc1d90,"Department of Computer Science, California State University, Fullerton,
92831, CA, United States; Department of Computer Science, New Jersey City
University, Jersey City, 07305, NJ, United States","Eapen J., Department of
Computer Science, California State University, Fullerton, 92831, CA, United States;
Bein D., Department of Computer Science, New Jersey City University, Jersey City,
07305, NJ, United States; Verma A., Department of Computer Science, California
State University, Fullerton, 92831, CA, United States",Predicting variations in
stock price index has been an important application area of machine learning
research. Due to the non-linear and complex nature of the stock market making
predictions on stock price index is a challenging and non-trivial task. Deep
learning approaches have become an important method in modeling complex
relationships in temporal data. In this paper: (i) we propose a novel deep learning
model that combines multiple pipelines of convolutional neural network and bi-
directional long short term memory units. (ii) Proposed model improves prediction
performance by 9% upon single pipeline deep learning model and by over a factor of
six upon support vector machine regressor model on SP 500 grand challenge dataset.
(iii) We illustrate the improvement in prediction accuracy while minimizing the
effects of overfitting by presenting several variations of multiple and single
pipeline deep learning models based on different CNN kernel sizes and number of bi-
directional LSTM units. © 2019 IEEE.,Bi-directional LSTM; CNN; deep learning; SP
500.; stock market prediction,Bismuth compounds; Commerce; Complex networks;
Financial markets; Forecasting; Long short-term memory; Pipelines; Bi-directional;
Convolutional neural network; Machine learning research; Multiple pipelines;
Prediction accuracy; Prediction performance; SP 500; Stock market prediction; Deep
learning,,,,,,,"Hall J., Mani G., Barr D., Applying computational intelligence to
the investment process, Proc. of 1996 CIFER: Computational Intelligence in
Financial Engineering; Yahoo Finance S&P500 Stock Data; Marynowski J.M., Et al.,
Automated Trading System in An Electronic Trading Exchange, (2007); Meesad P.,
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artificial neural network models in stock market index prediction, Expert Systems
with Applications, 38, pp. 10389-10397, (2011); Bhattacharjee N.V., Tollner E.W.,
Improving management of windrow composting systems by modeling runoff water quality
dynamics using recurrent neural network, Ecological Modelling, 339, pp. 68-76,
(2016); Herman M., Schrauwen B., Training and analyzing deep recurrent neural
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Karlsson L., Loutfi A., A review of unsupervised feature learning and deep learning
for time-series modeling, Pattern Recognition Lett, 42, pp. 11-24, (2014); Zhang
W., Shift-invariant pattern recognition neural network and its optical
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Russakovsky A.O., Et al., Image Net large scale visual recognition challenge, Int.
J. Comput. Vision, 115, pp. 211-252, (2015); Yenter A., Verma A., Deep CNN-LSTM
with combined kernels from multiple branches for IMDb review sentiment analysis,
8th IEEE Annu. Ubiquitous Computing, Electron., Mobile Commun. Conf., (UEMCON,
(2017); Rounaghi M.M., Zadeh F.N., Investigation of market efficiency and financial
stability between s&p 500 and london stock exchange: Monthly and yearly forecasting
of time series stock returns using ARMA model, Physica A: Statistical Mechanics and
Its Applicat, 456, pp. 10-21, (2016); Keras: The Python Deep Learning Library;
TensorFlow: An Open Source Machine Learning Framework for Everyone -Rfurl
Https://www.tensorflow.org/; Keras Team Keras 2.0 Release Notes; Scikit-Learn:
Machine Learning in Python; The Matplotlib Development Team; Mester T., Pandas
Tutorial 1: Pandas Basics, (2018); NumPy, (2018); Hsu C.W., Chang C.C., Lin C.J., A
practical guide to support vector classification, Dept. Comp. Sci., Nat. Taiwan
Univ., (2010)",,Chakrabarti S.; Saha H.N.,Institute of Electrical and Electronics
Engineers Inc.,IEEE Region 6; IEEE Region R1; IEEE USA; Institute of Engineering
and Management (IEM); University of Engineering and Management (UEM); UNLV,"9th
IEEE Annual Computing and Communication Workshop and Conference, CCWC 2019",7
January 2019 through 9 January 2019,Las Vegas,146083,,978-172810554-
3,,,English,"IEEE Annu. Comput. Commun. Workshop Conf., CCWC",Conference
paper,Final,,Scopus,2-s2.0-85063886310
Dargan S.; Kumar M.; Ayyagari M.R.; Kumar G.,"Dargan, Shaveta (57203890741); Kumar,
Munish (26633172500); Ayyagari, Maruthi Rohit (57208794591); Kumar, Gulshan
(35932222600)",57203890741; 26633172500; 57208794591; 35932222600,A Survey of Deep
Learning and Its Applications: A New Paradigm to Machine Learning,2020,Archives of
Computational Methods in Engineering,27,4,,1071,1092,21,664,10.1007/s11831-019-
09344-w,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-
s2.0-85066803042&doi=10.1007%2fs11831-019-09344-
w&partnerID=40&md5=a0fbe0e9afe3d14796b4c7b8592cb9ce,"Department of Computational
Sciences, Maharaja Ranjit Singh Punjab Technical University, Bathinda, Punjab,
India; College of Business, University of Dallas, Irving, United States; Department
of Computer Applications, Shaheed Bhagat Singh State Technical Campus, Ferozepur,
Punjab, India","Dargan S., Department of Computational Sciences, Maharaja Ranjit
Singh Punjab Technical University, Bathinda, Punjab, India; Kumar M., Department of
Computational Sciences, Maharaja Ranjit Singh Punjab Technical University,
Bathinda, Punjab, India; Ayyagari M.R., College of Business, University of Dallas,
Irving, United States; Kumar G., Department of Computer Applications, Shaheed
Bhagat Singh State Technical Campus, Ferozepur, Punjab, India","Nowadays, deep
learning is a current and a stimulating field of machine learning. Deep learning is
the most effective, supervised, time and cost efficient machine learning approach.
Deep learning is not a restricted learning approach, but it abides various
procedures and topographies which can be applied to an immense speculum of
complicated problems. The technique learns the illustrative and differential
features in a very stratified way. Deep learning methods have made a significant
breakthrough with appreciable performance in a wide variety of applications with
useful security tools. It is considered to be the best choice for discovering
complex architecture in high-dimensional data by employing back propagation
algorithm. As deep learning has made significant advancements and tremendous
performance in numerous applications, the widely used domains of deep learning are
business, science and government which further includes adaptive testing,
biological image classification, computer vision, cancer detection, natural
language processing, object detection, face recognition, handwriting recognition,
speech recognition, stock market analysis, smart city and many more. This paper
focuses on the concepts of deep learning, its basic and advanced architectures,
techniques, motivational aspects, characteristics and the limitations. The paper
also presents the major differences between the deep learning, classical machine
learning and conventional learning approaches and the major challenges ahead. The
main intention of this paper is to explore and present chronologically, a
comprehensive survey of the major applications of deep learning covering variety of
areas, study of the techniques and architectures used and further the contribution
of that respective application in the real world. Finally, the paper ends with the
conclusion and future aspects. © 2019, CIMNE, Barcelona, Spain.",,Backpropagation
algorithms; Character recognition; Clustering algorithms; Face recognition;
Learning algorithms; Machine learning; Natural language processing systems; Object
detection; Speech recognition; Surveys; Advanced architecture; Complex
architectures; Handwriting recognition; High dimensional data; Learning approach;
Machine learning approaches; NAtural language processing; Stock market analysis;
Deep learning,,,,,,,"Abadi M., Paul B., Jianmin C., Zhifeng C., Andy D., Jeffrey
D., Matthieu D., Tensorflow: A system for large-scale machine learning, The
Proceedings of the 12Th USENIX Symposium on Operating Systems Design and
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Intell Rev, (2018); Affonso C., Rossi A.L.D., Vieria F.H.A., Carvalho
A.C.P.D.L.F.D., Deep learning for biological image classification, Expert Syst
Appl, 85, pp. 114-122, (2017); Alwzwazy H.A., Albehadili H.A., Alwan Y.S., Islam
N.E., Handwritten digit recognition using convolutional neural networks,
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parking lot occupancy detection, Expert Syst Appl, 72, pp. 327-334, (2017); Araque
O., Corcuera-Platas I., Sanchez-Rada J.F., Iglesias C.A., Enhancing deep learning
sentiment analysis with ensemble techniques in social applications, Expert Syst
Appl, 77, pp. 236-246, (2017); Ashiquzzaman A., Tushar A.K., Handwritten arabic
numeral recognition using deep learning neural networks, Proceedings of IEEE
International Conference on Imaging, Vision & Pattern Recognition, pp. 1-4, (2017);
Azar M.Y., Hamey L., Text summarization using unsupervised deep learning, Expert
Syst Appl, 68, pp. 93-105, (2017); Chen X.W., Lin X., Big data deep learning:
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convolution, and fully connected CRFs, IEEE Trans Pattern Anal Mach Intell, 40, 4,
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N., Deep feature learning via structured graph Laplacian embedding for person re-
identification, Pattern Recogn, 82, pp. 94-104, (2018); Chong E., Han C., Park
F.C., Deep learning network for stock market analysis and prediction: methodology,
data representations and case studies, Expert Syst Appl, 83, pp. 187-205, (2017);
Chu J., Srihari S., Writer identification using a deep neural network, Proceedings
of the 2014 Indian Conference on Computer Vision Graphics and Image Processing, pp.
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Computational Sciences, Maharaja Ranjit Singh Punjab Technical University,
Bathinda, India; email:
[email protected]",,Springer,,,,,,11343060,,,,English,Arch. Comput. Methods
Eng.,Article,Final,,Scopus,2-s2.0-85066803042
Chhajer P.; Shah M.; Kshirsagar A.,"Chhajer, Parshv (57871294900); Shah, Manan
(57200131797); Kshirsagar, Ameya (57226067658)",57871294900; 57200131797;
57226067658,"The applications of artificial neural networks, support vector
machines, and long–short term memory for stock market prediction",2022,Decision
Analytics Journal,2,,100015,,,,121,10.1016/j.dajour.2021.100015,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85125668908&doi=10.1016%2fj.dajour.2021.100015&partnerID=40&md5=e34392f9c163f722a1b
a22da50ec884d,"Anand Niketan, Shilaj Road, Near Ambli Railway Crossing, Thaltej,
Ahmedabad, Gujarat, India; Department of Chemical Engineering, School of
Technology, Pandit Deendayal Petroleum University, Gujarat, Gandhinagar, India;
Department of Information Technology, Symbiosis Institute of Technology,
Maharashtra, Pune, India","Chhajer P., Anand Niketan, Shilaj Road, Near Ambli
Railway Crossing, Thaltej, Ahmedabad, Gujarat, India; Shah M., Department of
Chemical Engineering, School of Technology, Pandit Deendayal Petroleum University,
Gujarat, Gandhinagar, India; Kshirsagar A., Department of Information Technology,
Symbiosis Institute of Technology, Maharashtra, Pune, India","The future is unknown
and uncertain, but there are ways to predict future events and reap the rewards
safely. One such opportunity is the application of machine learning and artificial
intelligence for stock market prediction. The stock market is turbulent, yet using
artificial intelligence to make calculated predictions is possible and advisable
before investing. This study presents an overview of artificial intelligence and
machine learning as predictive analytics tools in the stock market. We discuss the
strengths and weaknesses of machine learning for stock market prediction and
provide some insight into the opportunities and threats in applying advanced
technologies for stock market prediction. We further study the applications of
three machine learning technologies in the stock market prediction, including
artificial neural networks, support vector machines, and long–short term memory. ©
2021 The Authors",Artificial Neural Network; Long short-term memory; Predictive
analytics; Stock Forecasting; Support Vector Machines,,,,,,"Anand Niketan;
Department of Chemical Engineering, School of Technology; Pandit Deendayal
Petroleum University; Symbiosis Institute of Technology","The authors are grateful
to The Anand Niketan, Symbiosis Institute of Technology and Department of Chemical
Engineering, School of Technology, Pandit Deendayal Petroleum University for the
permission to publish this research.","Kimberly Amadeo, How the stock market works
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Engineering, School of Technology, Pandit Deendayal Petroleum University,
Gandhinagar, Gujarat, India; email: [email protected]",,Elsevier
Inc.,,,,,,27726622,,,,English,Decis. Anal. J.,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85125668908
Chen K.; Zhou Y.; Dai F.,"Chen, Kai (57201337167); Zhou, Yi (57102034100); Dai,
Fangyan (20336961100)",57201337167; 57102034100; 20336961100,A LSTM-based method
for stock returns prediction: A case study of China stock market,2015,"Proceedings
- 2015 IEEE International Conference on Big Data, IEEE Big Data
2015",,,7364089,2823,2824,1,494,10.1109/BigData.2015.7364089,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84963729019&doi=10.1109%2fBigData.2015.7364089&partnerID=40&md5=1ffe61327fc2f4b48d1
f3f622993b5d0,"Shanghai Jiaotong University, Shanghai, China; MD Anderson Cancer
Center, Houston, United States","Chen K., Shanghai Jiaotong University, Shanghai,
China; Zhou Y., Shanghai Jiaotong University, Shanghai, China; Dai F., MD Anderson
Cancer Center, Houston, United States","Prediction of stock market has attracted
attention from industry to academia [1, 2]. Various machine learning algorithms
such as neural networks, genetic algorithms, support vector machine, and others are
used to predict stock prices. © 2015 IEEE.",,Artificial intelligence; Commerce;
Electronic trading; Finance; Financial markets; Forecasting; Genetic algorithms;
Investments; Learning algorithms; Learning systems; China stock markets; Stock
price; Stock returns; Big data,,,,,"Shanghai Science and Technology Committees of
Scientic Research Project, (14DZ1101200); National Natural Science Foundation of
China, NSFC, (61221001)","The work is partially supported by the National Natural
Science Foundation of China (Grant No. 61221001), and Shanghai Science and
Technology Committees of Scientic Research Project (Grant No.
14DZ1101200).","Krollner B., Vanstone B., Finnie G., Financial Time Series
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Ogan K.; Zaki M.J.; Haas L.; Ooi B.C.; Kumar V.; Rachuri S.; Pyne S.; Ho H.; Hu X.;
Yu S.; Hsiao M.H.-I.; Li J.,Institute of Electrical and Electronics Engineers
Inc.,CCF; et al.; Huawi; IEEE Computer Society; National Science Foundation (NSF);
Springer,"3rd IEEE International Conference on Big Data, IEEE Big Data 2015",29
October 2015 through 1 November 2015,Santa Clara,118870,,978-147999925-
5,,,English,"Proc. - IEEE Int. Conf. Big Data, IEEE Big Data",Conference
paper,Final,,Scopus,2-s2.0-84963729019
Bustos O.; Pomares-Quimbaya A.,"Bustos, O. (57202149944); Pomares-Quimbaya, A.
(24832026300)",57202149944; 24832026300,Stock market movement forecast: A
Systematic review,2020,Expert Systems with
Applications,156,,113464,,,,185,10.1016/j.eswa.2020.113464,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084329548&doi=10.1016%2fj.eswa.2020.113464&partnerID=40&md5=6e98086a09e04f6b78ede
a28195c0b55,"Facultad de Ingeniería. Departamento de Ingeniería de Sistemas,
Pontificia Universidad Javeriana, Bogotá, Colombia","Bustos O., Facultad de
Ingeniería. Departamento de Ingeniería de Sistemas, Pontificia Universidad
Javeriana, Bogotá, Colombia; Pomares-Quimbaya A., Facultad de Ingeniería.
Departamento de Ingeniería de Sistemas, Pontificia Universidad Javeriana, Bogotá,
Colombia","Achieving accurate stock market models can provide investors with tools
for making better data-based decisions. These models can help traders to reduce
investment risk and select the most profitable stocks. Furthermore, creating
advanced models enable the usage of non-traditional data like historical stock
prices and news. There are several review articles about financial problems,
including stock market analysis and forecast, currency exchange forecast, optimal
portfolio selection, among others. However, the recent advances in machine learning
techniques, like Deep Learning, Text Mining Techniques, and Ensemble Techniques,
raises the need to perform an updated review. This study aims to fill this gap by
providing an updated systematic review of the forecasting techniques used in the
stock market, including their classification, characterization and comparison. The
review is focused on studies on stock market movement prediction from 2014 to 2018,
obtained from the scientific databases Scopus and Web of Science. Besides, it
analyzes surveys and other reviews of recent studies published in the same time
frame and the same databases. © 2020",Financial modeling; Machine learning; Stock
market forecast,Commerce; Deep learning; Financial markets; Forecasting; Learning
systems; Motion estimation; Text mining; Ensemble techniques; Forecasting
techniques; Machine learning techniques; Movement prediction; Optimal portfolio
selection; Scientific database; Stock market analysis; Text mining techniques;
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Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Review,Final,,Scopus,2-s2.0-
85084329548
Selvamuthu D.; Kumar V.; Mishra A.,"Selvamuthu, Dharmaraja (6508306094); Kumar,
Vineet (58265683700); Mishra, Abhishek (57214672344)",6508306094; 58265683700;
57214672344,Indian stock market prediction using artificial neural networks on tick
data,2019,Financial Innovation,5,1,16,,,,174,10.1186/s40854-019-0131-7,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85063283006&doi=10.1186%2fs40854-019-0131-
7&partnerID=40&md5=91ec6486396ab49b8f4b19c9ea78624a,"Department of Mathematics,
Indian Institute of Technology Delhi, Hauz Khas, New Delhi, 110016,
India","Selvamuthu D., Department of Mathematics, Indian Institute of Technology
Delhi, Hauz Khas, New Delhi, 110016, India; Kumar V., Department of Mathematics,
Indian Institute of Technology Delhi, Hauz Khas, New Delhi, 110016, India; Mishra
A., Department of Mathematics, Indian Institute of Technology Delhi, Hauz Khas, New
Delhi, 110016, India","Introduction: Nowadays, the most significant challenges in
the stock market is to predict the stock prices. The stock price data represents a
financial time series data which becomes more difficult to predict due to its
characteristics and dynamic nature. Case description: Support Vector Machines (SVM)
and Artificial Neural Networks (ANN) are widely used for prediction of stock prices
and its movements. Every algorithm has its way of learning patterns and then
predicting. Artificial Neural Network (ANN) is a popular method which also
incorporate technical analysis for making predictions in financial markets.
Discussion and evaluation: Most common techniques used in the forecasting of
financial time series are Support Vector Machine (SVM), Support Vector Regression
(SVR) and Back Propagation Neural Network (BPNN). In this article, we use neural
networks based on three different learning algorithms, i.e., Levenberg-Marquardt,
Scaled Conjugate Gradient and Bayesian Regularization for stock market prediction
based on tick data as well as 15-min data of an Indian company and their results
compared. Conclusion: All three algorithms provide an accuracy of 99.9% using tick
data. The accuracy over 15-min dataset drops to 96.2%, 97.0% and 98.9% for LM, SCG
and Bayesian Regularization respectively which is significantly poor in comparison
with that of results obtained using tick data. © 2019, The Author(s).",Bayesian
Regularization; Indian Stock Market Prediction; Levenberg-Marquardt; Neural
Networks; Scale Conjugate Gradient; Tick by tick data,,,,,,,,"Ahangar R.G.,
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market indicators, Journal of Emerging Trends in Computing and Information
Sciences, 3, 1, pp. 1-9, (2012)","D. Selvamuthu; Department of Mathematics, Indian
Institute of Technology Delhi, New Delhi, Hauz Khas, 110016, India; email:
[email protected]",,SpringerOpen,,,,,,21994730,,,,English,Financial
Innov.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85063283006
Yun K.K.; Yoon S.W.; Won D.,"Yun, Kyung Keun (57226246319); Yoon, Sang Won
(56154998800); Won, Daehan (57192717855)",57226246319; 56154998800;
57192717855,Prediction of stock price direction using a hybrid GA-XGBoost algorithm
with a three-stage feature engineering process,2021,Expert Systems with
Applications,186,,115716,,,,145,10.1016/j.eswa.2021.115716,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85113186764&doi=10.1016%2fj.eswa.2021.115716&partnerID=40&md5=535583e3e75c83e0db18b
e01c4f1ab77,"Department of Systems Science and Industrial Engineering, State
University of New York at Binghamton, Binghamton, 13902, NY, United States; Faculty
of Commerce, Waseda University, Tokyo, 169-8050, Japan","Yun K.K., Department of
Systems Science and Industrial Engineering, State University of New York at
Binghamton, Binghamton, 13902, NY, United States; Yoon S.W., Department of Systems
Science and Industrial Engineering, State University of New York at Binghamton,
Binghamton, 13902, NY, United States, Faculty of Commerce, Waseda University,
Tokyo, 169-8050, Japan; Won D., Department of Systems Science and Industrial
Engineering, State University of New York at Binghamton, Binghamton, 13902, NY,
United States","The stock market has performed one of the most important functions
in a laissez-faire economic system by gathering people, companies, and flows of
money for several centuries. There have been numerous studies on the stock market
among researchers to predict stock prices, and a growing number of studies employed
machine learning or deep learning techniques on the stock market predictions with
the advent of big data and the rapid development of artificial intelligence
techniques. However, making accurate predictions of stock price direction remains
difficult because stock prices are inherently complex, nonlinear, nonstationary,
and sometimes too irrational to be predictable. Despite the wealth of information,
previous prediction systems often overlooked key indicators and the importance of
feature engineering. This study proposes a hybrid GA-XGBoost prediction system with
an enhanced feature engineering process consisting of feature set expansion, data
preparation, and optimal feature set selection using the hybrid GA-XGBoost
algorithm. This study experimentally verifies the importance of feature engineering
process in stock price direction prediction by comparing obtained feature sets to
original dataset as well as improving prediction performance to outperform
benchmark models. Specifically, the most significant accuracy increment comes from
feature expansion that adds 67 technical indicators to the original historical
stock price data. This study also produces a parsimonious optimal feature set using
the GA-XGBoost algorithm that can achieve the desired performance with
substantially fewer features. Consequently, this study empirically proves that a
successful prediction performance largely depends on a deliberate combination of
feature engineering processes with a baseline learning model to make a good balance
and harmony between the curse of dimensionality and the blessing of dimensionality.
© 2021 Elsevier Ltd",Blessing of dimensionality; Curse of dimensionality; Feature
set expansion; Genetic algorithm; Optimal feature set; Technical indicators;
XGBoost feature selection,Benchmarking; Commerce; Costs; Deep learning; Electronic
trading; Expansion; Financial markets; Forecasting; Genetic algorithms; Blessing of
dimensionality; Curse of dimensionality; Engineering process; Feature engineerings;
Feature set expansion; Hybrid GA; Optimal feature sets; Stock price; Technical
indicator; Xgboost feature selection; Feature extraction,,,,,,,"Ampomah E.K., Qin
Z., Nyame G., Evaluation of tree-based ensemble machine learning models in
predicting stock price direction of movement, Information, 11, 6, (2020); Ballings
M., Van den Poel D., Hespeels N., Gryp R., Evaluating multiple classifiers for
stock price direction prediction, Expert Systems with Applications, 42, 20, pp.
7046-7056, (2015); Basak S., Kar S., Saha S., Khaidem L., Dey S.R., Predicting the
direction of stock market prices using tree-based classifiers, The North American
Journal of Economics and Finance, 47, pp. 552-567, (2019); Boxer H., Profitable day
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& big data computing, Internet of people and smart city innovation, pp. 1-6,
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of the 22nd ACM SIGKDD International Conference on Knowledge Discovery and Data
Mining, pp. 785-794, (2016); Chen Y., Hao Y., A feature weighted support vector
machine and K-nearest neighbor algorithm for stock market indices prediction,
Expert Systems with Applications, 80, pp. 340-355, (2017); Chollet F., Deep
learning with Python, (2018); Chung H., Shin K., Genetic algorithm-optimized long
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qualitative variables, Scientific reports, 10, 1, pp. 1-13, (2020)","D. Won;
Department of Systems Science and Industrial Engineering, Binghamton University,
Binghamton, 4400 Vestal Parkway E, 13902, United States; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85113186764
Wen M.; Li P.; Zhang L.; Chen Y.,"Wen, Min (58325598700); Li, Ping (57193136585);
Zhang, Lingfei (57221585670); Chen, Yan (56928458300)",58325598700; 57193136585;
57221585670; 56928458300,Stock market trend prediction using high-order information
of time series,2019,IEEE
Access,7,,8653278,28299,28308,9,133,10.1109/ACCESS.2019.2901842,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85063269215&doi=10.1109%2fACCESS.2019.2901842&partnerID=40&md5=bf89de3a4ec99b9bdbc6
121c9deac89a,"School of Computer Science, Southwest Petroleum University, Chengdu,
610500, China; Corporate IT Department, Nomura Securities Corporation, Tokyo, 103-
8011, Japan","Wen M., School of Computer Science, Southwest Petroleum University,
Chengdu, 610500, China; Li P., School of Computer Science, Southwest Petroleum
University, Chengdu, 610500, China; Zhang L., Corporate IT Department, Nomura
Securities Corporation, Tokyo, 103-8011, Japan; Chen Y., School of Computer
Science, Southwest Petroleum University, Chengdu, 610500, China","Given a financial
time series such as S&P 500, or any historical data in stock markets, how can we
obtain useful information from recent transaction data to predict the ups and downs
at the next moment? Recent work on this issue shows initial evidence that machine
learning techniques are capable of identifying (non-linear) dependency in the stock
market price sequences. However, due to the high volatility and non-stationary
nature of the stock market, forecasting the trend of a financial time series
remains a big challenge. In this paper, we introduced a new method to simplify
noisy-filled financial temporal series via sequence reconstruction by leveraging
motifs (frequent patterns), and then utilize a convolutional neural network to
capture spatial structure of time series. The experimental results show the
efficiency of our proposed method in feature learning and outperformance with 4%-7%
accuracy improvement compared with the traditional signal process methods and
frequency trading patterns modeling approach with deep learning in stock trend
prediction. © 2019 IEEE.",convolutional neural network; financial time series;
motif extraction; Trend prediction,Commerce; Convolution; Deep learning; Electronic
trading; Forecasting; Information use; Machine learning; Neural networks; Signal
processing; Time series; Accuracy Improvement; Convolutional neural network;
Financial time series; Machine learning techniques; Sequence reconstruction; Stock
market prices; Stock trend prediction; Trend prediction; Financial
markets,,,,,"Applied Basic Research Foundation of the Sichuan Provincial Science
and Technology Department, (18YYJC1147); National Natural Science Foundation of
China, NSFC, (61503312, 61873218)","This work was supported in part by the National
Natural Science Foundation of China under Grant 61873218 and Grant 61503312, and in
part by the Applied Basic Research Foundation of the Sichuan Provincial Science and
Technology Department under Grant 18YYJC1147.","Maiorino E., Bianchi F.M., Livi L.,
Rizzi A., Sadeghian A., Data-driven detrending of nonstationary fractal time series
with echo state networks, Inf. Sci., 382-383, pp. 359-373, (2017); Bao W., Yue J.,
Rao Y., A deep learning framework for financial time series using stacked
autoencoders and long-short term memory, PLoS ONE, 12, 7, (2017); Ye F., Liming Z.,
Defu Z., Hamido F., Zhiguo G., A novel fore-casting method based on multi-order
fuzzy time series and technical analysis, Inf. Sci., 367-368, pp. 41-57, (2016);
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neural network and evolutionary learning approach, J. King Saud Univ.-Comput. Inf.
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network analysis of time series, EPL (Europhys. Lett.), 116, 5, (2017)","P. Li;
School of Computer Science, Southwest Petroleum University, Chengdu, 610500, China;
email: [email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85063269215
Weng B.; Ahmed M.A.; Megahed F.M.,"Weng, Bin (57193524772); Ahmed, Mohamed A.
(58829388200); Megahed, Fadel M. (35318316800)",57193524772; 58829388200;
35318316800,Stock market one-day ahead movement prediction using disparate data
sources,2017,Expert Systems with
Applications,79,,,153,163,10,151,10.1016/j.eswa.2017.02.041,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85014573664&doi=10.1016%2fj.eswa.2017.02.041&partnerID=40&md5=51801b95598b63c4f37cd
e3885509611,"Department of Industrial and Systems Engineering, Auburn University,
AL 36849, United States; Farmer School of Business, Miami University, OH, 45056,
United States; Center for Analytics and Data Science, Miami University, OH, 45056,
United States","Weng B., Department of Industrial and Systems Engineering, Auburn
University, AL 36849, United States; Ahmed M.A., Department of Industrial and
Systems Engineering, Auburn University, AL 36849, United States; Megahed F.M.,
Farmer School of Business, Miami University, OH, 45056, United States, Center for
Analytics and Data Science, Miami University, OH, 45056, United States","There are
several commercial financial expert systems that can be used for trading on the
stock exchange. However, their predictions are somewhat limited since they
primarily rely on time-series analysis of the market. With the rise of the
Internet, new forms of collective intelligence (e.g. Google and Wikipedia) have
emerged, representing a new generation of “crowd-sourced” knowledge bases. They
collate information on publicly traded companies, while capturing web traffic
statistics that reflect the public's collective interest. Google and Wikipedia have
become important “knowledge bases” for investors. In this research, we hypothesize
that combining disparate online data sources with traditional time-series and
technical indicators for a stock can provide a more effective and intelligent daily
trading expert system. Three machine learning models, decision trees, neural
networks and support vector machines, serve as the basis for our “inference
engine”. To evaluate the performance of our expert system, we present a case study
based on the AAPL (Apple NASDAQ) stock. Our expert system had an 85% accuracy in
predicting the next-day AAPL stock movement, which outperforms the reported rates
in the literature. Our results suggest that: (a) the knowledge base of financial
expert systems can benefit from data captured from nontraditional “experts” like
Google and Wikipedia; (b) diversifying the knowledge base by combining data from
disparate sources can help improve the performance of financial expert systems; and
(c) the use of simple machine learning models for inference and rule generation is
appropriate with our rich knowledge database. Finally, an intelligent decision
making tool is provided to assist investors in making trading decisions on any
stock, commodity or index. © 2017 Elsevier Ltd",Artificial intelligence; Feature
selection; Financial expert system; Google news; R programming;
Wikipedia,Artificial intelligence; Commerce; Decision making; Decision trees;
Electronic trading; Feature extraction; Finance; Financial markets; Forecasting;
Investments; Knowledge based systems; Learning systems; Machinery; Motion
estimation; Time series analysis; Traffic surveys; Collective intelligences;
Financial experts; Google news; Intelligent decision making; Machine learning
models; R programming; Technical indicator; Wikipedia; Expert
systems,,,,,,,"Adebiyi A.A., Adewumi A.O., Ayo C.K., Comparison of arima and
artificial neural networks models for stock price prediction, Journal of Applied
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Appl,Article,Final,,Scopus,2-s2.0-85014573664
Smailović J.; Grčar M.; Lavrač N.; Žnidaršič M.,"Smailović, Jasmina (55787266400);
Grčar, Miha (15076659600); Lavrač, Nada (7004388979); Žnidaršič, Martin
(14036686000)",55787266400; 15076659600; 7004388979; 14036686000,Stream-based
active learning for sentiment analysis in the financial domain,2014,Information
Sciences,285,1,,181,203,22,202,10.1016/j.ins.2014.04.034,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84926178451&doi=10.1016%2fj.ins.2014.04.034&partnerID=40&md5=cde737a68c4e83d39f6b8e
06e2a7bae8,"Jožef Stefan Institute, Jamova 39, Ljubljana, 1000, Slovenia; Jožef
Stefan International Postgraduate School, Jamova 39, Ljubljana, 1000, Slovenia;
University of Nova Gorica, Vipavska 13, Nova Gorica, 5000, Slovenia","Smailović J.,
Jožef Stefan Institute, Jamova 39, Ljubljana, 1000, Slovenia, Jožef Stefan
International Postgraduate School, Jamova 39, Ljubljana, 1000, Slovenia; Grčar M.,
Jožef Stefan Institute, Jamova 39, Ljubljana, 1000, Slovenia, Jožef Stefan
International Postgraduate School, Jamova 39, Ljubljana, 1000, Slovenia; Lavrač N.,
Jožef Stefan Institute, Jamova 39, Ljubljana, 1000, Slovenia, Jožef Stefan
International Postgraduate School, Jamova 39, Ljubljana, 1000, Slovenia, University
of Nova Gorica, Vipavska 13, Nova Gorica, 5000, Slovenia; Žnidaršič M., Jožef
Stefan Institute, Jamova 39, Ljubljana, 1000, Slovenia, Jožef Stefan International
Postgraduate School, Jamova 39, Ljubljana, 1000, Slovenia","Studying the
relationship between public sentiment and stock prices has been the focus of
several studies. This paper analyzes whether the sentiment expressed in Twitter
feeds, which discuss selected companies and their products, can indicate their
stock price changes. To address this problem, an active learning approach was
developed and applied to sentiment analysis of tweet streams in the stock market
domain. The paper first presents a static Twitter data analysis problem, explored
in order to determine the best Twitter-specific text preprocessing setting for
training the Support Vector Machine (SVM) sentiment classifier. In the static
setting, the Granger causality test shows that sentiments in stock-related tweets
can be used as indicators of stock price movements a few days in advance, where
improved results were achieved by adapting the SVM classifier to categorize Twitter
posts into three sentiment categories of positive, negative and neutral (instead of
positive and negative only). These findings were adopted in the development of a
new stream-based active learning approach to sentiment analysis, applicable in
incremental learning from continuously changing financial tweet streams. To this
end, a series of experiments was conducted to determine the best querying strategy
for active learning of the SVM classifier adapted to sentiment analysis of
financial tweet streams. The experiments in analyzing stock market sentiments of a
particular company show that changes in positive sentiment probability can be used
as indicators of the changes in stock closing prices. © 2014 Elsevier Inc. All
rights reserved.",Granger causality; Positive sentiment probability; Predictive
sentiment analysis; Stock market; Stream-based active learning; Twitter,Commerce;
Costs; Data mining; Finance; Financial markets; Social networking (online);
Statistical tests; Support vector machines; Active Learning; Granger Causality;
Sentiment analysis; Stock market; Twitter; Artificial intelligence,,,,,"Slovenian
Human Resources and Scholarship Fund; Foundation for Ichthyosis and Related Skin
Types, FIRST, (255987, 257928); Seventh Framework Programme, FP7; European
Commission, EC","The work presented in this paper was partially funded by the
European Commission in the context of the FP7 projects FOC and FIRST (Grant
Agreement Nos. 255987 and 257928 , respectively), and the Ad Futura Programme of
the Slovenian Human Resources and Scholarship Fund . We are grateful to Ulli
Spankowski and Sebastian Schroff for their kind cooperation as financial experts in
the stock analytics application presented in this paper. We are also grateful to
Dragi Kocev and Vladimir Kuzmanovski from Jožef Stefan Institute, Ljubljana,
Slovenia, for their help in the statistical evaluation of the results, and to Igor
Mozetič for useful comments and suggestions. Finally, we are grateful to Martin
Saveski for his help with the implementation of the active learning algorithms.
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Sci,Article,Final,,Scopus,2-s2.0-84926178451
Bianchi D.; Büchner M.; Tamoni A.,"Bianchi, Daniele (56819423300); Büchner,
Matthias (57226144893); Tamoni, Andrea (36996200800)",56819423300; 57226144893;
36996200800,Bond Risk Premiums with Machine Learning,2021,Review of Financial
Studies,34,2,,1046,1089,43,133,10.1093/rfs/hhaa062,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85106813465&doi=10.1093%2frfs
%2fhhaa062&partnerID=40&md5=d1b13fdce5b4e0a9a8c80e344cfbad8d,"Queen Mary,
University of London, United Kingdom; University of Warwick, United Kingdom;
Rutgers Business School, United States","Bianchi D., Queen Mary, University of
London, United Kingdom; Büchner M., University of Warwick, United Kingdom; Tamoni
A., Rutgers Business School, United States","We show that machine learning methods,
in particular, extreme trees and neural networks (NNs), provide strong statistical
evidence in favor of bond return predictability. NN forecasts based on
macroeconomic and yield information translate into economic gains that are larger
than those obtained using yields alone. Interestingly, the nature of unspanned
factors changes along the yield curve: stock- and labor-market-related variables
are more relevant for short-term maturities, whereas output and income variables
matter more for longer maturities. Finally, NN forecasts correlate with proxies for
time-varying risk aversion and uncertainty, lending support to models featuring
both channels. © 2020 The Author(s) 2020. Published by Oxford University Press on
behalf of The Society for Financial Studies. All rights reserved.",,,,,,,,,"Ahn D.,
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Rutgers Business School, United States; email:
[email protected]",,Oxford University
Press,,,,,,8939454,,,,English,Rev. Financ. Stud.,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85106813465
Singh R.; Srivastava S.,"Singh, Ritika (57219769037); Srivastava, Shashi
(57192430115)",57219769037; 57192430115,Stock prediction using deep
learning,2017,Multimedia Tools and
Applications,76,18,,18569,18584,15,233,10.1007/s11042-016-4159-7,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85006504040&doi=10.1007%2fs11042-016-4159-
7&partnerID=40&md5=d5a422175c2383460758ac58c479e5b4,"Indian School of Mines,
Dhanbad, India; Faculty of Management Studies, Banaras Hindu University, Varanasi,
India","Singh R., Indian School of Mines, Dhanbad, India; Srivastava S., Faculty of
Management Studies, Banaras Hindu University, Varanasi, India","Stock market is
considered chaotic, complex, volatile and dynamic. Undoubtedly, its prediction is
one of the most challenging tasks in time series forecasting. Moreover existing
Artificial Neural Network (ANN) approaches fail to provide encouraging results.
Meanwhile advances in machine learning have presented favourable results for speech
recognition, image classification and language processing. Methods applied in
digital signal processing can be applied to stock data as both are time series.
Similarly, learning outcome of this paper can be applied to speech time series
data. Deep learning for stock prediction has been introduced in this paper and its
performance is evaluated on Google stock price multimedia data (chart) from NASDAQ.
The objective of this paper is to demonstrate that deep learning can improve stock
market forecasting accuracy. For this, (2D)2PCA + Deep Neural Network (DNN) method
is compared with state of the art method 2-Directional 2-Dimensional Principal
Component Analysis (2D)2PCA + Radial Basis Function Neural Network (RBFNN). It is
found that the proposed method is performing better than the existing method RBFNN
with an improved accuracy of 4.8% for Hit Rate with a window size of 20. Also the
results of the proposed model are compared with the Recurrent Neural Network (RNN)
and it is found that the accuracy for Hit Rate is improved by 15.6%. The
correlation coefficient between the actual and predicted return for DNN is 17.1%
more than RBFNN and it is 43.4% better than RNN. © 2016, Springer Science+Business
Media New York.",(2D)²PCA; Deep Learning; Multimedia; Neural Network;
Radial Basis Function Neural Network; Regularization; Stock Prediction,Artificial
intelligence; Commerce; Complex networks; Electronic trading; Finance; Financial
markets; Forecasting; Functions; Image classification; Learning systems; Neural
networks; Radial basis function networks; Recurrent neural networks; Signal
processing; Speech recognition; Time series; PCA; Deep learning; Multimedia; Radial
basis function neural networks; Regularization; Stock predictions; Principal
component analysis,,,,,,,"Atsalakis G.S., Valavanis K.P., Surveying stock market
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forecasting model combining two-directional two-dimensional principal component
analysis and radial basis function neural network, PLoS One, 10, (2015); Gupta P.,
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artificial neural network models in stock market index prediction, Expert Syst
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Indian School of Mines, Dhanbad, India; email: [email protected]",,Springer
New York LLC,,,,,,13807501,,MTAPF,,English,Multimedia Tools
Appl,Article,Final,,Scopus,2-s2.0-85006504040
Weng B.; Lu L.; Wang X.; Megahed F.M.; Martinez W.,"Weng, Bin (57193524772); Lu,
Lin (57194576472); Wang, Xing (57203580250); Megahed, Fadel M. (35318316800);
Martinez, Waldyn (56029625700)",57193524772; 57194576472; 57203580250; 35318316800;
56029625700,Predicting short-term stock prices using ensemble methods and online
data sources,2018,Expert Systems with
Applications,112,,,258,273,15,173,10.1016/j.eswa.2018.06.016,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85049106709&doi=10.1016%2fj.eswa.2018.06.016&partnerID=40&md5=4af9f9c163d955105fcd0
23f89a7dedb,"Department of Industrial & Systems Engineering, Auburn University,
36849, AL, United States; Department of Information Systems & Analytics, Miami
University, Oxford, 45056, OH, United States","Weng B., Department of Industrial &
Systems Engineering, Auburn University, 36849, AL, United States; Lu L., Department
of Industrial & Systems Engineering, Auburn University, 36849, AL, United States;
Wang X., Department of Industrial & Systems Engineering, Auburn University, 36849,
AL, United States; Megahed F.M., Department of Information Systems & Analytics,
Miami University, Oxford, 45056, OH, United States; Martinez W., Department of
Information Systems & Analytics, Miami University, Oxford, 45056, OH, United
States","With the ubiquity of the Internet, platforms such as: Google, Wikipedia
and the like can provide insights pertaining to firms’ financial performance as
well as capture the collective interest of traders through search trends, number of
web page visitors and/or financial news sentiment. Information emanating from these
platforms can significantly affect, or be affected by, changes in the stock market.
The overarching goal of this paper is to develop a financial expert system that
incorporates these features to predict short term stock prices. Our expert system
is comprised of two main modules: a knowledge base and an artificial intelligence
(AI) platform. The “knowledge base” for our expert system captures: (a) historical
stock prices; (b) several well-known technical indicators; (c) counts and sentiment
scores of published news articles for a given stock; (d) trends in Google searches
for the given stock ticker; and (e) number of unique visitors for pertinent
Wikipedia pages. Once the data is collected, we use a structured approach for data
preparation. Then, the AI platform trains four machine learning ensemble methods:
(a) a neural network regression ensemble; (b) a support vector regression ensemble;
(c) a boosted regression tree; and (d) a random forest regression. In the cross-
validation phase, the AI platform picks the “best” ensemble for a given stock. To
evaluate the efficacy of our expert system, we first present a case study based on
the Citi Group stock ($C) with data collected from 01/01/2013 - 12/31/2016. We show
the expert system can predict the 1-day ahead $C stock price with a mean absolute
percent error (MAPE) ≤ 1.50% and the 1–10 day ahead with a MAPE ≤ 1.89%, which is
better than the reported results in the literature. We show that the use of
features extracted from online sources does not substitute the traditional
financial metrics, but rather supplements them to improve upon the prediction
performance of machine learning based methods. To highlight the utility and
generalizability of our expert system, we predict the 1-day ahead price of 19
additional stocks from different industries, volatilities and growth patterns. We
report an overall mean for the MAPE statistic of 1.07% across our five different
machine learning models, including a MAPE of under 0.75% for 18 of the 19 stocks
for the best ensemble (boosted regression tree). © 2018 Elsevier Ltd",Big data;
Ensembles; Google trends; R programming; Sentiment analysis; Wikipedia,Artificial
intelligence; Big data; Commerce; Costs; Decision trees; Expert systems; Financial
markets; Forecasting; Forestry; Learning systems; Regression analysis; Sentiment
analysis; Websites; Boosted regression trees; Ensembles; Google trends; Machine
learning models; Prediction performance; R programming; Support vector regression
(SVR); Wikipedia; Electronic trading,,,,,,,"Abdullah M., Ganapathy V., Neural
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M., Developing an approach to evaluate stocks by forecasting effective features
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Applications, 36, 5, pp. 8849-8854, (2009)","W. Martinez; Department of Information
Systems & Analytics, Miami University, Oxford, 45056, United States; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85049106709
Fischer T.; Krauss C.,"Fischer, Thomas (57224712794); Krauss, Christopher
(57189242463)",57224712794; 57189242463,Deep learning with long short-term memory
networks for financial market predictions,2018,European Journal of Operational
Research,270,2,,654,669,15,1303,10.1016/j.ejor.2017.11.054,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85039970639&doi=10.1016%2fj.ejor.2017.11.054&partnerID=40&md5=ac3b57da8599cac8f14f9
a3588ba885d,"Department of Statistics and Econometrics, University of Erlangen-
Nürnberg, Lange Gasse 20, Nürnberg, 90403, Germany","Fischer T., Department of
Statistics and Econometrics, University of Erlangen-Nürnberg, Lange Gasse 20,
Nürnberg, 90403, Germany; Krauss C., Department of Statistics and Econometrics,
University of Erlangen-Nürnberg, Lange Gasse 20, Nürnberg, 90403, Germany","Long
short-term memory (LSTM) networks are a state-of-the-art technique for sequence
learning. They are less commonly applied to financial time series predictions, yet
inherently suitable for this domain. We deploy LSTM networks for predicting out-of-
sample directional movements for the constituent stocks of the S&P 500 from 1992
until 2015. With daily returns of 0.46 percent and a Sharpe ratio of 5.8 prior to
transaction costs, we find LSTM networks to outperform memory-free classification
methods, i.e., a random forest (RAF), a deep neural net (DNN), and a logistic
regression classifier (LOG). The outperformance relative to the general market is
very clear from 1992 to 2009, but as of 2010, excess returns seem to have been
arbitraged away with LSTM profitability fluctuating around zero after transaction
costs. We further unveil sources of profitability, thereby shedding light into the
black box of artificial neural networks. Specifically, we find one common pattern
among the stocks selected for trading – they exhibit high volatility and a short-
term reversal return profile. Leveraging these findings, we are able to formalize a
rules-based short-term reversal strategy that yields 0.23 percent prior to
transaction costs. Further regression analysis unveils low exposure of the LSTM
returns to common sources of systematic risk – also compared to the three benchmark
models. © 2017 Elsevier B.V.",Deep learning; Finance; LSTM; Machine learning;
Statistical arbitrage,Brain; Commerce; Costs; Decision trees; Deep learning; Deep
neural networks; Electronic trading; Finance; Financial markets; Forecasting;
Learning systems; Profitability; Regression analysis; Risk assessment;
Classification methods; Directional movements; Financial time series predictions;
Logistic regression classifier; LSTM; Market prediction; State-of-the-art
techniques; Statistical arbitrage; Long short-term memory,,,,,,,"Abadi M., Agarwal
A., Barham P., Brevdo E., Chen Z., Citro C., Et al.; Atsalakis G.S., Valavanis
K.P., Surveying stock market forecasting techniques – Part II: Soft computing
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(2011); Xiong R., Nichols E.P., Shen Y., (2015)","T. Fischer; Department of
Statistics and Econometrics, University of Erlangen-Nürnberg, Nürnberg, Lange Gasse
20, 90403, Germany; email: [email protected]",,Elsevier
B.V.,,,,,,3772217,,EJORD,,English,Eur J Oper Res,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85039970639
Lee T.K.; Cho J.H.; Kwon D.S.; Sohn S.Y.,"Lee, Tae Kyun (57204018012); Cho, Joon
Hyung (57192083795); Kwon, Deuk Sin (57193776885); Sohn, So Young
(55166505200)",57204018012; 57192083795; 57193776885; 55166505200,Global stock
market investment strategies based on financial network indicators using machine
learning techniques,2019,Expert Systems with
Applications,117,,,228,242,14,114,10.1016/j.eswa.2018.09.005,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85054076083&doi=10.1016%2fj.eswa.2018.09.005&partnerID=40&md5=8b30e40ee61a0f0c513d5
735eef0f34d,"Samsung Asset Management Co., Ltd., Seoul, South Korea; Department of
Information and Industrial Engineering, Yonsei University, Seoul, South Korea","Lee
T.K., Samsung Asset Management Co., Ltd., Seoul, South Korea, Department of
Information and Industrial Engineering, Yonsei University, Seoul, South Korea; Cho
J.H., Department of Information and Industrial Engineering, Yonsei University,
Seoul, South Korea; Kwon D.S., Department of Information and Industrial
Engineering, Yonsei University, Seoul, South Korea; Sohn S.Y., Department of
Information and Industrial Engineering, Yonsei University, Seoul, South
Korea","This study presents financial network indicators that can be applied to
global stock market investment strategies. We propose to design both undirected and
directed volatility networks of global stock market based on simple pair-wise
correlation and system-wide connectedness of national stock indices using a vector
auto-regressive model. We examine the effect and usefulness of network indicators
by applying them as inputs for determining strategies via several machine learning
approaches (logistic regression, support vector machine, and random forest). Two
strategies are constructed considering stock price indices: (1) global stock market
prediction strategy and (2) regional allocation strategy for developed
market/emerging market. According to the results of the performance analysis,
network indicators were proven to be important supplementary indicators in
predicting global stock market and regional relative directions (up/down). In
particular, these indicators were more effective during market crisis periods. This
study is the first attempt to construct strategies for global portfolio management
using financial network indicators and to suggest how network indicators can be
used in practical fields. © 2018 Elsevier Ltd",Financial network; Global stock
market; Investment strategy; Machine learning,Artificial intelligence; Commerce;
Decision trees; Financial data processing; Financial markets; Learning systems;
Strategic planning; Financial networks; Global stock markets; Investment strategy;
Logistic regressions; Machine learning approaches; Machine learning techniques;
Portfolio managements; Vector autoregressive model; Investments,,,,,"National
Research Foundation of Korea, NRF; Ministry of Science ICT and Future Planning,
MSIP, (2016R1A2A1A05005270)", This work was supported by the National Research
Foundation of Korea (NRF) grant funded by the Korea government (MSIP)
( 2016R1A2A1A05005270 ). ,"Abreu D., Brunnermeier M.K., Bubbles and crashes,
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(2014)","S.Y. Sohn; Department of Information and Industrial Engineering, Yonsei
University, Seoul, South Korea; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85054076083
Picasso A.; Merello S.; Ma Y.; Oneto L.; Cambria E.,"Picasso, Andrea (57207730143);
Merello, Simone (16064271600); Ma, Yukun (57189601750); Oneto, Luca (41262130900);
Cambria, Erik (56140547500)",57207730143; 16064271600; 57189601750; 41262130900;
56140547500,Technical analysis and sentiment embeddings for market trend
prediction,2019,Expert Systems with
Applications,135,,,60,70,10,198,10.1016/j.eswa.2019.06.014,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85067037094&doi=10.1016%2fj.eswa.2019.06.014&partnerID=40&md5=ca15ddbc92afa2e0a9e36
890f2f2f17a,"DIBRIS, University of Genova, Via Opera Pia 11A, Genova, I-16145,
Italy; School of Computer Science and Engineering, Nanyang Technological
University, 50 Nanyang Ave, Singapore","Picasso A., DIBRIS, University of Genova,
Via Opera Pia 11A, Genova, I-16145, Italy; Merello S., DIBRIS, University of
Genova, Via Opera Pia 11A, Genova, I-16145, Italy; Ma Y., School of Computer
Science and Engineering, Nanyang Technological University, 50 Nanyang Ave,
Singapore; Oneto L., DIBRIS, University of Genova, Via Opera Pia 11A, Genova, I-
16145, Italy; Cambria E., School of Computer Science and Engineering, Nanyang
Technological University, 50 Nanyang Ave, Singapore","Stock market prediction is
one of the most challenging problems which has been distressing both researchers
and financial analysts for more than half a century. To tackle this problem, two
completely opposite approaches, namely technical and fundamental analysis, emerged.
Technical analysis bases its predictions on mathematical indicators constructed on
the stocks price, while fundamental analysis exploits the information retrieved
from news, profitability, and macroeconomic factors. The competition between these
schools of thought has led to many interesting achievements, however, to date, no
satisfactory solution has been found. Our work aims to combine both technical and
fundamental analysis through the application of data science and machine learning
techniques. In this paper, the stock market prediction problem is mapped in a
classification task of time series data. Indicators of technical analysis and the
sentiment of news articles are both exploited as input. The outcome is a robust
predictive model able to forecast the trend of a portfolio composed by the twenty
most capitalized companies listed in the NASDAQ100 index. As a proof of real
effectiveness of our approach, we exploit the predictions to run a high frequency
trading simulation reaching more than 80% of annualized return. This project
represents a step forward to combine technical and fundamental analysis and
provides a starting point for developing new trading strategies. © 2019 Elsevier
Ltd",Market trend prediction; Sentiment analysis; Sentiment embeddings; Supervised
learning; Technical analysis; Time series analysis,Commerce; Electronic trading;
Embeddings; Financial markets; Forecasting; Machine learning; Sentiment analysis;
Supervised learning; Fundamental analysis; High-frequency trading; Machine learning
techniques; Market trends; Satisfactory solutions; Stock market prediction;
Technical analysis; Technical and fundamental analysis; Time series
analysis,,,,,,,"Abarbanell J.S., Bushee B.J., Abnormal returns to a fundamental
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H., Quantitative trading systems, (2007); Bollen J., Mao H., Zeng X., Twitter mood
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50, pp. 159-175, (2003)","L. Oneto; DIBRIS, University of Genova, Genova, Via Opera
Pia 11A, I-16145, Italy; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85067037094
Chen L.; Qiao Z.; Wang M.; Wang C.; Du R.; Stanley H.E.,"Chen, Lin (57202905923);
Qiao, Zhilin (58359973000); Wang, Minggang (57201181109); Wang, Chao (56113236000);
Du, Ruijin (34879635900); Stanley, Harry Eugene (35375959000)",57202905923;
58359973000; 57201181109; 56113236000; 34879635900; 35375959000,Which Artificial
Intelligence Algorithm Better Predicts the Chinese Stock Market?,2018,IEEE
Access,6,,8419702,48625,48633,8,100,10.1109/ACCESS.2018.2859809,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85050603257&doi=10.1109%2fACCESS.2018.2859809&partnerID=40&md5=b83bba5eac28f6fc366a
947b8458d403,"School of Management, Northwestern Polytechnical University, Xi'an,
710072, China; School of Economics and Finance, Xi'An Jiaotong University, Xi'an,
710072, China; School of Mathematical Science, Nanjing Normal University, Nanjing,
210042, China; College of Economics and Management, Beijing University of
Technology, Beijing, 100124, China; Energy Development and Environmental Protection
Strategy Research Center, Jiangsu University, Zhenjiang, 212013, China; Center for
Polymer Studies and Department of Physics, Boston University, Boston, 02215, MA,
United States","Chen L., School of Management, Northwestern Polytechnical
University, Xi'an, 710072, China; Qiao Z., School of Economics and Finance, Xi'An
Jiaotong University, Xi'an, 710072, China; Wang M., School of Mathematical Science,
Nanjing Normal University, Nanjing, 210042, China; Wang C., College of Economics
and Management, Beijing University of Technology, Beijing, 100124, China; Du R.,
Energy Development and Environmental Protection Strategy Research Center, Jiangsu
University, Zhenjiang, 212013, China; Stanley H.E., Center for Polymer Studies and
Department of Physics, Boston University, Boston, 02215, MA, United
States","Unpredictable stock market factors make it difficult to predict stock
index futures. Although efforts to develop an effective prediction method have a
long history, recent developments in artificial intelligence and the use of
artificial neural networks have increased our success in nonlinear approximation.
When we study financial markets, we can now extract features from a big data
environment without prior predictive information. We here propose to further
improve this predictive performance using a combination of a deep-learning-based
stock index futures prediction model, an autoencoder, and a restricted Boltzmann
machine. We use high-frequency data to examine the predictive performance of deep
learning, and we compare three traditional artificial neural networks: 1) the back
propagation neural network; 2) the extreme learning machine; and 3) the radial
basis function neural network. We use all of the 1-min high-frequency transaction
data of the CSI 300 futures contract (IF1704) in our empirical analysis, and we
test three groups of different volume samples to validate our observations. We find
that the deep learning method of predicting stock index futures outperforms the
back propagation, the extreme learning machine, and the radial basis function
neural network in its fitting degree and directional predictive accuracy. We also
find that increasing the amount of data increases predictive performance. This
indicates that deep learning captures the nonlinear features of transaction data
and can serve as a powerful stock index futures prediction tool for financial
market investors. © 2013 IEEE.",artificial neural networks; deep learning;
Prediction methods; stock markets,Big data; Commerce; Data mining; Deep learning;
Electronic trading; Financial markets; Forecasting; Functions; Investments;
Knowledge acquisition; Neural networks; Radial basis function networks; Artificial
intelligence algorithms; Back propagation neural networks; Extreme learning
machine; Nonlinear approximation; Prediction methods; Predictive performance;
Radial basis function neural networks; Restricted boltzmann machine;
Backpropagation,,,,,"National Office for Philosophy and Social Sciences, NPOPSS,
(17BGL143); National Office for Philosophy and Social Sciences, NPOPSS",This work
was supported by the National Social Science Fund of China under Grant
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and Finance, Xi'An Jiaotong University, Xi'an, 710072, China; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85050603257
Baek S.; Mohanty S.K.; Glambosky M.,"Baek, Seungho (56072463600); Mohanty, Sunil K.
(7202569589); Glambosky, Mina (41961102000)",56072463600; 7202569589;
41961102000,COVID-19 and stock market volatility: An industry level
analysis,2020,Finance Research
Letters,37,,101748,,,,321,10.1016/j.frl.2020.101748,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85091027618&doi=10.1016%2fj.frl.2020.101748&partnerID=40&md5=a6aa9e93297ac1d2108d55
cc2a4ac5fb,"Department of Finance, Koppelman School of Business, Brooklyn College,
City University of New York (CUNY), 2900 Bedford Avenue, Brooklyn, 11210, NY,
United States","Baek S., Department of Finance, Koppelman School of Business,
Brooklyn College, City University of New York (CUNY), 2900 Bedford Avenue,
Brooklyn, 11210, NY, United States; Mohanty S.K., Department of Finance, Koppelman
School of Business, Brooklyn College, City University of New York (CUNY), 2900
Bedford Avenue, Brooklyn, 11210, NY, United States; Glambosky M., Department of
Finance, Koppelman School of Business, Brooklyn College, City University of New
York (CUNY), 2900 Bedford Avenue, Brooklyn, 11210, NY, United States","COVID-19 has
had significant impact on US stock market volatility. This study focuses on
understanding the regime change from lower to higher volatility identified with a
Markov Switching AR model. Utilizing machine learning feature selection methods,
economic indicators are chosen to best explain changes in volatility. Results show
that volatility is affected by specific economic indicators and is sensitive to
COVID-19 news. Both negative and positive COVID-19 information is significant,
though negative news is more impactful, suggesting a negativity bias. Significant
increases in total and idiosyncratic risk are observed across all industries, while
changes in systematic risk vary across industry. © 2020 Elsevier Inc.",COVID-19;
Idiosyncratic risk; Industry; Machine Learning Feature Selection; Stock market
volatility; Total risk,,,,,,,,"Al-Awadhi A.M., Alsaifi K., Al-Awadhi A., Alhamaddi
S., Death and contagious infectious diseases: impact of the COVID-19 virus on stock
market returns, J. Behav. Exp. Finance, 27, (2020); Albuquerque R.A., Koskinen
Y.J., Yang S.C., (2020); Alfaro L., Chari A., Greenland A.N.; Ashraf B.N., Stock
markets’ reaction to COVID-19: cases or fatalities, Res. Int. Bus. Finance, 54,
(2020); Bai Y., Cross-border sentiment: an empirical analysis on EU stock markets,
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and Basel III: market-based risk implications for global systemically important
banks, J. Multinat. Financ. Manage., 47-48, pp. 91-109, (2018); Onali E., (2020);
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D.H.B., Sharma S., Narayan P.K., Stock return forecasting: some new evidence, Int.
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time-varying systematic risks in Islamic and conventional sectoral indices, Econ.
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perspective on infectious diseases and their influence on market behavior, J. Bus.
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E., Infected markets: novel Coronavirus, government interventions, and stock return
volatility around the Globe, Finance Res. Lett., 35, (2020); Zhang D., Hu M., Ji
Q., Financial markets under the global pandemic of COVID-19, Finance Res. Lett.,
35, (2020)","S.K. Mohanty; Department of Finance, Koppelman School of Business,
Brooklyn College, City University of New York (CUNY), Brooklyn, 2900 Bedford
Avenue, 11210, United States; email: [email protected]",,Elsevier
Ltd,,,,,,15446123,,,,English,Finan. Res. Lett.,Article,Final,All Open Access; Green
Open Access,Scopus,2-s2.0-85091027618
Renault T.,"Renault, Thomas (57195150443)",57195150443,Intraday online investor
sentiment and return patterns in the U.S. stock market,2017,Journal of Banking and
Finance,84,,,25,40,15,242,10.1016/j.jbankfin.2017.07.002,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85025807197&doi=10.1016%2fj.jbankfin.2017.07.002&partnerID=40&md5=5b00ed6143966b08b
dc0335dada43299,"IÉSEG School of Management, Paris, France; PRISM, Université Paris
1 Panthéon-Sorbonne, Paris, France","Renault T., IÉSEG School of Management, Paris,
France, PRISM, Université Paris 1 Panthéon-Sorbonne, Paris, France","We implement a
novel approach to derive investor sentiment from messages posted on social media
before we explore the relation between online investor sentiment and intraday stock
returns. Using an extensive dataset of messages posted on the microblogging
platform StockTwits, we construct a lexicon of words used by online investors when
they share opinions and ideas about the bullishness or the bearishness of the stock
market. We demonstrate that a transparent and replicable approach significantly
outperforms standard dictionary-based methods used in the literature while
remaining competitive with more complex machine learning algorithms. Aggregating
individual message sentiment at half-hour intervals, we provide empirical evidence
that online investor sentiment helps forecast intraday stock index returns. After
controlling for past market returns, we find that the first half-hour change in
investor sentiment predicts the last half-hour S&P 500 index ETF return. Examining
users’ self-reported investment approach, holding period and experience level, we
find that the intraday sentiment effect is driven by the shift in the sentiment of
novice traders. Overall, our results provide direct empirical evidence of
sentiment-driven noise trading at the intraday level. © 2017 Elsevier B.V.",Asset
pricing; Intraday return predictability; Investor sentiment; Machine learning;
Social media; Textual analysis,,,,,,,,"Antweiler W., Frank M.Z., Is all that talk
just noise? the information content of internet stock message boards, J. Finance,
59, 3, pp. 1259-1294, (2004); Avery C.N., Chevalier J.A., Zeckhauser R.J., The
“CAPS” prediction system and stock market returns, Rev. Finance, 20, 4, pp. 1363-
1381, (2016); Baker M., Wurgler J., Investor sentiment and the cross-section of
stock returns, J. Finance, 61, 4, pp. 1645-1680, (2006); Baker M., Wurgler J.,
Investor sentiment in the stock market, J. Econ. Perspect., 21, 2, pp. 129-152,
(2007); Bogousslavsky V., Infrequent rebalancing, return autocorrelation, and
seasonality, J. Finance, 71, 6, pp. 2967-3006, (2016); Brown G.W., Cliff M.T.,
Investor sentiment and asset valuation, J. Bus., 78, 2, pp. 405-440, (2005); Chen
H., De P., Hu Y.J., Hwang B.-H., Wisdom of crowds: the value of stock opinions
transmitted through social media, Rev. Financ. Stud., 27, 5, pp. 1367-1403, (2014);
Cookson J.A., Niessner M., Why don't we agree? evidence from a social network of
investors, (2016); Da Z., Engelberg J., Gao P., The sum of all FEARS: investor
sentiment and asset prices, Rev. Financ. Stud., 28, 1, pp. 1-32, (2015); Das S.R.,
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Stanley H.E., Preis T., Quantifying wikipedia usage patterns before stock market
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street with a tablet: a survey of stock market predictions using the web, J. Econ.
Surv., 30, 2, pp. 356-369, (2016); Oliveira N., Cortez P., Areal N., Stock market
sentiment lexicon acquisition using microblogging data and statistical measures,
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of the ACL-02 conference on Empirical methods in natural language processing,
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stock message boards influence trading? evidence from heavily discussed stocks with
no fundamental news, J. Bus. Finance Account., 38, 9-10, pp. 1209-1237, (2011);
Shleifer A., Vishny R.W., The limits of arbitrage, J. Finance, 52, 1, pp. 35-55,
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noise? using twitter to identify and understand company-specific news flow, J. Bus.
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P.G., Welpe I.M., Tweets and trades: the information content of stock microblogs,
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return predictability and investor sentiment: a high-frequency perspective, J.
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1467, (2008)","T. Renault; Université Paris 1 Panthéon-Sorbonne, Paris, 17 rue de
la Sorbonne, 75005, France; email: [email protected]",,Elsevier
B.V.,,,,,,3784266,,JBFID,,English,J. Bank. Financ.,Article,Final,,Scopus,2-s2.0-
85025807197
Ding G.; Qin L.,"Ding, Guangyu (57212174174); Qin, Liangxi
(8357520300)",57212174174; 8357520300,Study on the prediction of stock price based
on the associated network model of LSTM,2020,International Journal of Machine
Learning and Cybernetics,11,6,,1307,1317,10,167,10.1007/s13042-019-01041-
1,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85076093849&doi=10.1007%2fs13042-019-01041-
1&partnerID=40&md5=3d51a1ecdd6a471e127f65e16bf55fa9,"School of Computer,
Electronics and Information, Guangxi University, Nanning, 530004, Guangxi,
China","Ding G., School of Computer, Electronics and Information, Guangxi
University, Nanning, 530004, Guangxi, China; Qin L., School of Computer,
Electronics and Information, Guangxi University, Nanning, 530004, Guangxi,
China","Stock market has received widespread attention from investors. It has
always been a hot spot for investors and investment companies to grasp the change
regularity of the stock market and predict its trend. Currently, there are many
methods for stock price prediction. The prediction methods can be roughly divided
into two categories: statistical methods and artificial intelligence methods.
Statistical methods include logistic regression model, ARCH model, etc. Artificial
intelligence methods include multi-layer perceptron, convolutional neural network,
naive Bayes network, back propagation network, single-layer LSTM, support vector
machine, recurrent neural network, etc. But these studies predict only one single
value. In order to predict multiple values in one model, it need to design a model
which can handle multiple inputs and produces multiple associated output values at
the same time. For this purpose, it is proposed an associated deep recurrent neural
network model with multiple inputs and multiple outputs based on long short-term
memory network. The associated network model can predict the opening price, the
lowest price and the highest price of a stock simultaneously. The associated
network model was compared with LSTM network model and deep recurrent neural
network model. The experiments show that the accuracy of the associated model is
superior to the other two models in predicting multiple values at the same time,
and its prediction accuracy is over 95%. © 2019, The Author(s).",Associated
network; Deep learning; Deep recurrent neural network; Long short-term memory
(LSTM); Machine learning,Backpropagation; Bayesian networks; Brain; Commerce; Deep
learning; Deep neural networks; Electronic trading; Financial markets; Forecasting;
Investments; Learning systems; Multilayer neural networks; Network layers;
Regression analysis; Support vector machines; Artificial intelligence methods;
Backpropagation network; Convolutional neural network; Logistic Regression
modeling; Multi layer perceptron; Multiple inputs and multiple outputs; Recurrent
neural network model; Stock price prediction; Long short-term
memory,,,,,"Specialized Scientific Research in Public Welfare Industry,
(GYHY201406027); Science and Technology Major Project of Guangxi, (AB16380260)",
This work is partially supported by the Science and Technology Project of
Guangxi(Guike AB16380260) and Specialized Scientific Research in Public Welfare
Industry (Meteorology) (GYHY201406027). Springer Nature remains neutral with
regard to jurisdictional claims in published maps and institutional
affiliations. ,"Xia Y., Liu Y., Chen Z., Support vector regression for prediction
of stock trend, 6th Int Conf Inf Manag Innov Manag Ind Eng (ICIII), 2, pp. 123-126,
(2013); Sands T.M., Tayal D., Morris M.E., Monteiro S.T., Robust stock value
prediction using support vector machines with particle swarm optimization, Congress
on Evolutionary Computation (CEC), pp. 3327-3331, (2015); Li J., Bu H., Wu J.,
Sentiment-aware stock market prediction: A deep learning method, IEEE: 2017
International Conference on Service Systems and Service Management, pp. 1-6,
(2017); Yang B., Gong Z.-J., Yang W., Stock market index prediction using deep
neural network ensemble, 36Th Chinese Control Conference (CCC), pp. 3882-3887,
(2017); Tsai Y.-C., Hong C.-Y., The application of evolutionary approach for stock
trend awareness, IEEE: IEEE 8Th International Conference on Awareness Science and
Technology (Icast), pp. 306-311, (2017); Li X., Yang L., Xue F., Zhou H., Time
series prediction of stock price using deep belief networks with Intrinsic
plasticity, IEEE: 2017 29Th Chinese Control and Decision Conference (CCDC), pp.
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stock trading model with 2-D CNN trend detection, IEEE: 2017 IEEE Symposium Series
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output convolutional neural network for cell segmentation in fluorescence
microscopy images, IEEE: 2017 IEEE 14Th International Symposium on Biomedical
Imaging (ISBI, 2017, pp. 337-340, (2017)","L. Qin; School of Computer, Electronics
and Information, Guangxi University, Nanning, 530004, China; email:
[email protected]",,Springer,,,,,,18688071,,,,English,Intl. J. Mach. Learn.
Cybern.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85076093849
Shen G.; Tan Q.; Zhang H.; Zeng P.; Xu J.,"Shen, Guizhu (57205712383); Tan,
Qingping (13404486500); Zhang, Haoyu (57193803016); Zeng, Ping (56957755500); Xu,
Jianjun (7408550256)",57205712383; 13404486500; 57193803016; 56957755500;
7408550256,Deep learning with gated recurrent unit networks for financial sequence
predictions,2018,Procedia Computer
Science,131,,,895,903,8,147,10.1016/j.procs.2018.04.298,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85056656183&doi=10.1016%2fj.procs.2018.04.298&partnerID=40&md5=fae82407faee2859f988
f9e47d759522,"College of Computer, National University of Defense Technology,
Changsha, China","Shen G., College of Computer, National University of Defense
Technology, Changsha, China; Tan Q., College of Computer, National University of
Defense Technology, Changsha, China; Zhang H., College of Computer, National
University of Defense Technology, Changsha, China; Zeng P., College of Computer,
National University of Defense Technology, Changsha, China; Xu J., College of
Computer, National University of Defense Technology, Changsha, China","Gated
recurrent unit (GRU) networks perform well in sequence learning tasks and overcome
the problems of vanishing and explosion of gradients in traditional recurrent
neural networks (RNNs) when learning long-term dependencies. Although they apply
essentially to financial time series predictions, they are seldom used in the
field. To fill this void, we propose GRU networks and its improved version for
predicting trading signals for stock indexes of the Hang Seng Indexes (HSI), the
Deutscher Aktienindex (DAX) and the S&P 500 Index from 1991 to 2017, and compare
the GRU-based models with the traditional deep net and the benchmark classifier
support vector machine (SVM). Experimental results show that the two GRU models
proposed in this paper both obtain higher prediction accuracy on these data sets,
and the improved version can effectively improve the learning ability of the model.
© 2018 The Authors. Published by Elsevier Ltd.",Deep learning; Financial time
series; GRU; Stock index; SVM,Financial data processing; Financial markets;
Forecasting; Recurrent neural networks; Support vector machines; Time series;
Financial time series; Financial time series predictions; Learning abilities; Long-
term dependencies; Prediction accuracy; Recurrent neural network (RNNs); Sequence
prediction; Stock indices; Deep learning,,,,,"Scientific Research Fund of Hunan,
(15A007)",This study is supported by the Scientific Research Fund of Hunan
15A007).,"Fama E.F., Efficient capital markets: A review of theory and empirical
work, The Journal of Finance, 25, 2, pp. 383-417, (1970); Jacobs H., What explains
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Past and Future Stock Returns, (2014); Krauss C., Do X.A., Huck N., Deep neural
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500, European Journal of Operational Research, 259, 2, pp. 689-702, (2017); Medsker
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396, (2007)","G. Shen; College of Computer, National University of Defense
Technology, Changsha, China; email: [email protected]",Patnaik S.,Elsevier
B.V.,,"8th International Congress of Information and Communication Technology,
ICICT 2018",27 January 2018 through 28 January
2018,Xiamen,144692,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85056656183
Chou J.-S.; Nguyen T.-K.,"Chou, Jui-Sheng (35772399000); Nguyen, Thi-Kha
(57200334867)",35772399000; 57200334867,Forward Forecast of Stock Price Using
Sliding-Window Metaheuristic-Optimized Machine-Learning Regression,2018,IEEE
Transactions on Industrial
Informatics,14,7,,3132,3142,10,152,10.1109/TII.2018.2794389,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85040915922&doi=10.1109%2fTII.2018.2794389&partnerID=40&md5=c56502a992a0d2831d2cefa
e6240ee8c,"Department of Civil and Construction Engineering, National Taiwan
University of Science and Technology, Taipei, 106, Taiwan; Faculty of Engineering
and Agriculture, University of Danang, Campus in Kontum, Kontum, 580000, Viet
Nam","Chou J.-S., Department of Civil and Construction Engineering, National Taiwan
University of Science and Technology, Taipei, 106, Taiwan; Nguyen T.-K., Faculty of
Engineering and Agriculture, University of Danang, Campus in Kontum, Kontum,
580000, Viet Nam","Time series forecasting has been widely used to determine the
future prices of stock, and the analysis and modeling of finance time series
importantly guide investors' decisions and trades. In addition, in a dynamic
environment such as the stock market, the nonlinearity of the time series is
pronounced, immediately affecting the efficacy of stock price forecasts. Thus, this
paper proposes an intelligent time series prediction system that uses sliding-
window metaheuristic optimization for the purpose of predicting the stock prices of
Taiwan construction companies one step ahead. It may be of great interest to home
brokers who do not possess sufficient knowledge to invest in such companies. The
system has a graphical user interface and functions as a stand-alone application.
The developed hybrid system exhibited outstanding prediction performance and it
improves overall profit for investment performance. The proposed model is a
promising predictive technique for highly nonlinear time series, whose patterns are
difficult to capture by traditional models. © 2005-2012 IEEE.",Construction
company; data mining; machine learning (ML); prediction system; sliding window;
stock price forecasting; swarm intelligence and metaheuristic optimization; time
series,Commerce; Construction industry; Costs; Data mining; Financial markets;
Forecasting; Graphical user interfaces; Hybrid systems; Investments; Learning
systems; Optimization; Swarm intelligence; Time series; Construction companies;
Meta-heuristic optimizations; Prediction systems; Sliding Window; Stock price
forecasting; Time series analysis,,,,,"Ministry of Education, MOE, (TII-17-1416);
Ministry of Science and Technology, Taiwan, MOST, (103-2221-E-011-144-
MY3)","Manuscript received June 30, 2017; revised September 9, 2017, November 14,
2017, and December 8, 2017; accepted January 5, 2018. Date of publication January
18, 2018; date of current version July 2, 2018. This work was supported in part by
the Ministry of Science and Technology, Taiwan, under Grant 103-2221-E-011-144-MY3
and in part by the Ministry of Education—Aim for Top University Project. Paper no.
TII-17-1416. (Corresponding author: Jui-Sheng Chou.) J.-S. Chou is with the
Department of Civil and Construction Engineering, National Taiwan University of
Science and Technology, Taipei 106, Taiwan (e-mail: [email protected]).","He
J.P., Cai L., Cheng P., Fan J.L., Optimal investment for retail company in
electricity market, IEEE Trans. Ind. Informat., 11, 5, pp. 1210-1219, (2015);
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prediction using a self evolving recurrent neuro-fuzzy inference system optimized
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stock
index time-series prediction using self-adaptive interval type-2 fuzzy sets,
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forecasting using machine learning algorithms, Dept. Elect. Eng., pp. 1-5, (2012);
Zhang H., Liang J., Chai Z., Stock prediction based on phase space reconstruction
and echo state networks, J. Algorithms Comput. Technol., 7, 1, pp. 87-100,
(2012)","J.-S. Chou; Department of Civil and Construction Engineering, National
Taiwan University of Science and Technology, Taipei, 106, Taiwan; email:
[email protected]",,IEEE Computer Society,,,,,,15513203,,,,English,IEEE
Trans. Ind. Inf.,Article,Final,,Scopus,2-s2.0-85040915922
Li X.; Xie H.; Wang R.; Cai Y.; Cao J.; Wang F.; Min H.; Deng X.,"Li, Xiaodong
(36986730000); Xie, Haoran (57219619828); Wang, Ran (55717761300); Cai, Yi
(55538918200); Cao, Jingjing (54388537600); Wang, Feng (57207267247); Min, Huaqing
(7102292458); Deng, Xiaotie (7401768881)",36986730000; 57219619828; 55717761300;
55538918200; 54388537600; 57207267247; 7102292458; 7401768881,Empirical analysis:
stock market prediction via extreme learning machine,2016,Neural Computing and
Applications,27,1,,67,78,11,113,10.1007/s00521-014-1550-z,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84953347190&doi=10.1007%2fs00521-014-1550-
z&partnerID=40&md5=0042612905f9247feaf7f3e1a2ed7039,"Department of Computer
Science, City University of Hong Kong, Kowloon, Hong Kong; Institute of Biomedical
and Health Engineering, Shenzhen Institutes of Advanced Technology, Chinese Academy
of Sciences, Shenzhen, 518067, China; School of Software Engineering, South China
University of Technology, Guangzhou, 510006, China; School of Logistics
Engineering, Wuhan University of Technology, Wuhan, 430070, China; State Key Lab of
Software Engineering, School of Computer Science, Wuhan University, Wuhan, 430072,
China; AIMS Lab, Department of Computer Science, Shanghai Jiaotong University,
Shanghai, 200240, China; Shanghai Key Lab of Intelligent Information Processing and
School of Computer Science, Fudan University, Shanghai, 200433, China","Li X.,
Department of Computer Science, City University of Hong Kong, Kowloon, Hong Kong;
Xie H., Department of Computer Science, City University of Hong Kong, Kowloon, Hong
Kong; Wang R., Department of Computer Science, City University of Hong Kong,
Kowloon, Hong Kong, Institute of Biomedical and Health Engineering, Shenzhen
Institutes of Advanced Technology, Chinese Academy of Sciences, Shenzhen, 518067,
China; Cai Y., School of Software Engineering, South China University of
Technology, Guangzhou, 510006, China; Cao J., School of Logistics Engineering,
Wuhan University of Technology, Wuhan, 430070, China; Wang F., State Key Lab of
Software Engineering, School of Computer Science, Wuhan University, Wuhan, 430072,
China; Min H., School of Software Engineering, South China University of
Technology, Guangzhou, 510006, China; Deng X., AIMS Lab, Department of Computer
Science, Shanghai Jiaotong University, Shanghai, 200240, China, Shanghai Key Lab of
Intelligent Information Processing and School of Computer Science, Fudan
University, Shanghai, 200433, China","How to predict stock price movements based on
quantitative market data modeling is an attractive topic. In front of the market
news and stock prices that are commonly believed as two important market data
sources, how to extract and exploit the hidden information within the raw data and
make both accurate and fast predictions simultaneously becomes a challenging
problem. In this paper, we present the design and architecture of our trading
signal mining platform that employs extreme learning machine (ELM) to make stock
price prediction based on those two data sources concurrently. Comprehensive
experimental comparisons between ELM and the state-of-the-art learning algorithms,
including support vector machine (SVM) and back-propagation neural network (BP-NN),
have been undertaken on the intra-day tick-by-tick data of the H-share market and
contemporaneous news archives. The results have shown that (1) both RBF ELM and RBF
SVM achieve higher prediction accuracy and faster prediction speed than BP-NN; (2)
the RBF ELM achieves similar accuracy with the RBF SVM and (3) the RBF ELM has
faster prediction speed than the RBF SVM. Simulations of a preliminary trading
strategy with the signals are conducted. Results show that strategy with more
accurate signals will make more profits with less risk. © 2014, Springer-Verlag
London.",Extreme learning machine; Stock market prediction; Trading signal mining
platform,Backpropagation; Backpropagation algorithms; Commerce; Costs; Finance;
Financial markets; Forecasting; Knowledge acquisition; Learning algorithms;
Learning systems; Neural networks; Radial basis function networks; Support vector
machines; Backpropagation neural networks; Experimental comparison; Extreme
learning machine; Prediction accuracy; Stock market prediction; Stock price
movements; Stock price prediction; Trading signal mining platform; Electronic
trading,,,,,"Guangdong Natural Science Foundation, China, (S2011040002222);
Shenzhen New Industry Development Fund, (JCYJ20120617120716224); National Natural
Science Foundation of China, NSFC, (61300137); South China University of
Technology, SCUT, (2012ZM0077); Fundamental Research Funds for the Central
Universities","This work was partly supported by National Natural Science
Foundation of China (Grant No. 61300137); the Guangdong Natural Science Foundation,
China (Grant No. S2011040002222); the Fundamental Research Funds for the Central
Universities, SCUT (Grant No. 2012ZM0077). This work was also supported by Shenzhen
New Industry Development Fund under grant No. JCYJ20120617120716224.","Schumaker
R.P., Chen H., A discrete stock price prediction engine based on financial news,
Computer, 43, 1, pp. 51-56, (2010); Yeh C.-Y., Huang C.-W., Lee S.-J., A multiple-
kernel support vector regression approach for stock market price forecasting,
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Extreme learning machine: theory and applications, Neurocomputing, 70, 1, pp. 489-
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Control, automation, robotics and vision conference, ICARCV’04, 2, pp. 1029-1036,
(2004); Wei X.-K., Li Y.-H., Feng Y., Comparative study of extreme learning machine
and support vector machine, Advances in neural networks, ISNN’06, 3971, pp. 1089-
1095, (2006); Huang G.-B., Wang D.H., Lan Y., Extreme learning machines: a survey,
Int J Mach Learn Cybernet, 2, 2, pp. 107-122, (2011); Li X., Wang C., Dong J., Wang
F., Deng X., Shanfeng Z., Hameurlain A., Liddle S., Schewe K.-D., Zhou X.,
Improving stock market prediction by integrating both market news and stock prices,
Database and expert systems applications. Lecture notes in computer science, 6861,
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market prediction using breaking financial news: the azfin text system, ACM Trans
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retailing, Decis Support Syst, 46, 1, pp. 411-419, (2008); Sun Y., Yuan Y., Wang
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11, 4, pp. 429-437, (2003)","Y. Cai; School of Software Engineering, South China
University of Technology, Guangzhou, 510006, China; email:
[email protected]",,Springer-Verlag London Ltd,,,,,,9410643,,,,English,Neural
Comput. Appl.,Article,Final,,Scopus,2-s2.0-84953347190
Patel J.; Shah S.; Thakkar P.; Kotecha K.,"Patel, Jigar (57683627400); Shah, Sahil
(57199298308); Thakkar, Priyank (56337405600); Kotecha, K.
(6506676097)",57683627400; 57199298308; 56337405600; 6506676097,Predicting stock
market index using fusion of machine learning techniques,2015,Expert Systems with
Applications,42,4,,2162,2172,10,394,10.1016/j.eswa.2014.10.031,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84910606476&doi=10.1016%2fj.eswa.2014.10.031&partnerID=40&md5=ffe7f833476c5dfb584d5
10b339a9ce7,"Computer Science and Engineering Department, Institute of Technology,
Nirma University, Ahmedabad, Gujarat, India","Patel J., Computer Science and
Engineering Department, Institute of Technology, Nirma University, Ahmedabad,
Gujarat, India; Shah S., Computer Science and Engineering Department, Institute of
Technology, Nirma University, Ahmedabad, Gujarat, India; Thakkar P., Computer
Science and Engineering Department, Institute of Technology, Nirma University,
Ahmedabad, Gujarat, India; Kotecha K., Computer Science and Engineering Department,
Institute of Technology, Nirma University, Ahmedabad, Gujarat, India","The paper
focuses on the task of predicting future values of stock market index. Two indices
namely CNX Nifty and S&P Bombay Stock Exchange (BSE) Sensex from Indian stock
markets are selected for experimental evaluation. Experiments are based on 10 years
of historical data of these two indices. The predictions are made for 1-10, 15 and
30 days in advance. The paper proposes two stage fusion approach involving Support
Vector Regression (SVR) in the first stage. The second stage of the fusion approach
uses Artificial Neural Network (ANN), Random Forest (RF) and SVR resulting into
SVR-ANN, SVR-RF and SVR-SVR fusion prediction models. The prediction performance of
these hybrid models is compared with the single stage scenarios where ANN, RF and
SVR are used single-handedly. Ten technical indicators are selected as the inputs
to each of the prediction models. © 2014 Elsevier Ltd. All rights
reserved.",Artificial Neural Networks; Hybrid models; Random Forest; Stock market;
Support Vector Regression,Artificial intelligence; Commerce; Decision trees;
Finance; Learning systems; Mathematical models; Neural networks; Experimental
evaluation; Fusion prediction model; Hybrid model; Machine learning techniques;
Prediction performance; Random forests; Stock market; Support vector regression
(SVR); Forecasting,,,,,,,"Aldin M.M., Dehnavr H.D., Entezari S., Evaluating the
employment of technical indicators in predicting stock price index variations using
artificial neural networks (case study: Tehran stock exchange), International
Journal of Business & Management, 7, (2012); Asadi S., Hadavandi E., Mehmanpazir
F., Nakhostin M.M., Hybridization of evolutionary Levenberg-Marquardt neural
networks and data pre-processing for stock market prediction, Knowledge-Based
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Ghanbari A., Abbasian-Naghneh S., Developing an evolutionary neural network model
for stock index forecasting, Advanced Intelligent Computing Theories and
Applications, pp. 407-415, (2010); Hadavandi E., Shavandi H., Ghanbari A.,
Integration of genetic fuzzy systems and artificial neural networks for stock price
forecasting, Knowledge-Based Systems, 23, pp. 800-808, (2010); Han J., Kamber M.,
Pei J., Data Mining: Concepts and Techniques, (2006); Hsieh D.A., Chaos and
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based time-scale feature extractions with SVMS for stock index forecasting, Expert
Systems with Applications, 35, pp. 2080-2088, (2008); Kara Y., Acar Boyacioglu M.,
Baykan O.K., Predicting direction of stock price index movement using artificial
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with Applications, 36, pp. 8849-8854, (2009)",,,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
84910606476
Gu S.; Kelly B.; Xiu D.,"Gu, Shihao (57217826231); Kelly, Bryan (55194370800); Xiu,
Dacheng (56079975600)",57217826231; 55194370800; 56079975600,Autoencoder asset
pricing models,2021,Journal of
Econometrics,222,1,,429,450,21,138,10.1016/j.jeconom.2020.07.009,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85088786854&doi=10.1016%2fj.jeconom.2020.07.009&partnerID=40&md5=852763f4c1c4c8ba65
9220bc3b84a10f,"Booth School of Business, University of Chicago, United States;
Yale University, AQR Capital Management, and NBER, United States","Gu S., Booth
School of Business, University of Chicago, United States; Kelly B., Yale
University, AQR Capital Management, and NBER, United States; Xiu D., Booth School
of Business, University of Chicago, United States","We propose a new latent factor
conditional asset pricing model. Like Kelly, Pruitt, and Su (KPS, 2019), our model
allows for latent factors and factor exposures that depend on covariates such as
asset characteristics. But, unlike the linearity assumption of KPS, we model factor
exposures as a flexible nonlinear function of covariates. Our model retrofits the
workhorse unsupervised dimension reduction device from the machine learning
literature – autoencoder neural networks – to incorporate information from
covariates along with returns themselves. This delivers estimates of nonlinear
conditional exposures and the associated latent factors. Furthermore, our machine
learning framework imposes the economic restriction of no-arbitrage. Our
autoencoder asset pricing model delivers out-of-sample pricing errors that are far
smaller (and generally insignificant) compared to other leading factor models. ©
2020 Elsevier B.V.",Autoencoder; Big data; Conditional asset pricing model; Machine
learning; Neural networks; Nonlinear factor model; Stock returns,Costs; Machine
learning; Asset pricing model; Auto encoders; Dimension reduction; Latent factor;
Machine learning literature; Model factors; No arbitrage; Nonlinear functions;
Financial markets,,,,,,,"Ahn S.C., Horenstein A.R., Eigenvalue ratio test for the
number of factors, Econometrica, 81, pp. 1203-1227, (2013); Ait-Sahalia Y., Xiu D.,
Using principal component analysis to estimate a high dimensional factor model with
high-frequency data, J. Econometrics, 201, pp. 388-399, (2017); Alessi L.,
Barigozzi M., Capasso M., Improved penalization for determining the number of
factors in approximate factor models, Statist. Probab. Lett., 80, pp. 1806-1813,
(2010); Amengual D., Watson M.W., Consistent estimation of the number of dynamic
factors in a large N and T panel, J. Bus. Econom. Statist., 25, pp. 91-96, (2007);
Bai J., Inferential theory for factor models of large dimensions, Econometrica, 71,
1, pp. 135-171, (2003); Bai J., Ng S., Determining the number of factors in
approximate factor models, Econometrica, 70, pp. 191-221, (2002); Bai J., Ng S.,
Principal Components and Regularized Estimation of Factor Models: Technical Report,
(2017); Baldi P., Hornik K., Neural networks and principal component analysis:
Learning from examples without local minima, Neural Netw., 2, 1, pp. 53-58, (1989);
Bansal R., Yaron A., Risks for the long run: A potential resolution of asset
pricing puzzles, J. Finance, 59, 4, pp. 1481-1509, (2004); Bourlard H., Kamp Y.,
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Learning in Asset Pricing: Technical Report, (2019); Freyberger J., Neuhierl A.,
Weber M., Dissecting Characteristics Nonparametrically: Technical Report, (2017);
Gagliardini P., Ossola E., Scaillet O., Time-varying risk premium in large cross-
sectional equity datasets, Econometrica, 84, 3, pp. 985-1046, (2016); Gallinari P.,
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3-10, (1994); Ioffe S., Szegedy C., Batch normalization: Accelerating deep network
training by reducing internal covariate shift, Int. Conf. Mach. Learn., pp. 448-
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(2010); Kelly B., Pruitt S., The three-pass regression filter: A new approach to
forecasting using many predictors, J. Econometrics, 186, 2, pp. 294-316, (2015);
Kelly B., Pruitt S., Su Y., Characteristics are covariances: A unified model of
risk and return, J. Financ. Econ., (2019); Kingma D., Ba J., Adam: A method for
stochastic optimization, (2014); (2019); Kozak S., Nagel S., Santosh S., Shrinking
the Cross Section: Technical Report, (2017); Kozak S., Nagel S., Santosh S.,
Interpreting factor models, J. Finance, 73, 3, pp. 1183-1223, (2018); Moon H.R.,
Weidner M., Nuclear Norm Regularized Estimation of Panel Regression Models:
Technical Report, (2018); Onatski A., Determining the number of factors from
empirical distribution of eigenvalues, Rev. Econ. Stat., 92, pp. 1004-1016, (2010);
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Watson M.W., Macroeconomic forecasting using diffusion indexes, J. Bus. Econom.
Statist., 20, 2, pp. 147-162, (2002)","S. Gu; Booth School of Business, University
of Chicago, United States; email: [email protected]",,Elsevier
Ltd,,,,,,3044076,,JECMB,,English,J Econom,Article,Final,,Scopus,2-s2.0-85088786854
Tsantekidis A.; Passalis N.; Tefas A.; Kanniainen J.; Gabbouj M.; Iosifidis
A.,"Tsantekidis, Avraam (57195636516); Passalis, Nikolaos (56897101400); Tefas,
Anastasios (6701672908); Kanniainen, Juho (23394868200); Gabbouj, Moncef
(7005332419); Iosifidis, Alexandros (36720841400)",57195636516; 56897101400;
6701672908; 23394868200; 7005332419; 36720841400,Forecasting stock prices from the
limit order book using convolutional neural networks,2017,"Proceedings - 2017 IEEE
19th Conference on Business Informatics, CBI
2017",1,,8010701,7,12,5,245,10.1109/CBI.2017.23,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85029406625&doi=10.1109%2fCBI.2017.23&partnerID=40&md5=022dc1842b9f21a67fdfe96c9ec1
389e,"Department of Informatics, Aristotle University of Thessaloniki,
Thessaloniki, Greece; Laboratory of Industrial and Information Management, Tampere
University of Technology, Tampere, Finland; Laboratory of Signal Processing,
Tampere University of Technology, Tampere, Finland","Tsantekidis A., Department of
Informatics, Aristotle University of Thessaloniki, Thessaloniki, Greece, Laboratory
of Signal Processing, Tampere University of Technology, Tampere, Finland; Passalis
N., Department of Informatics, Aristotle University of Thessaloniki, Thessaloniki,
Greece; Tefas A., Department of Informatics, Aristotle University of Thessaloniki,
Thessaloniki, Greece; Kanniainen J., Laboratory of Industrial and Information
Management, Tampere University of Technology, Tampere, Finland; Gabbouj M.,
Laboratory of Signal Processing, Tampere University of Technology, Tampere,
Finland; Iosifidis A., Laboratory of Signal Processing, Tampere University of
Technology, Tampere, Finland","In today's financial markets, where most trades are
performed in their entirety by electronic means and the largest fraction of them is
completely automated, an opportunity has risen from analyzing this vast amount of
transactions. Since all the transactions are recorded in great detail, investors
can analyze all the generated data and detect repeated patterns of the price
movements. Being able to detect them in advance, allows them to take profitable
positions or avoid anomalous events in the financial markets. In this work we
proposed a deep learning methodology, based on Convolutional Neural Networks
(CNNs), that predicts the price movements of stocks, using as input large-scale,
high-frequency time-series derived from the order book of financial exchanges. The
dataset that we use contains more than 4 million limit order events and our
comparison with other methods, like Multilayer Neural Networks and Support Vector
Machines, shows that CNNs are better suited for this kind of task. © 2017
IEEE.",Convolutional Neural Networks; Large scale financial data; Limit
Orderbook,Commerce; Convolution; Correlation theory; Costs; Finance; Financial data
processing; Financial markets; Investments; Multilayer neural networks; Neural
networks; Anomalous events; Convolutional neural network; Financial data;
Forecasting stock prices; High frequency time series; Limit Orderbook; Price
movement; Repeated patterns; Electronic trading,,,,,,,"Dixon M.F., Klabjan D., Bang
J.H., Classification-based Financial Markets Prediction Using Deep Neural Networks,
(2016); Takeuchi L., Lee Y.-Y.A., Applying Deep Learning to Enhance Momentum
Trading Strategies in Stocks, (2013); Xiong R., Nichols E.P., Shen Y., Deep
Learning Stock Volatility with Google Domestic Trends, (2015); Kercheval A.N.,
Zhang Y., Modelling high-frequency limit order book dynamics with support vector
machines, Quantitative Finance, 15, 8, pp. 1315-1329, (2015); Graves A., Mohamed
A.-R., Hinton G., Speech recognition with deep recurrent neural networks,
Proceedings of the IEEE International Conference on Acoustics, Speech and Signal
Processing (Icassp), pp. 6645-6649, (2013); Xu K., Ba J., Kiros R., Cho K.,
Courville A.C., Salakhutdinov R., Zemel R.S., Bengio Y., Show, attend and tell:
Neural image caption generation with visual attention, Proceedings of the
International Conference on Machine Learning, 14, pp. 77-81, (2015); Mao J., Xu W.,
Yang Y., Wang J., Huang Z., Yuille A., Deep Captioning with Multimodal Recurrent
Neural Networks (M-rnn), (2014); Zhu Y., Groth O., Bernstein M., Fei-Fei L.,
Visual7w: Grounded question answering in images, Proceedings of the IEEE Conference
on Computer Vision and Pattern Recognition, pp. 4995-5004, (2016); LeCun Y., Bengio
Y., Et al., Convolutional networks for images, speech, and time series, The
Handbook of Brain Theory and Neural Networks, 3361, 10, (1995); Hochreiter S.,
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(2000); Ntakaris A., Magris M., Kanniainen J., Gabbouj M., Iosifidis A., Benchmark
Dataset for Mid-price Prediction of Limit Order Book Data, (2017); Siikanen M.,
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scheduled announcements: Empirical evidence from nasdaq nordic, Finance Research
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Adam: A Method for Stochastic Optimization, (2014); Van Merrienboer B., Bahdanau
D., Dumoulin V., Serdyuk D., Warde-Farley D., Chorowski J., Bengio Y., Blocks and
Fuel: Frameworks for Deep Learning, (2015); Bergstra J., Breuleux O., Bastien F.,
Lamblin P., Pascanu R., Desjardins G., Turian J., Warde-Farley D., Bengio Y.,
Theano: A cpu and GPU math compiler in python, Proc. 9th Python in Science Conf,
pp. 1-7, (2010); Bastien F., Lamblin P., Pascanu R., Bergstra J., Goodfellow I.,
Bergeron A., Bouchard N., Warde-Farley D., Bengio Y., Theano: New Features and
Speed Improvements, (2012); Pedregosa F., Varoquaux G., Gramfort A., Michel V.,
Thirion B., Grisel O., Blondel M., Prettenhofer P., Weiss R., Dubourg V., Et al.,
Scikit-learn: Machine learning in python, Journal of Machine Learning Research, 12,
pp. 2825-2830, (2011); Maas A.L., Hannun A.Y., Ng A.Y., Rectifier nonlinearities
improve neural network acoustic models, Proceedings of the International Conference
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(1960); Cho K., Courville A., Bengio Y., Describing multimedia content using
attention-based encoder-decoder networks, IEEE Transactions on Multimedia, 17, 11,
pp. 1875-1886, (2015)",,Theodoulidis B.; Loucopoulos P.; Manolopoulos Y.;
Zdravkovic J.; Pastor O.,Institute of Electrical and Electronics Engineers
Inc.,,"19th IEEE Conference on Business Informatics, CBI 2017",24 July 2017 through
27 July 2017,Thessaloniki,130072,,978-153863034-1,,,English,"Proc. - IEEE Conf.
Bus. Inf., CBI",Conference paper,Final,,Scopus,2-s2.0-85029406625
Jardine S.L.; Siikamäki J.V.,"Jardine, Sunny L. (55195208900); Siikamäki, Juha V.
(23393918900)",55195208900; 23393918900,A global predictive model of carbon in
mangrove soils,2014,Environmental Research Letters,9,10,104013,,,,118,10.1088/1748-
9326/9/10/104013,https://www-scopus-com-paruluniversity.knimbus.com/inward/
record.uri?eid=2-s2.0-84928951551&doi=10.1088%2f1748-
9326%2f9%2f10%2f104013&partnerID=40&md5=ba6586b578c739a82bbbf702e22281dd,"Universit
y of Delaware, School of Marine Science and Policy, 308 Robinson Hall, Newark,
19716, DE, United States; Resources for the Future, 1616 P Street NW, Washington,
20036, DC, United States","Jardine S.L., University of Delaware, School of Marine
Science and Policy, 308 Robinson Hall, Newark, 19716, DE, United States; Siikamäki
J.V., Resources for the Future, 1616 P Street NW, Washington, 20036, DC, United
States","Mangroves are among the most threatened and rapidly vanishing natural
environments worldwide. They provide a wide range of ecosystem services and have
recently become known for their exceptional capacity to store carbon. Research
shows that mangrove conservation may be a low-cost means of reducing CO2 emissions.
Accordingly, there is growing interest in developing market mechanisms to credit
mangrove conservation projects for associated CO2 emissions reductions. These
efforts depend on robust and readily applicable, but currently unavailable,
localized estimates of soil carbon. Here, we use over 900 soil carbon measurements,
collected in 28 countries by 61 independent studies, to develop a global predictive
model for mangrove soil carbon. Using climatological and locational data as
predictors, we explore several predictive modeling alternatives, including machine-
learning methods. With our predictive model, we construct a global dataset of
estimated soil carbon concentrations and stocks on a high-resolution grid (5 arc
min). We estimate that the global mangrove soil carbon stock is 5.00±0.94 Pg C
(assuming a 1 meter soil depth) and find this stock is highly variable over space.
The amount of carbon per hectare in the world's most carbon-rich mangroves
(approximately 703±38 Mg C ha-1) is roughly a 2.6±0.14 times the amount of carbon
per hectare in the world's most carbon-poor mangroves (approximately 272±49 Mg C
ha-1). Considerable within country variation in mangrove soil carbon also exists.
In Indonesia, the country with the largest mangrove soil carbon stock, we estimate
that the most carbon-rich mangroves contain 1.5±0.12 times as much carbon per
hectare as the most carbon-poor mangroves. Our results can aid in evaluating
benefits from mangrove conservation and designing mangrove conservation policy.
Additionally, the results can be used to project changes in mangrove soil carbon
stocks based on changing climatological predictors, e.g. to assess the impacts of
climate change on mangrove soil carbon stocks. © 2014 IOP Publishing Ltd.",blue
carbon; ecosystem services; mangroves; predictive modeling; REDD; soil
carbon,Indonesia; Rhizophoraceae; Artificial intelligence; Climate change;
Conservation; Developing countries; Ecology; Ecosystems; Learning systems; Soils;
Ecosystem services; mangroves; Predictive modeling; REDD; Soil carbon;
biogeochemistry; carbon dioxide; carbon emission; conservation management; data
set; ecosystem service; emission control; global perspective; mangrove; prediction;
soil carbon; Carbon,,,,,,,"Angelsen A., Moving Ahead with REDD: Issues, Options and
Implications, (2008); Babyak M.A., What you see may not be what you get: A brief,
nontechnical introduction to overfitting in regression-type models, Psychosomatic
Med., 66, pp. 411-421, (2004); Bouillon S., Dahdouh-Guebas F., Rao A., Koedam N.,
Dehairs F., Sources of organic carbon in mangrove sediments: Variability and
possible ecological implications, Hydrobiologia, 495, pp. 33-39, (2003); Breiman
L., Bagging predictors, Mach. Learn., 24, pp. 123-140, (1996); Cavanaugh K.C.,
Kellner J.R., Forde A.J., Gruner D.S., Parker J.D., Rodriguez W., Feller I.C.,
Poleward expansion of mangroves is a threshold response to decreased frequency of
extreme cold events, Proc. Natl. Acad. Sci., 111, pp. 723-727, (2013); Chmura G.L.,
Anisfeld S.C., Cahoon D.R., Lynch J.C., Global carbon sequestration in tidal,
saline wetland soils, Glob. Biogeochem. Cycles, 17, (2003); De'Ath G., Fabricius
K.E., Classification and regression trees: A powerful yet simple technique for
ecological data analysis, Ecology, 81, pp. 3178-3192, (2000); Dietterich T.G.,
Machine learning in ecosystem informatics and sustainability, Proc. 21st Int. Joint
Conf. on Artificial Intelligence (Pasadena, CA 11-17 July 2009), pp. 8-13, (2009);
Donato D.C., Kauffman J.B., Murdiyarso D., Kurnianto S., Stidham M., Kanninen M.,
Mangroves among the most carbon-rich forests in the tropics, Nat. Geosci., 4, pp.
293-297, (2011); Ellison J., How South Pacific mangroves may respond to predicted
climate change and sea-level rise, Climate Change in the South Pacific: Impacts and
Responses in Australia, New Zealand, and Small Island States, pp. 289-300, (2003);
Field C., Impact of expected climate change on mangroves, Asia-Pacific Symposium on
Mangrove Ecosystems, pp. 75-81, (1995); Gilman E.L., Ellison J., Duke N.C., Field
C., Threats to mangroves from climate change and adaptation options: A review,
Aquatic Bot., 89, pp. 237-250, (2008); Giri C., Ochieng E., Tieszen L., Zhu Z.,
Singh A., Loveland T., Masek J., Duke N., Status and distribution of mangrove
forests of the world using earth observation satellite data, Glob. Ecol. Biogeogr.,
20, pp. 154-159, (2011); Gomes C.P., Computational sustainability: Computational
methods for a sustainableenvironment, economy, and society, The Bridge, 39, pp. 5-
13, (2009); Hastie T., Tibshirani R., Friedman J., Hastie T., Friedman J.,
Tibshirani R., The Elements of Statistical Learning, 2, (2009); Hijmans R.J.,
Cameron S.E., Parra J.L., Jones P.G., Jarvis A., Very high resolution interpolated
climate surfaces for global land areas, Int. J. Climatol., 25, pp. 1965-1978,
(2005); Hutchison J., Manica A., Swetnam R., Balmford A., Spalding M., Predicting
global patterns in mangrove forest biomass, Conserv. Lett., 7, pp. 233-240, (2013);
Kennedy H., Gacia E., Kennedy D., Papadimitriou S., Duarte C., Organic carbon
sources to SE Asian coastal sediments, Estuarine Coastal Shelf Sci., 60, pp. 59-68,
(2004); Kindermann G., Obersteiner M., Sohngen B., Sathaye J., Andrasko K.,
Rametsteiner E., Schlamadinger B., Wunder S., Beach R., Global cost estimates of
reducing carbon emissions through avoided deforestation, Proc. Natl. Acad. Sci.,
105, pp. 10302-10307, (2008); Kononenko I., Machine learning for medical diagnosis:
History, state of the art and perspective, Artif. Intell. Med., 23, pp. 89-109,
(2001); Kristensen E., Bouillon S., Dittmar T., Marchand C., Organic carbon
dynamics in mangrove ecosystems: A review, Aquatic Bot., 89, pp. 201-219, (2008);
Marchand C., Lallier-Verges E., Baltzer F., The composition of sedimentary organic
matter in relation to the dynamic features of a mangrove-fringed coast in French
Guiana, Estuarine Coastal Shelf Sci., 56, pp. 119-130, (2003); McKee K.L., Soil
physicochemical patterns and mangrove species distribution-reciprocal effects?, J.
Ecol., 81, pp. 477-487, (1993); McLeod E., Chmura G.L., Bouillon S., Salm R., Bjork
M., Duarte C.M., Lovelock C.E., Schlesinger W.H., Silliman B.R., A blueprint for
blue carbon: Toward an improved understanding of the role of vegetated coastal
habitats in sequestering CO2, Front. Ecol. Environ., 9, pp. 552-560, (2011); Mumby
P.J., Edwards A.J., Arias-Gonzalez J.E., Lindeman K.C., Blackwell P.G., Gall A.,
Gorczynska M.I., Harborne A.R., Pescod C.L., Renken H., Mangroves enhance the
biomass of coral reef fish communities in the Caribbean, Nature, 427, pp. 533-536,
(2004); Pendleton L., Donato D.C., Murray B.C., Crooks S., Jenkins W.A., Sifleet
S., Craft C., Fourqurean J.W., Kauffman J.B., Marba N., Estimating global 'blue
carbon' emissions from conversion and degradation of vegetated coastal ecosystems,
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Conf. on Artificial Intelligence (Portland, OR), 1, pp. 725-730, (1996); Shepard
C.C., Crain C.M., Beck M.W., The protective role of coastal marshes: A systematic
review and meta-analysis, PloS One, 6, (2011); Siikamaki J., Sanchirico J.N.,
Jardine S., McLaughlin D., Morris D., Blue carbon: Coastal ecosystems, their carbon
storage, and potential for reducing emissions, Environ.: Sci. Policy Sustainable
Dev., 55, pp. 14-29, (2013); Siikamaki J., Sanchirico J.N., Jardine S.L., Global
economic potential for reducing carbon dioxide emissions from mangrove loss, Proc.
Natl. Acad. Sci., 109, pp. 14369-14374, (2012); Snedaker S.C., Mangroves and
climate change in the Florida and Caribbean region: Scenarios and hypotheses, Asia-
Pacific Symposium on Mangrove Ecosystems, pp. 43-49, (1995); Spalding M., Kainuma
M., Collins L., World Atlas of Mangroves, (2010); Twilley R., Chen R., Hargis T.,
Carbon sinks in mangroves and their implications to carbon budget of tropical
coastal ecosystems, Water Air Soil Pollut., 64, pp. 265-288, (1992); Twilley R.,
Snedaker S., Yanez-Arancibia A., Medina E., Mooney H., Et al., Functional Roles of
Biodiversity: A Global Perspective, pp. 327-370, (1996); The World's Mangroves
1980-2005: A Thematic Study Prepared in the Framework of the Global Forest
Resources Assessment 2005, (2007); Valiela I., Bowen J.L., York J.K., Mangrove
Forests: One of the world's threatened major tropical environments: At least 35% of
the area of mangrove forests has been lost in the past two decades, losses that
exceed those for tropical rain forests and coral reefs, two other well-known
threatened environments, Bioscience, 51, pp. 807-815, (2001); Varian H.R., Big
data: New tricks
for econometrics, J. Econ. Persp., 28, pp. 3-27, (2014); Woodroffe C.D., Grindrod
J., Mangrove biogeography: The role of quaternary environmental and sea-level
change, J. Biogeogr., 18, pp. 479-492, (1991)",,,Institute of Physics
Publishing,,,,,,17489318,,,,English,Environ.Res.Lett.,Article,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-84928951551
Henrique B.M.; Sobreiro V.A.; Kimura H.,"Henrique, Bruno Miranda (57200696589);
Sobreiro, Vinicius Amorim (16686940900); Kimura, Herbert
(55939664800)",57200696589; 16686940900; 55939664800,Stock price prediction using
support vector regression on daily and up to the minute prices,2018,Journal of
Finance and Data
Science,4,3,,183,201,18,206,10.1016/j.jfds.2018.04.003,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085007605&doi=10.1016%2fj.jfds.2018.04.003&partnerID=40&md5=6b6c6385f5f2b115fc1d8
0a472093203,"University of Brasília, Department of Economics, Campus Darcy Ribeiro,
Federal District, Brasília, 70910–900, Brazil","Henrique B.M., University of
Brasília, Department of Economics, Campus Darcy Ribeiro, Federal District,
Brasília, 70910–900, Brazil; Sobreiro V.A., University of Brasília, Department of
Economics, Campus Darcy Ribeiro, Federal District, Brasília, 70910–900, Brazil;
Kimura H., University of Brasília, Department of Economics, Campus Darcy Ribeiro,
Federal District, Brasília, 70910–900, Brazil","The purpose of predictive stock
price systems is to provide abnormal returns for financial market operators and
serve as a basis for risk management tools. Although the Efficient Market
Hypothesis (EMH) states that it is not possible to anticipate market movements
consistently, the use of computationally intensive systems that employ machine
learning algorithms is increasingly common in the development of stock trading
mechanisms. Several studies, using daily stock prices, have presented predictive
system applications trained on fixed periods without considering new model updates.
In this context, this study uses a machine learning technique called Support Vector
Regression (SVR) to predict stock prices for large and small capitalisations and in
three different markets, employing prices with both daily and up-to-the-minute
frequencies. Prediction errors are measured, and the model is compared to the
random walk model proposed by the EMH. The results suggest that the SVR has
predictive power, especially when using a strategy of updating the model
periodically. There are also indicative results of increased predictions precision
during lower volatility periods. © 2018 China Science Publishing & Media Ltd.",High
frequency trading; Machine learning; Prediction; Stock market; Support vector
regression,,,,,,,,"Araujo R., Oliveira A.L., Meira S., A hybrid model for high-
frequency stock market forecasting, Expert Syst Appl, 42, 8, pp. 4081-4096, (2015);
Ballings M., Van den Poel D., Hespeels N., Gryp R., Evaluating multiple classifiers
for stock price direction prediction, Expert Syst Appl, 42, 20, pp. 7046-7056,
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prediction using SVM models with a new approach to combine features selection and
parameter optimisation, Int J Syst Sci, 45, 3, pp. 241-253, (2012)","V.A. Sobreiro;
University of Brasília, Department of Economics, Campus Darcy Ribeiro, Brasília,
Federal District, 70910–900, Brazil; email: [email protected]",,KeAi Communications
Co.,,,,,,24059188,,,,English,J. Finance Data Sci.,Article,Final,All Open Access;
Gold Open Access,Scopus,2-s2.0-85085007605
Yu P.; Yan X.,"Yu, Pengfei (57213796179); Yan, Xuesong (23391007200)",57213796179;
23391007200,Stock price prediction based on deep neural networks,2020,Neural
Computing and Applications,32,6,,1609,1628,19,218,10.1007/s00521-019-04212-
x,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85064689405&doi=10.1007%2fs00521-019-04212-
x&partnerID=40&md5=b20c85b350e360b4d046477044b58715,"School of Computer Science,
China University of Geosciences, Wuhan, 430074, Hubei, China; Hubei Key Laboratary
of Intelligent Geo-Information Processing, Wuhan, 430074, Hubei, China","Yu P.,
School of Computer Science, China University of Geosciences, Wuhan, 430074, Hubei,
China, Hubei Key Laboratary of Intelligent Geo-Information Processing, Wuhan,
430074, Hubei, China; Yan X., School of Computer Science, China University of
Geosciences, Wuhan, 430074, Hubei, China, Hubei Key Laboratary of Intelligent Geo-
Information Processing, Wuhan, 430074, Hubei, China","Understanding the pattern of
financial activities and predicting their development and changes are research
hotspots in academic and financial circles. Because financial data contain complex,
incomplete and fuzzy information, predicting their development trends is an
extremely difficult challenge. Fluctuations in financial data depend on a myriad of
correlated constantly changing factors. Therefore, predicting and analysing
financial data are a nonlinear, time-dependent problem. Deep neural networks (DNNs)
combine the advantages of deep learning (DL) and neural networks and can be used to
solve nonlinear problems more satisfactorily compared to conventional machine
learning algorithms. In this paper, financial product price data are treated as a
one-dimensional series generated by the projection of a chaotic system composed of
multiple factors into the time dimension, and the price series is reconstructed
using the time series phase-space reconstruction (PSR) method. A DNN-based
prediction model is designed based on the PSR method and a long- and short-term
memory networks (LSTMs) for DL and used to predict stock prices. The proposed and
some other prediction models are used to predict multiple stock indices for
different periods. A comparison of the results shows that the proposed prediction
model has higher prediction accuracy. © 2019, Springer-Verlag London Ltd., part of
Springer Nature.",Deep learning; Financial data prediction; Neural networks; Phase-
space reconstruction,Chaotic systems; Deep learning; Electronic trading; Financial
markets; Forecasting; Learning algorithms; Machine learning; Neural networks;
Object oriented programming; Conventional machines; Financial data; Long and short
term memory; Phase space reconstruction; Phase space reconstructions (PSR);
Prediction accuracy; Stock price prediction; Time-dependent problem; Deep neural
networks,,,,,"Hubei Key Laboratory of Intelligent Geo-Information Processing;
National Natural Science Foundation of China, NSFC, (61673354); Huazhong University
of Science and Technology, HUST, (DMETKF2018020); State Key Lab of Digital
Manufacturing Equipment and Technology; Fundamental Research Funds for the Central
Universities; China University of Geosciences, CUG","This paper is supported by
Natural Science Foundation of China. (No. 61673354), the Fundamental Research Funds
for the Central Universities, China University of Geosciences (Wuhan), the State
Key Lab of Digital Manufacturing Equipment and Technology, Huazhong University of
Science and Technology (DMETKF2018020) and Open Research Project of The Hubei Key
Laboratory of Intelligent Geo-Information Processing, China University of
Geosciences (Wuhan).","Zhang L., Wang F., Bing X., Chi W., Wang Q., Sun T.,
Prediction of stock prices based on LM-BP neural network and the estimation of
overfitting point by RDCI, Neural Comput Appl, 30, 5, pp. 1425-1444, (2018);
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networks forecasting with robust confidence intervals, Neurocomputing, 70, 1, pp.
79-92, (2006); Lecun Y., Bengio Y., Hinton G., Deep learning, Nature, 521, 7553,
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hybrid ARIMA and neural network model, Neurocomputing, 50, pp. 159-175, (2003);
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(2009); Jasemi M., Kimiagari A.M., Memariani A., A modern neural network model to
do stock market timing on the basis of the ancient investment technique of Japanese
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Bayesian regularized artificial neural network for stock market forecasting, Expert
Syst Appl, 40, 14, pp. 5501-5506, (2013); Wang J., Forecasting stock market indexes
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gradient method, Neurocomputing, 167, pp. 243-253, (2015); Ding X., Zhang Y., Liu
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International Joint Conference on Artificial Intelligence, pp. 2327-2333, (2015);
Zhao Y., Li J., Yu L., A deep learning ensemble approach for crude oil price
forecasting, Energy Econ, 66, pp. 9-16, (2017); Krauss C., Do X.A., Huck N., Deep
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Odyssey, IEEE Trans Neural Netw, 28, pp. 1-11, (2016)","X. Yan; School of Computer
Science, China University of Geosciences, Wuhan, 430074, China; email:
[email protected]",,Springer,,,,,,9410643,,,,English,Neural Comput.
Appl.,Article,Final,,Scopus,2-s2.0-85064689405
Liu Y.,"Liu, Yang (56431235400)",56431235400,Novel volatility forecasting using
deep learning–Long Short Term Memory Recurrent Neural Networks,2019,Expert Systems
with Applications,132,,,99,109,10,129,10.1016/j.eswa.2019.04.038,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85065212010&doi=10.1016%2fj.eswa.2019.04.038&partnerID=40&md5=077dbdedc8eb534d2cfe5
7fc44baab44,"Bank of America Merrill Lynch, London, EC1A 1HQ, United Kingdom","Liu
Y., Bank of America Merrill Lynch, London, EC1A 1HQ, United Kingdom","The
volatility is related to financial risk and its prediction accuracy is very
important in portfolio optimisation. A large body of literature to-date suggests
Support Vector Machines (SVM)as the “best of regression” algorithms for financial
data regression. Recent work however found that new deep learning––Long Short Term
Memory Recurrent Neural Networks (LSTM RNNs)outperformed SVM for classification
problems. In the present paper we conduct a new unbiased evaluation of these two
modelling techniques for regression problems, and we also compare them with a
popular regression model - Generalized Autoregressive Conditional
Heteroskedasticity (GARCH)model for financial volatility or risk forecasting. Our
experiments using financial data show that the LSTM RNNs performed as good as v-SVR
for large interval volatility forecasting and both performed much better than GARCH
model for two financial indices (S&P 500 and AAPL). The LSTM RNNS deep learning
method can learn from big raw data and can be run with many hidden layers and
neurons under GPU to achieve a good prediction for long sequence data compared to
the support vector regression. The deep learning technique - LSTM RNNs with big
data can be used to improve the volatility prediction instead of v-SVR when the v-
SVR does not predict well for some financial stocks of a portfolio. This will help
investors to win the competition to maximize their profit. © 2019 Elsevier
Ltd",Deep learning; Generalized Autoregressive Conditional Heteroskedasticity
(GARCH)model; Long Short Term Memory Recurrent Neural Networks; Support Vector
Machines (SVM); Volatility forecasting,Brain; Deep learning; Financial markets;
Forecasting; Regression analysis; Risk assessment; Support vector machines;
Generalized autoregressive conditional heteroskedasticity; Learning techniques;
Modelling techniques; Portfolio optimisation; Prediction accuracy; Regression
problem; Support vector regression (SVR); Volatility forecasting; Long short-term
memory,,,,,,,"Chollet F., (2017); Cho K., Merrienboer B.V., Bahdanau D., Bengio Y.,
On the properties of neural machine translation: Encoder-decoder approaches, Eighth
workshop on syntax, semantics and structure in statistical translation (SSST-8),
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of aperture coupled microstrip antennas, Mediterranean Microwave Symposium
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algorithms for engineering shape design, (2000); (2017); Gers F.A., Schmidhuber J.,
Cummins F., Learning to forget: continual prediction with LSTM, Neural Computation,
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algorithm for deep belief nets, Neural Computation, 18, 7, pp. 1527-1554, (2006);
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pp. 1735-1780, (1997); Lasdon L.S., Waren A.D., Jain A., Ratner M., Design and
testing of a generalized reduced gradient code for nonlinear programming, ACM
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calibration of a rainfall-runoff model using a fast and elitist multi-objective
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(2009); Liu Y., Sun F., A fast differential evolution algorithm using k-nearest
neighbour predictor, Expert Systems with Applications, 38, 4, pp. 4254-4258,
(2011); Liu Y., Sun F., Parameter estimation of a pressure swing adsorption model
for air separation using multi-objective optimisation and support vector regression
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objective optimisations, Soft Computing, 17, pp. 713-724, (2013); Liu Y., Pender
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H., Yeung D., Wong W., Woo W., Convolutional LSTM Network: A machine learning
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IEEE Symposium Series on Computational Intelligence 2015, (2015); Vapnik V., The
nature of statistical learning theory, (1995); Xiong R., Nichols E.P., Shen Y.,
(2017)",,,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85065212010
Kumbure M.M.; Lohrmann C.; Luukka P.; Porras J.,"Kumbure, Mahinda Mailagaha
(57216370763); Lohrmann, Christoph (57201801942); Luukka, Pasi (57217415296);
Porras, Jari (7003573789)",57216370763; 57201801942; 57217415296;
7003573789,Machine learning techniques and data for stock market forecasting: A
literature review,2022,Expert Systems with
Applications,197,,116659,,,,189,10.1016/j.eswa.2022.116659,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85125149103&doi=10.1016%2fj.eswa.2022.116659&partnerID=40&md5=750b7ed72fc1e7457da97
3d5a724e830,"School of Business and Management, LUT University, Yliopistonkatu 34,
Lappeenranta, 53850, Finland; School of Engineering Science, LUT University,
Yliopistonkatu 34, Lappeenranta, 53850, Finland","Kumbure M.M., School of Business
and Management, LUT University, Yliopistonkatu 34, Lappeenranta, 53850, Finland;
Lohrmann C., School of Business and Management, LUT University, Yliopistonkatu 34,
Lappeenranta, 53850, Finland; Luukka P., School of Business and Management, LUT
University, Yliopistonkatu 34, Lappeenranta, 53850, Finland; Porras J., School of
Engineering Science, LUT University, Yliopistonkatu 34, Lappeenranta, 53850,
Finland","In this literature review, we investigate machine learning techniques
that are applied for stock market prediction. A focus area in this literature
review is the stock markets investigated in the literature as well as the types of
variables used as input in the machine learning techniques used for predicting
these markets. We examined 138 journal articles published between 2000 and 2019.
The main contributions of this review are: (1) an extensive examination of the
data, in particular, the markets and stock indices covered in the predictions, as
well as the 2173 unique variables used for stock market predictions, including
technical indicators, macro-economic variables, and fundamental indicators, and (2)
an in-depth review of the machine learning techniques and their variants deployed
for the predictions. In addition, we provide a bibliometric analysis of these
journal articles, highlighting the most influential works and articles. © 2022 The
Authors",Classification; Data mining; Financial market; Predictive performance;
Regression; Stock market prediction,Classification (of information); Commerce;
Electronic trading; Financial markets; Forecasting; Learning algorithms; Machine
learning; Financial market; Focus areas; Journal articles; Learning data;
Literature reviews; Machine learning techniques; Predictive performance; Stock
indices; Stock market forecasting; Stock market prediction; Data mining,,,,,Suomen
Pörssisäätiö,"This research was supported by the Finnish Foundation for Share
Promotion (Pörssisäätiö), Finland . ","Ahmad M.O., Dennehy D., Conboy K., Oivo M.,
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Kumbure; School of Business and Management, LUT University, Lappeenranta,
Yliopistonkatu 34, 53850, Finland; email:
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Zhang Z.; Zohren S.; Roberts S.,"Zhang, Zihao (57208652822); Zohren, Stefan
(14057447500); Roberts, Stephen (57203276441)",57208652822; 14057447500;
57203276441,DeepLOB: Deep convolutional neural networks for limit order
books,2019,IEEE Transactions on Signal
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85065427368&doi=10.1109%2fTSP.2019.2907260&partnerID=40&md5=f958ee05acc0f4d49c2232a
ef3c4fda0,"Oxford-Man Institute of Quantitative Finance, Department of Engineering
Science, University of Oxford, Oxford, OX1 2JD, United Kingdom","Zhang Z., Oxford-
Man Institute of Quantitative Finance, Department of Engineering Science,
University of Oxford, Oxford, OX1 2JD, United Kingdom; Zohren S., Oxford-Man
Institute of Quantitative Finance, Department of Engineering Science, University of
Oxford, Oxford, OX1 2JD, United Kingdom; Roberts S., Oxford-Man Institute of
Quantitative Finance, Department of Engineering Science, University of Oxford,
Oxford, OX1 2JD, United Kingdom","We develop a large-scale deep learning model to
predict price movements from limit order book (LOB) data of cash equities. The
architecture utilizes convolutional filters to capture the spatial structure of the
LOBs as well as long short-term memory modules to capture longer time dependencies.
The proposed network outperforms all existing state-of-the-art algorithms on the
benchmark LOB dataset [A. Ntakaris, M. Magris, J. Kanniainen, M. Gabbouj, and A.
Iosifidis, 'Benchmark dataset for mid-price prediction of limit order book data
with machine learning methods,' J. Forecasting, vol. 37, no. 8, 852-866, 2018]. In
a more realistic setting, we test our model by using one-year market quotes from
the London Stock Exchange, and the model delivers a remarkably stable out-of-sample
prediction accuracy for a variety of instruments. Importantly, our model translates
well to instruments that were not part of the training set, indicating the model's
ability to extract universal features. In order to better understand these features
and to go beyond a 'black box' model, we perform a sensitivity analysis to
understand the rationale behind the model predictions and reveal the components of
LOBs that are most relevant. The ability to extract robust features that translate
well to other instruments is an important property of our model, which has many
other applications. © 1991-2012 IEEE.",Convolutional neural network; limit order
book; LSTM; microstructure market data; time series analysis,Commerce; Convolution;
Correlation theory; Deep neural networks; Electronic trading; Financial markets;
Forecasting; Memory architecture; Sensitivity analysis; Time series analysis;
Convolutional neural network; Limit order book; London Stock Exchange; LSTM;
Machine learning methods; Market data; Prediction accuracy; State-of-the-art
algorithms; Long short-term memory,,,,,Oxford-Man Institute of Quantitative
Finance; Royal Academy of Engineering U.K.,"Manuscript received October 18, 2018;
revised February 11, 2019; accepted March 9, 2019. Date of publication March 25,
2019; date of current version April 30, 2019. The associate editor coordinating the
review of this manuscript and approving it for publication was Dr. Sotirios
Chatzis. This work was supported in part by the Royal Academy of Engineering U.K.
and the Oxford-Man Institute of Quantitative Finance. (Corresponding author: Zihao
Zhang.) The authors are with the Oxford-Man Institute of Quantitative Finance,
Department of Engineering Science, University of Oxford, Oxford OX1 2JD, U.K. (e-
mail:,[email protected]; [email protected]; sjrob@robots. ox.ac.uk).
Digital Object Identifier 10.1109/TSP.2019.2907260 1Limit orders are orders that do
not match immediately upon submission and are also called passive orders. This is
opposed to orders that match immediately, so-called aggressive orders, such as a
market order. A LOB is simply a record of all resting/outstanding limit orders at a
given point in time.","Ntakaris A., Magris M., Kanniainen J., Gabbouj M., Iosifidis
A., Benchmark dataset for mid-price prediction of limit order book data with
machine learning methods, J. Forecasting, 37, 8, pp. 852-866, (2018); Parlour C.A.,
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On large-batch training for deep learning: Generalization gap and sharp minima,
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books, Proc. 3rd Workshop Bayesian Deep Learn., to Be Published","Z. Zhang; Oxford-
Man Institute of Quantitative Finance, Department of Engineering Science,
University of Oxford, Oxford, OX1 2JD, United Kingdom; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,1053587X,,ITPRE,,English,IEEE Trans Signal Process,Article,Final,All Open
Access; Green Open Access,Scopus,2-s2.0-85065427368
Kilimci Z.H.; Akyuz A.O.; Uysal M.; Akyokus S.; Uysal M.O.; Atak Bulbul B.; Ekmis
M.A.; Silva T.C.,"Kilimci, Zeynep Hilal (55364532100); Akyuz, A. Okay
(57195937488); Uysal, Mitat (15064825100); Akyokus, Selim (23468787600); Uysal, M.
Ozan (58402382300); Atak Bulbul, Berna (36482591900); Ekmis, Mehmet Ali
(57208300168); Silva, Thiago C. (59320138900)",55364532100; 57195937488;
15064825100; 23468787600; 58402382300; 36482591900; 57208300168; 59320138900,An
improved demand forecasting model using deep learning approach and proposed
decision integration strategy for supply
chain,2019,Complexity,2019,,9067367,,,,119,10.1155/2019/9067367,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85064407669&doi=10.1155%2f2019%2f9067367&partnerID=40&md5=1a1631b254da1437dc2c89a77
e25539e,"Department of Computer Engineering, Dogus University, Istanbul, Turkey;
OBASE Research and Development Center, Istanbul, Turkey; Department of Computer
Engineering, Istanbul Medipol University, Istanbul, Turkey","Kilimci Z.H.,
Department of Computer Engineering, Dogus University, Istanbul, Turkey; Akyuz A.O.,
Department of Computer Engineering, Dogus University, Istanbul, Turkey, OBASE
Research and Development Center, Istanbul, Turkey; Uysal M., Department of Computer
Engineering, Dogus University, Istanbul, Turkey; Akyokus S., Department of Computer
Engineering, Istanbul Medipol University, Istanbul, Turkey; Uysal M.O., Department
of Computer Engineering, Dogus University, Istanbul, Turkey; Atak Bulbul B., OBASE
Research and Development Center, Istanbul, Turkey; Ekmis M.A., OBASE Research and
Development Center, Istanbul, Turkey; Silva T.C.","Demand forecasting is one of the
main issues of supply chains. It aimed to optimize stocks, reduce costs, and
increase sales, profit, and customer loyalty. For this purpose, historical data can
be analyzed to improve demand forecasting by using various methods like machine
learning techniques, time series analysis, and deep learning models. In this work,
an intelligent demand forecasting system is developed. This improved model is based
on the analysis and interpretation of the historical data by using different
forecasting methods which include time series analysis techniques, support vector
regression algorithm, and deep learning models. To the best of our knowledge, this
is the first study to blend the deep learning methodology, support vector
regression algorithm, and different time series analysis models by a novel decision
integration strategy for demand forecasting approach. The other novelty of this
work is the adaptation of boosting ensemble strategy to demand forecasting system
by implementing a novel decision integration model. The developed system is applied
and tested on real life data obtained from SOK Market in Turkey which operates as a
fast-growing company with 6700 stores, 1500 products, and 23 distribution centers.
A wide range of comparative and extensive experiments demonstrate that the proposed
demand forecasting system exhibits noteworthy results compared to the state-of-art
studies. Unlike the state-of-art studies, inclusion of support vector regression,
deep learning model, and a novel integration strategy to the proposed forecasting
system ensures significant accuracy improvement. © 2019 Zeynep Hilal Kilimci et
al.",,Forecasting; Harmonic analysis; Integration; Learning algorithms; Regression
analysis; Supply chains; Time series analysis; Accuracy Improvement; Distribution
centers; Forecasting methods; Integration models; Integration strategy; Machine
learning techniques; Support vector regression (SVR); Support vector regression
algorithms; Deep learning,,,,,OBASE Research & Development Center,This work is
supported by OBASE Research & Development Center.,"McGoldrick P.J., Andre E.,
Consumer misbehaviour: Promiscuity or loyalty in grocery shopping, Journal of
Retailing and Consumer Services, 4, 2, pp. 73-81, (1997); Grewal D., Roggeveen
A.L., Nordfalt J., The Future of Retailing, Journal of Retailing, 93, 1, pp. 1-6,
(2017); Bradlow E.T., Gangwar M., Kopalle P., Voleti S., The role of big data and
predictive analytics in retailing, Journal of Retailing, 93, 1, pp. 79-95, (2017);
Han J., Kamber M., Pei J., Data Mining: Concepts and Techniques, (2013); Hyndman
R., Athanasopoulos G., Forecasting: Principles and Practice, OTexts, Melbourne,
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deep learning sentiment analysis with ensemble techniques in social applications,
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learning meets deep learning: A new deep support vector machine for classification,
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gradient-based training of deep architectures, Lecture Notes in Computer Science,
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networks, Neural Networks, 64, pp. 19-28, (2015); Brockwell P.J., Davis R.A., Time
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Ensemblemethods, (2007); Gopika D., Azhagusundari B., An analysis on ensemble
methods in classification tasks, International Journal of Advanced Research in
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applications and future directions, IEEE Computational Intelligence Magazine, 11,
1, pp. 41-53, (2016); Mangai U.G., Samanta S., Das S., Chowdhury P.R., A survey of
decision fusion and feature fusion strategies for pattern classification, IETE
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survey of multiple classifier systems as hybrid systems, Information Fusion, 16, 1,
pp. 3-17, (2014); Tsoumakas G., Angelis L., Vlahavas I., Selective fusion of
heterogeneous classifiers, Intelligent Data Analysis, 9, 6, pp. 511-525, (2005);
Freund Y., Schapire R.E., A decision-theoretic generalization of on-line learning
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Analysis: Forecasting and Control Wiley Series in Probability and Statistics,
(2015); Zhao W.-L.,
Deng C.-H., Ngo C.-W., K-means: A revisit, Neurocomputing, 291, pp. 195-206,
(2018); Li C., Lim A., Agreedy aggregation-decompositionmethod for intermittent
demand forecasting in fashion retailing, European Journal of Operational Research,
269, 3, pp. 860-869, (2018); Yue L., Yafeng Y., Junjun G., Chongli T., Demand
forecasting by using support vectormachine, Proceedings of the Third International
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Uysal M., Alkaya A.F., Migrating birds optimization: A newmetaheuristic approach
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65-77, (2012)","B. Atak Bulbul; OBASE Research and Development Center, Istanbul,
Turkey; email: [email protected]",,Hindawi
Limited,,,,,,10762787,,,,English,Complexity,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85064407669
Chatzis S.P.; Siakoulis V.; Petropoulos A.; Stavroulakis E.; Vlachogiannakis
N.,"Chatzis, Sotirios P. (14919099600); Siakoulis, Vassilis (55897863800);
Petropoulos, Anastasios (57125824100); Stavroulakis, Evangelos (57202782514);
Vlachogiannakis, Nikos (57192118273)",14919099600; 55897863800; 57125824100;
57202782514; 57192118273,Forecasting stock market crisis events using deep and
statistical machine learning techniques,2018,Expert Systems with
Applications,112,,,353,371,18,211,10.1016/j.eswa.2018.06.032,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85049298917&doi=10.1016%2fj.eswa.2018.06.032&partnerID=40&md5=e3094a4530add75e651d3
a880027056a,"Department of Electrical Engineering, Computer Engineering and
Informatics, Cyprus University of Technology, Limassol, 3036, Cyprus; Bank of
Greece, Banking Supervision Division, 3 Amerikis Str., Athens, 10250,
Greece","Chatzis S.P., Department of Electrical Engineering, Computer Engineering
and Informatics, Cyprus University of Technology, Limassol, 3036, Cyprus; Siakoulis
V., Bank of Greece, Banking Supervision Division, 3 Amerikis Str., Athens, 10250,
Greece; Petropoulos A., Bank of Greece, Banking Supervision Division, 3 Amerikis
Str., Athens, 10250, Greece; Stavroulakis E., Bank of Greece, Banking Supervision
Division, 3 Amerikis Str., Athens, 10250, Greece; Vlachogiannakis N., Bank of
Greece, Banking Supervision Division, 3 Amerikis Str., Athens, 10250, Greece","This
work contributes to this ongoing debate on the nature and the characteristics of
propagation channels of crash events in international stock markets. Specifically,
we investigate transmission mechanisms across stock markets along with effects from
bond and currency markets. Our approach comprises a solid forecasting mechanism of
the probability of a stock market crash event in various time frames. The developed
approach combines different machine learning algorithms which are presented with
daily stock, bond and currency data from 39 countries that cover a large spectrum
of economies. Specifically, we leverage the merits of a series of techniques
including Classification Trees, Support Vector Machines, Random Forests, Neural
Networks, Extreme Gradient Boosting, and Deep Neural Networks. To the best of our
knowledge, this is the first time that Deep Learning and Boosting approaches are
considered in the literature as a means of predicting stock market crisis episodes.
The independent variables included in our data contain information regarding both
the two fundamental linkage channels through which financial contagion can be
initiated: returns and volatility. We apply a suite of machine learning algorithms
for selecting the most relevant variables out of a large set of proposed ones.
Finally, we employ bootstrap sampling for adjusting the imbalanced nature of the
available fitting dataset. Our experimental results provide strong evidence that
stock market crises tend to exhibit persistence. We also find significant evidence
of interdependence and cross-contagion effects among stock, bond and currency
markets. Finally, we show that the use of Deep Neural Networks significantly
increases the classification accuracy, while offering a robust way to create a
global systemic early warning tool that is more efficient and risk-sensitive than
the currently established ones. Thus, central banks may use these tools to early
adjust their monetary policy, so as to ensure financial stability. © 2018 Elsevier
Ltd",Deep learning; Forecasting; Random forests; Stock market crashes; Support
vector machines; XGBoost,Artificial intelligence; Commerce; Decision trees; Deep
learning; Deep neural networks; Electronic trading; Financial markets; Forecasting;
Support vector machines; Classification accuracy; Independent variables;
International stock markets; Random forests; Statistical machine learning; Stock
market crashes; Transmission mechanisms; XGBoost; Learning
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Expert Systems with Applications, 67, pp. 126-139, (2017)","S.P. Chatzis;
Department of Electrical Engineering, Computer Engineering and Informatics, Cyprus
University of Technology, Limassol, 3036, Cyprus; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85049298917
Ren R.; Liu T.; Wu D.D.,"Ren, Rui (57208071255); Liu, Tianxiang (57201447577); Wu,
Desheng Dash (34769206000)",57208071255; 57201447577; 34769206000,Forecasting stock
market movement direction using sentiment analysis and support vector
machine,2019,IEEE Systems
Journal,13,1,8326522,760,770,10,157,10.1109/JSYST.2018.2794462,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85044860796&doi=10.1109%2fJSYST.2018.2794462&partnerID=40&md5=a229b839b186ac21435a8
e9017e6b91f,"School of Economics and Management, University of Chinese Academy of
Sciences, Beijing, 100190, China; School of Economics and Management, University of
Chinese Academy of Sciences, Beijing, 100190, China; Stockholm Business School,
Stockholm University, Stockholm, SE-106 91, Sweden","Ren R., School of Economics
and Management, University of Chinese Academy of Sciences, Beijing, 100190, China;
Liu T., School of Economics and Management, University of Chinese Academy of
Sciences, Beijing, 100190, China, School of Economics and Management, University of
Chinese Academy of Sciences, Beijing, 100190, China; Wu D.D., Stockholm Business
School, Stockholm University, Stockholm, SE-106 91, Sweden","Investor sentiment
plays an important role on the stock market. User-generated textual content on the
Internet provides a precious source to reflect investor psychology and predicts
stock prices as a complement to stock market data. This paper integrates sentiment
analysis into a machine learning method based on support vector machine.
Furthermore, we take the day-of-week effect into consideration and construct more
reliable and realistic sentiment indexes. Empirical results illustrate that the
accuracy of forecasting the movement direction of the SSE 50 Index can be as high
as 89.93% with a rise of 18.6% after introducing sentiment variables. And,
meanwhile, our model helps investors make wiser decisions. These findings also
imply that sentiment probably contains precious information about the asset
fundamental values and can be regarded as one of the leading indicators of the
stock market. © 2018 IEEE",Day-of-week effect; Decision making; Sentiment analysis;
Stock markets; Text mining,Commerce; Data mining; Decision making; Financial
markets; Forecasting; Internet; Natural language processing systems; Sentiment
analysis; Support vector machines; Day-of-week effect; Indexes; Investor
psychology; Investor sentiments; Leading indicators; Machine learning methods;
Predictive models; Text mining; Investments,,,,,"Ministry of Science and Technology
of China; National Natural Science Foundation of China, NSFC, (71471055, 91546102);
Chinese Academy of Sciences, CAS, (GHJ-ZLZX-2017-36, QYZDB-SSW-SYS021); Ministry of
Science and Technology of the People's Republic of China, MOST,
(2016YFC0503606)","Funding text 1: This work was supported in part by the Ministry
of Science and Technology of China under Grant 2016YFC0503606, in part by the
National Natural Science Foundation of China under Grant 71471055 and Grant
91546102, in part by the Chinese Academy of Sciences (CAS) Frontier Scientific
Research Key Project under Grant QYZDB-SSW-SYS021, and in part by the CAS Strategic
Research and Decision Support System Development under Grant GHJ-ZLZX-2017-36.;
Funding text 2: Manuscript received June 9, 2017; revised September 20, 2017 and
December 27, 2017; accepted January 4, 2018. Date of publication March 27, 2018;
date of current version February 22, 2019. This work was supported in part by the
Ministry of Science and Technology of China under Grant 2016YFC0503606, in part by
the National Natural Science Foundation of China under Grant 71471055 and Grant
91546102, in part by the Chinese Academy of Sciences (CAS) Frontier Scientific
Research Key Project under Grant QYZDB-SSW-SYS021, and in part by the CAS Strategic
Research and Decision Support System Development under Grant GHJ-ZLZX-2017-36.
(Corresponding author: Desheng Dash Wu.) R. Ren and T. Liu are with the School of
Economics and Management, University of Chinese Academy of Sciences, Beijing
100190, China (e-mail: [email protected];
[email protected]).","Shiller R.J., Irrational Exuberance, (2000);
Perikos I., Hatzilygeroudis I., Recognizing emotions in text using ensemble of
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Wu; School of Economics and Management, University of Chinese Academy of Sciences,
Beijing, 100190, China; email: [email protected]",,Institute of Electrical and
Electronics Engineers Inc.,,,,,,19328184,,,,English,IEEE Syst.
J.,Article,Final,,Scopus,2-s2.0-85044860796
Thakkar A.; Chaudhari K.,"Thakkar, Ankit (35186617300); Chaudhari, Kinjal
(57205633300)",35186617300; 57205633300,"Fusion in stock market prediction: A
decade survey on the necessity, recent developments, and potential future
directions",2021,Information
Fusion,65,,,95,107,12,130,10.1016/j.inffus.2020.08.019,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85089916634&doi=10.1016%2fj.inffus.2020.08.019&partnerID=40&md5=906ca53bbb1cde998ce
04fdb6968df2f,"Department of Computer Science and Engineering, Institute of
Technology, Nirma University, Ahmedabad, 382 481, Gujarat, India","Thakkar A.,
Department of Computer Science and Engineering, Institute of Technology, Nirma
University, Ahmedabad, 382 481, Gujarat, India; Chaudhari K., Department of
Computer Science and Engineering, Institute of Technology, Nirma University,
Ahmedabad, 382 481, Gujarat, India","Investment in a financial market is aimed at
getting higher benefits; this complex market is influenced by a large number of
events wherein the prediction of future market dynamics is challenging. The
investors’ etiquettes towards stock market may demand the need of studying various
associated factors and extract the useful information for reliable forecasting.
Fusion can be considered as an approach to integrate data or characteristics, in
general, and enhance the prediction based on the combinational approach that can
aid each other. We conduct a systematic approach to present a survey for the years
2011–2020 by considering articles that have used fusion techniques for various
stock market applications and broadly categorize them into information fusion,
feature fusion, and model fusion. The major applications of stock market include
stock price and trend prediction, risk analysis and return forecasting, index
prediction, as well as portfolio management. We also provide an infographic
overview of fusion in stock market prediction and extend our survey for other
finely addressed financial prediction problems. Based on our surveyed articles, we
provide potential future directions and concluding remarks on the significance of
applying fusion in stock market. © 2020 Elsevier B.V.",Deep learning; Feature
fusion; Information fusion; Machine learning; Model fusion; Stock market
prediction,Commerce; Financial data processing; Financial markets; Forecasting;
Risk analysis; Risk assessment; Surveys; Financial prediction; Fusion techniques;
Index predictions; Market applications; Portfolio managements; Prediction-based;
Stock market prediction; Trend prediction; Investments,,,,,,,"Van Rooij M., Lusardi
A., Alessie R., Financial literacy and stock market participation, J. Financ.
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A survey, Arch. Comput. Methods Eng., pp. 1-33, (2020)","K. Chaudhari; Department
of Computer Science and Engineering, Institute of Technology, Nirma University,
Ahmedabad, 382 481, India; email: [email protected]",,Elsevier
B.V.,,,,,,15662535,,,,English,Inf. Fusion,Article,Final,All Open Access; Green Open
Access,Scopus,2-s2.0-85089916634
Bukhari A.H.; Raja M.A.Z.; Sulaiman M.; Islam S.; Shoaib M.; Kumam P.,"Bukhari,
Ayaz Hussain (57212584849); Raja, Muhammad Asif Zahoor (36739939800); Sulaiman,
Muhammad (57212956089); Islam, Saeed (15922757300); Shoaib, Muhammad (57213458638);
Kumam, Poom (15056385100)",57212584849; 36739939800; 57212956089; 15922757300;
57213458638; 15056385100,Fractional neuro-sequential ARFIMA-LSTM for financial
market forecasting,2020,IEEE
Access,8,,9057460,71326,71338,12,272,10.1109/ACCESS.2020.2985763,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084173546&doi=10.1109%2fACCESS.2020.2985763&partnerID=40&md5=11dbb49f88a07ff96efd
624d05727f61,"Department of Mathematics, Abdul Wali Khan University Mardan, Mardan,
23200, Pakistan; Future Technology Research Center, National Yunlin University of
Science and Technology, Yunlin, 64002, Taiwan; Department of Electrical and
Computer Engineering, COMSATS University Islamabad-Attock, Attock, 43600, Pakistan;
Department of Mathematics, COMSATS University Islamabad-Attock, Attock, 43600,
Pakistan; Department of Mathematics, Faculty of Science, Center of Excellence in
Theoretical and Computational Science (TaCS-CoE), King Mongkut's University of
Technology Thonburi (KMUTT), Bangkok, 10140, Thailand; Department of Medical
Research, China Medical University Hospital, China Medical University, Taichung
City, 40402, Taiwan","Bukhari A.H., Department of Mathematics, Abdul Wali Khan
University Mardan, Mardan, 23200, Pakistan; Raja M.A.Z., Future Technology Research
Center, National Yunlin University of Science and Technology, Yunlin, 64002,
Taiwan, Department of Electrical and Computer Engineering, COMSATS University
Islamabad-Attock, Attock, 43600, Pakistan; Sulaiman M., Department of Mathematics,
Abdul Wali Khan University Mardan, Mardan, 23200, Pakistan; Islam S., Department of
Mathematics, Abdul Wali Khan University Mardan, Mardan, 23200, Pakistan; Shoaib M.,
Department of Mathematics, COMSATS University Islamabad-Attock, Attock, 43600,
Pakistan; Kumam P., Department of Mathematics, Faculty of Science, Center of
Excellence in Theoretical and Computational Science (TaCS-CoE), King Mongkut's
University of Technology Thonburi (KMUTT), Bangkok, 10140, Thailand, Department of
Medical Research, China Medical University Hospital, China Medical University,
Taichung City, 40402, Taiwan","Forecasting of fast fluctuated and high-frequency
financial data is always a challenging problem in the field of economics and
modelling. In this study, a novel hybrid model with the strength of fractional
order derivative is presented with their dynamical features of deep learning, long-
short term memory (LSTM) networks, to predict the abrupt stochastic variation of
the financial market. Stock market prices are dynamic, highly sensitive, nonlinear
and chaotic. There are different techniques for forecast prices in the time-variant
domain and due to variability and uncertain behavior in stock prices, traditional
methods, such as data mining, statistical approaches, and non-deep neural networks
models are not suited for prediction and generalized forecasting stock prices.
While autoregressive fractional integrated moving average (ARFIMA) model provides a
flexible tool for classes of long-memory models. The advancement of machine
learning-based deep non-linear modelling confirms that the hybrid model efficiently
extracts profound features and model non-linear functions. LSTM networks are a
special kind of recurrent neural network (RNN) that map sequences of input
observations to output observations with capabilities of long-term dependencies. A
novel ARFIMA-LSTM hybrid recurrent network is presented in which ARFIMA model-based
filters having the linear tendencies better than ARIMA model in the data and passes
the residual to the LSTM model that captures nonlinearity in the residual values
with the help of exogenous dependent variables. The model not only minimizes the
volatility problem but also overcome the over fitting problem of neural networks.
The model is evaluated using PSX company data of the stock market based on RMSE,
MSE and MAPE along with a comparison of ARIMA, LSTM model and generalized
regression radial basis neural network (GRNN) ensemble method independently. The
forecasting performance indicates the effectiveness of the proposed AFRIMA-LSTM
hybrid model to improve around 80% accuracy on RMSE as compared to traditional
forecasting counterparts. © 2013 IEEE.",ARFIMA model; ARIMA model; GARCH model;
LSTM model; MAPE; MSE; RMSE; RNN,Autoregressive moving average model; Chemical
sensors; Commerce; Costs; Data mining; Deep learning; Deep neural networks;
Electronic trading; Filtration; Financial markets; Forecasting; Functions; Learning
systems; Stochastic models; Stochastic systems; Forecasting performance;
Forecasting stock prices; Fractional order derivatives; Generalized regression;
Hybrid recurrent networks; Long-term dependencies; Radial basis neural networks;
Recurrent neural network (RNN); Long short-term memory,,,,,"Center of Excellence in
Theoretical and Computational Science; King Mongkut's University of Technology
Thonburi, KMUTT","Funding text 1: This work was supported by the Center of
Excellence in Theoretical and Computational Science (TaCS-CoE), KMUTT.; Funding
text 2: The authors would like to thank Syed Asghar Abbas Naqvi Regional Head,
Islamabad Pakistan Stock Exchange for providing us with the PSX dataset that has
been used in the research. The authors acknowledge the financial support provided
by the Center of Excellence in Theoretical and Computational Science (TaCS-CoE),
KMUTT. They are obliged to respectable referees for their important and fruitful
comments to enhance the quality of the current article.","Phylaktis K., Ravazzolo
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378-387, (2013); Ho C.K., Hawkins E., Shaffrey L., Brocker J., Hermanson L., Murphy
J.M., Smith D.M., Eade R., Examining reliability of seasonal to decadal sea
surface, Geophys. Res. Lett., 40, 21, pp. 5770-5775, (2013); Ho C.K., Hawkins E.,
Shaffrey L., Broecker J., Hermanson L., Murphy J.M., Smith D.M., Eade R., Examining
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Fatima| Assistant Manager Marketing & Business Development Dept Program Manager|PSX
Stock, RP Data, (2018); Ahmad I., Ahmad S., Awais M., Ahmad S.U.I., Raja M.A.Z.,
Neuro-evolutionary computing paradigm for Painlevé equation-II in nonlinear optics,
Eur. Phys. J. Plus, 133, 5, (2018); Ahmad I., Ilyas H., Urooj A., Aslam M.S.,
Shoaib M., Raja M.A.Z., Novel applications of intelligent computing paradigms for
the analysis of nonlinear reactive transport model of the fluid in soft tissues and
microvessels, Neural Comput. Appl., 31, 12, pp. 9041-9059, (2019); Ahmad S.U.I.,
Faisal F., Shoaib M., Raja M.A.Z., A new heuristic computational solver for
nonlinear singular Thomas-Fermi system using evolutionary optimized cubic splines,
Eur. Phys. J. Plus, 135, 1, pp. 1-29, (2020); Zameer A., Muneeb M., Mirza S.M.,
Raja M.A.Z., Fractionalorder particle swarm based multi-objective PWR core loading
pattern optimization, Ann. Nucl. Energy, 135, (2020)","M. Shoaib; Department of
Mathematics, COMSATS University Islamabad-Attock, Attock, 43600, Pakistan; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85084173546
Valencia F.; Gómez-Espinosa A.; Valdés-Aguirre B.,"Valencia, Franco (57209534885);
Gómez-Espinosa, Alfonso (55633912300); Valdés-Aguirre, Benjamín
(35147156500)",57209534885; 55633912300; 35147156500,Price movement prediction of
cryptocurrencies using sentiment analysis and machine
learning,2019,Entropy,21,6,589,,,,168,10.3390/e21060589,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85068076775&doi=10.3390%2fe21060589&partnerID=40&md5=d141d852504a5b53cef7fef1eb04aa
3d,"Tecnologico de Monterrey, Escuela de Ingeniería y Ciencias, Ave. Epigmenio
González 500, Fracc. San Pablo, Querétaro, 76130, Mexico","Valencia F., Tecnologico
de Monterrey, Escuela de Ingeniería y Ciencias, Ave. Epigmenio González 500, Fracc.
San Pablo, Querétaro, 76130, Mexico; Gómez-Espinosa A., Tecnologico de Monterrey,
Escuela de Ingeniería y Ciencias, Ave. Epigmenio González 500, Fracc. San Pablo,
Querétaro, 76130, Mexico; Valdés-Aguirre B., Tecnologico de Monterrey, Escuela de
Ingeniería y Ciencias, Ave. Epigmenio González 500, Fracc. San Pablo, Querétaro,
76130, Mexico","Cryptocurrencies are becoming increasingly relevant in the
financial world and can be considered as an emerging market. The low barrier of
entry and high data availability of the cryptocurrency market makes it an excellent
subject of study, from which it is possible to derive insights into the behavior of
markets through the application of sentiment analysis and machine learning
techniques for the challenging task of stock market prediction. While there have
been some previous studies, most of them have focused exclusively on the behavior
of Bitcoin. In this paper, we propose the usage of common machine learning tools
and available social media data for predicting the price movement of the Bitcoin,
Ethereum, Ripple and Litecoin cryptocurrency market movements. We compare the
utilization of neural networks (NN), support vector machines (SVM) and random
forest (RF) while using elements from Twitter and market data as input features.
The results show that it is possible to predict cryptocurrency markets using
machine learning and sentiment analysis, where Twitter data by itself could be used
to predict certain cryptocurrencies and that NN outperform the other models. © 2019
by the authors.",Cryptocurrencies; Machine learning; Price movement; Sentiment
analysis,,,,,,Tecnologico de Monterrey,"Funding: The authors would like to
acknowledge the financial support of Tecnologico de Monterrey, in the production of
this work.","Ferreira M., Rodrigues S., Reis C.I., Maximiano M., Blockchain: A Tale
of Two Applications, Appl. Sci, 8, (2018); Trabelsi N., Are There Any Volatility
Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?, J. Risk
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Perony N., The digital traces of bubbles: Feedback cycles between socio-economic
signals in the Bitcoin economy, J. R. Soc. Interface, 11, (2014)","F. Valencia;
Tecnologico de Monterrey, Escuela de Ingeniería y Ciencias, Fracc. San Pablo,
Querétaro, Ave. Epigmenio González 500, 76130, Mexico; email:
[email protected]",,MDPI
AG,,,,,,10994300,,,,English,Entropy,Article,Final,All Open Access; Gold Open
Access; Green Open Access,Scopus,2-s2.0-85068076775
Parmar I.; Agarwal N.; Saxena S.; Arora R.; Gupta S.; Dhiman H.; Chouhan
L.,"Parmar, Ishita (57208741414); Agarwal, Navanshu (57208739108); Saxena, Sheirsh
(57213481793); Arora, Ridam (57208738871); Gupta, Shikhin (57208740271); Dhiman,
Himanshu (57208745992); Chouhan, Lokesh (55924591400)",57208741414; 57208739108;
57213481793; 57208738871; 57208740271; 57208745992; 55924591400,Stock Market
Prediction Using Machine Learning,2018,ICSCCC 2018 - 1st International Conference
on Secure Cyber Computing and
Communications,,,8703332,574,576,2,99,10.1109/ICSCCC.2018.8703332,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85065673345&doi=10.1109%2fICSCCC.2018.8703332&partnerID=40&md5=b42cf280e7d1f4db3ee4
a9ed4b4288c3,"Department of Computer Science and Engineering, National Institute of
Technology, Hamirpur, India","Parmar I., Department of Computer Science and
Engineering, National Institute of Technology, Hamirpur, India; Agarwal N.,
Department of Computer Science and Engineering, National Institute of Technology,
Hamirpur, India; Saxena S., Department of Computer Science and Engineering,
National Institute of Technology, Hamirpur, India; Arora R., Department of Computer
Science and Engineering, National Institute of Technology, Hamirpur, India; Gupta
S., Department of Computer Science and Engineering, National Institute of
Technology, Hamirpur, India; Dhiman H., Department of Computer Science and
Engineering, National Institute of Technology, Hamirpur, India; Chouhan L.,
Department of Computer Science and Engineering, National Institute of Technology,
Hamirpur, India","In Stock Market Prediction, the aim is to predict the future
value of the financial stocks of a company. The recent trend in stock market
prediction technologies is the use of machine learning which makes predictions
based on the values of current stock market indices by training on their previous
values. Machine learning itself employs different models to make prediction easier
and authentic. The paper focuses on the use of Regression and LSTM based Machine
learning to predict stock values. Factors considered are open, close, low, high and
volume. © 2018 IEEE.",and volume; Close; high; low; LSTM model; open;
regression,Commerce; Financial markets; Forecasting; Machine learning; and volume;
Close; high; open; regression; Long short-term memory,,,,,,,"Usmani M., Adil S.H.,
Raza K., Ali S.S.A., Stock market prediction using machine learning techniques,
2016 3rd International Conference on Computer and Information Sciences (ICCOINS),
pp. 322-327, (2016); Raza K., Prediction of Stock Market performance by using
machine learning techniques, 2017 International Conference on Innovations in
Electrical Engineering and Computational Technologies (ICIEECT), (2017); Gunduz H.,
Cataltepe Z., Yaslan Y., Stock market direction prediction using deep neural
networks, 2017 25th Signal Processing and Communications Applications Conference
(SIU), pp. 1-4, (2017); Billah M., Waheed S., Hanifa A., Stock market prediction
using an improved training algorithm of neural network, 2016 2nd International
Conference on Electrical, Computer & Telecommunication Engineering (ICECTE), pp. 1-
4, (2016); Siew H.L., Nordin M.J., Regression techniques for the prediction of
stock price trend, 2012 International Conference on Statistics in Science, Business
and Engineering (ICSSBE), pp. 1-5, (2012); Sujatha K.V., Sundaram S.M., Stock index
prediction using regression and neural network models under non normal conditions,
INTERACT-2010, Chennai, pp. 59-63, (2010); Liu S., Liao G., Ding Y., Stock
transaction prediction modelling and analysis based on LSTM, 2018 13th IEEE
Conference on Industrial Electronics and Applications (ICIEA), pp. 2787-2790,
(2018); Gao T., Chai Y., Liu Y., Applying long short term memory neural networks
for predicting stock closing price, 2017 8th IEEE International Conference on
Software Engineering and Service Science (ICSESS), pp. 575-578, (2017); Althelaya
K.A., El-Alfy E.M., Mohammed S., Evaluation of bidirectional LSTM for short-and
long-term stock market prediction, 2018 9th International Conference on Information
and Communication Systems (ICICS), pp. 151-156, (2018)",,,Institute of Electrical
and Electronics Engineers Inc.,CSIR; PACE; SERB-DST; TEQIP-III,"1st International
Conference on Secure Cyber Computing and Communications, ICSCCC 2018",15 December
2018 through 17 December 2018,Jalandhar,147775,,978-153866373-8,,,English,ICSCCC -
Int. Conf. Secur. Cyber Comput. Commun.,Conference paper,Final,,Scopus,2-s2.0-
85065673345
Chong E.; Han C.; Park F.C.,"Chong, Eunsuk (57192106971); Han, Chulwoo
(56518770300); Park, Frank C. (7005395417)",57192106971; 56518770300;
7005395417,"Deep learning networks for stock market analysis and prediction:
Methodology, data representations, and case studies",2017,Expert Systems with
Applications,83,,,187,205,18,568,10.1016/j.eswa.2017.04.030,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85018926461&doi=10.1016%2fj.eswa.2017.04.030&partnerID=40&md5=6e92b5ac83c8b98a0e092
654700c9fef,"Robotics Laboratory, Seoul National University, Seoul 08826, South
Korea; Durham University Business School, Mill Hill Lane, Durham DH1 3LB, United
Kingdom","Chong E., Robotics Laboratory, Seoul National University, Seoul 08826,
South Korea; Han C., Durham University Business School, Mill Hill Lane, Durham DH1
3LB, United Kingdom; Park F.C., Robotics Laboratory, Seoul National University,
Seoul 08826, South Korea","We offer a systematic analysis of the use of deep
learning networks for stock market analysis and prediction. Its ability to extract
features from a large set of raw data without relying on prior knowledge of
predictors makes deep learning potentially attractive for stock market prediction
at high frequencies. Deep learning algorithms vary considerably in the choice of
network structure, activation function, and other model parameters, and their
performance is known to depend heavily on the method of data representation. Our
study attempts to provides a comprehensive and objective assessment of both the
advantages and drawbacks of deep learning algorithms for stock market analysis and
prediction. Using high-frequency intraday stock returns as input data, we examine
the effects of three unsupervised feature extraction methods—principal component
analysis, autoencoder, and the restricted Boltzmann machine—on the network's
overall ability to predict future market behavior. Empirical results suggest that
deep neural networks can extract additional information from the residuals of the
autoregressive model and improve prediction performance; the same cannot be said
when the autoregressive model is applied to the residuals of the network.
Covariance estimation is also noticeably improved when the predictive network is
applied to covariance-based market structure analysis. Our study offers practical
insights and potentially useful directions for further investigation into how deep
learning networks can be effectively used for stock market analysis and prediction.
© 2017 Elsevier Ltd",Covariance estimation; Deep learning; Multilayer neural
network; Stock market prediction,Commerce; Deep learning; Deep neural networks;
Electronic trading; Feature extraction; Finance; Financial data processing;
Financial markets; Forecasting; Investments; Learning systems; Multilayer neural
networks; Principal component analysis; Auto regressive models; Covariance
estimation; Feature extraction methods; Intraday stock returns; Prediction
performance; Restricted boltzmann machine; Stock market analysis; Stock market
prediction; Learning algorithms,,,,,,,"Adebiyi A.A., Adewumi A.O., Ayo C.K.,
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Expert Systems with Applications, 34, 4, pp. 3043-3054, (2008)","F.C. Park;
Robotics Laboratory, Seoul National University, Seoul 08826, South Korea; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85018926461
Mukherjee T.; DebRoy T.,"Mukherjee, T. (57209088455); DebRoy, T.
(7006104950)",57209088455; 7006104950,A digital twin for rapid qualification of 3D
printed metallic components,2019,Applied Materials
Today,14,,,59,65,6,235,10.1016/j.apmt.2018.11.003,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85056629776&doi=10.1016%2fj.apmt.2018.11.003&partnerID=40&md5=4bb13d095f00ca30ae394
6e01d7d8961,"Department of Materials Science and Engineering, The Pennsylvania
State University, University Park, 16802, PA, United States","Mukherjee T.,
Department of Materials Science and Engineering, The Pennsylvania State University,
University Park, 16802, PA, United States; DebRoy T., Department of Materials
Science and Engineering, The Pennsylvania State University, University Park, 16802,
PA, United States","The customized production of complex components by 3D printing
has been hailed as a potentially transformative tool in manufacturing with
important applications in health care, automotive and aerospace industries.
However, after about a quarter of a century of research and development, only a
handful of commercial alloys can be printed and the market value of all 3D printed
products now amounts to a negligible portion of the manufacturing economy. This
difficulty is attributable to a remarkable diversity in structure and properties of
the printed components and susceptibility to defects. In addition, the current
practice of qualifying components by prolonged trial and error with expensive
printing equipment and feed stock material confine the printed products to a niche
market where the high product cost and the delay in the qualification are not
critical factors. Here we explain how a digital twin or a digital replica of the
printing machine will reduce the number of trial and error tests to obtain desired
product attributes and reduce the time required for part qualification to make the
printed components cost effective. It is shown that a comprehensive digital twin of
3D printing machine consisting of mechanistic, control and statistical models of 3D
printing, machine learning and big data can reduce the volume of trial and error
testing, reduce defects and shorten time between the design and production. ©
2018",Additive manufacturing; Big data; Digital twin; Machine learning; Mechanistic
model,Aerospace industry; Artificial intelligence; Big data; Commerce; Cost
effectiveness; Defects; Errors; Industrial research; Learning systems; Machine
components; Printing machinery; Digital twin; Manufacturing economy; Mechanistic
modeling; Metallic component; Printing equipments; Product attributes; Research and
development; Structure and properties; 3D printers,,,,,,,"DebRoy T., Wei H.L.,
Zuback J.S., Mukherjee T., Elmer J.W., Milewski J.O., Beese A.M., Wilson-Heid A.,
De A., Zhang W., Additive manufacturing of metallic components – process, structure
and properties, Prog. Mater. Sci., 92, pp. 112-224, (2018); Tofail S.A.M.,
Koumoulos E.P., Bandyopadhyay A., Bose S., O'Donoghue L., Charitidis C., Additive
manufacturing: scientific and technological challenges, market uptake and
opportunities, Mater. Today, 21, pp. 22-37, (2018); Roca J.B., Vaishnav P., Fuchs
E.R.H., Morgan M.G., Policy needed for additive manufacturing, Nat. Mater., 15, pp.
815-818, (2016); Pollock T.M., Alloy design for aircraft engines, Nat. Mater., 15,
pp. 809-815, (2016); Bose S., Vahabzadeh S., Bandyopadhyay A., Bone tissue
engineering using 3D printing, Mater. Today, 16, pp. 496-504, (2013); Bose S., Ke
D., Sahasrabudhe H., Bandyopadhyay A., Additive manufacturing of biomaterials,
Prog. Mater. Sci., 93, pp. 45-111, (2018); Martin J.H., Yahata B.D., Hundley J.M.,
Mayer J.A., Schaedler T.A., Pollock T.M., 3D printing of high-strength aluminium
alloys, Nature, 549, pp. 365-368, (2017); Martukanitz R., Michaleris P., Palmer
T.A., DebRoy T., Liu Z.K., Otis R., Heo T.W., Chen L.Q., Toward an integrated
computational system for describing the additive manufacturing process for metallic
materials, Addit. Manuf., 1-4, pp. 52-63, (2014); Sing S.L., Yeong W.Y., Wiria
F.E., Selective laser melting of titanium alloy with 50 wt% tantalum:
microstructure and mechanical properties, J. Alloys Compd., 660, pp. 461-470,
(2016); Shuai C., Xue L., Gao C., Yang Y., Peng S., Zhang Y., Selective laser
melting of Zn–Ag alloys for bone repair: microstructure, mechanical properties and
degradation behaviour, Virtual Phys. Prototyp., (2018); Kang N., Li Y., Lin X.,
Feng E., Huang W., Microstructure and tensile properties of Ti–Mo alloys
manufactured via using laser powder bed fusion, J. Alloys Compd., 771, pp. 877-884,
(2018); Wohlers T.T., Campbell I., Diegel O., Et al., Wohlers Report, (2018);
Mukherjee T., Wei H.L., De A., DebRoy T., Heat and fluid flow in additive
manufacturing—Part I. Modeling of powder bed fusion, Comput. Mater. Sci., 150, pp.
304-313, (2018); Mukherjee T., Wei H.L., De A., DebRoy T., Heat and fluid flow in
additive manufacturing–Part II. Powder bed fusion of stainless steel, and titanium,
nickel and aluminum base alloys, Comput. Mater. Sci., 150, pp. 369-380, (2018);
Mukherjee T., Zuback J.S., De A., DebRoy T., Printability of alloys for additive
manufacturing, Sci. Rep., 6, (2016); Standard terminology for additive
manufacturing technologies, ASTM Int., (2013); Chua C.K., Wong C.H., Yeong W.Y.,
Standards, Quality Control, and Measurement Sciences in 3D Printing and Additive
Manufacturing, (2017); Khairallah S.A., Anderson A.T., Rubenchik A., King W.E.,
Laser powder-bed fusion additive manufacturing: physics of complex melt flow and
formation mechanisms of pores, spatter, and denudation zones, Acta Mater., 108, pp.
36-45, (2016); Bertoli U.S., Guss G., Wu S., Et al., In-situ characterization of
laser-powder interaction and cooling rates through high-speed imaging of powder bed
fusion additive manufacturing, Mater. Des., 135, pp. 385-396, (2017); Ma M., Wang
Z., Zeng X., A comparison on metallurgical behaviors of 316L stainless steel by
selective laser melting and laser cladding deposition, Mater. Sci. Eng. A, 685, pp.
265-273, (2017); Ou W., Mukherjee T., Knapp G.L., Wei Y., DebRoy T., Fusion zone
geometries, cooling rates and solidification parameters during wire arc additive
manufacturing, Int. J. Heat Mass Transfer, 127, pp. 1084-1094, (2018); Chen X., Li
J., Cheng X., Et al., Microstructure and mechanical properties of the austenitic
stainless steel 316L fabricated by gas metal arc additive manufacturing, Mater.
Sci. Eng. A, 703, pp. 567-577, (2017); Mukherjee T., Manvatkar V., De A., DebRoy
T., Dimensionless numbers in additive manufacturing, J. Appl. Phys., 121, (2017);
Knapp G.L., Mukherjee T., Zuback J.S., Wei H.L., Palmer T.A., De A., DebRoy T.,
Building blocks for a digital twin of additive manufacturing, Acta Mater., 135, pp.
390-399, (2017); Aref Y., Shamsaei N., Thompson S.M., Et al., Effects of process
time interval and heat treatment on the mechanical and microstructural properties
of direct laser deposited 316L stainless steel, Mater. Sci. Eng. A, 644, pp. 171-
183, (2015); Gray G.T., Livescu V., Rigg P.A., Et al., Structure/property
(constitutive and spallation response) of additively manufactured 316L stainless
steel, Acta Mater., 138, pp. 140-149, (2017); Zhang K., Wang S., Liu W., Shang X.,
Characterization of stainless steel parts by laser metal deposition shaping, Mater.
Des., 55, pp. 104-119, (2014); Kruth J.P., Badrossamay M., Yasa E., Et al., Part
and material properties in selective laser melting of metals, Proceedings of the
16th International Symposium on Electromachining, (2010); Manvatkar V., De A.,
DebRoy T., Spatial variation of melt pool geometry, peak temperature and
solidification parameters during laser assisted additive manufacturing process,
Mater. Sci. Technol., 31, pp. 924-930, (2015); Sing S.L., Wiria F.E., Yeong W.Y.,
Selective laser melting of lattice structures: a statistical approach to
manufacturability and mechanical behavior, Robot CIM-Int. Manuf., 49, pp. 170-180,
(2018); Bax B., Rajput R., Kellet R., Reisacher M., Systematic evaluation of
process parameter maps for laser cladding and directed energy deposition, Addit.
Manuf., 21, pp. 487-494, (2018); Wang Z., Palmer T.A., Beese A.M., Effect of
processing parameters on microstructure and tensile properties of austenitic
stainless steel 304L made by directed energy deposition additive manufacturing,
Acta Mater., 110, pp. 226-235, (2016); Wei H.L., Mazumder J., DebRoy T., Evolution
of solidification texture during additive manufacturing, Sci. Rep., 5, (2015); Wang
Y.M., Voisin T., McKeown J.T., Ye J., Calta N.P., Li Z., Zeng Z., Et al.,
Additively manufactured hierarchical stainless steels with high strength and
ductility, Nat. Mater., 17, pp. 63-66, (2018); Sealy C., Additive manufactured
steel breaks strength-ductility trade-off, Mater. Today, pp. 321-322, (2018); Liu
L., Ding Q., Zhong Y., Zou J., Wu J., Chiu Y., Li J., Zhang Z., Yu Q., Shen Z.,
Dislocation network in additive manufactured steel breaks strength–ductility trade-
off, Mater. Today, 21, pp. 354-361, (2018); Mukherjee T., Manvatkar V., De A.,
DebRoy T., Mitigation of thermal distortion during additive manufacturing, Scr.
Mater., 127, pp. 79-83, (2017); Mukherjee T., Zuback J.S., Zhang W., DebRoy T.,
Residual stresses and distortion in additively manufactured compositionally graded
and dissimilar joints, Comput. Mater. Sci., 143, pp. 325-337, (2018); Mukherjee T.,
DebRoy T., Mitigation of lack of fusion defects in powder bed fusion additive
manufacturing, J. Manuf. Process., 36, pp. 442-449, (2018); Sing S.L., Wiria F.E.,
Yeong W.Y., Selective laser melting of titanium alloy with 50 wt% tantalum: effect
of laser process parameters on part quality, Int. J. Refract. Metals Hard Mater.,
77, pp. 120-127, (2018); (2017); Glaessgen E., Stargel D., The digital twin
paradigm for future
NASA and US Air Force vehicles, 53rd AIAA/ASME/ASCE/AHS/ASC Structures, Structural
Dynamics and Materials Conference 20th AIAA/ASME/AHS Adaptive Structures Conference
14th AIAA, (2012); DebRoy T., Zhang W., Turner J., Babu S.S., Building digital
twins of 3D printing machines, Scr. Mater., 135, pp. 119-124, (2017); Mishra S.,
DebRoy T., Tailoring gas tungsten arc weld geometry using a genetic algorithm and a
neural network trained with convective heat flow calculations, Mater. Sci. Eng. A,
454, pp. 477-486, (2007); Huang Y., Khamesee M.B., Toyserkani E., A comprehensive
analytical model for laser powder-fed additive manufacturing, Addit. Manuf., 12,
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modeling of residual stress formation during the electron beam melting process for
Inconel 718, Addit. Manuf., 7, pp. 83-91, (2015); He X., Mazumder J., Transport
phenomena during direct metal deposition, J. Appl. Phys., 101, (2007); Lu Q.Y.,
Wong C.H., Additive manufacturing process monitoring and control by non-destructive
testing techniques: challenges and in-process monitoring, Virt. Phys. Prototyp.,
13, pp. 39-48, (2018); Qi Q., Tao F., Digital twin and big data towards smart
manufacturing and industry 4.0: 360 degree comparison, IEEE Access, 6, pp. 3585-
3593, (2018); Tao F., Cheng J., Qi Q., Zhang M., Zhang H., Sui F., Digital twin-
driven product design, manufacturing and service with big data, Int. J. Adv. Manuf.
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in materials science, Comput. Mater., 4, (2018); Bhadeshia H.K.D.H., Neural
networks in materials science, ISIJ Int., 39, pp. 966-979, (1999)","T. DebRoy;
Department of Materials Science and Engineering, The Pennsylvania State University,
University Park, 16802, United States; email: [email protected]",,Elsevier
Ltd,,,,,,23529407,,,,English,Appl. Mater. Today,Article,Final,All Open Access;
Bronze Open Access,Scopus,2-s2.0-85056629776
Wang J.; Wang J.,"Wang, Jie (57218355252); Wang, Jun (55946707000)",57218355252;
55946707000,Forecasting stock market indexes using principle component analysis and
stochastic time effective neural
networks,2015,Neurocomputing,156,,,68,78,10,131,10.1016/j.neucom.2014.12.084,https:
//www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84923354640&doi=10.1016%2fj.neucom.2014.12.084&partnerID=40&md5=48f4e6137cea75bc5e4
8a8c62688b6a4,"Institute of Financial Mathematics and Financial Engineering, School
of Science, Beijing Jiaotong University, Beijing, 100044, China","Wang J.,
Institute of Financial Mathematics and Financial Engineering, School of Science,
Beijing Jiaotong University, Beijing, 100044, China; Wang J., Institute of
Financial Mathematics and Financial Engineering, School of Science, Beijing
Jiaotong University, Beijing, 100044, China","Financial market dynamics forecasting
has long been a focus of economic research. A stochastic time effective function
neural network (STNN) with principal component analysis (PCA) developed for
financial time series prediction is presented in the present work. In the training
modeling, we first use the approach of PCA to extract the principal components from
the input data, then integrate the STNN model to perform the financial price series
prediction. By taking the proposed model compared with the traditional
backpropagation neural network (BPNN), PCA-BPNN and STNN, the empirical analysis
shows that the forecasting results of the proposed neural network display a better
performance in financial time series forecasting. Further, the empirical research
is performed in testing the predictive effects of SSE, HS300, S&P500 and DJIA in
the established model, and the corresponding statistical comparisons of the above
market indices are also exhibited. © 2015 Elsevier B.V.",Financial time series
model; Forecast; Principal component analysis; Stochastic time effective neural
network,Backpropagation; Commerce; Electronic trading; Financial markets;
Forecasting; Principal component analysis; Stochastic models; Stochastic systems;
Time series; Time series analysis; Back-propagation neural networks; Effective
function; Financial time series; Financial time series forecasting; Financial time
series predictions; Principal Components; Principle component analysis; Statistical
comparisons; accuracy; Article; artificial neural network; backpropagation neural
network; data analysis; economic evaluation; financial market dynamics forecasting;
forecasting; intermethod comparison; machine learning; mathematical computing;
measurement error; prediction; principal component analysis; priority journal;
process development; stochastic time effective neural network; Neural
networks,,,,,"National Natural Science Foundation of China, NSFC, (10971010,
71271026); National Natural Science Foundation of China, NSFC",The authors were
supported in part by National Natural Science Foundation of China Grant nos.
71271026 and 10971010 . ,"Noriega J.R., Wang H., A direct adaptive neural-network
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270, (2003)","J. Wang; Institute of Financial Mathematics and Financial
Engineering, School of Science, Beijing Jiaotong University, Beijing, 100044,
China; email: [email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,,Scopus,2-s2.0-
84923354640
Khan W.; Ghazanfar M.A.; Azam M.A.; Karami A.; Alyoubi K.H.; Alfakeeh A.S.,"Khan,
Wasiat (57211410537); Ghazanfar, Mustansar Ali (36023331300); Azam, Muhammad Awais
(57190946338); Karami, Amin (56428767000); Alyoubi, Khaled H. (57144527700);
Alfakeeh, Ahmed S. (57209777937)",57211410537; 36023331300; 57190946338;
56428767000; 57144527700; 57209777937,"Stock market prediction using machine
learning classifiers and social media, news",2022,Journal of Ambient Intelligence
and Humanized Computing,13,7,,3433,3456,23,105,10.1007/s12652-020-01839-w,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85082751826&doi=10.1007%2fs12652-020-01839-
w&partnerID=40&md5=53caa00c3a6c582124b69a6e111c7e48,"Department of Software
Engineering, University of Engineering and Technology, Taxila, 47050, Pakistan;
School of Architecture, Computing and Engineering, University of East London,
London, United Kingdom; Department of Computer Engineering, University of
Engineering and Technology, Taxila, 47050, Pakistan; Faculty of Computing and
Information Technology, King Abdulaziz University, Jeddah, Saudi Arabia","Khan W.,
Department of Software Engineering, University of Engineering and Technology,
Taxila, 47050, Pakistan; Ghazanfar M.A., School of Architecture, Computing and
Engineering, University of East London, London, United Kingdom; Azam M.A.,
Department of Computer Engineering, University of Engineering and Technology,
Taxila, 47050, Pakistan; Karami A., School of Architecture, Computing and
Engineering, University of East London, London, United Kingdom; Alyoubi K.H.,
Faculty of Computing and Information Technology, King Abdulaziz University, Jeddah,
Saudi Arabia; Alfakeeh A.S., Faculty of Computing and Information Technology, King
Abdulaziz University, Jeddah, Saudi Arabia","Accurate stock market prediction is of
great interest to investors; however, stock markets are driven by volatile factors
such as microblogs and news that make it hard to predict stock market index based
on merely the historical data. The enormous stock market volatility emphasizes the
need to effectively assess the role of external factors in stock prediction. Stock
markets can be predicted using machine learning algorithms on information contained
in social media and financial news, as this data can change investors’ behavior. In
this paper, we use algorithms on social media and financial news data to discover
the impact of this data on stock market prediction accuracy for ten subsequent
days. For improving performance and quality of predictions, feature selection and
spam tweets reduction are performed on the data sets. Moreover, we perform
experiments to find such stock markets that are difficult to predict and those that
are more influenced by social media and financial news. We compare results of
different algorithms to find a consistent classifier. Finally, for achieving
maximum prediction accuracy, deep learning is used and some classifiers are
ensembled. Our experimental results show that highest prediction accuracies of
80.53% and 75.16% are achieved using social media and financial news, respectively.
We also show that New York and Red Hat stock markets are hard to predict, New York
and IBM stocks are more influenced by social media, while London and Microsoft
stocks by financial news. Random forest classifier is found to be consistent and
highest accuracy of 83.22% is achieved by its ensemble. © 2020, Springer-Verlag
GmbH Germany, part of Springer Nature.",Deep learning; Feature selection; Hybrid
algorithm; Natural language processing; Predictive modeling; Sentiment analysis;
Stock market prediction,Commerce; Decision trees; Deep learning; Economic and
social effects; Electronic trading; Feature extraction; Financial markets;
Forecasting; Genetic algorithms; Investments; Learning algorithms; Learning
systems; Modeling languages; Predictive analytics; Sentiment analysis; Social
networking (online); Hybrid algorithms; Improving performance; NAtural language
processing; Predictive modeling; Quality of predictions; Random forest classifier;
Stock market prediction; Stock market volatility; Fintech,,,,,,,"Afzal H., Mehmood
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Directional prediction of stock prices using breaking news on Twitter, IEEE/WIC/ACM
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Spam profile detection in social networks based on public features, : IEEE 8Th
International Conference ICICS, pp. 130-135, (2017); Attigeri G.V., Mm M.P., Pai
R.M., Nayak A., Stock market prediction: A big data approach, In: IEEE Region 10
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market volatility react to oil price shocks?, Mach Dyn, 22, 3, pp. 666-682, (2018);
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feature selection: a review, Appl Sci, 8, 9, (2018); Brown G.W., Cliff M.T.,
Investor sentiment and the near-term stock market, J Empir Financ, 11, 1, pp. 1-27,
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optimization-back-propagation neural network algorithm based on MapReduce, PLoS
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(2016)","M.A. Ghazanfar; School of Architecture, Computing and Engineering,
University of East London, London, United Kingdom; email:
[email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,18685137,,,,English,J. Ambient Intell. Humanized
Comput.,Article,Final,,Scopus,2-s2.0-85082751826
Patel J.; Shah S.; Thakkar P.; Kotecha K.,"Patel, Jigar (57683627400); Shah, Sahil
(57199298308); Thakkar, Priyank (56337405600); Kotecha, K.
(6506676097)",57683627400; 57199298308; 56337405600; 6506676097,Predicting stock
and stock price index movement using Trend Deterministic Data Preparation and
machine learning techniques,2015,Expert Systems with
Applications,42,1,,259,268,9,720,10.1016/j.eswa.2014.07.040,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84906535768&doi=10.1016%2fj.eswa.2014.07.040&partnerID=40&md5=5a2f6b62d34d05baf90e6
8c6be718282,"Computer Science and Engineering Department, Institute of Technology,
Nirma University, Ahmedabad, Gujarat, India","Patel J., Computer Science and
Engineering Department, Institute of Technology, Nirma University, Ahmedabad,
Gujarat, India; Shah S., Computer Science and Engineering Department, Institute of
Technology, Nirma University, Ahmedabad, Gujarat, India; Thakkar P., Computer
Science and Engineering Department, Institute of Technology, Nirma University,
Ahmedabad, Gujarat, India; Kotecha K., Computer Science and Engineering Department,
Institute of Technology, Nirma University, Ahmedabad, Gujarat, India","This paper
addresses problem of predicting direction of movement of stock and stock price
index for Indian stock markets. The study compares four prediction models,
Artificial Neural Network (ANN), Support Vector Machine (SVM), random forest and
naive-Bayes with two approaches for input to these models. The first approach for
input data involves computation of ten technical parameters using stock trading
data (open, high, low & close prices) while the second approach focuses on
representing these technical parameters as trend deterministic data. Accuracy of
each of the prediction models for each of the two input approaches is evaluated.
Evaluation is carried out on 10 years of historical data from 2003 to 2012 of two
stocks namely Reliance Industries and Infosys Ltd. and two stock price indices CNX
Nifty and S&P Bombay Stock Exchange (BSE) Sensex. The experimental results suggest
that for the first approach of input data where ten technical parameters are
represented as continuous values, random forest outperforms other three prediction
models on overall performance. Experimental results also show that the performance
of all the prediction models improve when these technical parameters are
represented as trend deterministic data. © 2014 Elsevier Ltd. All rights
reserved.",Artificial neural networks; Naive-Bayes classification; Random forest;
Stock market; Support vector machine,Decision trees; Finance; Input output
programs; Mathematical models; Neural networks; Support vector machines; Support
vector machines; Bombay stock exchanges; Continuous value; Deterministic data;
Machine learning techniques; Prediction model; Random forests; Reliance Industries;
Stock market; Stock price; Commerce; Neural networks,,,,,,,"Abraham A., Nath B.,
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Institute of Technology, Nirma University, Ahmedabad, Gujarat, India; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert
Sys Appl,Article,Final,,Scopus,2-s2.0-84906535768
Shen J.; Shafiq M.O.,"Shen, Jingyi (57207104795); Shafiq, M. Omair
(57202814044)",57207104795; 57202814044,Short-term stock market price trend
prediction using a comprehensive deep learning system,2020,Journal of Big
Data,7,1,66,,,,204,10.1186/s40537-020-00333-6,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85089965449&doi=10.1186%2fs40537-020-00333-
6&partnerID=40&md5=6fd2c0987b95659a09d550d21e1a1081,"School of Information
Technology, Carleton University, Ottawa, ON, Canada","Shen J., School of
Information Technology, Carleton University, Ottawa, ON, Canada; Shafiq M.O.,
School of Information Technology, Carleton University, Ottawa, ON, Canada","In the
era of big data, deep learning for predicting stock market prices and trends has
become even more popular than before. We collected 2 years of data from Chinese
stock market and proposed a comprehensive customization of feature engineering and
deep learning-based model for predicting price trend of stock markets. The proposed
solution is comprehensive as it includes pre-processing of the stock market
dataset, utilization of multiple feature engineering techniques, combined with a
customized deep learning based system for stock market price trend prediction. We
conducted comprehensive evaluations on frequently used machine learning models and
conclude that our proposed solution outperforms due to the comprehensive feature
engineering that we built. The system achieves overall high accuracy for stock
market trend prediction. With the detailed design and evaluation of prediction term
lengths, feature engineering, and data pre-processing methods, this work
contributes to the stock analysis research community both in the financial and
technical domains. © 2020, The Author(s).",Deep learning; Feature engineering;
Prediction; Stock market trend,Commerce; Costs; Data handling; Deep learning;
Engineering education; Engineering research; Financial markets; Learning systems;
Chinese stock market; Customisation; Deep learning; Feature engineerings; Learning
Based Models; Market trends; Price trends; Stock market prices; Stock market trend;
Trend prediction; Forecasting,,,,,Carleton University,"This research is supported
by Carleton University, in Ottawa, ON, Canada. This research paper has been built
based on the thesis [] of Jingyi Shen, supervised by M. Omair Shafiq at Carleton
University, Canada, available at https://curve.carleton.ca/52e9187a-7f71-48ce-bdfe-
e3f6a420e31a . ","Atsalakis G.S., Valavanis K.P., Forecasting stock market short-
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Shafiq; School of Information Technology, Carleton University, Ottawa, Canada;
email: [email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,21961115,,,,English,J. Big Data,Article,Final,All Open Access; Gold Open
Access; Green Open Access,Scopus,2-s2.0-85089965449
Leippold M.; Wang Q.; Zhou W.,"Leippold, Markus (56385955900); Wang, Qian
(57218083740); Zhou, Wenyu (57208187236)",56385955900; 57218083740;
57208187236,Machine learning in the Chinese stock market,2022,Journal of Financial
Economics,145,2,,64,82,18,173,10.1016/j.jfineco.2021.08.017,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85114683751&doi=10.1016%2fj.jfineco.2021.08.017&partnerID=40&md5=704a6b30d03b5f06eb
c45defe6645b1d,"Department of Banking and Finance, University of Zurich,
Plattenstrasse 14, Zurich, 8032, Switzerland; International Business School,
Zhejiang University, Zhejiang, Haining, 314400, China; Academy of Financial
Research, Zhejiang University, Zhejiang, Hangzhou, 310058, China; Swiss Finance
Institute (SFI), Zürich, Switzerland","Leippold M., Department of Banking and
Finance, University of Zurich, Plattenstrasse 14, Zurich, 8032, Switzerland, Swiss
Finance Institute (SFI), Zürich, Switzerland; Wang Q., Department of Banking and
Finance, University of Zurich, Plattenstrasse 14, Zurich, 8032, Switzerland; Zhou
W., International Business School, Zhejiang University, Zhejiang, Haining, 314400,
China, Academy of Financial Research, Zhejiang University, Zhejiang, Hangzhou,
310058, China","We add to the emerging literature on empirical asset pricing in the
Chinese stock market by building and analyzing a comprehensive set of return
prediction factors using various machine learning algorithms. Contrasting previous
studies for the US market, liquidity emerges as the most important predictor,
leading us to closely examine the impact of transaction costs. The retail
investors’ dominating presence positively affects short-term predictability,
particularly for small stocks. Another feature that distinguishes the Chinese
market from the US market is the high predictability of large stocks and state-
owned enterprises over longer horizons. The out-of-sample performance remains
economically significant after transaction costs. © 2021 The Author(s)",Chinese
stock market; Factor investing; Machine learning; Model selection,,,,,,,,"Allen F.,
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Business School, Zhejiang University, Haining, Zhejiang, 314400, China; email:
[email protected]",,Elsevier B.V.,,,,,,0304405X,,JFECD,,English,J. Financ.
Econ.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85114683751
Elbadawi M.; McCoubrey L.E.; Gavins F.K.H.; Ong J.J.; Goyanes A.; Gaisford S.;
Basit A.W.,"Elbadawi, Moe (57196256463); McCoubrey, Laura E. (57218595307); Gavins,
Francesca K.H. (57200121555); Ong, Jun Jie (57215097770); Goyanes, Alvaro
(37037477300); Gaisford, Simon (6602683597); Basit, Abdul W.
(7003826707)",57196256463; 57218595307; 57200121555; 57215097770; 37037477300;
6602683597; 7003826707,Harnessing artificial intelligence for the next generation
of 3D printed medicines,2021,Advanced Drug Delivery
Reviews,175,,113805,,,,97,10.1016/j.addr.2021.05.015,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85106912971&doi=10.1016%2fj.addr.2021.05.015&partnerID=40&md5=c929cbed6114ad13e5bad
dc62e7a7192,"Department of Pharmaceutics, UCL School of Pharmacy, University
College London, 29-39 Brunswick Square, London, WC1N 1AX, United Kingdom; FabRx
Ltd., 3 Romney Road, Ashford, TN24 0RW, Kent, United Kingdom; Departamento de
Farmacología, Farmacia y Tecnología Farmacéutica, I+D Farma Group (GI-1645),
Universidade de Santiago de Compostela, 15782, Spain","Elbadawi M., Department of
Pharmaceutics, UCL School of Pharmacy, University College London, 29-39 Brunswick
Square, London, WC1N 1AX, United Kingdom; McCoubrey L.E., Department of
Pharmaceutics, UCL School of Pharmacy, University College London, 29-39 Brunswick
Square, London, WC1N 1AX, United Kingdom; Gavins F.K.H., Department of
Pharmaceutics, UCL School of Pharmacy, University College London, 29-39 Brunswick
Square, London, WC1N 1AX, United Kingdom; Ong J.J., Department of Pharmaceutics,
UCL School of Pharmacy, University College London, 29-39 Brunswick Square, London,
WC1N 1AX, United Kingdom; Goyanes A., FabRx Ltd., 3 Romney Road, Ashford, TN24 0RW,
Kent, United Kingdom, Departamento de Farmacología, Farmacia y Tecnología
Farmacéutica, I+D Farma Group (GI-1645), Universidade de Santiago de Compostela,
15782, Spain; Gaisford S., Department of Pharmaceutics, UCL School of Pharmacy,
University College London, 29-39 Brunswick Square, London, WC1N 1AX, United
Kingdom, FabRx Ltd., 3 Romney Road, Ashford, TN24 0RW, Kent, United Kingdom; Basit
A.W., Department of Pharmaceutics, UCL School of Pharmacy, University College
London, 29-39 Brunswick Square, London, WC1N 1AX, United Kingdom, FabRx Ltd., 3
Romney Road, Ashford, TN24 0RW, Kent, United Kingdom","Artificial intelligence (AI)
is redefining how we exist in the world. In almost every sector of society, AI is
performing tasks with super-human speed and intellect; from the prediction of stock
market trends to driverless vehicles, diagnosis of disease, and robotic surgery.
Despite this growing success, the pharmaceutical field is yet to truly harness AI.
Development and manufacture of medicines remains largely in a ‘one size fits all’
paradigm, in which mass-produced, identical formulations are expected to meet
individual patient needs. Recently, 3D printing (3DP) has illuminated a path for
on-demand production of fully customisable medicines. Due to its flexibility,
pharmaceutical 3DP presents innumerable options during formulation development that
generally require expert navigation. Leveraging AI within pharmaceutical 3DP
removes the need for human expertise, as optimal process parameters can be
accurately predicted by machine learning. AI can also be incorporated into a
pharmaceutical 3DP ‘Internet of Things’, moving the personalised production of
medicines into an intelligent, streamlined, and autonomous pipeline. Supportive
infrastructure, such as The Cloud and blockchain, will also play a vital role.
Crucially, these technologies will expedite the use of pharmaceutical 3DP in
clinical settings and drive the global movement towards personalised medicine and
Industry 4.0. © 2021",4D printed personalized pharmaceuticals and medical devices;
Additive manufacturing; Computational modeling and finite element analysis;
Computer aided design of printlets; Digital therapeutics and healthcare; Drug
product design and development; Fabricating gastrointestinal drug delivery systems
and dosage forms; Falsified and counterfeit oral pharmaceutical products; Mass
customization and machine learning; Translational pharmaceutics and pharmaceutical
sciences,"Animals; Artificial Intelligence; Drug Development; Humans; Machine
Learning; Printing, Three-Dimensional; 3D printers; Automobile manufacture;
Diagnosis; Electronic trading; Robotic surgery; 3-D printing; Clinical settings;
Formulation development; Human expertise; Market trends; Optimal process;
Pharmaceutical fields; Supportive infrastructure; algorithm; artificial
intelligence; binder jetting; biocompatibility; bioprinting; computational fluid
dynamics; deep learning; drug delivery system; drug formulation; drug industry;
drug stability; electrohydrodynamic printing; finite element analysis; fused
deposition modeling; glass transition temperature; human; hydrodynamics; inkjet
printing; machine learning; measurement accuracy; medicine; melting temperature;
nerve cell network; nonhuman; pharmacokinetics; powder base fusion; prediction;
reinforcement learning (machine learning); Review; robot assisted surgery;
stereolithography; stock market; supervised machine learning; support vector
machine; thermostability; three dimensional printing; unmanned aerial vehicle;
viscosity; animal; drug development; procedures; Artificial
intelligence",,,,,"Engineering and Physical Sciences Research Council, EPSRC,
(EP/L01646X, EP/S009000/1, EP/S023054/1); Engineering and Physical Sciences
Research Council, EPSRC","The authors thank the Engineering and Physical Sciences
Research Council (EPSRC), UK for its financial support (EP/S009000/1, EP/S023054/1,
and EP/L01646X).","Halim Z., Kalsoom R., Bashir S., Abbas G., Artificial
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TN24 0RW, United Kingdom; email: [email protected]",,Elsevier
B.V.,,,,,,0169409X,,ADDRE,34019957,English,Adv. Drug Deliv. Rev.,Review,Final,All
Open Access; Green Open Access,Scopus,2-s2.0-85106912971
Nikou M.; Mansourfar G.; Bagherzadeh J.,"Nikou, Mahla (57212172266); Mansourfar,
Gholamreza (36198365200); Bagherzadeh, Jamshid (8935288700)",57212172266;
36198365200; 8935288700,Stock price prediction using DEEP learning algorithm and
its comparison with machine learning algorithms,2019,"Intelligent Systems in
Accounting, Finance and
Management",26,4,,164,174,10,184,10.1002/isaf.1459,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85076101947&doi=10.1002%2fisaf.1459&partnerID=40&md5=4e5d575645a337a27b744aac3acf75
50,"Faculty of Economics and Management, Urmia University, Urmia, Iran; Faculty of
Electrical and Computer Engineering, Urmia University, Urmia, Iran","Nikou M.,
Faculty of Economics and Management, Urmia University, Urmia, Iran; Mansourfar G.,
Faculty of Economics and Management, Urmia University, Urmia, Iran; Bagherzadeh J.,
Faculty of Electrical and Computer Engineering, Urmia University, Urmia,
Iran","Security indices are the main tools for evaluation of the status of
financial markets. Moreover, a main part of the economy of any country is
constituted of investment in stock markets. Therefore, investors could maximize the
return of investment if it becomes possible to predict the future trend of stock
market with appropriate methods. The nonlinearity and nonstationarity of financial
series make their prediction complicated. This study seeks to evaluate the
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this study include the daily close price data of iShares MSCI United Kingdom
exchange-traded fund from January 2015 to June 2018. The prediction process is done
through four models of machine-learning algorithms. The results indicate that the
deep learning method is better in prediction than the other methods, and the
support vector regression method is in the next rank with respect to neural network
and random forest methods with less error. © 2019 John Wiley & Sons,
Ltd.",artificial neural network; deep learning; prediction; random forest; support
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Urmia University, Urmia, Iran; email: [email protected]",,Academic Press
Inc.,,,,,,15501949,,,,English,Intell. Syst. Account. Finance
Manag.,Article,Final,,Scopus,2-s2.0-85076101947
Sirignano J.; Cont R.,"Sirignano, Justin (35753895800); Cont, Rama
(6602945666)",35753895800; 6602945666,Universal features of price formation in
financial markets: perspectives from deep learning,2019,Quantitative
Finance,19,9,,1449,1459,10,132,10.1080/14697688.2019.1622295,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85068677237&doi=10.1080%2f14697688.2019.1622295&partnerID=40&md5=b7aa4082d05477e65a
52a513cdddf343,"Industrial and Systems Engineering, University of Illinois at
Urbana-Champaign, Urbana, IL, United States; Mathematical Institute, University of
Oxford, Oxford, United Kingdom","Sirignano J., Industrial and Systems Engineering,
University of Illinois at Urbana-Champaign, Urbana, IL, United States; Cont R.,
Mathematical Institute, University of Oxford, Oxford, United Kingdom","Using a
large-scale Deep Learning approach applied to a high-frequency database containing
billions of market quotes and transactions for US equities, we uncover
nonparametric evidence for the existence of a universal and stationary relation
between order flow history and the direction of price moves. The universal price
formation model exhibits a remarkably stable out-of-sample accuracy across a wide
range of stocks and time periods. Interestingly, these results also hold for stocks
which are not part of the training sample, showing that the relations captured by
the model are universal and not asset-specific. The universal model—trained on data
from all stocks—outperforms asset-specific models trained on time series of any
given stock. This weighs in favor of pooling together financial data from various
stocks, rather than designing asset- or sector-specific models, as is currently
commonly done. Standard data normalizations based on volatility, price level or
average spread, or partitioning the training data into sectors or categories such
as large/small tick stocks, do not improve training results. On the other hand,
inclusion of price and order flow history over many past observations improves
forecast accuracy, indicating that there is path-dependence in price dynamics. ©
2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.",Deep learning;
Financial econometrics; High-frequency data; Intraday data; Limit order book;
Machine learning; Market microstructure; Price formation,,,,,,,,"Andersen T.,
Bondarenko O., Obizhaeva A., Kyle P., (2018); Bacry E., Kozhemyak A., Muzy J.,
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Microstruct. Liq., 3, 2, (2017)","R. Cont; Mathematical Institute, University of
Oxford, Oxford, United Kingdom; email:
[email protected]",,Routledge,,,,,,14697688,,,,English,Quant.
Financ.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85068677237
Van De Kauter M.; Breesch D.; Hoste V.,"Van De Kauter, Marjan (56383901900);
Breesch, Diane (6504734114); Hoste, Véronique (23090989500)",56383901900;
6504734114; 23090989500,Fine-grained analysis of explicit and implicit sentiment in
financial news articles,2015,Expert Systems with
Applications,42,11,,4999,5010,11,124,10.1016/j.eswa.2015.02.007,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84924787298&doi=10.1016%2fj.eswa.2015.02.007&partnerID=40&md5=16a610df7d438be764fc7
f151dd0050b,"LT3 Language and Translation Technology Team, Faculty of Arts and
Philosophy, Ghent University, Groot-Brittanniëlaan 45, Ghent, 9000, Belgium;
Department of Business (BUSI)-Accounting and Auditing, Solvay Business School,
Vrije Universiteit Brussel, Pleinlaan 2, Brussels, 1050, Belgium","Van De Kauter
M., LT3 Language and Translation Technology Team, Faculty of Arts and Philosophy,
Ghent University, Groot-Brittanniëlaan 45, Ghent, 9000, Belgium; Breesch D.,
Department of Business (BUSI)-Accounting and Auditing, Solvay Business School,
Vrije Universiteit Brussel, Pleinlaan 2, Brussels, 1050, Belgium; Hoste V., LT3
Language and Translation Technology Team, Faculty of Arts and Philosophy, Ghent
University, Groot-Brittanniëlaan 45, Ghent, 9000, Belgium","This paper focuses on
topic-specific and more specifically company-specific sentiment analysis in
financial newswire text. This application is of great use to researchers in the
financial domain who study the impact of news (media) on the stock markets. We
investigate the viability of a new fine-grained sentiment annotation scheme. Most
of the current approaches to sentiment analysis focus on the detection of explicit
sentiment. As news text often contains implicit sentiment, i.e. factual information
implying positive or negative sentiment, our approach aims to identify both
explicit and implicit sentiment. Furthermore, this sentiment is analyzed on a fine-
grained level by detecting the topic of the sentiment, as sentiment is not always
expressed towards the topics one is interested in. In order to test our approach,
we assembled a corpus of company-specific news articles, which was manually labeled
by four annotators to create a gold standard. We compare the results of our method
to the performance of two coarse-grained baseline systems: a lexicon-based approach
and a supervised machine learning approach that makes use of lexical features. Our
fine-grained approach outperforms both baselines, and its output shows substantial
to almost perfect agreement with the gold standard sentiment labels. Using our
annotation scheme, we are able to filter out irrelevant sentiment expressions and
detect explicit and implicit sentiment in a reliable way. © 2015 Elsevier Ltd. All
rights reserved.",Automatic sentiment analysis; Financial news,Artificial
intelligence; Finance; Financial markets; Gold; Learning systems; Supervised
learning; Annotation scheme; Factual information; Financial domains; Financial
news; Fine-grained analysis; Negative sentiments; Sentiment analysis; Supervised
machine learning; Data mining,,,,,,,"Alexander S.S., Price movements in speculative
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575-580, (2011)",,,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-84924787298
Bisoi R.; Dash P.K.; Parida A.K.,"Bisoi, Ranjeeta (54941427900); Dash, P.K.
(7102314306); Parida, A.K. (57189231511)",54941427900; 7102314306;
57189231511,Hybrid Variational Mode Decomposition and evolutionary robust kernel
extreme learning machine for stock price and movement prediction on daily
basis,2019,Applied Soft Computing
Journal,74,,,652,678,26,114,10.1016/j.asoc.2018.11.008,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85056632496&doi=10.1016%2fj.asoc.2018.11.008&partnerID=40&md5=1118c631063ff04ef1e9e
285262f8e3f,"Multidisciplinary Research Cell, Siksha ‘O’ Anusandhan Deemed to be
University, Bhubaneswar, Odisha, India; School of Computer Engineering, KIIT Deemed
to be University, Bhubaneswar, Odisha, India","Bisoi R., Multidisciplinary Research
Cell, Siksha ‘O’ Anusandhan Deemed to be University, Bhubaneswar, Odisha, India;
Dash P.K., Multidisciplinary Research Cell, Siksha ‘O’ Anusandhan Deemed to be
University, Bhubaneswar, Odisha, India; Parida A.K., School of Computer
Engineering, KIIT Deemed to be University, Bhubaneswar, Odisha, India","The
Empirical Mode Decomposition (EMD) has been applied successfully in many
forecasting problems. The Variational Mode Decomposition (VMD), a more effective
decomposition technique has been proposed with an aim to avoid the limitations of
EMD. This study focuses on two objectives i.e. day ahead stock price prediction and
daily trend prediction using Robust Kernel based Extreme Learning Machine (RKELM)
integrated with VMD where the kernel function parameters optimized with
Differential Evolution (DE) algorithm here named as DE-VMD-RKELM. These experiments
have been conducted on BSE S&P 500 Index (BSE), Hang Seng Index (HSI) and Financial
Times Stock Exchange 100 Index (FTSE), and the daily price prediction performance
of the proposed VMD-RKELM model is measured in terms of Root Mean Square Error
(RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE). On the
other hand the daily trend prediction which is defined as a classification problem
is measured in terms of Percentage of Correct Classification Accuracy (PCCA). The
prediction performance of the VMD-RKELM is compared with the performance of robust
Extreme Learning Machine (RELM), Extreme Learning Machine integrated with EMD (EMD-
RELM). Robust Kernel Extreme Learning Machine integrated with EMD (EMD-RKELM) and
two benchmark approaches i.e. Support Vector Regression (SVR) and Autoregressive
Moving Average (ARMA). The trend prediction results are compared with Naive–Bayes
classifier, ANN (artificial neural network), and SVM (support vector machine). The
experimental results obtained from this study for price prediction as well as trend
classification performance are promising and the prediction analysis illustrated in
this work proves the superiority of the VMD-RKELM model over the other predictive
methods. © 2018 Elsevier B.V.",,Electronic trading; Errors; Evolutionary
algorithms; Financial markets; Forecasting; Knowledge acquisition; Mean square
error; Neural networks; Optimization; Support vector machines; ANN (artificial
neural network); Autoregressive moving average; Differential evolution algorithms;
Empirical Mode Decomposition; Mean absolute percentage error; Support vector
regression (SVR); SVM(support vector machine); Variational mode decomposition
(VMD); Motion estimation,,,,,,,"Burlando P., Rosso R., Cadavid L.G., Salas J.D.,
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Anusandhan Deemed to be University, Bhubaneswar, India; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.
J.,Article,Final,,Scopus,2-s2.0-85056632496
Long W.; Lu Z.; Cui L.,"Long, Wen (36792418900); Lu, Zhichen (57207322594); Cui,
Lingxiao (57189992988)",36792418900; 57207322594; 57189992988,Deep learning-based
feature engineering for stock price movement prediction,2019,Knowledge-Based
Systems,164,,,163,173,10,312,10.1016/j.knosys.2018.10.034,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057856973&doi=10.1016%2fj.knosys.2018.10.034&partnerID=40&md5=b73efaf564b39e115a4
6668f16caa1ec,"School of Economics & Management, University of Chinese Academy of
Sciences, Beijing, 100190, PR China; Research Center on Fictitious Economy & Data
Science, Chinese Academy of Sciences, Beijing, 100190, PR China; Key Laboratory of
Big Data Mining & Knowledge Management, Chinese Academy of Sciences, Beijing,
100190, PR China","Long W., School of Economics & Management, University of Chinese
Academy of Sciences, Beijing, 100190, PR China; Research Center on Fictitious
Economy & Data Science, Chinese Academy of Sciences, Beijing, 100190, PR China; Key
Laboratory of Big Data Mining & Knowledge Management, Chinese Academy of Sciences,
Beijing, 100190, PR China; Lu Z., School of Economics & Management, University of
Chinese Academy of Sciences, Beijing, 100190, PR China; Research Center on
Fictitious Economy & Data Science, Chinese Academy of Sciences, Beijing, 100190, PR
China; Key Laboratory of Big Data Mining & Knowledge Management, Chinese Academy of
Sciences, Beijing, 100190, PR China; Cui L., School of Economics & Management,
University of Chinese Academy of Sciences, Beijing, 100190, PR China; Research
Center on Fictitious Economy & Data Science, Chinese Academy of Sciences, Beijing,
100190, PR China; Key Laboratory of Big Data Mining & Knowledge Management, Chinese
Academy of Sciences, Beijing, 100190, PR China","Stock price modeling and
prediction have been challenging objectives for researchers and speculators because
of noisy and non-stationary characteristics of samples. With the growth in deep
learning, the task of feature learning can be performed more effectively by
purposely designed network. In this paper, we propose a novel end-to-end model
named multi-filters neural network (MFNN) specifically for feature extraction on
financial time series samples and price movement prediction task. Both
convolutional and recurrent neurons are integrated to build the multi-filters
structure, so that the information from different feature spaces and market views
can be obtained. We apply our MFNN for extreme market prediction and signal-based
trading simulation tasks on Chinese stock market index CSI 300. Experimental
results show that our network outperforms traditional machine learning models,
statistical models, and single-structure(convolutional, recurrent, and LSTM)
networks in terms of the accuracy, profitability, and stability. © 2018 Elsevier
B.V.",Deep learning; Feature engineering; Stock price prediction,Commerce;
Convolution; Electronic trading; Financial markets; Forecasting; Long short-term
memory; Motion estimation; Chinese stock market; Feature engineerings; Financial
time series; Machine learning models; Market prediction; Non stationary
characteristics; Stock price movement predictions; Stock price prediction; Deep
learning,,,,,"National Natural Science Foundation of China, NSFC, (71331005,
71771204, 91546201)","This research was partly supported by the grants from the
National Natural Science Foundation of China (No. 71771204 , 71331005 , 91546201 ).
","Kim K.J., Han I., Genetic algorithms approach to feature discretization in
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Beijing, 100190, China; email: [email protected]",,Elsevier
B.V.,,,,,,9507051,,KNSYE,,English,Knowl Based Syst,Article,Final,,Scopus,2-s2.0-
85057856973
Manela A.; Moreira A.,"Manela, Asaf (55911471700); Moreira, Alan
(57192007634)",55911471700; 57192007634,News implied volatility and disaster
concerns,2017,Journal of Financial
Economics,123,1,,137,162,25,298,10.1016/j.jfineco.2016.01.032,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84995954152&doi=10.1016%2fj.jfineco.2016.01.032&partnerID=40&md5=35260d038367561eeb
ddf0dd131ad5fd,"Washington University, St. Louis, 63130, MO, United States; Yale
University, New Haven, 06520, CT, United States","Manela A., Washington University,
St. Louis, 63130, MO, United States; Moreira A., Yale University, New Haven, 06520,
CT, United States","We construct a text-based measure of uncertainty starting in
1890 using front-page articles of the Wall Street Journal. News implied volatility
(NVIX) peaks during stock market crashes, times of policy-related uncertainty,
world wars, and financial crises. In US postwar data, periods when NVIX is high are
followed by periods of above average stock returns, even after controlling for
contemporaneous and forward-looking measures of stock market volatility. News
coverage related to wars and government policy explains most of the time variation
in risk premia our measure identifies. Over the longer 1890–2009 sample that
includes the Great Depression and two world wars, high NVIX predicts high future
returns in normal times and rises just before transitions into economic disasters.
The evidence is consistent with recent theories emphasizing time variation in rare
disaster risk as a source of aggregate asset prices fluctuations. © 2016",Equity
premium; Implied volatility; Machine learning; Rare disasters; Return
predictability; Text-based analysis,,,,,,,,"Abel A.B., Eberly J.C., Panageas S.,
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[email protected]",,Elsevier B.V.,,,,,,0304405X,,JFECD,,English,J. Financ.
Econ.,Article,Final,,Scopus,2-s2.0-84995954152
Palaiokostas C.; Bekaert M.; Davie A.; Cowan M.E.; Oral M.; Taggart J.B.; Gharbi
K.; McAndrew B.J.; Penman D.J.; Migaud H.,"Palaiokostas, Christos (37070034600);
Bekaert, Michaël (8882481500); Davie, Andrew (56238719300); Cowan, Mairi E.
(56720912600); Oral, Münevver (57519745900); Taggart, John B. (7006283316); Gharbi,
Karim (6602444106); McAndrew, Brendan J. (7003346833); Penman, David J.
(7006653796); Migaud, Hervé (56219141200)",37070034600; 8882481500; 56238719300;
56720912600; 57519745900; 7006283316; 6602444106; 7003346833; 7006653796;
56219141200,Mapping the sex determination locus in the Atlantic halibut
(Hippoglossus hippoglossus) using RAD sequencing,2013,BMC
Genomics,14,1,566,,,,124,10.1186/1471-2164-14-566,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84883312455&doi=10.1186%2f1471-2164-14-
566&partnerID=40&md5=58f3917c618a4f367478699687431ebe,"Institute of Aquaculture,
School of Natural Sciences, University of Stirling, Stirling, Scotland FK9 4LA,
United Kingdom; The GenePool, School of Biological Sciences, University of
Edinburgh, Edinburgh, Scotland EH9 3JT, United Kingdom","Palaiokostas C., Institute
of Aquaculture, School of Natural Sciences, University of Stirling, Stirling,
Scotland FK9 4LA, United Kingdom; Bekaert M., Institute of Aquaculture, School of
Natural Sciences, University of Stirling, Stirling, Scotland FK9 4LA, United
Kingdom; Davie A., Institute of Aquaculture, School of Natural Sciences, University
of Stirling, Stirling, Scotland FK9 4LA, United Kingdom; Cowan M.E., Institute of
Aquaculture, School of Natural Sciences, University of Stirling, Stirling, Scotland
FK9 4LA, United Kingdom; Oral M., Institute of Aquaculture, School of Natural
Sciences, University of Stirling, Stirling, Scotland FK9 4LA, United Kingdom;
Taggart J.B., Institute of Aquaculture, School of Natural Sciences, University of
Stirling, Stirling, Scotland FK9 4LA, United Kingdom; Gharbi K., The GenePool,
School of Biological Sciences, University of Edinburgh, Edinburgh, Scotland EH9
3JT, United Kingdom; McAndrew B.J., Institute of Aquaculture, School of Natural
Sciences, University of Stirling, Stirling, Scotland FK9 4LA, United Kingdom;
Penman D.J., Institute of Aquaculture, School of Natural Sciences, University of
Stirling, Stirling, Scotland FK9 4LA, United Kingdom; Migaud H., Institute of
Aquaculture, School of Natural Sciences, University of Stirling, Stirling, Scotland
FK9 4LA, United Kingdom","Background: Atlantic halibut (Hippoglossus hippoglossus)
is a high-value, niche market species for cold-water marine aquaculture. Production
of monosex female stocks is desirable in commercial production since females grow
faster and mature later than males. Understanding the sex determination mechanism
and developing sex-associated markers will shorten the time for the development of
monosex female production, thus decreasing the costs of farming.Results: Halibut
juveniles were masculinised with 17 α-methyldihydrotestosterone (MDHT) and grown to
maturity. Progeny groups from four treated males were reared and sexed. Two of
these groups (n = 26 and 70) consisted of only females, while the other two (n = 30
and 71) contained balanced sex ratios (50% and 48% females respectively). DNA from
parents and offspring from the two mixed-sex families were used as a template for
Restriction-site Associated DNA (RAD) sequencing. The 648 million raw reads
produced 90,105 unique RAD-tags. A linkage map was constructed based on 5703 Single
Nucleotide Polymorphism (SNP) markers and 7 microsatellites consisting of 24
linkage groups, which corresponds to the number of chromosome pairs in this
species. A major sex determining locus was mapped to linkage group 13 in both
families. Assays for 10 SNPs with significant association with phenotypic sex were
tested in both population data and in 3 additional families. Using a variety of
machine-learning algorithms 97% correct classification could be obtained with the
3% of errors being phenotypic males predicted to be females.Conclusion: Altogether
our findings support the hypothesis that the Atlantic halibut has an XX/XY sex
determination system. Assays are described for sex-associated DNA markers developed
from the RAD sequencing analysis to fast track progeny testing and implement
monosex female halibut production for an immediate improvement in productivity.
These should also help to speed up the inclusion of neomales derived from many
families to maintain a larger effective population size and ensure long-term
improvement through selective breeding. © 2013 Palaiokostas et al.; licensee BioMed
Central Ltd.",Aquaculture; Hippoglossus hippoglossus; Monosex; QTL mapping; RAD-
seq; Sex determination,"Animals; Female; Fisheries; Flounder; Genetic Linkage;
Genetic Markers; Male; Polymorphism, Single Nucleotide; Quantitative Trait Loci;
Restriction Mapping; Sequence Analysis, DNA; Sex Chromosomes; Sex Determination
Analysis; Sex Determination Processes; Synteny; 17alpha methyldihydrotestosterone;
androstanolone derivative; DNA; unclassified drug; genetic marker; algorithm;
aquaculture; article; assay; Atlantic halibut; breeding; chromosome pairing;
controlled study; cost; DNA marker; DNA sequence; DNA template; female; fry (fish);
gene locus; gene mapping; genetic linkage; halibut; Hippoglossus hippoglossus;
machine learning; male; maturity; microsatellite marker; nonhuman; parent;
phenotype; population size; productivity; progeny; Restriction site Associated DNA
sequencing; sex determination process; sex ratio; single nucleotide polymorphism;
virilization; animal; DNA sequence; fishery; flounder; genetic marker; genetics;
procedures; quantitative trait locus; restriction mapping; sex chromosome; sex
determination; sex determination process; synteny",,"DNA, 9007-49-2; Genetic
Markers, ",,,"Scottish Aquaculture Research Forum, (SARF 027); Medical Research
Council, MRC, (MR/K001744/1); Medical Research Council, MRC","We are grateful for
support from the Marine Alliance for Science and Technology for Scotland (MASTS),
the Scottish Aquaculture Research Forum (SARF 027) and a SPARK award from the
Biosciences Knowledge Transfer Network. We thank staff at The GenePool Genomics
Facility, especially Urmi Trivedi and Marian Thomson, for assistance with
sequencing and Anu Frank-Lawale for DNA and phenotypic sex data from the broodstock
and additional families used to verify the sex association of SNP markers","Devlin
R.H., Nagahama Y., Sex determination and sex differentiation in fish: an overview
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Genomics,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-84883312455
Shah D.; Isah H.; Zulkernine F.,"Shah, Dev (57207574843); Isah, Haruna
(56636645700); Zulkernine, Farhana (22735783200)",57207574843; 56636645700;
22735783200,Stock market analysis: A review and taxonomy of prediction
techniques,2019,International Journal of Financial
Studies,7,2,26,,,,260,10.3390/ijfs7020026,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85067550010&doi=10.3390%2fijfs7020026&partnerID=40&md5=79f21085979319bc7664576c1ef8
67f5,"School of Computing, Queen’s University, Kingston, K7L 2N8, ON, Canada","Shah
D., School of Computing, Queen’s University, Kingston, K7L 2N8, ON, Canada; Isah
H., School of Computing, Queen’s University, Kingston, K7L 2N8, ON, Canada;
Zulkernine F., School of Computing, Queen’s University, Kingston, K7L 2N8, ON,
Canada","Stock market prediction has always caught the attention of many analysts
and researchers. Popular theories suggest that stock markets are essentially a
random walk and it is a fool’s game to try and predict them. Predicting stock
prices is a challenging problem in itself because of the number of variables which
are involved. In the short term, the market behaves like a voting machine but in
the longer term, it acts like a weighing machine and hence there is scope for
predicting the market movements for a longer timeframe. Application of machine
learning techniques and other algorithms for stock price analysis and forecasting
is an area that shows great promise. In this paper, we first provide a concise
review of stock markets and taxonomy of stock market prediction methods. We then
focus on some of the research achievements in stock analysis and prediction. We
discuss technical, fundamental, short-and long-term approaches used for stock
analysis. Finally, we present some challenges and research opportunities in this
field. © 2019 by the authors. Licensee MDPI, Basel, Switzerland.",Analysis; Machine
learning; Pattern recognition; Prediction; Sentiment analysis; Statistics; Stock
exchanges; Stock markets,,,,,,,,"Abu-Mostafa Y.S., Atiya A.F., Introduction to
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Systems with Applications, 67, pp. 126-139, (2017)","H. Isah; School of Computing,
Queen’s University, Kingston, K7L 2N8, Canada; email: [email protected]",,MDPI
Multidisciplinary Digital Publishing Institute,,,,,,22277072,,,,English,Intern. J.
Financial Stud.,Review,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85067550010
Chen J.-F.; Chen W.-L.; Huang C.-P.; Huang S.-H.; Chen A.-P.,"Chen, Jou-Fan
(57195363174); Chen, Wei-Lun (57195360094); Huang, Chun-Ping (57195361498); Huang,
Szu-Hao (8882763200); Chen, An-Pin (21741959100)",57195363174; 57195360094;
57195361498; 8882763200; 21741959100,Financial time-series data analysis using deep
convolutional neural networks,2017,"Proceedings - 2016 7th International Conference
on Cloud Computing and Big Data, CCBD
2016",,,7979885,87,92,5,115,10.1109/CCBD.2016.027,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85027469207&doi=10.1109%2fCCBD.2016.027&partnerID=40&md5=a67ab301d59ba5c3b7b50025c0
82a600,"Institute of Information Management, National Chiao Tung University,
HsinChu, Taiwan; Department of Information Management and Finance, National Chiao
Tung University, HsinChu, Taiwan","Chen J.-F., Institute of Information Management,
National Chiao Tung University, HsinChu, Taiwan; Chen W.-L., Institute of
Information Management, National Chiao Tung University, HsinChu, Taiwan; Huang C.-
P., Institute of Information Management, National Chiao Tung University, HsinChu,
Taiwan; Huang S.-H., Department of Information Management and Finance, National
Chiao Tung University, HsinChu, Taiwan; Chen A.-P., Department of Information
Management and Finance, National Chiao Tung University, HsinChu, Taiwan","A novel
financial time-series analysis method based on deep learning technique is proposed
in this paper. In recent years, the explosive growth of deep learning researches
have led to several successful applications in various artificial intelligence and
multimedia fields, such as visual recognition, robot vision, and natural language
processing. In this paper, we focus on the time-series data processing and
prediction in financial markets. Traditional feature extraction approaches in
intelligent trading decision support system are used to applying several technical
indicators and expert rules to extract numerical features. The major contribution
of this paper is to improve the algorithmic trading framework with the proposed
planar feature representation methods and deep convolutional neural networks (CNN).
The proposed system is implemented and benchmarked in the historical datasets of
Taiwan Stock Index Futures. The experimental results show that the deep learning
technique is effective in our trading simulation application, and may have greater
potentialities to model the noisy financial data and complex social science
problems. In the future, we expected that the proposed methods and deep learning
framework could be applied to more innovative applications in the next financial
technology (FinTech) generation. © 2016 IEEE.",convolutional neural networks; data
visualization; Deep learning; machine learning; trend prediction,Artificial
intelligence; Big data; Cloud computing; Commerce; Convolution; Data handling; Data
visualization; Decision support systems; Deep learning; Deep neural networks;
Finance; Financial data processing; Intelligent robots; Learning algorithms;
Learning systems; Natural language processing systems; Network function
virtualization; Neural networks; Time series analysis; Visual languages;
Algorithmic trading; Convolutional neural network; Feature representation;
Financial time series; Learning frameworks; Simulation applications; Technical
indicator; Trend prediction; Electronic trading,,,,,"FinTech Innovation Research
Center; National Chiao Tung University, NCTU","This work was also supported by the
FinTech Innovation Research Center, National Chiao Tung University.","Cao L.J., Tay
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T., Imaging Time-Series to Improve Classification and Imputation, (2015); Huang
S.H., Tai S.H., Lai S.H., A learning based contrarian trading strategy via dual
classifiers model, ACM Transactions on Intelligent Systems and Technology, 2,
(2011); Huang S.H., Pan Y.C., Automated visual inspection in semiconductor
industry: A survey, Computers in Industry, 66, pp. 1-10, (2015); Huang S.H., Pan
Y.C., Ergonomic job rotation strategy based on an automated rgb-d anthropometric
measuring system, Journal of Manufacturing Systems, 33, 4, pp. 699-710,
(2014)",,,Institute of Electrical and Electronics Engineers Inc.,Chinese Institute
of Electronics; IEEE Big Data; Nuctech; University of Macau,"7th International
Conference on Cloud Computing and Big Data, CCBD 2016",16 November 2016 through 18
November 2016,"Taipa, Macau",129180,,978-150903555-7,,,English,"Proc. - Int. Conf.
Cloud Comput. Big Data, CCBD",Conference paper,Final,,Scopus,2-s2.0-85027469207
Hagenau M.; Liebmann M.; Neumann D.,"Hagenau, Michael (55070665000); Liebmann,
Michael (55069823600); Neumann, Dirk (7202067244)",55070665000; 55069823600;
7202067244,Automated news reading: Stock price prediction based on financial news
using context-capturing features,2013,Decision Support
Systems,55,3,,685,697,12,269,10.1016/j.dss.2013.02.006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84878359983&doi=10.1016%2fj.dss.2013.02.006&partnerID=40&md5=a23980a4955392b46ea377
e3339406f3,"University of Freiburg, Platz der Alten Synagoge, 79085 Freiburg,
Germany","Hagenau M., University of Freiburg, Platz der Alten Synagoge, 79085
Freiburg, Germany; Liebmann M., University of Freiburg, Platz der Alten Synagoge,
79085 Freiburg, Germany; Neumann D., University of Freiburg, Platz der Alten
Synagoge, 79085 Freiburg, Germany","We examine whether stock price prediction based
on textual information in financial news can be improved as previous approaches
only yield prediction accuracies close to guessing probability. Accordingly, we
enhance existing text mining methods by using more expressive features to represent
text and by employing market feedback as part of our feature selection process. We
show that a robust feature selection allows lifting classification accuracies
significantly above previous approaches when combined with complex feature types.
This is because our approach allows selecting semantically relevant features and
thus, reduces the problem of over-fitting when applying a machine learning
approach. We also demonstrate that our approach is highly profitable for trading in
practice. The methodology can be transferred to any other application area
providing textual information and corresponding effect data. © 2013 Elsevier
B.V.",Decision support; Financial news; Stock price prediction; Text
mining,Commerce; Data mining; Decision support systems; Profitability;
Classification accuracy; Decision supports; Financial news; Machine learning
approaches; Robust feature selection; Stock price prediction; Text mining; Textual
information; Forecasting,,,,,,,"Antweiler W., Frank M.Z., Is all that talk just
noise? the information content of internet stock message boards, Journal of
Finance, 59, 3, pp. 1259-1294, (2004); Burges C., A tutorial on support vector
machines for pattern recognition, Data Mining and Knowledge Discovery, 2, pp. 121-
167, (1998); Butler M., Keselj V., Financial forecasting using character N-Gram
analysis and readability scores of annual reports, Advances in AI, (2009); Campbell
J.Y., Shiller R.J., Cointegration and tests of present value models, Journal of
Political Economy, 95, pp. 1062-1088, (1987); Cawley G.C., Talbot N.L., Preventing
over-fitting during model selection via Bayesian regularisation of the hyper-
parameters, Journal of Machine Learning Research, 8, pp. 841-861, (2007);
Coussement K., Van Den Poel D., Improving customer complaint management by
automatic email classification using linguistic style features as predictors,
Decision Support Systems, 44, pp. 870-882, (2008); Das S.R., Chen M.Y., Yahoo! for
Amazon: Sentiment extraction from small talk on the web, Management Science, 53, 9,
pp. 1375-1388, (2007); Forman G., An extensive empirical study of feature selection
metrics for text classification, Journal of Machine Learning Research, 3, pp. 1289-
1305, (2003); Gidofalvi G., Elkan C., Using News Articles to Predict Stock Price
Movements, Technical Report - Department of Computer Science and Engineering,
(2003); Groth S.S., Muntermann J., Supporting investment management processes with
machine learning techniques, Proceedings of the 9. Internationale Tagung
Wirtschaftsinformatik, Österreichische Computer Gesellschaft, Wien, Austria,
(2009); Groth S.S., Muntermann J., An intraday market risk management approach
based on textual analysis, Decision Support Systems, 50, pp. 680-691, (2011);
Joachims T., Text categorization with support vector machines: Learning with many
relevant features, Proceedings of the European Conference on Machine Learning,
Springer-Verlag, (1998); Klein D., Manning C.D., Accurate unlexicalized parsing,
Proceedings of the 41st Meeting of the Association for Computational Linguistics,
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news, Journal of Portfolio Management, 38, 1, pp. 110-124, (2011); Li F., Textual
analysis of corporate disclosures: A survey of the literature, Journal of
Accounting Literature, 29, pp. 143-165, (2010); Li F., The information content of
forward-looking statements in corporate filings - A naïve Bayesian machine learning
approach, Journal of Accounting Research, 48, 5, pp. 49-102, (2010); Loughran T.,
McDonald B., When is a liability not a liability? Textual analysis, dictionaries,
and 10-Ks, Journal of Finance, 66, pp. 35-65, (2011); Mackinlay C., Event studies
in economics and finance, Journal of Economic Literature, pp. 13-39, (1997);
Mittermayr M.-A., Forecasting intraday stock price trends with text mining
techniques, Proceedings of the 37th Annual Hawaii International Conference on
System Sciences, (2004); Muntermann J., Guettler A., Intraday stock price effects
of ad hoc disclosures: The German case, Journal of International Financial Markets,
Institutions and Money, 17, 1, pp. 1-24, (2007); Porter M.F., An algorithm for
suffix stripping, Program, 14, 3, pp. 130-137, (1980); Russell S., Norvig P.,
Artificial Intelligence: A Modern Approach, (2009); Salton G., McGill M.J.,
Introduction to Modern Information Retrieval, (1983); Schumaker R.P., Chen H.,
Textual analysis of stock market prediction using breaking financial news: The
AZFin text system, ACM Transactions on Information Systems, 27, 2, (2009);
Schumaker R.P., Zhang Y., Huang C., Chen H., Evaluating sentiment in financial news
articles, Decision Support Systems, 53, 3, pp. 458-464, (2012); Stange S., Kaserer
C., The impact of order size on stock liquidity - A representative study, CEFS
Working Paper No. 2008-9, (2008); Tetlock P.C., Giving content to investor
sentiment: The role of media in the stock market, Journal of Finance, 62, pp. 1139-
1168, (2007); Tetlock P.C., Saar-Tsechansky M., Macskassy S., More Than Words:
Quantifying Language to Measure Firms' Fundamentals, 63, pp. 1437-1468, (2008);
Tetlock P.C., All the news that's fit to reprint: Do investors react to stale
information?, The Review of Financial Studies, 24, 5, pp. 1481-1512, (2011);
Wuthrich B., Cho V., Leung S., Permunetilleke D., Sankaran K., Zhang J., Daily
stock market forecast from textual web data, Proceedings of the IEEE International
Conference on Systems, Man, and Cybernetics, San Diego, CA, (1998); Yang Y.,
Pedersen J., A comparative study on feature selection in text categorization,
International Conference on Machine Learning (ICML), (1997); Yang Y., Liu X., A re-
examination of text categorization methods, Proceedings of the 22nd Int. ACM SIGIR
Conference on Research and Development in Information Retrieval, (1999)","M.
Hagenau; University of Freiburg, Platz der Alten Synagoge, 79085 Freiburg, Germany;
email: [email protected]",,,,,,,,1679236,,DSSYD,,English,Decis
Support Syst,Article,Final,,Scopus,2-s2.0-84878359983
Khare K.; Darekar O.; Gupta P.; Attar V.Z.,"Khare, Kaustubh (57208999756); Darekar,
Omkar (57201858013); Gupta, Prafull (57201855485); Attar, V.Z.
(24830139900)",57208999756; 57201858013; 57201855485; 24830139900,Short term stock
price prediction using deep learning,2017,"RTEICT 2017 - 2nd IEEE International
Conference on Recent Trends in Electronics, Information and Communication
Technology,
Proceedings",2018-January,,,482,486,4,90,10.1109/RTEICT.2017.8256643,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85046300263&doi=10.1109%2fRTEICT.2017.8256643&partnerID=40&md5=f903042ec19e1d841455
b22f0a0b7b9d,"Department of Computer Engineering and Information Technology,
College of Engineering, Pune, India","Khare K., Department of Computer Engineering
and Information Technology, College of Engineering, Pune, India; Darekar O.,
Department of Computer Engineering and Information Technology, College of
Engineering, Pune, India; Gupta P., Department of Computer Engineering and
Information Technology, College of Engineering, Pune, India; Attar V.Z., Department
of Computer Engineering and Information Technology, College of Engineering, Pune,
India","Short - term price movements, contribute a considerable measure to the
unpredictability of the securities exchanges. Accurately predicting the price
fluctuations in stock market is a huge economical advantage. The aforementioned
task is generally achieved by analyzing the company, this is called as fundamental
analysis. Another method, which is undergoing a lot of research work recently, is
to create a predictive algorithmic model using machine learning. To train machines
to take trading decisions in such short - period of time, the latter method needs
to be adopted. Deep Neural Networks, being the most exceptional innovation in
Machine Learning, have been utilized to develop a short-term prediction model. This
paper plans to forecast these short - term prices of stocks. 10 unique stocks
recorded on New York Stock Exchange are considered for this review. The review
essentially focuses on the prediction of these short - term prices leveraging the
power of technical analysis. Technical Analysis guides the framework to understand
the patterns from the historical prices fed into it, and attempts to
probabilistically forecast the fleeting future prices of the stock under review.
The paper discusses about two distinct sorts of Artificial Neural Networks, Feed
Forward Neural Networks and Recurrent Neural Networks. The review uncovers that
Feed Forwards Multilayer Perceptron perform superior to Long Short-Term Memory, at
predicting the short - term prices of a stock. © 2017 IEEE.",Artificial Neural
Networks; Deep Learning; Multilayer Perceptron; Stock Price Prediction; Technical
Analysis,Commerce; Costs; Deep learning; Deep neural networks; Feedforward neural
networks; Financial markets; Forecasting; Machine learning; Multilayer neural
networks; Multilayers; Neural networks; Recurrent neural networks; Algorithmic
model; Fundamental analysis; New York Stock Exchange; Price fluctuation; Price
movement; Short term prediction; Stock price prediction; Technical analysis;
Electronic trading,,,,,,,"Fama E., Efficient capital markets: A review of theory
and empirical work, Journal of Finance, (1970); Pan H.P., A joint review of
technical and quantitative analysis of financial markets towards a unified science
of intelligent finance, Paper for the 2003 Hawaii International Conference on
Statistics and Related Fields, (2003); Mendelsohn L.B., Trend forecasting with
technical analysis: Unleashing the hidden power of intermarket analysis to beat the
market, Marketplace Books, (2000); Heaton J.B., Polson N., Witte J.H., Deep
learning for finance, Deep Portfolios, 5, (2016); Torkil A., Predicting Stock
Markets with Neural Networks-A Comaparative Study; Hengjian J., Investigation into
the Effectiveness of LongShort Term Memory Networks for Stock Price Prediction;
Mahdi P.N., Hamidreza T., Homa B.H., Stock market value prediction using neural
networks, 2010 International Conference on Computer Information Systems and
Industrial Management Applications(CISIM; Mahato P., Attark V., Prediction of gold
and silver stock price using ensemble models, IEEE International Conference on
Advances in Engineering & Technology Research (ICAETR-2014, (2014); Kshirsagar G.,
Chandel M., Kakade S., Amaria R., Stock market prediction using artificial neural
networks, International Journal of Advanced Research in Computer Engineering &
Technology (IJARCET, 5, 5, (2016); Li G., Zhu J., Research on the effectiveness of
technical indicators with the volume, International Conference on Education,
Management and Computing Technology (ICEMCT 2014; Kumar Sirohi A., Mahato P., Attar
V.Z., Multiple Kernel Learning for Stock Price Direction Prediction IEEE
International Conference on Advances in Engineering & Technology Research (ICAETR-
2014; Kar A., Stock Prediction Using Artificial Neural Network",,,Institute of
Electrical and Electronics Engineers Inc.,,"2nd IEEE International Conference on
Recent Trends in Electronics, Information and Communication Technology, RTEICT
2017",19 May 2017 through 20 May 2017,Bangalore,134255,,978-150903704-
9,,,English,"RTEICT - IEEE Int. Conf. Recent Trends Electron., Inf. Commun.
Technol., Proc.",Conference paper,Final,,Scopus,2-s2.0-85046300263
Porshnev A.; Redkin I.; Shevchenko A.,"Porshnev, Alexander (56109471800); Redkin,
Ilya (56109245700); Shevchenko, Alexey (56109538900)",56109471800; 56109245700;
56109538900,Machine learning in prediction of stock market indicators based on
historical data and data from twitter sentiment analysis,2013,"Proceedings - IEEE
13th International Conference on Data Mining Workshops, ICDMW
2013",,,6753954,440,444,4,82,10.1109/ICDMW.2013.111,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84898047873&doi=10.1109%2fICDMW.2013.111&partnerID=40&md5=1b12fc9ced3f318b3810c5d00
32b1e18,"National Research University Higher School of Economics, Nizhniy Novgorod,
Russian Federation","Porshnev A., National Research University Higher School of
Economics, Nizhniy Novgorod, Russian Federation; Redkin I., National Research
University Higher School of Economics, Nizhniy Novgorod, Russian Federation;
Shevchenko A., National Research University Higher School of Economics, Nizhniy
Novgorod, Russian Federation","Development of linguistic technologies and
penetration of social media provide powerful possibilities to investigate users'
moods and psychological states of people. In this paper we discussed possibility to
improve accuracy of stock market indicators predictions by using data about
psychological states of Twitter users. For analysis of psychological states we used
lexicon-based approach, which allow us to evaluate presence of eight basic emotions
in more than 755 million tweets. The application of Support Vectors Machine and
Neural Networks algorithms to predict DJIA and S&P500 indicators are discussed.
© 2013 IEEE.",Mood; Neural Networks; Prediction; Psychological states; Stock market
indicators; Support Vectors Machine; Twitter,Commerce; Data mining; Finance; Neural
networks; Social networking (online); Mood; Psychological state; Stock market;
Support vectors machine; Twitter; Forecasting,,,,,,,"Bollen J., Mao H., Zeng X.,
Twitter mood predicts the stock market, Journal of Computational Science, 2, 1, pp.
1-8, (2011); Chen R., Lazer M., Sentiment Analysis of Twitter Feeds for the
Prediction of Stock Market Movement, (2013); Ding T., Fang V., Zuo D., Stock Market
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Was It A Blip Anthony Explores. WatersTechnology, (2013); Mayer J.D., Gaschke Y.N.,
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AP Tweet on White House Explosions | Reuters; O'Connor B., Balasubramanyan R.,
Routledge B.R., Smith N.A., From tweets to polls: Linking text sentiment to public
opinion time series, Proceedings of the International AAAI Conference on Weblogs
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trades, MarketBeat, (2011); Pang B., Lee L., Vaithyanathan S., Thumbs up sentiment
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Predicting stock market indicators through twitter ""i hope it is not as bad as i
fear, The 2nd Collaborative Innovation Networks Conference-COINs2010, 26, pp. 55-
62, (2011); Lyashevskaya O., Astafieva I., Bonch-Osmolovaskaya A., Gareishina U.,
Jlaniebckaa O., Actabeba H., Eoim-Oc M.O., Jio B.C., Kaa A., Tapeftrnhha K., Dialog
2010 Conference Proceedings, (2010)",,,IEEE Computer Society,,"2013 13th IEEE
International Conference on Data Mining Workshops, ICDMW 2013",7 December 2013
through 10 December 2013,"Dallas, TX",104247,,,,,English,"Proc. - IEEE Int. Conf.
Data Min. Workshops, ICDMW",Conference paper,Final,,Scopus,2-s2.0-84898047873
Dingli A.; Fournier K.S.,"Dingli, Alexiei (7801315512); Fournier, Karl Sant
(57197812381)",7801315512; 57197812381,Financial time series forecasting - a deep
learning approach,2017,International Journal of Machine Learning and
Computing,7,5,,118,122,4,75,10.18178/ijmlc.2017.7.5.632,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85035056992&doi=10.18178%2fijmlc.2017.7.5.632&partnerID=40&md5=e1437833f03c6f5df404
81ce9ac800e9,"Department of Artificial Intelligence, University of Malta,
Malta","Dingli A., Department of Artificial Intelligence, University of Malta,
Malta; Fournier K.S., Department of Artificial Intelligence, University of Malta,
Malta","This paper is intended as a follow up to a previous study of ours -
Financial Time Series Forecasting - A Machine Learning Approach. The aforementioned
study evaluates traditional machine learning techniques for the task of financial
time series forecasting. In this paper, we attempt to make use of the same base
dataset, with the difference of making use of a novel branch of machine learning
techniques known as Deep Learning. These techniques have been introduced with the
objective of moving Machine Learning closer to one of its original goals:
Artificial Intelligence. These deep architectures are known to excel in tasks such
as image and text recognition, but have not been exploited as much in the field of
finance. In particular, for this study we will be making use of Convolutional
Neural Networks (CNNs) to forecast the next period price direction with respect to
the current price. We achieve an accuracy of 65% when forecasting the next month
price direction and 60% for the next week price direction forecast. Whilst these
results are anything but random, we are not able to match or surpass results
obtained by industry leading techniques such as Logistic Regression and Support
Vector Machines.",Data science; Deep learning; Fintech; Machine learning; Stock
market,,,,,,,,"Deep MNIST for experts, (2017); LeCun Y., Et al., 'Gradient-based
learning applied to document recognition, ', (1998); LeCun Y., 'Convolutional
neural networks (LeNet), deep learning 0.1 documentation, ', (2013); Siripurapu A.,
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7th International Conference of Soft Computing and Pattern Recognition (SoCPaR),
(2015); Ding X., Et al., Deep learning for event-driven stock prediction, , Proc.
the Twenty-Fourth International Joint Conference on Artificial Intelligence,
(2015); Tang Y., 'Deep Learning Using Linear Support Vector Machines', (2013);
Glassman B., Currency's impact on your portfolio: Five things you need to know now,
(2017); Index, (2017)",,,International Association of Computer Science and
Information Technology,,,,,,20103700,,,,English,Int. J. Mach. Learn.
Comput.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-85035056992
Aboussalah A.M.; Lee C.-G.,"Aboussalah, Amine Mohamed (57210826827); Lee, Chi-Guhn
(57203055947)",57210826827; 57203055947,Continuous control with Stacked Deep
Dynamic Recurrent Reinforcement Learning for portfolio optimization,2020,Expert
Systems with Applications,140,,112891,,,,67,10.1016/j.eswa.2019.112891,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071638489&doi=10.1016%2fj.eswa.2019.112891&partnerID=40&md5=aecb3a8e601e9b9cd2861
3661e01ae0d,"Department of Mechanical and Industrial Engineering, University of
Toronto, M5S 3G8, ON, Canada","Aboussalah A.M., Department of Mechanical and
Industrial Engineering, University of Toronto, M5S 3G8, ON, Canada; Lee C.-G.,
Department of Mechanical and Industrial Engineering, University of Toronto, M5S
3G8, ON, Canada","Recurrent reinforcement learning (RRL) techniques have been used
to optimize asset trading systems and have achieved outstanding results. However,
the majority of the previous work has been dedicated to systems with discrete
action spaces. To address the challenge of continuous action and multi-dimensional
state spaces, we propose the so called Stacked Deep Dynamic Recurrent Reinforcement
Learning (SDDRRL) architecture to construct a real-time optimal portfolio. The
algorithm captures the up-to-date market conditions and rebalances the portfolio
accordingly. Under this general vision, Sharpe ratio, which is one of the most
widely accepted measures of risk-adjusted returns, has been used as a performance
metric. Additionally, the performance of most machine learning algorithms highly
depends on their hyperparameter settings. Therefore, we equipped SDDRRL with the
ability to find the best possible architecture topology using an automated Gaussian
Process (GP) with Expected Improvement (EI) as an acquisition function. This allows
us to select the best architectures that maximizes the total return while
respecting the cardinality constraints. Finally, our system was trained and tested
in an online manner for 20 successive rounds with data for ten selected stocks from
different sectors of the S&P 500 from January 1st, 2013 to July 31st, 2017. The
experiments reveal that the proposed SDDRRL achieves superior performance compared
to three benchmarks: the rolling horizon Mean-Variance Optimization (MVO) model,
the rolling horizon risk parity model, and the uniform buy-and-hold (UBAH) index. ©
2019",Deep learning; Financial time series; Policy gradient; Portfolio management;
Reinforcement learning; Sequential model-based optimization; Trading
systems,Benchmarking; Commerce; Deep learning; Electronic trading; Financial
markets; Investments; Learning algorithms; Memory architecture; Reinforcement
learning; Risk assessment; Financial time series; Policy gradient; Portfolio
managements; Sequential model; Trading systems; Machine learning,,,,,"Fonds de
recherche du Québec – Nature et technologies, FRQNT, (210036)",The authors are very
grateful to Zixuan Wang and to Yassine Yaakoubi for their help and constructive
comments regarding this work. This research is supported by the Fonds de recherche
du Québec - Nature et technologies (FRQNT). 210036 .,"Almahdi S., Yang S.Y., An
adaptive portfolio trading system: A risk-return portfolio optimization using
recurrent reinforcement learning with expected maximum drawdown, Expert Systems
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search algorithm for large-scale nonlinear programming, Mathematical Programming,
106, pp. 25-57, (2006); Zarkias K.S., Passalis N., Tsantekidis A., Tefas A., Deep
reinforcement learning for financial trading using price trailing, International
conference on acoustics, speech and signal processing (ICASSP), (2019); Zhengyao
J., Liang J., Cryptocurrency portfolio management with deep reinforcement learning,
Intelligent systems conference (IntelliSys), (2017); Zhou Z.-H., Ensemble methods:
Foundations and algorithms, (2012)","C.-G. Lee; Department of Mechanical and
Industrial Engineering, University of Toronto, M5S 3G8, Canada; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85071638489
Kumar D.A.; Murugan S.,"Kumar, D. Ashok (57200100666); Murugan, S.
(57226540190)",57200100666; 57226540190,Performance analysis of Indian stock market
index using neural network time series model,2013,"Proceedings of the 2013
International Conference on Pattern Recognition, Informatics and Mobile
Engineering, PRIME
2013",,,6496450,72,78,6,58,10.1109/ICPRIME.2013.6496450,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84876773429&doi=10.1109%2fICPRIME.2013.6496450&partnerID=40&md5=e94f2fbaf95203a6674
e55640b785f97,"Department of Computer Science, Government Arts College,
Tiruchirappalli,-620 022, India; Department of Computer Science, Alagappa
Government Arts College, Karaikudi, 630 003, India","Kumar D.A., Department of
Computer Science, Government Arts College, Tiruchirappalli,-620 022, India; Murugan
S., Department of Computer Science, Alagappa Government Arts College, Karaikudi,
630 003, India","Forecasting based on time series data for stock prices, currency
exchange rate, price indices, etc., is one of the active research areas in many
field viz., finance, mathematics, physics, machine learning, etc. Initially, the
problem of financial time sequences analysis and prediction are solved by many
statistical models. During the past few decades, a large number of neural network
models have been proposed to solve the problem of financial data and to obtain
accurate prediction result. The statistical model integrated with ANN (Hybrid
model) has given better result than using single model. This work discusses some
basic ideas of time series data, need of ANN, importance of stock indices, survey
of the previous works and it investigates neural network models for time series in
forecasting. The forecasting accuracy is analyzed and measured with reference to an
Indian stock market index such as Bombay Stock Exchange (BSE) and NIFTY MIDCAP50 in
this study and it is found that the right parameters number of epochs, learning
rate and momentum is 2960, 0.28 and 0.5 respectively for forecasting network by
conducting various experiment. © 2013 IEEE.",Forecasting; Neural Network; Stock
Index Performance; Time Series,Commerce; Finance; Forecasting; Information science;
Neural networks; Pattern recognition; Accurate prediction; Bombay stock exchanges;
Currency exchange rates; Forecasting accuracy; Neural network model; Performance
analysis; Stock indices; Time series models; Time series,,,,,,,"Brooks C.,
Introductory Econometrics for Finance, (2002); Carney J., Cunningham P., Tuning
diversity in bagged ensembles, International Journal of Neural Systems, pp. 267-
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Systems with Applications, pp. 809-815, (2007); Pissarenko D., Neural Networks for
Financial Time Series Prediction Overview over Recent Research, (2001); Gronholdt
L., Martensen A., Analysing customer satisfaction data: A comparison of regression
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130, (2005); Hansen J.V., McDonald J.B., Nelson R.D., Time series prediction with
geneticalgorithm designed neural networks: An empirical comparison with modern
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Kaastra A., Milton Boyd B., Designing a neural network for forecasting financial
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network linear forecasts for stock returns, International Journal of Finance and
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Yu L., Wang S.Y., Zhou C.X., Neural-network-based Metamodeling for Financial Time
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L., Wang S.Y., Lai K.K., Foreign-Exchange-Rate Forecasting with Artificial Neural
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self-organizing learning vector quantization algorithm, International Journal on
Artificial Intelligence and Machine Learning (AIML), 5, 3, pp. 63-67, (2005);
Thangavel K., Ashok Kumar D., Aranganayagi S., Pattern clustering neural networks,
Proceeding of International Conference on Vision 2020 : The Strategic Role of
Operations Research, pp. 662-681, (2005); Ashok Kumar D., Murugan S., A survey on
soft computing approaches of time series data and analysism, Proceedings of the
International Conference on ORSI 2010 and ORURD, Held at Thiagarajar College of
Engineering, (2010)","D.A. Kumar; Department of Computer Science, Government Arts
College, Tiruchirappalli,-620 022, India; email: [email protected]",,,,"2013
International Conference on Pattern Recognition, Informatics and Mobile
Engineering, PRIME 2013",21 February 2013 through 22 February 2013,"Salem,
Tamilnadu",96749,,978-146735845-3,,,English,"Proc. Int. Conf. Pattern Recogn.,
Informatics Mob. Eng., PRIME",Conference paper,Final,,Scopus,2-s2.0-84876773429
Zhang Y.; Chu G.; Shen D.,"Zhang, Yongjie (56011637800); Chu, Gang (57208779861);
Shen, Dehua (55775213600)",56011637800; 57208779861; 55775213600,The role of
investor attention in predicting stock prices: The long short-term memory networks
perspective,2021,Finance Research
Letters,38,,101484,,,,57,10.1016/j.frl.2020.101484,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85082742687&doi=10.1016%2fj.frl.2020.101484&partnerID=40&md5=a43569160fa2c202d411e7
b3bda9d0c1,"College of Management and Economics, Tianjin University, No.92 Weijin
Road, Nankai District, Tianjin, 300072, China","Zhang Y., College of Management and
Economics, Tianjin University, No.92 Weijin Road, Nankai District, Tianjin, 300072,
China; Chu G., College of Management and Economics, Tianjin University, No.92
Weijin Road, Nankai District, Tianjin, 300072, China; Shen D., College of
Management and Economics, Tianjin University, No.92 Weijin Road, Nankai District,
Tianjin, 300072, China","In this paper, we use Long Short-Term Memory Networks
(LSTM) to predict stock price movement. Compared with other Artificial Neural
Networks (ANNs), LSTM is more suitable to process the non-linear, non-stationary,
and complicated financial time series. To improve the prediction accuracy, we
employ investor attention proxies as the supplements of market variables, e.g.,
price, volume, and other technique indexes. The empirical findings mainly show that
the LSTM model employing online investor attention proxies outperforms other models
with the best prediction accuracy and rational time cost. Our results should be
noticeable to investors, who are interested in quantitative investment. © 2020
Elsevier Inc.",Baidu Index; Investor attention; Long short-term memory networks;
Machine learning,,,,,,"Young Elite Scientists Sponsorship Program by Tianjin;
National Natural Science Foundation of China, NSFC, (71701150, 71771170, U1811462);
Young Elite Scientists Sponsorship Program by Tianjin, (TJSQNTJ-2017-09)","Funding
text 1: This work is supported by the National Natural Science Foundation of China
( U1811462 , 71771170 and 71701150 ) and the Young Elite Scientists Sponsorship
Program by Tianjin ( TJSQNTJ-2017-09 ) . ; Funding text 2: This work is supported
by the National Natural Science Foundation of China (U1811462, 71771170 and
71701150) and the Young Elite Scientists Sponsorship Program by Tianjin (TJSQNTJ-
2017-09).","Aboody D., Lehavy R., Trueman B., Limited attention and the earnings
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College of Management and Economics, Tianjin University, Tianjin, No.92 Weijin
Road, Nankai
District, 300072, China; email: [email protected]",,Elsevier
Ltd,,,,,,15446123,,,,English,Finan. Res. Lett.,Article,Final,,Scopus,2-s2.0-
85082742687
Goel A.; Goel A.K.; Kumar A.,"Goel, Akash (57971194100); Goel, Amit Kumar
(22334427100); Kumar, Adesh (57221101879)",57971194100; 22334427100;
57221101879,The role of artificial neural network and machine learning in utilizing
spatial information,2023,Spatial Information
Research,31,3,,275,285,10,67,10.1007/s41324-022-00494-x,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85142283097&doi=10.1007%2fs41324-022-00494-
x&partnerID=40&md5=c2ce833df88518b7874504d6bf3d0dd3,"Department of Computer Science
& Engineering, Galgotia’s University, NCR, Greater Noida, India; Department of
Electrical & Electronics Engineering, School of Engineering, University of
Petroleum and Energy Studies, Dehradun, India","Goel A., Department of Computer
Science & Engineering, Galgotia’s University, NCR, Greater Noida, India; Goel A.K.,
Department of Computer Science & Engineering, Galgotia’s University, NCR, Greater
Noida, India; Kumar A., Department of Electrical & Electronics Engineering, School
of Engineering, University of Petroleum and Energy Studies, Dehradun, India","In
this age of the fourth industrial revolution 4.0, the digital world has a plethora
of data, including the internet of things, mobile, cybersecurity, social media,
forecasts, health data, and so on. The expertise of machine learning and artificial
intelligence (AI) is required to soundly evaluate the data and develop related
smart and automated applications, These fields use a variety of machine learning
techniques including supervised, unsupervised, and reinforcement learning. The
objective of the study is to present the role of artificial neural networks and
machine learning in utilizing spatial information. Machine learning and AI play an
increasingly important role in disaster risk reduction from hazard mapping and
forecasting severe occurrences to real-time event detection, situational awareness,
and decision assistance. Some of the applications employed in the study to analyze
the various ANN domains included weather forecasting, medical diagnosis, aerospace,
facial recognition, stock market, social media, signature verification, forensics,
robotics, electronics hardware, defense, and seismic data gathering. Machine
learning determines the many prediction models for problems involving
classification, regression, and clustering using known variables and locations from
the training dataset, spatial data that is based on tabular data creates different
observations that are geographically related to one another for unknown factors and
places. The study presents that the Recurrent neural network and convolutional
neural network are the best method in spatial information processing, healthcare,
and weather forecasting with greater than 90% accuracy. © 2022, The Author(s),
under exclusive licence to Korea Spatial Information Society.",Artificial neural
networks; Deep learning; Machine learning; Multimedia applications; Satellite
communication; Spatial information,Classification (of information); Deep neural
networks; Diagnosis; Face recognition; Learning systems; Multilayer neural
networks; Reinforcement learning; Social networking (online); Weather forecasting;
Cyber security; Deep learning; Digital world; Industrial revolutions; Machine-
learning; Multimedia applications; Neural network learning; Satellite
communications; Social media; Spatial informations; artificial intelligence;
artificial neural network; data processing; machine learning; seismic data; spatial
data; weather forecasting; Recurrent neural networks,,,,,,,"Amato F., Lopez A.,
Pena-Mendez E.M., Vanhara P., Hampl A., Havel J., Artificial neural networks in
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N., Ko B., Choi B.W., Park C.M., Yoon H.J., Artificial intelligence in health care:
Current applications and issues, Journal of Korean medical science, (2020); Jindal
N., Kumar V., Enhanced face recognition algorithm using pca with artificial neural
networks, International Journal of Advanced Research in Computer Science and
Software Engineering, 3, 6, pp. 864-872, (2013); Ma Y., Ba Z., Zhao Y., Mao J., Li
G., Understanding and predicting the dissemination of scientific papers on social
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for data-driven prognostic model of aircraft engines, Aerospace, 7, 9, (2020);
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categorization using MRI images by K-means clustering & DWT, International Journal
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D., Vision, challenges, roles and research issues of Artificial Intelligence in
Education, Computers and Education: Artificial Intelligence, 1, (2020)","A. Goel;
Department of Computer Science & Engineering, Galgotia’s University, Greater Noida,
NCR, India; email: [email protected]",,Springer Science and Business Media
B.V.,,,,,,23663286,,,,English,Spat. Inf. Res.,Review,Final,All Open Access; Bronze
Open Access,Scopus,2-s2.0-85142283097
Abe M.; Nakayama H.,"Abe, Masaya (57202792885); Nakayama, Hideki
(35230509500)",57202792885; 35230509500,Deep learning for forecasting stock returns
in the cross-section,2018,Lecture Notes in Computer Science (including subseries
Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics),10937
LNAI,,,273,284,11,59,10.1007/978-3-319-93034-3_22,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85049381300&doi=10.1007%2f978-3-319-93034-
3_22&partnerID=40&md5=e58c8dcc2d9175c3581769a15e485599,"Nomura Asset Management
Co., Ltd., Tokyo, Japan; The University of Tokyo, Tokyo, Japan","Abe M., Nomura
Asset Management Co., Ltd., Tokyo, Japan; Nakayama H., The University of Tokyo,
Tokyo, Japan","Many studies have been undertaken by using machine learning
techniques, including neural networks, to predict stock returns. Recently, a method
known as deep learning, which achieves high performance mainly in image recognition
and speech recognition, has attracted attention in the machine learning field. This
paper implements deep learning to predict one-month-ahead stock returns in the
cross-section in the Japanese stock market and investigates the performance of the
method. Our results show that deep neural networks generally outperform shallow
neural networks, and the best networks also outperform representative machine
learning models. These results indicate that deep learning shows promise as a
skillful machine learning method to predict stock returns in the cross-section. ©
Springer International Publishing AG, part of Springer Nature 2018.",Cross-section;
Deep learning; Forecasting; Industrial application; Neural networks; Stock
returns,Artificial intelligence; Data mining; Deep learning; Electronic trading;
Financial markets; Forecasting; Image recognition; Industrial applications;
Investments; Neural networks; Speech recognition; Cross-section; Japanese stock
markets; Machine learning methods; Machine learning models; Machine learning
techniques; Stock returns; Deep neural networks,,,,,,,"Subrahmanyam A., The cross-
section of expected stock returns: What have we learnt from the past twenty-five
years of research?, Eur. Financ. Manag., 16, 1, pp. 27-42, (2010); Harvey C.R., Liu
Y., Zhu H., … and the cross-section of expected returns, Review. Finan. Stud., 29,
1, pp. 5-68, (2016); McLean R.D., Pontiff J., Does academic research destroy stock
return predictability?, J. Finan., 71, 1, pp. 5-32, (2016); Lecun Y., Bengio Y.,
Hinton G., Deep learning, Nature, 521, 7553, pp. 436-444, (2015); Goodfellow I.,
Bengio Y., Courville A., Deep Learning, (2016); Atsalakis G.S., Valavanis K.P.,
Surveying stock market forecasting techniques–Part II: Soft computing methods,
Exper. Syst. Appl., 36, 3, pp. 5932-5941, (2009); Soni S., Applications of ANNs in
stock market prediction: A survey, Int. J. Comput. Sci. Engineering. Technol., 2,
3, pp. 71-83, (2011); Olson D., Mossman C., Neural network forecasts of Canadian
stock returns using accounting ratios, Int. J. Forecast., 19, 3, pp. 453-465,
(2003); Cao Q., Leggio K.B., Schniederjans M.J., A comparison between Fama and
French’s model and artificial neural networks in predicting the Chinese stock
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M., Wright D., Using artificial neural networks to pick stocks, Finan. Anal. J.,
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gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500, Eur.
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Classification-Based Financial Markets Prediction Using Deep Neural Networks;
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optimization; Smola A.J., Scholkopf B., A tutorial on support vector regression,
Stat. Comput., 14, 3, pp. 199-222, (2004); Breiman L., Random forests, Mach.
Learn., 45, 1, pp. 5-32, (2001)","M. Abe; Nomura Asset Management Co., Ltd., Tokyo,
Japan; email: [email protected]",Phung D.; Webb G.I.; Ho B.; Tseng V.S.; Ganji
M.; Rashidi L.,Springer Verlag,Deakin University as the host institution; Trusting
Social ; University of Melbourne,"22nd Pacific-Asia Conference on Advances in
Knowledge Discovery and Data Mining, PAKDD 2018",3 June 2018 through 6 June
2018,Melbourne,214589,3029743,978-331993033-6,,,English,Lect. Notes Comput.
Sci.,Conference paper,Final,,Scopus,2-s2.0-85049381300
Xiao C.; Xia W.; Jiang J.,"Xiao, Chenglin (57210284403); Xia, Weili (35174071700);
Jiang, Jijiao (8531611300)",57210284403; 35174071700; 8531611300,Stock price
forecast based on combined model of ARI-MA-LS-SVM,2020,Neural Computing and
Applications,32,10,,5379,5388,9,70,10.1007/s00521-019-04698-5,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85077584009&doi=10.1007%2fs00521-019-04698-
5&partnerID=40&md5=dcdc6eaff55525575054918ca5ddd878,"School of Management,
Northwestern Polytechnical University, Xi’an, 710129, Shaanxi, China","Xiao C.,
School of Management, Northwestern Polytechnical University, Xi’an, 710129,
Shaanxi, China; Xia W., School of Management, Northwestern Polytechnical
University, Xi’an, 710129, Shaanxi, China; Jiang J., School of Management,
Northwestern Polytechnical University, Xi’an, 710129, Shaanxi, China","Stock
forecasting is a very complex non-stationary, nonlinear time series forecasting,
and is often affected by many factors, making it difficult to predict it with a
simple model. Support vector machine (SVM) is one of the common data mining methods
in the field of machine learning. It has outstanding advantages compared with other
methods and it is widely used in various fields. However, there are still many
problems in the practical application of the method, and the model itself has many
fields that need to be improved. The purpose of this paper is to accurately predict
the trend of stock prices, providing a reference model for the trend of stock
market and the tracking method of stock price prediction, and provide value
reference for research on the forecasting model of stock market and investor’s
investment decision. Research using a combined model to predict stock market trends
whether will have a significant improvement compared to using a single model to
forecast that. The method of this paper is to analyze the shortcomings of current
stock market forecasting methods and standard support vector machines firstly, at
the same time, based on this, a cumulative auto-regressive moving average is
proposed, which combines the least squares support vector machine synthesis model
(ARI-MA-LS-SVM) to make basic predictions for the stock market. Secondly, process
the data first for the predictive indicators by using cumulative auto-regressive
moving average. Then, use the least squares support vector machine of simple
indicator system to predict stock price fluctuations. Therefore, it can be
concluded that the combined model based on ARI-MA-LS-SVM is more suitable for stock
price forecasting than the single forecasting model, and the actual performance is
better. At the same time, a large number of simulation experiments show that the
algorithm of multiple model’s fusion can achieve the expected effect, which
indicate that the model has universal applicability, market applicability and
stability feasibility. This model can bring some guidance and reference value for
many investors and market regulators. © 2020, Springer-Verlag London Ltd., part of
Springer Nature.",Attribute reduction; Cumulative auto-regressive moving average;
Least squares; Stock price forecasting; Support vector machine,Commerce; Data
mining; Financial markets; Forecasting; Least squares approximations; Support
vector machines; Time series analysis; Vectors; Attribute reduction; Autoregressive
moving average; Least Square; Least squares support vector machines; Stock market
forecasting; Stock price fluctuation; Stock price forecasting; Stock price
prediction; Investments,,,,,,,"Chou J.S., Nguyen T.K., Forward forecast of stock
price using sliding-window metaheuristic-optimized machine-learning regression,
IEEE Trans Ind Informatics, PP, 99, (2018); Chen S., Sun Y.L., Liu Y., Forecast of
stock price fluctuation based on the perspective of volume information in stock and
exchange market, China Financ Rev Int, 8, 3, pp. 297-314, (2018); Yang Y., Gold
price forecast based on esmd multi-frequency combination model, IOP Conf Ser Mater
Sci Eng, 466, 1, (2018); Kunze F., Spiwoks M., Bizer K., Et al., The usefulness of
oil price forecasts—evidence from survey predictions, Manag Decis Econ, 39, 12, pp.
427-446, (2018); Agustini W.F., Affianti I.R., Putri E.R., Stock price prediction
using geometric Brownian motion, J Phys Conf Ser, 974, 1, (2018); Dinh T.A., Kwon
Y.K., An empirical study on importance of modeling parameters and trading volume-
based features in daily stock trading using neural networks, IEEE Informatics, 5,
3, (2018); Mark C., Metzner C., Lautscham L., Et al., Bayesian model selection for
complex dynamic systems, Nat Commun, 9, 1, (2018); Sun R., Deng Y., A new method to
identify incomplete frame of discernment in evidence theory, IEEE Access, 7, pp.
15547-15555, (2019); Zheng H., Zhang Y., Liu J., Et al., A novel model based on
wavelet LS-SVM integrated improved PSO algorithm for forecasting of dissolved gas
contents in power transformers, Electr Power Syst Res, 155, pp. 196-205, (2018);
Sun A., Zhao T., Chen J., Et al., Comparative study: common ANN and LS-SVM exchange
rate performance prediction, Chin J Electron, 27, 3, pp. 561-564, (2018); Zhu X.,
Ma S.-Q., Qiang X., A WD-GA-LSSVM model for rainfall-triggered landslide
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Adv Civ Eng, 4, pp. 1-9, (2018); Zhang W., Qin Y., Kumar M., Et al., Application of
improved least squares support vector machine in the forecast of daily water
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of hourly water-level fluctuations based on the DCT least-squares extended model,
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maximum likelihood identification method for a multivariable controlled
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(2018); Mehdizadeh S., Sales A.K., A comparative study of autoregressive,
autoregressive moving average, gene expression programming and Bayesian networks
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Zhang Y., Song W., Karimi M., Et al., Fractional autoregressive integrated moving
average and finite-element modal: the forecast of tire vibration trend, IEEE
Access, 6, 99, (2018); Zhou X., Liang X., Du X., Zhao J., Structure based user
identification across social networks, IEEE Trans Knowl Data Eng, 30, 6, pp. 1178-
1191, (2018); Li Q., Cao G., Wei X., Relationship research between meteorological
disasters and stock markets based on a multifractal detrending moving average
algorithm, Int J Mod Phys B, 32, 1, (2018); Petukhova T., Ojkic D., Mcewen B., Et
al., Assessment of autoregressive integrated moving average (ARIMA), generalized
linear autoregressive moving average (GLARMA), and random forest (RF) time series
regression models for predicting influenza a virus frequency in swine in Ontario,
Canada, PLoS ONE, 13, 6, (2018); Wang D., Liang Z., A fuzzy set-valued
autoregressive moving average model and its applications, Symmetry, 10, 8, (2018);
Rui R., Wu D.D., Liu T., Forecasting stock market movement direction using
sentiment analysis and support vector machine, IEEE Syst J, PP, 99, pp. 1-11,
(2018); Wang J., Zhang J., Wang W., Yang C., A perturbation analysis of nonconvex
block-sparse compressed sensing, Commun Nonlinear Sci Numer Simul, 29, 1-3, pp.
416-426, (2015); Liu B., Li T., Tsai S.B., Low carbon strategy analysis of
competing supply chains with different power structures, Sustainability, 2017, 9,
(2017); Tsai S.B., Chien M.F., Xue Y., Li L., Et al., Using the fuzzy DEMATEL to
determine environmental performance: a case of printed circuit board industry in
Taiwan, PLoS ONE, 10, 6, (2015)","C. Xiao; School of Management, Northwestern
Polytechnical University, Xi’an, 710129, China; email:
[email protected]",,Springer,,,,,,9410643,,,,English,Neural Comput.
Appl.,Article,Final,,Scopus,2-s2.0-85077584009
Gite S.; Khatavkar H.; Kotecha K.; Srivastava S.; Maheshwari P.; Pandey N.,"Gite,
Shilpa (56656365900); Khatavkar, Hrituja (57221968395); Kotecha, Ketan
(6506676097); Srivastava, Shilpi (57221955863); Maheshwari, Priyam (57221965964);
Pandey, Neerav (57221968684)",56656365900; 57221968395; 6506676097; 57221955863;
57221965964; 57221968684,Explainable stock prices prediction from financial news
articles using sentiment analysis,2021,PeerJ Computer
Science,7,,,1,21,20,58,10.7717/PEERJ-CS.340,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85100775914&doi=10.7717%2fPEERJ-
CS.340&partnerID=40&md5=69e9f3514f069859e47d53219077749a,"Symbiosis Institute of
Technology, Symbiosis International (Deemed University), Pune, Maharashtra, India;
Symbiosis Center for Applied Artificial Intelligence (SCAAI), Symbiosis
International (Deemed University), Pune, Maharashtra, India","Gite S., Symbiosis
Institute of Technology, Symbiosis International (Deemed University), Pune,
Maharashtra, India; Khatavkar H., Symbiosis Institute of Technology, Symbiosis
International (Deemed University), Pune, Maharashtra, India; Kotecha K., Symbiosis
Center for Applied Artificial Intelligence (SCAAI), Symbiosis International (Deemed
University), Pune, Maharashtra, India; Srivastava S., Symbiosis Institute of
Technology, Symbiosis International (Deemed University), Pune, Maharashtra, India;
Maheshwari P., Symbiosis Institute of Technology, Symbiosis International (Deemed
University), Pune, Maharashtra, India; Pandey N., Symbiosis Institute of
Technology, Symbiosis International (Deemed University), Pune, Maharashtra,
India","The stock market is very complex and volatile. It is impacted by positive
and negative sentiments which are based on media releases. The scope of the stock
price analysis relies upon ability to recognise the stock movements. It is based on
technical fundamentals and understanding the hidden trends which the market
follows. Stock price prediction has consistently been an extremely dynamic field of
exploration and research work. However, arriving at the ideal degree of precision
is still an enticing challenge. In this paper, we are proposing a combined effort
of using efficient machine learning techniques coupled with a deep learning
technique—Long Short Term Memory (LSTM)—to use them to predict the stock prices
with a high level of accuracy. Sentiments derived by users from news headlines have
a tremendous effect on the buying and selling patterns of the traders as they
easily get influenced by what they read. Hence, fusing one more dimension of
sentiments along with technical analysis should improve the prediction accuracy.
LSTM networks have provedto be a very useful tool to learn and predict temporal
data having long term dependencies. In our work, the LSTM model uses historical
stock data along with sentiments from news items to create a better predictive
model. © 2021. Gite et al. All rights reserved.",Deep Learning; Explainable
AI(XAI); Long Short-Term Memory (LSTM); Stock price prediction,Commerce; Costs;
Deep learning; Financial markets; Forecasting; Learning systems; Predictive
analytics; Sentiment analysis; Degree of precision; Learning techniques; Long-term
dependencies; Machine learning techniques; Negative sentiments; Prediction
accuracy; Predictive modeling; Stock price prediction; Long short-term
memory,,,,,,,"Bird S, Klein E, Loper E., Natural language processing with python,
(2016); Cho K, Merrienboer BV, Gulcehre C, Bahdanau D, Bougares F, Schwenk H,
Bengio Y., Learning phrase representations using rnn encoder-decoder for
statistical machine translation, Proceedings of the 2014 conference on empirical
methods in natural language processing (EMNLP), (2014); Doran D, Schulz S, Besold
TR., What does explainable ai really mean? A new conceptualization of perspectives,
(2017); Egeli B, Ozturan M, Badur B., Stock market prediction using artificial
neural networks, Proceedings of the 3rd International Conference on Business, pp.
1-8, (2003); Ghosh A, Bose B, Maji G, Debnath NN, Sen S., Stock price prediction
using LSTM on Indian Share Market, EasyChair, 63, pp. 101-110, (2019); Greff K,
Srivastava RK, Koutnik J, Steunebrink BR, Schmidhuber J., LSTM: a search space
odyssey, (2015); Hiransha M, Gopalakrishnan EA, VijayKrishna M, Soman KP., NSE
stock market prediction using deep-learning models, Procedia Computer Science, 132,
pp. 1351-1362, (2018); Hochreiter S, Schmidhuber J., Long Short-Term Memory, Neural
Computation, 9, 8, pp. 1735-1780, (1997); Kalyani J, Bharathi HN, Rao J., Stock
Trend Prediction Using News Sentiment Analysis, International Journal of Computer
Science & Information Technology (IJCSIT), 8, 3, pp. 67-76, (2016); Khaleghi B.,
The how of explainable AI: post-modelling explainability, Towards Media Science,
(2019); Kim H, Won C., Forecasting the volatility of stock price index: a hybrid
model integrating LSTM with multiple GARCH-type models, Expert Systems with
Applications, 103, pp. 23-37, (2018); Messalas A, Christos M, Yannis K., Model-
agnostic interpretability with shapley values, (2019); Moghar A, Hamiche M., Stock
market prediction using LSTM recurrent neural network, Procedia Computer Science,
170, pp. 1168-1173, (2020); Nayak A, Pai MM, Pai RM., Prediction models for Indian
Stock market, Procedia Computer Science, 89, pp. 441-449, (2016); Olah C.,
Understanding LSTM Networks, (2020); Patel J, Shah S, Thakkar P, Kotecha K.,
Predicting stock and stock price index movement using trend deterministic data
preparation and machine learning techniques, Expert Systems with Applications, 42,
pp. 259-268, (2015); Patel J, Shah S, Thakkar P, Kotecha K., Predicting stock
market index using fusion of machine learning techniques, Expert Systems with
Applications, 42, pp. 2162-2172, (2014); A beginner’s guide to LSTMs and recurrent
neural networks, (2020); Pulse by Zerodha—The latest financial and market news from
all major Indian news sources aggregated in one place, (2020); Ribeiro M, Singh S,
Guestrin C., ’Why should i trust you?, explaining the predictions of any
classifier, 97, pp. 7-101, (2016); Saffar M., How explainable artificial
intelligence (XAI) can help us trust AI, Medium, (2019); Selvin S, Vinayakumar R,
Gopalakrishnan EA, Menon VK, Soman KP., Stock price prediction using LSTM, RNN and
CNN-sliding window model, 2017 International conference on advances in computing,
communications and informatics (ICACCI), (2017); Sherstinsky A., Fundamentals of
recurrent neural network (RNN) and long short-term memory (LSTM) network, Physica
D: Nonlinear Phenomena, 404, (2020); Shrikumar A, Greenside P, Shcherbina A,
Kundaje A., Not just a black box: learning important features through propagating
activation differences, (2016); Tan KK, Le NQK, Yeh HY, Chua MCH., Ensemble of deep
recurrent neural networks for identifying enhancers via dinucleotide
physicochemical properties, Cell, 8, 7, (2019); Titan AG., The efficient market
hypothesis: review of specialized literature and empirical research, Procedia
Economics and Finance, 32, pp. 442-449, (2015); Vargas MR, Lima BS, Evsuko A., Deep
learning for stock market prediction from financial news articles, 2017 IEEE
International Conference on Computational Intelligence and Virtual Environments for
Measurement Systems and Applications (CIVEMSA), pp. 60-65, (2017); Wexler J,
Pushkarna M, Bolukbasi T, Wattenberg M, Viega F, Wilson J., The, (2019); What-If
Tool: interactive probing of machine learning models, IEEE Transactions on
Visualization and Computer Graphics, 26, pp. 56-65; Yahoo Finance–stock market
live, quotes, business & finance news, (2020); Yoo PD, Kim MH, Jan T., Machine
learning techniques and use of event information for stock market prediction: a
survey and evaluation, International Conference on Computational Intelligence for
Modeling, Control and Automation (CIMCA 2005), pp. 835-841, (2005); Zhang X, Chen
F, Huang R., A combination of RNN and CNN for attention-based relation
classification, Procedia Computer Science, 131, pp. 911-917, (2018); Zhang X,
Fuehres H, Gloor PA., Predicting Stock Market Indicators Through Twitter ’’I hope
it is not as bad as I fear, Procedia - Social and Behavioral Sciences, 26, pp. 55-
62, (2011)","H. Khatavkar; Symbiosis Institute of Technology, Symbiosis
International (Deemed University), Pune, India; email:
[email protected]",,PeerJ Inc.,,,,,,23765992,,,,English,PeerJ
Comput. Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85100775914
Kumar R.; Kumar P.; Kumar Y.,"Kumar, Raghavendra (57223428793); Kumar, Pardeep
(55098732300); Kumar, Yugal (55085037000)",57223428793; 55098732300;
55085037000,Time Series Data Prediction using IoT and Machine Learning
Technique,2020,Procedia Computer
Science,167,,,373,381,8,64,10.1016/j.procs.2020.03.240,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084500781&doi=10.1016%2fj.procs.2020.03.240&partnerID=40&md5=8a7b5464c90afb0fdbd9
1448de160425,"Department of Computer Science and Engineering, Jaypee University of
Information Technology, Waknaghat, 173234, India; Department of Information
Technology, KIET Group of Institutions, Ghaziabad, 201206, India","Kumar R.,
Department of Computer Science and Engineering, Jaypee University of Information
Technology, Waknaghat, 173234, India; Kumar P., Department of Information
Technology, KIET Group of Institutions, Ghaziabad, 201206, India; Kumar Y.,
Department of Information Technology, KIET Group of Institutions, Ghaziabad,
201206, India","Time series analysis and prediction have been widely accepted in
various domains from last two decades. Business analytics, Medical drugs &
pharmaceutical, Dynamic Marketing, Weather forecasting, Pollution measures,
financial portfolio analysis and Stock market prediction are the favorite domains
among research communities under time series analysis. Since air quality is one of
the paramount factors which make life possible on earth and monitoring air quality
data as time series analysis is a one of prime area. The most affected air quality
parameters on health are carbon monoxide (CO),carbon dioxide (CO2), Ammonia(NH3)
and Acetone ((CH3)2CO). In this paper we have taken the sensor's data of three
specific locations of Delhi and National Capital Region (NCR) and predict air
quality of next day using linear regression as machine learning algorithm. Model is
evaluated through four performance measures Mean Absolute Error (MAE), Mean Square
Error (MSE), Root Mean Square Error (RMSE) and Mean Absolute Percentage Error
(MAPE). The study further assesses with benchmark model and obtains significant
results. © 2020 The Authors. Published by Elsevier B.V.",ARIMA; Machine Learning;
Regression Model; Time series,Acetone; Air quality; Ammonia; Carbon dioxide; Carbon
monoxide; Errors; Harmonic analysis; Internet of things; Learning algorithms;
Machine learning; Mean square error; Quality control; Weather forecasting; Air
quality parameters; Financial portfolio analysis; Machine learning techniques; Mean
absolute percentage error; National capital regions; Research communities; Root
mean square errors; Stock market prediction; Time series analysis,,,,,,,"Bartra J.,
Mullol J., Del Cuvillo A., Davila I., Ferrer M., Jauregui I., Valero A., Air
pollution and allergens, J Investig Allergol Clin Immunol, 17, pp. 3-8, (2007);
Jacob D.J., Winner D.A., Effect of climate change on air quality, Atmospheric
Environment, 43, 1, pp. 51-63, (2009); Beig G., Ghude S.D., Deshpande A.,
Scientific Evaluation of Air Quality Standards and Defining Air Quality Index for
India, (2010); Wai W.T., San W.T.W., Shun M.A.W.H., Hon A.L.K., Ng M.S.K., Yeung
M.D., Ming W.C., A study of the air pollution index reporting system, Statistical
Modeling, 13, (2012); El-Bendary N., Fouad M.M.M., Ramadan R.A., Banerjee S.,
Hassanien A.E., Smart environmental monitoring using wireless sensor networks,
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monitoring, 2016 24th Telecommunications Forum (TELFOR), pp. 1-4, (2016); Yaswanth
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(2008); Zhu J., Wu P., Chen H., Zhou L., Tao Z., A hybrid forecasting approach to
air quality time series based on endpoint condition and combined forecasting model,
International Journal of Environmental Research and Public Health, 15, 9, (2018);
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pp. 853-871, (2001); Junninen H., Niska H., Tuppurainen K., Ruuskanen J.,
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linear regression and regression with time series error models in forecasting PM 10
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deep learning with sensor data, Sensors, 17, 11, (2017)",,Singh V.; Asari V.K.; Li
K.-C.,Elsevier B.V.,,"2019 International Conference on Computational Intelligence
and Data Science, ICCIDS 2019",6 September 2019 through 7 September
2019,Gurugram,159537,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85084500781
Inthachot M.; Boonjing V.; Intakosum S.,"Inthachot, Montri (56946859400); Boonjing,
Veera (14044594300); Intakosum, Sarun (15057770200)",56946859400; 14044594300;
15057770200,Artificial Neural Network and Genetic Algorithm Hybrid Intelligence for
Predicting Thai Stock Price Index Trend,2016,Computational Intelligence and
Neuroscience,2016,,3045254,,,,69,10.1155/2016/3045254,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84999886519&doi=10.1155%2f2016%2f3045254&partnerID=40&md5=e065c655a63b58949e84c179b
8afa89e,"Department of Computer Science, Faculty of Science, King Mongkut's
Institute of Technology Ladkrabang, Bangkok, 10520, Thailand; International
College, King Mongkut's Institute of Technology Ladkrabang, Bangkok, 10520,
Thailand","Inthachot M., Department of Computer Science, Faculty of Science, King
Mongkut's Institute of Technology Ladkrabang, Bangkok, 10520, Thailand; Boonjing
V., International College, King Mongkut's Institute of Technology Ladkrabang,
Bangkok, 10520, Thailand; Intakosum S., Department of Computer Science, Faculty of
Science, King Mongkut's Institute of Technology Ladkrabang, Bangkok, 10520,
Thailand","This study investigated the use of Artificial Neural Network (ANN) and
Genetic Algorithm (GA) for prediction of Thailand's SET50 index trend. ANN is a
widely accepted machine learning method that uses past data to predict future
trend, while GA is an algorithm that can find better subsets of input variables for
importing into ANN, hence enabling more accurate prediction by its efficient
feature selection. The imported data were chosen technical indicators highly
regarded by stock analysts, each represented by 4 input variables that were based
on past time spans of 4 different lengths: 3-, 5-, 10-, and 15-day spans before the
day of prediction. This import undertaking generated a big set of diverse input
variables with an exponentially higher number of possible subsets that GA culled
down to a manageable number of more effective ones. SET50 index data of the past 6
years, from 2009 to 2014, were used to evaluate this hybrid intelligence prediction
accuracy, and the hybrid's prediction results were found to be more accurate than
those made by a method using only one input variable for one fixed length of past
time span. © 2016 Montri Inthachot et al.",,Algorithms; Financial Management;
Forecasting; Humans; Neural Networks (Computer); Predictive Value of Tests;
Thailand; Electronic trading; Financial markets; Forecasting; Learning systems;
Neural networks; Accurate prediction; Efficient feature selections; Future trends;
Hybrid intelligence; Input variables; Machine learning methods; Prediction
accuracy; Technical indicator; algorithm; artificial neural network; financial
management; forecasting; human; predictive value; Thailand; trends; Genetic
algorithms,,,,,,,"Atsalakis G.S., Valavanis K.P., Surveying stock market
forecasting techniques-part II: Soft computing methods, Expert Systems with
Applications, 36, 3, pp. 5932-5941, (2009); Kara Y., Acar Boyacioglu M., Baykan
O.K., Predicting direction of stock price index movement using artificial neural
networks and support vector machines: The sample of the Istanbul Stock Exchange,
Expert Systems with Applications, 38, 5, pp. 5311-5319, (2011); Kimoto T., Asakawa
K., Yoda M., Takeoka M., Stock market prediction system with modular neural
networks, Proceedings of the 1990 International Joint Conference on Neural Networks
(IJCNN '90), 1, pp. 1-6, (1990); Wu S.-I., Lu R.-P., Combining artificial neural
networks and statistics for stock-market forecasting, Proceedings of the 21st
Annual ACM Computer Science Conference, pp. 257-264, (1993); Zhang Y., Wu L., Stock
market prediction of S&P 500 via combination of improved BCO approach and BP neural
network, Expert Systems with Applications, 36, 5, pp. 8849-8854, (2009); Birgul E.,
Ozturan M., Badur B., Stock market prediction using artificial neural networks,
Proceedings of the in 3rd Hawaii International Conference on Business, (2003);
Bollen J., Mao H., Zeng X., Twittermood predicts the stock market, Journal of
Computational Science, 2, 1, pp. 1-8, (2011); Guresen E., Kayakutlu G., Daim T.U.,
Using artificial neural network models in stock market index prediction, Expert
Systems with Applications, 38, 8, pp. 10389-10397, (2011); Wang J., Wang J., Fang
W., Niu H., Financial time series prediction using elman recurrent random neural
networks, Computational Intelligence and Neuroscience, 2016, (2016); Patel J., Shah
S., Thakkar P., Kotecha K., Predicting stock and stock price index movement using
Trend Deterministic Data Preparation and machine learning techniques, Expert
Systems with Applications, 42, 1, pp. 259-268, (2015); Manish K., Thenmozhi M.,
Forecasting Stock Index Movement: A Comparison of Support Vector Machines and
Random Forest, (2005); Inthachot M., Boonjing V., Intakosum S., Predicting SET50
index trend using artificial neural network and support vector machine, Current
Approaches in Applied Artificial Intelligence, pp. 404-414, (2015); Leung M.T.,
Daouk H., Chen A.-S., Forecasting stock indices: A comparison of classification and
level estimation models, International Journal of Forecasting, 16, 2, pp. 173-190,
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novel model by evolving partially connected neural network for stock price trend
forecasting, Expert Systems with Applications, 39, 1, pp. 611-620, (2012);
Sutheebanjard P., Premchaiswadi W., Stock Exchange of Thailand index prediction
using back propagation neural networks, Proceedings of the 2nd International
Conference on Computer and Network Technology (ICCNT '10), pp. 377-380, (2010); Kim
K.-J., Financial time series forecasting using support vector machines,
Neurocomputing, 55, 1-2, pp. 307-319, (2003); McCulloch W.S., Pitts W., A logical
calculus of the ideas immanent in nervous activity, The Bulletin of Mathematical
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Hybrid machine learning technique for forecasting Dhaka stock market timing
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336, pp. 79-83, (2012); Sangwan K.S., Saxena S., Kant G., Optimization of machining
parameters to minimize surface roughness using integrated ANN-GA approach,
Proceedings of the 22nd CIRP Conference on Life Cycle Engineering (LCE '15), 29,
pp. 305-310, (2015); Tian J., Gao M., Network intrusiondetectionmethodbased on high
speed and precise genetic algorithm neural network, Proceedings of the
International Conference on Networks Security, Wireless Communications and Trusted
Computing (NSWCTC '09), 2, pp. 619-622, (2009); Ahmad F., Mat-Isa N.A., Hussain Z.,
Boudville R., Osman M.K., Genetic Algorithm-Artificial Neural Network (GAANN)
hybrid intelligence for cancer diagnosis, Proceedings of the 2nd International
Conference on Computational Intelligence, Communication Systems and Networks
(CICSYN '10), pp. 78-83, (2010); Holland J.H., Adaptation in Natural and Artificial
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Artificial Intelligence, (1975); Rimcharoen S., Sutivong D., Chongstitvatana P.,
Prediction of the Stock Exchange ofThailand using adaptive evolution strategies,
Proceedings of the 17th IEEE International Conference on Tools with Artificial
Intelligence (ICTAI '05), pp. 232-236, (2005); Chaigusin S., Chirathamjaree C.,
Clayden J., The use of neural networks in the prediction of the stock exchange of
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W., Leelasantitham A., Kiattisin S., Wongseree W., Predict the stock exchange of
Thailand-set, Proceedings of the 4th Joint International Conference on Information
and Communication Technology, Electronic and Electrical Engineering (JICTEE '14),
pp. 1-4, (2014)","M. Inthachot; Department of Computer Science, Faculty of Science,
King Mongkut's Institute of Technology Ladkrabang, Bangkok, 10520, Thailand; email:
[email protected]",,Hindawi Limited,,,,,,16875265,,,27974883,English,Comput.
Intell. Neurosci.,Review,Final,All Open Access; Gold Open Access; Green Open
Access,Scopus,2-s2.0-84999886519
Awan M.J.; Rahim M.S.M.; Nobanee H.; Munawar A.; Yasin A.; Zain A.M.,"Awan, Mazhar
Javed (57213835764); Rahim, Mohd Shafry Mohd (57210569784); Nobanee, Haitham
(16068872700); Munawar, Ashna (57222371329); Yasin, Awais (57222294003); Zain,
Azlan Mohd (57205576292)",57213835764; 57210569784; 16068872700; 57222371329;
57222294003; 57205576292,Social Media and Stock Market Prediction: A Big Data
Approach,2021,"Computers, Materials and
Continua",67,2,,2569,2583,14,72,10.32604/cmc.2021.014253,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85102513038&doi=10.32604%2fcmc.2021.014253&partnerID=40&md5=52ec98eb655822462edcb13
f840aa04d,"School of Computing, Faculty of Engineering, University Teknologi
Malaysia, Johor, Malaysia; Department of Software Engineering, University of
Management and Technology, Lahore, Pakistan; Collage of Business, Abu Dhabi
University, Abu Dhabi, United Arab Emirates; Oxford Center for Islamic Studies,
University of Oxford, Oxford, United Kingdom; University of Liverpool Management
School, University of Liverpool, Liverpool, United Kingdom; Department of Computer
Engineering, National University of Technology, Islamabad, Pakistan; School of
Computing, UTM Big Data Centre, Universiti Teknologi Malaysia, Johor,
Malaysia","Awan M.J., School of Computing, Faculty of Engineering, University
Teknologi Malaysia, Johor, Malaysia, Department of Software Engineering, University
of Management and Technology, Lahore, Pakistan; Rahim M.S.M., School of Computing,
Faculty of Engineering, University Teknologi Malaysia, Johor, Malaysia; Nobanee H.,
Collage of Business, Abu Dhabi University, Abu Dhabi, United Arab Emirates, Oxford
Center for Islamic Studies, University of Oxford, Oxford, United Kingdom,
University of Liverpool Management School, University of Liverpool, Liverpool,
United Kingdom; Munawar A., Department of Software Engineering, University of
Management and Technology, Lahore, Pakistan; Yasin A., Department of Computer
Engineering, National University of Technology, Islamabad, Pakistan; Zain A.M.,
School of Computing, UTM Big Data Centre, Universiti Teknologi Malaysia, Johor,
Malaysia","Big data is the collection of large datasets from traditional and
digital sources to identify trends and patterns. The quantity and variety of
computer data are growing exponentially for many reasons. For example, retailers
are building vast databases of customer sales activity. Organizations are working
on logistics financial services, and public social media are sharing a vast
quantity of sentiments related to sales price and products. Challenges of big data
include volume and variety in both structured and unstructured data. In this paper,
we implemented several machine learning models through Spark MLlib using PySpark,
which is scalable, fast, easily integrated with other tools, and has better
performance than the traditional models. We studied the stocks of 10 top companies,
whose data include historical stock prices, with MLlib models such as linear
regression, generalized linear regression, random forest, and decision tree. We
implemented naive Bayes and logistic regression classification models. Experimental
results suggest that linear regression, random forest, and generalized linear
regression provide an accuracy of 80%–98%. The experimental results of the decision
tree did not well predict share price movements in the stock market. © 2021 Tech
Science Press. All rights reserved.",Analytics; Artificial intelligence; Big data;
Business analytics; Machine learning; Social media; Stock market,Commerce; Decision
trees; Fintech; Large dataset; Linear regression; Logistic regression; Random
forests; Sales; Social networking (online); Classification models; Digital sources;
Financial service; Machine learning models; Sales activities; Stock market
prediction; Traditional models; Unstructured data; Financial markets,,,,,,,"Hasan
M. M., Popp J., Olah J., Current landscape and influence of big data on finance,
Journal of Big Data, 7, pp. 1-17, (2020); Liu X., Analyzing the impact of user-
generated content on B2B Firms’ stock performance: Big data analysis with machine
learning methods, Industrial Marketing Management, 86, pp. 30-39, (2020); Whitman
R. T., Marsh B. G., Park M. B., Hoel G. E., Distributed spatial and spatio-temporal
join on apache spark, ACM Transactions on Spatial Algorithms and Systems, 5, 1, pp.
1-28, (2019); Coyne S., Madiraju P., Coelho J., Forecasting stock prices using
social media analysis, 2017 IEEE 15th Int. Conf. on Dependable, Autonomic and
Secure Computing, 15th Int. Conf. on Pervasive Intelligence and Computing, 3rd Int.
Conf. on Big Data Intelligence and Computing and Cyber Science and Technology
Congress (DASC/PiCom/DataCom/CyberSciTech), pp. 1031-1038, (2017); Peiran J., Veiga
A., Walther A., Social media, news media and the stock market, Journal of Economic
Behavior & Organization, 176, pp. 63-90, (2020); Angadi M. C., Kulkarni A. P., Time
series data analysis for stock market prediction using data mining techniques with
R, International Journal of Advance Research Computer Science, 6, 6, pp. 104-108,
(2015); Batra R., Daudpota S. M., Integrating stocktwits with sentiment analysis
for better prediction of stock price movement, 2018 Int. Conf. on Computing,
Mathematics and Engineering Technologies, Sukkur, Pakistan, pp. 1-5, (2018); Selin
D. T., Tas O., Social media sentiment in international stock returns and trading
activity, Journal of Behavioral Finance, 1, pp. 1-14, (2020); Bogle S. A., Potter
W. D., SentAMaL—a sentiment analysis machine learning stock predictive model, Proc.
on the Int. Conf. on Artificial Intelligence, (2015); Gandhmal D. P., Kumar K.,
Systematic analysis and review of stock market prediction techniques, Computer
Science Reviews, 34, (2019); Florian K., Manz F, Schiereck D., The conditional
stock market response to banks’ distressed asset sales on CDS availability, Applied
Economics, 52, pp. 1-13, (2020); Khan W., Ghazanfar M. A., Azam M. A., Karami A.,
Alyoubi H. K., Et al., Stock market prediction using machine learning classifiers
and social media, news, Journal of Ambient Intelligence and Humanized Computing, 1,
pp. 1-24, (2020); Kalra S., Prasad J. S., Efficacy of news sentiment for stock
market prediction, 2019 Int. Conf. on Machine Learning, Big Data, Cloud and
Parallel Computing, pp. 491-496, (2019); Pagolu V. S., Reddy K. N., Panda G., Majhi
B., Sentiment analysis of Twitter data for predicting stock market movements, 2016
Int. Conf. on Signal Processing, Communication, Power and Embedded System,
Paralakhemundi, pp. 1345-1350, (2016); Kordonis J., Symeonidis S., Arampatzis A.,
Stock price forecasting via sentiment analysis on Twitter, Proc. of the 20th Pan-
Hellenic Conf. on Informatics, Patras, pp. 1-6, (2016); Jeon S., Hong B., Chang V.,
Pattern graph tracking-based stock price prediction using big data, Future
Generation Computer Systems, 80, pp. 171-187, (2018); Cakra Y. E., Trisedya B. D.,
Stock price prediction using linear regression based on sentiment analysis, 2015
Int. Conf. on Advanced Computer Science and Information Systems, pp. 147-154,
(2015); Kirange D. K., Deshmukh R. R., Sentiment analysis of news headlines for
stock price prediction, COMPUSOFT: An International Journal of Advanced Computer
Technology, 5, 3, pp. 2080-2084, (2016); Peng Z., Stocks analysis and prediction
using big data analytics, 2019 Int. Conf. on Intelligent Transportation, Big Data &
Smart City, Changsha, pp. 309-312, (2019); Preda S., Oprea S. V., Bara A., PV
forecasting using support vector machine learning in a big data analytics context,
Symmetry (Basel), 10, 12, (2018); Misra P., Chaurasia S., Data-driven trend
forecasting in stock market using machine learning techniques, Journal of
Information Technology Research, 13, 1, pp. 130-149, (2020); Rechenthin M., Street
W. N., Srinivasan P., Stock chatter: Using stock sentiment to predict price
direction, Algorithmic Finance, 2, 3–4, pp. 169-196, (2013); Seif M. M., Hamed E.
M. R., Stock market real time recommender model using apache spark framework, The
International Conference on Advanced Machine Learning Technologies and Applications
(AMLTA2018), AMLTA, Advances in Intelligent Systems and Computing, 723, (2018);
Wang W., Ho K. Y., Liu W. M. R., Wang K. T., The relation between news and stock
price jump: An analysis based on neural network, 20th International Congress on
Modeling and Simulation, pp. 2506-2512, (2013); Yang R., Yu L., Zhao Y., Yu Y., Xu
H., Et al., Big data analytics for financial market volatility forecast based on
support vector machine, International Journal of Information Management, 50, pp.
452-462, (2020); No Title, (2020); Search D., No title, (2020)","M.J. Awan; School
of Computing, Faculty of Engineering, University Teknologi Malaysia, Johor,
Malaysia; email: [email protected]",,Tech Science
Press,,,,,,15462218,,,,English,Comput. Mater. Continua,Article,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85102513038
Wang Q.; Xu W.; Huang X.; Yang K.,"Wang, Qili (57198901406); Xu, Wei (56582984800);
Huang, Xinting (59046598300); Yang, Kunlin (57207874317)",57198901406; 56582984800;
59046598300; 57207874317,Enhancing intraday stock price manipulation detection by
leveraging recurrent neural networks with ensemble
learning,2019,Neurocomputing,347,,,46,58,12,64,10.1016/j.neucom.2019.03.006,https:/
/www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85063163141&doi=10.1016%2fj.neucom.2019.03.006&partnerID=40&md5=360ea58c864591d908a
3c62d62e808df,"School of Information, Renmin University of China, 100872, Beijing,
China; Department of Computing and Information Systems, The University of
Melbourne, Melbourne, 3010, VIC, Australia","Wang Q., School of Information, Renmin
University of China, 100872, Beijing, China; Xu W., School of Information, Renmin
University of China, 100872, Beijing, China; Huang X., Department of Computing and
Information Systems, The University of Melbourne, Melbourne, 3010, VIC, Australia;
Yang K., School of Information, Renmin University of China, 100872, Beijing,
China","With the rapid development of the stock markets in developing countries,
determining how to efficiently detect stock price manipulation activities to
protect the interests of ordinary investors is really an important problem.
Previous studies have introduced machine learning techniques into stock price
manipulation detection and achieved better experimental results than traditional
multivariate statistical techniques. Some characteristic features show
statistically significant differences between manipulated and non-manipulated
stocks, but this complementary information has rarely been considered in the
manipulation detection model. The main contribution of our research work is the
design of a novel RNN-based ensemble learning (RNN-EL) framework that combine
trade-based features derived from trading records and characteristic features of
the list companies to effectively detect stock price manipulation activities. Based
on prosecuted manipulation cases reported by the China Securities Regulatory
Commission (CSRC), we built a specific dataset containing labeled samples with
trading data and characteristic information to conduct empirical experiments. The
experimental results show that our proposed method outperforms state-of-the-art
approaches in detecting stock price manipulation by an average of 29.8% in terms of
AUC value. The managerial implication of our work is that government regulators can
apply the proposed methodology to efficiently identify suspicious trading behaviors
among huge amounts of trading activities in time to take action to ensure a fair
trading environment. © 2019 Elsevier Ltd",Deep learning; Ensemble learning; Fraud
detection; Machine learning; Stock price manipulation,Commerce; Deep learning;
Developing countries; Feature extraction; Financial markets; Investments; Learning
systems; Machine learning; Multivariant analysis; Recurrent neural networks;
Ensemble learning; Fraud detection; Machine learning techniques; Managerial
implications; Multivariate statistical techniques; State-of-the-art approach;
Statistically significant difference; Stock price; article; China; deep learning;
fraud; government; Electronic trading,,,,,"Hebei Social Science Fund, (HB13GL021);
National Natural Science Foundation of China, NSFC, (71771212, U1711262); National
Natural Science Foundation of China, NSFC; Ministry of Education of the People's
Republic of China, MOE, (14YJA630075, 15YJA630068); Ministry of Education of the
People's Republic of China, MOE; Renmin University of China, RUC, (15XNLQ08);
Renmin University of China, RUC; Fundamental Research Funds for the Central
Universities","This work was supported in part by National Natural Science
Foundation of China (Grant no. U1711262 , 71771212 ), Humanities and Social
Sciences Foundation of the Ministry of Education (No. 14YJA630075, 15YJA630068),
Hebei Social Science Fund (HB13GL021), and the Fundamental Research Funds for the
Central Universities, and the Research Funds of Renmin University of China (No.
15XNLQ08). ","Punniyamoorthy M., Joy Thoppan J., ANN-GA based model for stock
market surveillance, J. Financ. Crime, 20, 1, pp. 52-66, (2012); Huang Y.C., Cheng
Y.J., Stock manipulation and its effects: pump and dump versus stabilization, Rev.
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of intraday patterns: volume and price variability, Rev. Financ. Stud., 1, 1, pp.
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Hart O.D., On the profitability of speculation, Q. J. Econ., 91, 4, pp. 579-597,
(1977); Allen F., Gale D., Stock-price manipulation, Review of Financ. Stud., 5, 3,
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(2004); Abbasi A., Albrecht C., Vance A., Hansen J., Metafraud: a meta-learning
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analysis of the differences between data mining techniques and experts’ judgments,
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Retrieval, pp. 329-338, (2001)","W. Xu; School of Information, Renmin University of
China, 100872, China; email: [email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,,Scopus,2-s2.0-
85063163141
Costola M.; Hinz O.; Nofer M.; Pelizzon L.,"Costola, Michele (56705512500); Hinz,
Oliver (14033045500); Nofer, Michael (56317098000); Pelizzon, Loriana
(7801521733)",56705512500; 14033045500; 56317098000; 7801521733,"Machine learning
sentiment analysis, COVID-19 news and stock market reactions",2023,Research in
International Business and
Finance,64,,101881,,,,59,10.1016/j.ribaf.2023.101881,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85146458448&doi=10.1016%2fj.ribaf.2023.101881&partnerID=40&md5=3b37849a6150e18cc918
b016986f146e,"Ca’ Foscari University of Venice, Italy; Goethe University Frankfurt,
Germany; Leibniz Institute for Financial Research SAFE, Frankfurt,
Germany","Costola M., Ca’ Foscari University of Venice, Italy; Hinz O., Goethe
University Frankfurt, Germany; Nofer M., Goethe University Frankfurt, Germany;
Pelizzon L., Ca’ Foscari University of Venice, Italy, Leibniz Institute for
Financial Research SAFE, Frankfurt, Germany","The recent COVID-19 pandemic
represents an unprecedented worldwide event to study the influence of related news
on the financial markets, especially during the early stage of the pandemic when
information on the new threat came rapidly and was complex for investors to
process. In this paper, we investigate whether the flow of news on COVID-19 had an
impact on forming market expectations. We analyze 203,886 online articles dealing
with COVID-19 and published on three news platforms (MarketWatch.com, NYTimes.com,
and Reuters.com) in the period from January to June 2020. Using machine learning
techniques, we extract the news sentiment through a financial market-adapted BERT
model that enables recognizing the context of each word in a given item. Our
results show that there is a statistically significant and positive relationship
between sentiment scores and S&P 500 market. Furthermore, we provide evidence that
sentiment components and news categories on NYTimes.com were differently related to
market returns. © 2023 Elsevier B.V.",COVID-19 news; Sentiment analysis; Stock
markets,,,,,,Leibniz Institute for Financial Research SAFE; Volkswagen
Foundation,"The authors thank two anonymous Reviewers and the Guest Editor, Sabri
Boubaker, for their insightful comments and suggestions. This research has received
funding from the Volkswagen Foundation, Germany as part of the initiative
“Artificial Intelligence and its Impact on Tomorrow’s World”. Loriana Pelizzon
gratefully acknowledges research and financial support from the Leibniz Institute
for Financial Research SAFE, Frankfurt . The usual disclaimer applies. ","Ahmad W.,
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(2013)","M. Costola; Ca’ Foscari University of Venice, Italy; email:
[email protected]",,Elsevier Ltd,,,,,,2755319,,,,English,Res. Int. Bus.
Financ.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85146458448
Yoshihara A.; Fujikawa K.; Seki K.; Uehara K.,"Yoshihara, Akira (56425644100);
Fujikawa, Kazuki (55509948300); Seki, Kazuhiro (23398715300); Uehara, Kuniaki
(7201993612)",56425644100; 55509948300; 23398715300; 7201993612,Predicting stock
market trends by recurrent deep neural networks,2014,Lecture Notes in Computer
Science (including subseries Lecture Notes in Artificial Intelligence and Lecture
Notes in Bioinformatics),8862,,,759,769,10,72,10.1007/978-3-319-13560-1,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84911879801&doi=10.1007%2f978-3-319-13560-
1&partnerID=40&md5=3ad3d2a0f343760bf18d5cb947ccdfad,"Graduate School of System
Informatics, Kobe University, Kobe, Japan; Konan University, Kobe,
Japan","Yoshihara A., Graduate School of System Informatics, Kobe University, Kobe,
Japan; Fujikawa K., Graduate School of System Informatics, Kobe University, Kobe,
Japan; Seki K., Konan University, Kobe, Japan; Uehara K., Graduate School of System
Informatics, Kobe University, Kobe, Japan","Investors make decisions based on
various factors, including consumer price index, price-earnings ratio, and also
miscellaneous events reported by newspapers. In order to assist their decisions in
a timely manner, many studies have been conducted to automatically analyze those
information sources in the last decades. However, the majority of the efforts was
made for utilizing numerical information, partly due to the difficulty to process
natural language texts and to make sense of their temporal properties. This study
sheds light on this problem by using deep learning, which has been attracting much
attention in various areas of research including pattern mining and machine
learning for its ability to automatically construct useful features from a large
amount of data. Specifically, this study proposes an approach to market trend
prediction based on a recurrent deep neural network to model temporal effects of
past events. The validity of the proposed approach is demonstrated on the real-
world data for ten Nikkei companies. © Springer International Publishing
Switzerland 2014.",,Artificial intelligence; Commerce; Earnings; Investments;
Learning systems; Consumer price index; Deep neural networks; Information sources;
Natural language text; Numerical information; Pattern mining; Temporal effects;
Temporal property; Recurrent neural networks,,,,,,,"Boulanger-Lewandowski N.,
Bengio Y., Vincent P., Modeling temporal dependencies in high-dimensional
sequences: Application to polyphonic music generation and transcription,
Proceedings of the Twenty-Ninth International Conference on Machine Learning, pp.
1159-1166, (2012); Dahl G.E., Yu D., Deng L., Acero A., Context-dependent pre-
trained deep neural networks for large-vocabulary speech recognition, IEEE
Transactions on Audio, Speech, and Language Processing, 20, 1, pp. 30-42, (2012);
Gidofalvi G., Elkan C., Using news articles to predict stock price movements.
Department of Computer Science and Engineering, (2001); Huang W., Nakamori Y., Wang
S.Y., Forecasting stock market movement direction with support vector machine,
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of the Tenth IEEE International Conference on Data Mining Workshops, pp. 935-942,
(2010); Kim K.J., Financial time series forecasting using support vector machines,
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Verlag,,,,,,3029743,,,,English,Lect. Notes Comput. Sci.,Article,Final,,Scopus,2-
s2.0-84911879801
Lohrmann C.; Luukka P.,"Lohrmann, Christoph (57201801942); Luukka, Pasi
(57217415296)",57201801942; 57217415296,Classification of intraday S&P500 returns
with a Random Forest,2019,International Journal of
Forecasting,35,1,,390,407,17,56,10.1016/j.ijforecast.2018.08.004,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057434122&doi=10.1016%2fj.ijforecast.2018.08.004&partnerID=40&md5=59d614f39fed8fb
a34c9d1913d09af15,"LUT University - School of Engineering Science, Skinnarilankatu
34, Lappeenranta, South Karelia, 53850, Finland; LUT University - School of
Business, Skinnarilankatu 34, Lappeenranta, South Karelia, 53850,
Finland","Lohrmann C., LUT University - School of Engineering Science,
Skinnarilankatu 34, Lappeenranta, South Karelia, 53850, Finland, LUT University -
School of Business, Skinnarilankatu 34, Lappeenranta, South Karelia, 53850,
Finland; Luukka P., LUT University - School of Business, Skinnarilankatu 34,
Lappeenranta, South Karelia, 53850, Finland","Stock markets can be interpreted to a
certain extent as prediction markets, since they can incorporate and represent the
different opinions of investors who disagree on the implications of the available
information on past and expected events and trade on their beliefs in order to
achieve profits. Many forecast models have been developed for predicting the future
state of stock markets, with the aim of using this knowledge in a trading strategy.
This paper interprets the classification of the S&P500 open-to-close returns as a
four-class problem. We compare four trading strategies based on a random forest
classifier to a buy-and-hold strategy. The results show that predicting the classes
with higher absolute returns, ‘strong positive’ and ‘strong negative’ contributed
the most to the trading strategies on average. This finding can help shed light on
the way in which using additional event outcomes for the classification beyond a
simple upward or downward movement can potentially improve a trading strategy. ©
2018 International Institute of Forecasters",Feature selection; Financial markets;
Forecasting; Machine learning; Trading strategy,,,,,,"Finnish Strategic Research
Council, (313396/MFG40 Manufacturing 4.0); Strategic Research Council, SRC,
(313396/MFG40)","Funding text 1: This research would like to acknowledge the
funding received from the Finnish Strategic Research Council , grant number
313396/MFG40 Manufacturing 4.0. ; Funding text 2: This research would like to
acknowledge the funding received from the Finnish Strategic Research Council, grant
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Lohrmann; Lappeenranta University of Technology, School of Engineering Science,
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[email protected]",,Elsevier B.V.,,,,,,1692070,,IJFOE,,English,Int.
J. Forecast.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
85057434122
Mehtab S.; Sen J.; Dutta A.,"Mehtab, Sidra (57219493604); Sen, Jaydip
(35732277300); Dutta, Abhishek (57221141655)",57219493604; 35732277300;
57221141655,Stock Price Prediction Using Machine Learning and LSTM-Based Deep
Learning Models,2021,Communications in Computer and Information
Science,1366,,,88,106,18,75,10.1007/978-981-16-0419-5_8,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85102247145&doi=10.1007%2f978-981-16-0419-
5_8&partnerID=40&md5=0d1560fe9fea6bb3e52f008885a23075,"Department of Data Science
and Artificial Intelligence, Praxis Business School, Bakrahat Road, P.O. Rasapunja,
Off Thakurpukur Road, Kolkata, 700104, India","Mehtab S., Department of Data
Science and Artificial Intelligence, Praxis Business School, Bakrahat Road, P.O.
Rasapunja, Off Thakurpukur Road, Kolkata, 700104, India; Sen J., Department of Data
Science and Artificial Intelligence, Praxis Business School, Bakrahat Road, P.O.
Rasapunja, Off Thakurpukur Road, Kolkata, 700104, India; Dutta A., Department of
Data Science and Artificial Intelligence, Praxis Business School, Bakrahat Road,
P.O. Rasapunja, Off Thakurpukur Road, Kolkata, 700104, India","Prediction of stock
prices has been an important area of research for a long time. While supporters of
the efficient market hypothesis believe that it is impossible to predict stock
prices accurately, there are formal propositions demonstrating that accurate
modeling and designing of appropriate variables may lead to models using which
stock prices and stock price movement patterns can be very accurately predicted.
Researchers have also worked on technical analysis of stocks with a goal of
identifying patterns in the stock price movements using advanced data mining
techniques. In this work, we propose an approach of hybrid modeling for stock price
prediction building different machine learning and deep learning-based models. For
the purpose of our study, we have used NIFTY 50 index values of the National Stock
Exchange (NSE) of India, during the period December 29, 2014 till July 31, 2020. We
have built eight regression models using the training data that consisted of NIFTY
50 index records from December 29, 2014 till December 28, 2018. Using these
regression models, we predicted the open values of NIFTY 50 for the period December
31, 2018 till July 31, 2020. We, then, augment the predictive power of our
forecasting framework by building four deep learning-based regression models using
long-and short-term memory (LSTM) networks with a novel approach of walk-forward
validation. Using the grid-searching technique, the hyperparameters of the LSTM
models are optimized so that it is ensured that validation losses stabilize with
the increasing number of epochs, and the convergence of the validation accuracy is
achieved. We exploit the power of LSTM regression models in forecasting the future
NIFTY 50 open values using four different models that differ in their architecture
and in the structure of their input data. Extensive results are presented on
various metrics for all the regression models. The results clearly indicate that
the LSTM-based univariate model that uses one-week prior data as input for
predicting the next week’s open value of the NIFTY 50 time series is the most
accurate model. © 2021, Springer Nature Singapore Pte Ltd.",Long and short-term
memory network; Multivariate time series; Regression; Stock price prediction; Walk-
forward validation,Costs; Data mining; Deep learning; Financial markets; Fintech;
Forecasting; Heuristic algorithms; Learning algorithms; Learning systems;
Predictive analytics; Regression analysis; Efficient market hypothesis; Learning
Based Models; Long and short term memory; Searching techniques; Stock price
movements; Stock price prediction; Technical analysis; Univariate models; Long
short-term memory,,,,,,,"Sen J., Datta Chaudhuri T., An alternative framework for
time series decomposition and forecasting and its relevance for portfolio choice-a
comparative study of the Indian consumer durable and small cap sector, J. Econ.
Libr., 3, 2, pp. 303-326, (2016); Sen J., Datta Chaudhuri T., An investigation of
the structural characteristics of the indian IT sector and the capital goods
sector-an application of the R programming language in time series decomposition
and forecasting, J. Insur. Financ. Manag., 1, 4, pp. 68-132, (2016); Sen J., Datta
Chaudhuri T., Understanding the sectors of indian economy for portfolio choice,
Int. J. Bus. Forecast. Mark. Intell., 4, 2, pp. 178-222, (2018); Sen J., Datta
Chaudhuri T., A robust predictive model for stock price forecasting, Proceedings of
the 5Th International Conference on Business Analytics and Intelligence, Bangalore,
India, 11–13 December 2017, (2017); Sen J., Stock price prediction using machine
learning and deep learning frameworks, Proceedings of the 6Th International
Conference on Business Analytics and Intelligence, Bangalore, India, 20–22 December
2018, (2018); Mehtab S., Sen J., A robust predictive model for stock price
prediction using deep learning and natural language processing, Proceedings of the
7Th International Conference on Business Analytics and Intelligence, Bangalore,
India, 5–7 December 2019, (2019); Mehtab S., Sen J., Stock price prediction using
convolutional neural network on a multivariate time series, Proceedings of the 3Rd
National Conference on Machine Learning and Artificial Intelligence (NCMLAI), New
Delhi, India, 1 February 2020, (2020); Mehtab S., Sen J., A Time Series Analysis-
Based Stock Price Prediction Using Machine Learning and Deep Learning Models,
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Z., Ho S.-B., Lin Z., Stock market prediction analysis by incorporating social and
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Machine learning in prediction of stock market indicators based on historical data
and data from Twitter sentiment analysis, Proceedings of the IEEE International
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Stock market prediction based on historic prices and news titles, Proceedings of
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G., A survey on machine learning for stock price prediction: Algorithms and
techniques, Proceedings of the 2Nd International Conference on Finance, Economics,
Management and IT Business, FEMIB 2020, Prague, Czech Republic, 5–6 May 2020,
(2020); Zhou J., Fan P., Modulation format/bit rate recognition based on principal
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3, pp. 923-937, (2019); Brownlee J., Introduction to Time Series Forecasting with
Python, (2019); Geron A., Hands-On Machine Learning with Scikit-Learn Keras &
Tensorflow. O’Reilly Publications, (2019)","J. Sen; Department of Data Science and
Artificial Intelligence, Praxis Business School, Kolkata, Bakrahat Road, P.O.
Rasapunja, Off Thakurpukur Road, 700104, India; email: [email protected]",Thampi
S.M.; Piramuthu S.; Li K.; Berretti S.; Wozniak M.; Singh D.,Springer Science and
Business Media Deutschland GmbH,,"2nd Symposium on Machine Learning and
Metaheuristics Algorithms, and Applications, SoMMA 2020",14 October 2020 through 17
October 2020,Chennai,255169,18650929,978-981160418-8,,,English,Commun. Comput.
Info. Sci.,Conference paper,Final,,Scopus,2-s2.0-85102247145
Mukherjee S.; Sadhukhan B.; Sarkar N.; Roy D.; De S.,"Mukherjee, Somenath
(56810118700); Sadhukhan, Bikash (6602555524); Sarkar, Nairita (57935348200); Roy,
Debajyoti (57239977600); De, Soumil (57239660100)",56810118700; 6602555524;
57935348200; 57239977600; 57239660100,Stock market prediction using deep learning
algorithms,2023,CAAI Transactions on Intelligence
Technology,8,1,,82,94,12,60,10.1049/cit2.12059,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85113928277&doi=10.1049%2fcit2.12059&partnerID=40&md5=81f3c66f619f4b51fa4a52b4a4bbe
2d8,"Nazrul Center of Social and Cultural Studies, Kazi Nazrul University, Asansol,
India; Department of Computer Science and Engineering, Techno International New
Town (Techno India College of Technology), Kolkata, India","Mukherjee S., Nazrul
Center of Social and Cultural Studies, Kazi Nazrul University, Asansol, India;
Sadhukhan B., Department of Computer Science and Engineering, Techno International
New Town (Techno India College of Technology), Kolkata, India; Sarkar N.,
Department of Computer Science and Engineering, Techno International New Town
(Techno India College of Technology), Kolkata, India; Roy D., Department of
Computer Science and Engineering, Techno International New Town (Techno India
College of Technology), Kolkata, India; De S., Department of Computer Science and
Engineering, Techno International New Town (Techno India College of Technology),
Kolkata, India","The Stock Market is one of the most active research areas, and
predicting its nature is an epic necessity nowadays. Predicting the Stock Market is
quite challenging, and it requires intensive study of the pattern of data. Specific
statistical models and artificially intelligent algorithms are needed to meet this
challenge and arrive at an appropriate solution. Various machine learning and deep
learning algorithms can make a firm prediction with minimised error possibilities.
The Artificial Neural Network (ANN) or Deep Feed-forward Neural Network and the
Convolutional Neural Network (CNN) are the two network models that have been used
extensively to predict the stock market prices. The models have been used to
predict upcoming days' data values from the last few days' data values. This
process keeps on repeating recursively as long as the dataset is valid. An
endeavour has been taken to optimise this prediction using deep learning, and it
has given substantial results. The ANN model achieved an accuracy of 97.66%,
whereas the CNN model achieved an accuracy of 98.92%. The CNN model used 2-D
histograms generated out of the quantised dataset within a particular time frame,
and prediction is made on that data. This approach has not been implemented earlier
for the analysis of such datasets. As a case study, the model has been tested on
the recent COVID-19 pandemic, which caused a sudden downfall of the stock market.
The results obtained from this study was decent enough as it produced an accuracy
of 91%. © 2021 The Authors. CAAI Transactions on Intelligence Technology published
by John Wiley & Sons Ltd on behalf of The Institution of Engineering and Technology
and Chongqing University of Technology.",artificial neural network; convolutional
neural network; nifty; stock market,Commerce; Convolution; Convolutional neural
networks; Feedforward neural networks; Forecasting; Learning algorithms; Long
short-term memory; Neural network models; Convolutional neural network; Data
values; Feed forward neural net works; Intelligent Algorithms; Machine-learning;
Neural network model; Nifty; Research areas; Statistic modeling; Stock market
prediction; Financial markets,,,,,,,"Statman M., Fisher K.L., Consumer Confidence
and Stock returns, SSRN Journal; Wilcox J., Consumer Sentiment and Consumer
Spending, (2008); Kaul V.; Sharma A., Bhuriya D., Singh U., Survey of stock market
prediction using machine learning approach, International conference of
Electronics, Communication and Aerospace Technology (ICECA), (2017); Nivetha R.Y.,
Dhaya C., Developing a prediction model for stock analysis, 2017 International
Conference on Technical Advancements in Computers and Communications (ICTACC),
(2017); Jayanth Balaji A., Harish Ram D.S., Nair B.B., Applicability of deep
learning models for stock price forecasting an empirical study on BANKEX data,
Procedia Comput. Sci., 143, pp. 947-953, (2018); Lin T.-W., Yu C.-C., Forecasting
stock market with neural networks, SSRN Journal; Shah V.S., Et al., Stock market
prediction using neural networks, Int. J. Soft Comput. Eng., 6, 1, (2016); Kalyvas
E., Using Neural Networks and Genetic Algorithms to Predict Stock Market Returns,
(2001); Girija V.A., Et al., (2015); Ertuna L., Stock Market Prediction Using
Neural Network and Time Series Forecasting, (2016); Wen M., Stock market trend
prediction using high-order information of time series, IEEE Access, 7, pp. 28299-
28308, (2019); Usmaini M., Et al., Stock Market Prediction Using Machine Learning
Techniques, (2016); Das N., Ghosh P., Roy D., Effect of Demonetization on stock
market correlated with geo twitter sentiment analysis, Learning and Analytics in
Intelligent Systems, (2020); Li W., User reviews: Sentiment analysis using lexicon
integrated two-channel CNN–LSTM family models, Appl. Soft Comput., 94, (2020);
Nayak A., Pai M.M.M., Pai R.M., Prediction models for Indian stock market, Procedia
Comput. Sci, 89, pp. 441-449, (2016); Drucker H., Cortes C., Boosting decision
trees, Adv Neural Inf Process Syst, (1995); Pang X., An innovative neural network
approach for stock market prediction, J. Supercomput., 76, 3, pp. 2098-2118,
(2020); Lien M.D., Deep learning approach for short-term stock trends prediction
based on two-stream gated recurrent unit network, IEEE Access, 6, (2018); Chen J.-
F., Et al., Financial time-series data analysis using deep convolutional neural
networks, In International Conference of Cloud Computing and Big Data, (2016);
Naeini M.P., Taremian H., Stock Market Value Prediction Using Neural Networks,
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Overview of deep learning, (2016); NSE India; Hiransha M., Et al., NSE stock market
prediction using deep-learning models, Procedia Comput. Sci, 132, pp. 1351-1362,
(2018); Ding G.J., Et al., Hierarchical multi-scale Gaussian transformer for stock
movement prediction, (2020); Li S.Q., Et al., Modeling the stock relation with
graph network for overnight stock movement prediction, (2020); Lu W., A CNN-BiLSTM-
AM method for stock price prediction, Neural. Comput. Appl., 33, 10, pp. 4741-4753,
(2021); Liu W.X., Et al., Multi-scale two way deep neural network for stock trend
prediction, (2020); Nayak A., Pai M.M.M., Pai R.M., Prediction models for Indian
stock Market, Procedia Comput. Sci, 89, pp. 441-449, (2016); Pang X., Et al., An
innovative neural network approach for stock market prediction, J. Supercomput.,
22, (2018); NSE India, national stock exchange; Simard P.Y., Steinkraus D., Platt
J.C., Best Practices for Convolutional Neural Networks, (2003); Krizhevsky A.,
Sutskever I., Hinton G.E., ImageNet classification with deep convolutional, Adv.
Neural Inf. Process. Syst., 25, NIPS, (2012); 2D Histograms in Python","B.
Sadhukhan; Department of Computer Science and Engineering, Techno International New
Town (Techno India College of Technology), Kolkata, 1/1, Service Rd, DG
Block(Newtown), Action Area I, Newtown, Chakpachuria, West Bengal, 700156, India;
email: [email protected]",,John Wiley and Sons
Inc,,,,,,24686557,,,,English,CAAI Trans. Intell. Technol.,Article,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85113928277
Obthong M.; Tantisantiwong N.; Jeamwatthanachai W.; Wills G.,"Obthong, Mehtabhorn
(57218220266); Tantisantiwong, Nongnuch (54413142600); Jeamwatthanachai,
Watthanasak (57193714786); Wills, Gary (35609513100)",57218220266; 54413142600;
57193714786; 35609513100,A survey on machine learning for stock price prediction:
Algorithms and techniques,2020,"FEMIB 2020 - Proceedings of the 2nd International
Conference on Finance, Economics, Management and IT
Business",,,,63,71,8,60,,https://www-scopus-com-paruluniversity.knimbus.com/
inward/record.uri?eid=2-s2.0-
85088399784&partnerID=40&md5=e8b1ae9195d00690e8e58a337bb055d5,"School of
Electronics and Computer Science, University of Southampton, Southampton, United
Kingdom; Nottingham Business School, Nottingham Trent University, Nottingham,
United Kingdom","Obthong M., School of Electronics and Computer Science, University
of Southampton, Southampton, United Kingdom; Tantisantiwong N., Nottingham Business
School, Nottingham Trent University, Nottingham, United Kingdom; Jeamwatthanachai
W., School of Electronics and Computer Science, University of Southampton,
Southampton, United Kingdom; Wills G., School of Electronics and Computer Science,
University of Southampton, Southampton, United Kingdom","Stock market trading is an
activity in which investors need fast and accurate information to make effective
decisions. Since many stocks are traded on a stock exchange, numerous factors
influence the decision-making process. Moreover, the behaviour of stock prices is
uncertain and hard to predict. For these reasons, stock price prediction is an
important process and a challenging one. This leads to the research of finding the
most effective prediction model that generates the most accurate prediction with
the lowest error percentage. This paper reviews studies on machine learning
techniques and algorithm employed to improve the accuracy of stock price
prediction. Copyright © 2020 by SCITEPRESS - Science and Technology Publications,
Lda. All rights reserved.",Deep Learning; Finance; Machine Learning; Stock Price
Prediction; Time Series Analysis,Commerce; Decision making; Financial markets;
Fintech; Forecasting; Investments; Learning algorithms; Machine learning;
Predictive analytics; Accurate prediction; Decision making process; Error
percentage; On-machines; Prediction model; Stock exchange; Stock price; Stock price
prediction; Electronic trading,,,,,,,"Adebiyi A. A., Adewumi A. O., Ayo C. K.,
Comparison of ARIMA and artificial neural networks models for stock price
prediction, Journal of Applied Mathematics, 2014, (2014); Aghabozorgi S.,
Shirkhorshidi A. S., Wah T. Y., Time-series clustering-a decade review, Information
Systems, 53, pp. 16-38, (2015); Al-Mahasneh A. J., Anavatti S. G., Garratt M. A.,
Review of Applications of Generalized Regression Neural Networks in Identification
and Control of Dynamic Systems, (2018); Alfred R., Et al., A genetic-based
backpropagation neural network for forecasting in time-series data, 2015
International Conference on Science in Information Technology (ICSITech), pp. 158-
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Introduction, (2014); Wang L., Zeng Y., Chen T., Back propagation neural network
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Characteristic-based clustering for time series data, Data mining and knowledge
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Continuum, 2, 3, pp. 923-937, (2019)",,Baudier P.; Arami M.; Chang
V.,SciTePress,"Institute for Systems and Technologies of Information, Control and
Communication (INSTICC)","2nd International Conference on Finance, Economics,
Management and IT Business, FEMIB 2020",5 May 2020 through 6 May 2020,"Virtual,
Online",160384,,978-989758422-0,,,English,"FEMIB - Proc. Int. Conf. Financ., Econ.,
Manag. IT Bus.",Conference paper,Final,,Scopus,2-s2.0-85088399784
Wang F.; Zhang Y.; Rao Q.; Li K.; Zhang H.,"Wang, Feng (57207267247); Zhang,
Yongquan (57063593900); Rao, Qi (57062095600); Li, Kangshun (36071336400); Zhang,
Hao (59289628100)",57207267247; 57063593900; 57062095600; 36071336400;
59289628100,Exploring mutual information-based sentimental analysis with kernel-
based extreme learning machine for stock prediction,2017,Soft
Computing,21,12,,3193,3205,12,55,10.1007/s00500-015-2003-z,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84954568041&doi=10.1007%2fs00500-015-2003-
z&partnerID=40&md5=4509eeffffcf38fe2b448969f6fcb743,"State Key Lab of Software
Engineering, Wuhan University, Wuhan, China; Institute of Computational
Linguistics, Peking University, Beijing, China; College of Mathematics and
Information, South China Agricultural University, Guangzhou, China; College of
Computing, Georgia Institute of Technology, Atlanta, GA, United States","Wang F.,
State Key Lab of Software Engineering, Wuhan University, Wuhan, China; Zhang Y.,
State Key Lab of Software Engineering, Wuhan University, Wuhan, China; Rao Q.,
Institute of Computational Linguistics, Peking University, Beijing, China; Li K.,
College of Mathematics and Information, South China Agricultural University,
Guangzhou, China; Zhang H., College of Computing, Georgia Institute of Technology,
Atlanta, GA, United States","Stock price volatility prediction is regarded as one
of the most attractive and meaningful research issues in financial market. Some
existing researches have pointed out that both the prediction accuracy and the
prediction speed are the most important factors in the process of stock prediction.
In this paper, we focus on the problem of how to design a methodology which can
improve prediction accuracy as well as speed up prediction process, and propose a
new prediction model which employs mutual information- based sentimental analysis
methodology with extreme learning machine to enhance the prediction performance.
The two major contributions of our work are (1) as the words in the news documents
are not absolutely negative or positive, and the lengths of the financial news
documents are various; here, we propose a new sentimental analysis methodology
based on mutual information to improve the efficiency of feature selection, which
is different from the traditional sentimental analysis algorithm, and a new
weighting scheme is also used in the feature weighting process; (2) since ELM is a
fast learning model and has been successfully applied in many research fields, we
propose a prediction model which combined mutual information-based sentimental
analysis with kernel-based ELM named as MISA-K-ELM. This model has the benefits of
both statistical sentimental analysis and ELM, which can well balance the
requirements of both prediction accuracy and prediction speed. We take experiments
on HKEx 2001 stock market datasets to validate the performance of the proposed
MISA-K-ELM. The market historical price and the market news are implemented in our
MISA-K-ELM. To test the efficiency of MISA, we first compare the prediction
accuracy of ELM model using MISA with ELM model using traditional sentimental
analysis. Then, we compare our proposed MISA-K-ELM with existing state-of-the-art
learning algorithms, such as Back-Propagation Neural Network (BP-NN), and Support
Vector Machine (SVM). Our experimental results show that (1) MISA model can help
get higher prediction accuracy than traditional sentimental analysis models; (2)
MISA-K-ELM and MISA-SVM have a higher prediction accuracy than MISA-BP-NN and MISA-
B-ELM; (3) both MISA-K-ELM and MISA-B-ELM can achieve faster prediction speed than
MISA-SVM and MISA-BP-NN in most cases; (4) in most cases, MISA-K-ELM has higher
prediction accuracy than the other three methodologies. © 2016, Springer-Verlag
Berlin Heidelberg.",Extreme learning machine; Mutual information; Optimization;
Sentimental analysis; Stock prediction,Backpropagation; Backpropagation algorithms;
Commerce; Efficiency; Electronic trading; Finance; Financial markets; Knowledge
acquisition; Learning algorithms; Learning systems; Neural networks; Optimization;
Support vector machines; Analysis algorithms; Backpropagation neural networks;
Extreme learning machine; Mutual informations; Prediction performance; Sentimental
analysis; Stock predictions; Stock price volatilities; Forecasting,,,,,"Fund of
Natural Science Foundation of Guangdong Province of China, (2014A030313454);
National High Resolution Earth Observation System; National Natural Science
Foundation of China, NSFC, (50707021, 51277135, 61103125, 61373038, 61573157);
National Natural Science Foundation of China, NSFC; Ministry of Education of the
People's Republic of China, MOE, (20100141120046); Ministry of Education of the
People's Republic of China, MOE; Natural Science Foundation of Hubei Province,
(2010CDB08504); Natural Science Foundation of Hubei Province; Wuhan University,
WHU; Project 211, (B07037); Project 211","This work is supported by National Nature
Science Foundation of China (Grant Nos. 51277135, 50707021, 61103125, 61373038, and
61573157); the Doctoral Fund of Ministry of Education of China (Grant No.
20100141120046); the Natural Science Foundation of Hubei Province of China (Grant
No. 2010CDB08504); the 111 Programme of Introducing Talents of Discipline to
Universities (Grant No. B07037); Wuhan University Academic Development Plan for
Scholars after 1970s [(“Research on Internet User Behavior”; The National High
Resolution Earth Observation System (the Civil Part) Technology Projects of China;
the Fund of Natural Science Foundation of Guangdong Province of China with the
Grant No. 2014A030313454 and Special Funds for Projects of Basic Research and
Operational Costs of the Central Universities]. ","Aizawa A., An information-
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(2012)","F. Wang; State Key Lab of Software Engineering, Wuhan University, Wuhan,
China; email: [email protected]",,Springer Verlag,,,,,,14327643,,,,English,Soft
Comput.,Article,Final,,Scopus,2-s2.0-84954568041
Haq A.U.; Zeb A.; Lei Z.; Zhang D.,"Haq, Anwar Ul (57214706022); Zeb, Adnan
(57219714654); Lei, Zhenfeng (57193712873); Zhang, Defu (57198601752)",57214706022;
57219714654; 57193712873; 57198601752,Forecasting daily stock trend using multi-
filter feature selection and deep learning,2021,Expert Systems with
Applications,168,,114444,,,,83,10.1016/j.eswa.2020.114444,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85097578923&doi=10.1016%2fj.eswa.2020.114444&partnerID=40&md5=cbf9bf1318df7ab88fd70
e7b5d1ea3ba,"School of Informatics, Xiamen University, Xiamen, Fujian, 361005,
China","Haq A.U., School of Informatics, Xiamen University, Xiamen, Fujian, 361005,
China; Zeb A., School of Informatics, Xiamen University, Xiamen, Fujian, 361005,
China; Lei Z., School of Informatics, Xiamen University, Xiamen, Fujian, 361005,
China; Zhang D., School of Informatics, Xiamen University, Xiamen, Fujian, 361005,
China","Stock market forecasting has attracted significant attention mainly due to
the potential monetary benefits. Predicting these markets is a challenging task due
to numerous interrelated factors, and needs a complete and efficient feature
selection process to identify the most informative factors. As a time series
problem, stock price movements are also dependent on movements on its previous
trading days. Feature selection techniques have been widely applied in stock
forecasting, but existing approaches usually use a single feature selection
technique, which may overlook some important assumptions about the underlying
regression function linking the input and output variables. In this study, we
combine features selected by multiple feature selection techniques to generate an
optimal feature subset and then use a deep generative model to predict future price
movements. First, we compute an extended set of forty-four technical indicators
from daily stock data of eighty-eight stocks and then compute their importance by
independently training logistic regression model, support vector machine and random
forests. Based on a prespecified threshold, the lowest ranked features are dropped
and the rest are grouped into clusters. The variable importance measure is reused
to select the most important feature from each cluster to generate the final
subset. The input is then fed to a deep generative model comprising of a market
signal extractor and an attention mechanism. The market signal extractor
recurrently decodes market movement from the latent variables to deal with
stochastic nature of the stock data and the attention mechanism discriminates
between predictive dependencies of different temporal auxiliary outputs. The
results demonstrate that combining features selected by multiple feature selection
approaches and using them as input into a deep generative model outperforms state-
of-the-art approaches. © 2020",Deep learning; Feature selection; Machine learning;
Stock trend prediction,Commerce; Decision trees; Deep learning; Financial markets;
Forecasting; Logistic regression; Stochastic systems; Support vector machines;
Support vector regression; Attention mechanisms; Efficient feature selections;
Logistic Regression modeling; Selection techniques; State-of-the-art approach;
Stock market forecasting; Stock price movements; Variable importances; Feature
extraction,,,,,,,"Adebiyi A.A., Adewumi A.O., Ayo C.K., Comparison of arima and
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(2019)","D. Zhang; School of Informatics, Xiamen University, Xiamen, Fujian,
361005, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85097578923
Kumar D.; Meghwani S.S.; Thakur M.,"Kumar, Deepak (57958442700); Meghwani, Suraj S.
(56095273900); Thakur, Manoj (36017796100)",57958442700; 56095273900;
36017796100,Proximal support vector machine based hybrid prediction models for
trend forecasting in financial markets,2016,Journal of Computational
Science,17,,,1,13,12,62,10.1016/j.jocs.2016.07.006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84981297831&doi=10.1016%2fj.jocs.2016.07.006&partnerID=40&md5=1dbd7e6f06821b503bb7b
c89357d0712,"Indian Institute of Technology-Mandi, Mandi, 175001, Himachal Pradesh,
India","Kumar D., Indian Institute of Technology-Mandi, Mandi, 175001, Himachal
Pradesh, India; Meghwani S.S., Indian Institute of Technology-Mandi, Mandi, 175001,
Himachal Pradesh, India; Thakur M., Indian Institute of Technology-Mandi, Mandi,
175001, Himachal Pradesh, India","In the recent years, various financial
forecasting systems have been developed using machine learning techniques. Deciding
the relevant input variables for these systems is a crucial factor and their
performances depend a lot on the choice of input variables. In this work, a set of
fifty-five technical indicators has been considered based on their application in
technical analysis as input feature to predict the future (one-day-ahead) direction
of stock indices. This study proposes four hybrid prediction models that are
combinations of four different feature selection techniques (Linear Correlation
(LC), Rank Correlation (RC), Regression Relief (RR) and Random Forest (RF)), with
proximal support vector machine (PSVM) classifier. The performance of these models
has been evaluated for twelve different stock indices, on the basis of several
performance metrics used in literature. A new performance measuring criteria,
called joint prediction error (JPE) is also proposed for comparing the results. The
empirical results obtained over a set of stock market indices from different
international markets show that all hybrid models perform better than the
individual PSVM prediction model. The comparison between the proposed models
demonstrates superiority of RF-PSVM over all other prediction models. Empirical
findings also suggest the superiority of a certain set of indicators over other
indicators in achieving better results. © 2016 Elsevier B.V.",Feature selection;
Proximal support vector machines; Random forest; RReliefF technical indicators;
Stock index trend prediction,Artificial intelligence; Commerce; Decision trees;
Feature extraction; Finance; Financial data processing; Financial markets;
International trade; Learning systems; Support vector machines; Hybrid prediction
models; International markets; Machine learning techniques; Performance measuring;
Proximal support vector machines; Random forests; Technical indicator; Trend
prediction; Forecasting,,,,,,,"Abu-Mostafa Y.S., Atiya A.F., Introduction to
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[email protected]",,Elsevier B.V.,,,,,,18777503,,,,English,J. Comput.
Sci.,Article,Final,,Scopus,2-s2.0-84981297831
Kim S.; Ku S.; Chang W.; Song J.W.,"Kim, Sondo (57203499287); Ku, Seungmo
(57208164606); Chang, Woojin (55916247700); Song, Jae Wook
(56912576300)",57203499287; 57208164606; 55916247700; 56912576300,Predicting the
Direction of US Stock Prices Using Effective Transfer Entropy and Machine Learning
Techniques,2020,IEEE
Access,8,,9119388,111660,111682,22,67,10.1109/ACCESS.2020.3002174,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85087383540&doi=10.1109%2fACCESS.2020.3002174&partnerID=40&md5=81461422d60a9a3d285a
4ba9e205c669,"Department of Industrial Engineering, Seoul National University,
Seoul, 08826, South Korea; Institute for Industrial Systems Innovation, Seoul
National University, Seoul, 08826, South Korea; SNU Institute for Research in
Finance and Economics, Seoul National University, Seoul, 08826, South Korea;
Department of Industrial Engineering, Hanyang University, Seoul, 04763, South
Korea","Kim S., Department of Industrial Engineering, Seoul National University,
Seoul, 08826, South Korea; Ku S., Department of Industrial Engineering, Seoul
National University, Seoul, 08826, South Korea; Chang W., Department of Industrial
Engineering, Seoul National University, Seoul, 08826, South Korea, Institute for
Industrial Systems Innovation, Seoul National University, Seoul, 08826, South
Korea, SNU Institute for Research in Finance and Economics, Seoul National
University, Seoul, 08826, South Korea; Song J.W., Department of Industrial
Engineering, Hanyang University, Seoul, 04763, South Korea","This study aims to
predict the direction of US stock prices by integrating time-varying effective
transfer entropy (ETE) and various machine learning algorithms. At first, we
explore that the ETE based on 3 and 6 months moving windows can be regarded as the
market explanatory variable by analyzing the association between the financial
crises and Granger-causal relationships among the stocks. Then, we discover that
the prediction performance on the stock price direction can be improved when the
ETE driven variable is integrated as a new feature in the logistic regression,
multilayer perceptron, random forest, XGBoost, and long short-term memory network.
Meanwhile, we suggest utilizing the adjusted accuracy derived from the risk-
adjusted return in finance as a prediction performance measure. Lastly, we confirm
that the multilayer perceptron and long short-term memory network are more suitable
for stock price prediction. This study is the first attempt to predict the stock
price direction using ETE, which can be conveniently applied to the practical
field. © 2013 IEEE.",Econophysics; effective transfer entropy; feature engineering;
information entropy; machine learning; prediction algorithms; stock markets; time
series analysis,Brain; Costs; Decision trees; Entropy; Forecasting; Learning
algorithms; Logistic regression; Long short-term memory; Machine learning;
Multilayers; Risk assessment; Causal relationships; Explanatory variables;
Financial crisis; Machine learning techniques; Prediction performance; Short term
memory; Stock price prediction; Transfer entropy; Financial markets,,,,,"Ministry
of Science, ICT and Future Planning, MSIP, (2018R1C1B5043835); Ministry of Science,
ICT and Future Planning, MSIP; National Research Foundation of Korea, NRF",This
work was supported by the National Research Foundation of Korea (NRF) Grant funded
by the Ministry of Science and ICT under Grant 2018R1C1B5043835.,"Ghysels E.,
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49-58, (1994)","J.W. Song; Department of Industrial Engineering, Hanyang
University, Seoul, 04763, South Korea; email: [email protected]",,Institute of
Electrical and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85087383540
Li B.; H. Hoi S.C.; Zhao P.; Gopalkrishnan V.,"Li, Bin (57205685502); H. Hoi,
Steven C. (8710996600); Zhao, Peilin (36445134800); Gopalkrishnan, Vivekanand
(24179210100)",57205685502; 8710996600; 36445134800; 24179210100,Confidence
weighted mean reversion strategy for online portfolio selection,2013,ACM
Transactions on Knowledge Discovery from
Data,7,1,4,,,,95,10.1145/2435209.2435213,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84878528879&doi=10.1145%2f2435209.2435213&partnerID=40&md5=97eb11a87fd0beed8b87686e
b3b7d6fb,"School of Computer Engineering, Nanyang Technological University,
Singapore; Deloitte Analytics Institute (Asia), Singapore","Li B., School of
Computer Engineering, Nanyang Technological University, Singapore; H. Hoi S.C.,
School of Computer Engineering, Nanyang Technological University, Singapore; Zhao
P., School of Computer Engineering, Nanyang Technological University, Singapore;
Gopalkrishnan V., Deloitte Analytics Institute (Asia), Singapore","Online portfolio
selection has been attracting increasing attention from the data mining and machine
learning communities. All existing online portfolio selection strategies focus on
the first order information of a portfolio vector, though the second order
information may also be beneficial to a strategy. Moreover, empirical evidence
shows that relative stock prices may follow the mean reversion property, which has
not been fully exploited by existing strategies. This article proposes a novel
online portfolio selection strategy named Confidence Weighted Mean Reversion
(CWMR). Inspired by the mean reversion principle in finance and confidence weighted
online learning technique in machine learning, CWMR models the portfolio vector as
a Gaussian distribution, and sequentially updates the distribution by following the
mean reversion trading principle. CWMR's closed-form updates clearly reflect the
mean reversion trading idea. We also present several variants of CWMR algorithms,
including a CWMR mixture algorithm that is theoretical universal. Empirically, CWMR
strategy is able to effectively exploit the power of mean reversion for online
portfolio selection. Extensive experiments on various real markets show that the
proposed strategy is superior to the state-of-the-art techniques. The experimental
testbed including source codes and data sets is available online.1 © 2013
ACM.",Confidence weighted learning; Mean reversion; Online learning; Portfolio
selection,Algorithms; Commerce; Confidence-weighted learning; Experimental testbed;
Machine learning communities; Mean reversion; Mixture algorithm; Online learning;
Portfolio selection; State-of-the-art techniques; Learning systems,,,,,,,"Agarwal
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Data,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-84878528879
Yoo J.; Soun Y.; Park Y.-C.; Kang U.,"Yoo, Jaemin (57201949913); Soun, Yejun
(57259115900); Park, Yong-Chan (57219795554); Kang, U (35113263900)",57201949913;
57259115900; 57219795554; 35113263900,Accurate Multivariate Stock Movement
Prediction via Data-Axis Transformer with Multi-Level Contexts,2021,Proceedings of
the ACM SIGKDD International Conference on Knowledge Discovery and Data
Mining,,,,2037,2045,8,69,10.1145/3447548.3467297,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85114912984&doi=10.1145%2f3447548.3467297&partnerID=40&md5=0b620c98727d5ae611b65d63
1180fd25,"Seoul National University, Seoul, South Korea; Seoul National University,
DeepTrade Inc., Seoul, South Korea","Yoo J., Seoul National University, Seoul,
South Korea; Soun Y., Seoul National University, DeepTrade Inc., Seoul, South
Korea; Park Y.-C., Seoul National University, Seoul, South Korea; Kang U., Seoul
National University, DeepTrade Inc., Seoul, South Korea","How can we efficiently
correlate multiple stocks for accurate stock movement prediction? Stock movement
prediction has received growing interest in data mining and machine learning
communities due to its substantial impact on financial markets. One way to improve
the prediction accuracy is to utilize the correlations between multiple stocks,
getting a reliable evidence regardless of the random noises of individual prices.
However, it has been challenging to acquire accurate correlations between stocks
because of their asymmetric and dynamic nature which is also influenced by the
global movement of a market. In this work, we propose DTML (Data-axis Transformer
with Multi-Level contexts), a novel approach for stock movement prediction that
learns the correlations between stocks in an end-to-end way. DTML makes asymmetric
and dynamic correlations by a) learning temporal correlations within each stock, b)
generating multi-level contexts based on a global market context, and c) utilizing
a transformer encoder for learning inter-stock correlations. DTML achieves the
state-of-the-art accuracy on six datasets collected from various stock markets from
US, China, Japan, and UK, making up to 13.8%p higher profits than the best
competitors and the annualized return of 44.4% on investment simulation. © 2021
ACM.",attention mechanism; stock movement prediction; transformers,Binary alloys;
Financial markets; Forecasting; International trade; Investments; Motion
estimation; Uranium alloys; Dynamic correlation; Dynamic nature; Machine learning
communities; Multi-level contexts; Prediction accuracy; State of the art; Stock
movement; Temporal correlations; Data mining,,,,,DeepTrade Inc.,This work is
supported by DeepTrade Inc. U Kang is the corresponding author.,"Jimmy Ba L., Ryan
Kiros J., Hinton G.E., Layer Normalization, (2016); Bahdanau D., Cho K., Bengio Y.,
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overfitting, J. Mach. Learn. Res, 15, 1, pp. 1929-1958, (2014); Vaswani A., Shazeer
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Attention is all you need, NIPS, (2017); Wang J., Sun T., Liu B., Cao Y., Zhu H.,
Clvsa: A convolutional lstm based variational sequence-to-sequence model with
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investment strategy using interpretable deep reinforcement attention networks, KDD,
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Multivariate time series forecasting with graph neural networks, KDD. ACM, pp. 753-
763, (2020); Xu Y., Cohen S.B., Stock movement prediction from tweets and
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Attention-based autoregression for accurate and efficient multivariate time series
forecasting, SDM. SIAM, pp. 531-539, (2021); Zhang C., Wang Y., Chen C., Du C., Yin
H., Wang H., Stockassistant: A stock ai assistant for reliability modeling of stock
comments, KDD, (2018); Zhang L., Aggarwal C.C., Qi G., Stock price prediction via
discovering multi-frequency trading patterns, KDD, (2017)","U. Kang; Seoul National
University, DeepTrade Inc., Seoul, South Korea; email:
[email protected]",,Association for Computing Machinery,ACM SIGKDD; ACM SIGMOD,"27th
ACM SIGKDD Conference on Knowledge Discovery and Data Mining, KDD 2021",14 August
2021 through 18 August 2021,"Virtual, Online",171623,,978-145038332-
5,,,English,Proc. ACM SIGKDD Int. Conf. Knowl. Discov. Data Min.,Conference
paper,Final,,Scopus,2-s2.0-85114912984
Bucci A.,"Bucci, Andrea (57195419707)",57195419707,Realized Volatility Forecasting
with Neural Networks,2020,Journal of Financial
Econometrics,18,3,,502,531,29,57,10.1093/jjfinec/nbaa008,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85096679190&doi=10.1093%2fjjfinec
%2fnbaa008&partnerID=40&md5=6596f370316a6d95e081f853c38ddaba,"Università
Politecnica Delle Marche, Italy; Università Degli Studi G. d'Annunzio Chieti e
Pescara, Italy; Università Degli Studi ""g. d'Annunzio"" Chieti-Pescara, Viale
Pindaro 42, Pescara, Italy","Bucci A., Università Politecnica Delle Marche, Italy,
Università Degli Studi G. d'Annunzio Chieti e Pescara, Italy, Università Degli
Studi ""g. d'Annunzio"" Chieti-Pescara, Viale Pindaro 42, Pescara, Italy","In the
last few decades, a broad strand of literature in finance has implemented
artificial neural networks as a forecasting method. The major advantage of this
approach is the possibility to approximate any linear and nonlinear behaviors
without knowing the structure of the data generating process. This makes it
suitable for forecasting time series which exhibit long-memory and nonlinear
dependencies, like conditional volatility. In this article, the predictive
performance of feed-forward and recurrent neural networks (RNNs) was compared,
particularly focusing on the recently developed long short-term memory (LSTM)
network and nonlinear autoregressive model process with eXogenous input (NARX)
network, with traditional econometric approaches. The results show that RNNs are
able to outperform all the traditional econometric methods. Additionally, capturing
long-range dependence through LSTM and NARX models seems to improve the forecasting
accuracy also in a highly volatile period. © 2020 The Author(s) 2020. Published by
Oxford University Press. All rights reserved. For permissions, please email:
[email protected].",C22; C24; C58; G17; machine learning; neural
network; realized volatility; stock market volatility,,,,,,,,"Anders U., Korn O.,
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(2006)","A. Bucci; Università Politecnica Delle Marche, Italy; email:
[email protected]",,Oxford University Press,,,,,,14798409,,,,English,J. Financ.
Econom.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85096679190
Golmohammadi K.; Zaiane O.R.; Diaz D.,"Golmohammadi, Koosha (55226527300); Zaiane,
Osmar R. (6602849837); Diaz, David (36705789700)",55226527300; 6602849837;
36705789700,Detecting stock market manipulation using supervised learning
algorithms,2014,DSAA 2014 - Proceedings of the 2014 IEEE International Conference
on Data Science and Advanced
Analytics,,,7058109,435,441,6,56,10.1109/DSAA.2014.7058109,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84946686019&doi=10.1109%2fDSAA.2014.7058109&partnerID=40&md5=a1d851bca05329b1062a03
d9af873245,"University of Alberta, Department of Computing Science, Edmonton,
Canada; Universidad de Chile, Departamento de Administración, Facultad de Economía
y Negocios, Santiago, Chile","Golmohammadi K., University of Alberta, Department of
Computing Science, Edmonton, Canada; Zaiane O.R., University of Alberta, Department
of Computing Science, Edmonton, Canada; Diaz D., Universidad de Chile, Departamento
de Administración, Facultad de Economía y Negocios, Santiago, Chile","Market
manipulation remains the biggest concern of investors in today's securities market,
despite fast and strict responses from regulators and exchanges to market
participants that pursue such practices. The existing methods in the industry for
detecting fraudulent activities in securities market rely heavily on a set of rules
based on expert knowledge. The securities market has deviated from its traditional
form due to new technologies and changing investment strategies in the past few
years. The current securities market demands scalable machine learning algorithms
supporting identification of market manipulation activities. In this paper we use
supervised learning algorithms to identify suspicious transactions in relation to
market manipulation in stock market. We use a case study of manipulated stocks
during 2003. We adopt CART, conditional inference trees, C5.0, Random Forest, Naïve
Bayes, Neural Networks, SVM and kNN for classification of manipulated samples.
Empirical results show that Naïve Bayes outperform other learning methods achieving
F2 measure of 53% (sensitivity and specificity are 89% and 83% respectively). ©
2014 IEEE.",classification; data mining; fraud detection; market manipulation;
stock market manipulation; supervised learning,Algorithms; Artificial intelligence;
Classification (of information); Commerce; Data mining; Decision trees; Finance;
Financial markets; Investments; Learning systems; Mobile security; Sodium;
Supervised learning; Conditional inference; Fraud detection; Investment strategy;
Market manipulation; Scalable machine learning; Sensitivity and specificity; Stock
market; Suspicious transactions; Learning algorithms,,,,,,,"Diaz D., Theodoulidis
B., Sampaio P., Analysis of stock market manipulations using knowledge discovery
techniques applied to intraday trade prices, Expert Syst. Appl., 38, 10, pp. 12757-
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107-119, (2003)",,Karypis G.; Cao L.; Wang W.; King I.,Institute of Electrical and
Electronics Engineers Inc.,CRC Press-Taylor and Francis Group; et al.; Huawei; KDD;
KDnuggets; Springer,"2014 IEEE International Conference on Data Science and
Advanced Analytics, DSAA 2014",30 October 2014 through 1 November
2014,Shanghai,111551,,978-147996991-3,,,English,DSAA - Proc. IEEE Int. Conf. Data
Sci. Adv. Anal.,Conference paper,Final,,Scopus,2-s2.0-84946686019
Zhang X.-D.; Li A.; Pan R.,"Zhang, Xiao-dan (55715313800); Li, Ang (57199855236);
Pan, Ran (57190965457)",55715313800; 57199855236; 57190965457,Stock trend
prediction based on a new status box method and AdaBoost probabilistic support
vector machine,2016,Applied Soft Computing
Journal,49,,,385,398,13,86,10.1016/j.asoc.2016.08.026,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84984830283&doi=10.1016%2fj.asoc.2016.08.026&partnerID=40&md5=c8f1ae1ed680bb851c523
015ad9b17ae,"School of Mathematics and Physics, University of Science and
Technology Beijing, Xueyuan, Road No. 30 Haidian District, Beijing, China; School
of Mechanical Engineering, Imperial College London, London, United Kingdom","Zhang
X.-D., School of Mathematics and Physics, University of Science and Technology
Beijing, Xueyuan, Road No. 30 Haidian District, Beijing, China; Li A., School of
Mathematics and Physics, University of Science and Technology Beijing, Xueyuan,
Road No. 30 Haidian District, Beijing, China; Pan R., School of Mechanical
Engineering, Imperial College London, London, United Kingdom","Stock trend
prediction is regarded as one of the most challenging tasks of financial time
series prediction. Conventional statistical modeling techniques are not adequate
for stock trend forecasting because of the non-stationarity and non-linearity of
the stock market. With this regard, many machine learning approaches are used to
improve the prediction results. These approaches mainly focus on two aspects:
regression problem of the stock price and prediction problem of the turning points
of stock price. In this paper, we concentrate on the evaluation of the current
trend of stock price and the prediction of the change orientation of the stock
price in future. Then, a new approach named status box method is proposed.
Different from the prediction issue of the turning points, the status box method
packages some stock points into three categories of boxes which indicate different
stock status. And then, some machine learning techniques are used to classify these
boxes so as to measure whether the states of each box coincides with the stock
price trend and forecast the stock price trend based on the states of the box.
These results would support us to make buying or selling strategies. Comparing with
the turning points prediction that only considered the features of one day, each
status box contains a certain amount of points which represent the stock price
trend in a certain period of time. So, the status box reflects more information of
stock market. To solve the classification problem of the status box, a special
features construction approach is presented. Moreover, a new ensemble method
integrated with the AdaBoost algorithm, probabilistic support vector machine
(PSVM), and genetic algorithm (GA) is constructed to perform the status boxes
classification. To verify the applicability and superiority of the proposed
methods, 20 shares chosen from Shenzhen Stock Exchange (SZSE) and 16 shares from
National Association of Securities Dealers Automated Quotations (NASDAQ) are
applied to perform stock trend prediction. The results show that the status box
method not only have the better classification accuracy but also effectively solve
the unbalance problem of the stock turning points classification. In addition, the
new ensemble classifier achieves preferable profitability in simulation of stock
investment and remarkably improves the classification performance compared with the
approach that only uses the PSVM or back-propagation artificial neural network
(BPN). © 2016 Elsevier B.V.",AdaBoost; Piecewise linear representation;
Probabilistic support vector machine; Status box method; Stock trend
prediction,Adaptive boosting; Artificial intelligence; Backpropagation; Commerce;
Costs; Finance; Financial data processing; Financial markets; Forecasting; Genetic
algorithms; Investments; Learning systems; Neural networks; Piecewise linear
techniques; Problem solving; Support vector machines; Time series analysis; Back
propagation artificial neural network (BPANN); Classification performance;
Financial time series predictions; Machine learning approaches; Machine learning
techniques; Piecewise linear representation; Status box method; Stock trend
prediction; Electronic trading,,,,,"Fundamental Research Funds for the Central
Universities, (FRF-BR-12-021)",This work was supported by the Fundamental Research
Funds for the Central Universities of China under Grant FRF-BR-12-021 .,"Takayasu
H., Practical Fruits of Econophysics, (2006); Kazem A., Sharifi E., Hussain F.K.,
Saberi M., Hussain O.K., Support vector regression with chaos-based firefly
algorithm for stock market price forecasting, Appl. Soft Comput., 13, pp. 947-958,
(2013); Zuo Y., Kita E., Stock price forecast using Bayesian network, Expert Syst.
Appl., 39, pp. 6729-6737, (2012); Kim K.-J., Han I., Genetic algorithms approach to
feature discretization in artificial neural networks for the prediction of stock
price index, Expert Syst. Appl., 19, pp. 125-132, (2000); Qi M., Zhang G.P., Trend
time–series modeling and forecasting with neural networks, IEEE Trans. Neural
Netw., 19, pp. 808-816, (2008); Yu L., Wang S., Lai K.K., A neural-network-based
nonlinear metamodeling approach to financial time series forecasting, Appl. Soft
Comput., 9, pp. 563-574, (2009); Pulido M., Melin P., Castillo O., Particle swarm
optimization of ensemble neural networks with fuzzy aggregation for time series
prediction of the Mexican Stock Exchange, Inf. Sci., 280, pp. 188-204, (2014); Yu
H., Chen R., Zhang G., A SVM stock selection model within PCA, Procedia Comput.
Sci., 31, pp. 406-412, (2014); Muller K.-R., Smola A.J., Ratsch G., Scholkopf B.,
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D. Zhang; School of Mathematics and Physics, University of Science and Technology
Beijing, Beijing, Xueyuan, Road No. 30 Haidian District, China; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.
J.,Article,Final,,Scopus,2-s2.0-84984830283
Oncharoen P.; Vateekul P.,"Oncharoen, Pisut (57205420062); Vateekul, Peerapon
(24829867400)",57205420062; 24829867400,Deep Learning for Stock Market Prediction
Using Event Embedding and Technical Indicators,2018,ICAICTA 2018 - 5th
International Conference on Advanced Informatics: Concepts Theory and
Applications,,,8541310,19,24,5,56,10.1109/ICAICTA.2018.8541310,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85059965712&doi=10.1109%2fICAICTA.2018.8541310&partnerID=40&md5=bb0561aecff4cab9496
6a669d398d37c,"Chulalongkorn University Big Data Analytics and IoT Center (CUBIC),
Department of Computer Engineering, Faculty of Engineering, Chulalongkorn
University, Bangkok, Thailand","Oncharoen P., Chulalongkorn University Big Data
Analytics and IoT Center (CUBIC), Department of Computer Engineering, Faculty of
Engineering, Chulalongkorn University, Bangkok, Thailand; Vateekul P.,
Chulalongkorn University Big Data Analytics and IoT Center (CUBIC), Department of
Computer Engineering, Faculty of Engineering, Chulalongkorn University, Bangkok,
Thailand","Recently, ability to handle tremendous amounts of information using
increased computational capabilities has improved prediction of stock market
behavior. Complex machine learning algorithms such as deep learning methods can
analyze and detect complex data patterns. The recent prediction models use two
types of inputs as (i) numerical information such as historical prices and
technical indicators, and (ii) textual information including news contents or
headlines. However, the use of textual data involves text representation
construction. Traditional methods like word embedding may not be suitable for
representing the semantics of financial news due to problems of word sparsity in
datasets. In this paper, we aim to improve stock market predictions using a deep
learning approach with event embedding vectors extracted from news headlines,
historical price data, and a set of technical indicators as input. Our prediction
model consists of Convolutional Neural Network (CNN) and Long Short-term Memory
(LSTM) architectures. We use accuracy and annualized return based on trading
simulation as performance metrics, and then perform experiments on three datasets
obtained from different news sources namely Reuters, Reddit, and Intrinio. Results
show that enhancing text representation vectors and considering both numerical and
textual information as input to a deep neural network can improve prediction
performance. © 2018 IEEE.",Convolutional Neural Network; Deep Learning; Event
Embedding; Long Short-term Memory; Stock Market Prediction,Brain; Commerce; Complex
networks; Computation theory; Convolution; Deep learning; Deep neural networks;
Electronic trading; Financial markets; Forecasting; Learning algorithms; Semantics;
Computational capability; Convolutional neural network; Convolutional Neural
Networks (CNN); Event Embedding; Numerical information; Performance metrics;
Prediction performance; Stock market prediction; Long short-term
memory,,,,,,,"Malkiel B.G., A Random Walk Down Wall Street: The Time-tested
Strategy for Successful Investing, (2007); Mizuno H., Kosaka M., Yajima H., Komoda
N., Application of neural network to technical analysis of stock market prediction,
Studies in Informatic and Control, 7, 3, pp. 111-120, (1998); Leigh W., Purvis R.,
Ragusa J.M., Forecasting the NYSE composite index with technical analysis, pattern
recognizer, neural network, and genetic algorithm: A case study in romantic
decision support, Decision Support Systems, 32, 4, pp. 361-377, (2002); Gunduz H.,
Cataltepe Z., Borsa istanbul (BIST) daily prediction using financial news and
balanced feature selection, Expert Systems with Applications, 42, 22, pp. 9001-
9011, (2015); Wang B., Huang H., Wang X., A novel text mining approach to financial
time series forecasting, Neurocomput., 83, pp. 136-145, (2012); Schumaker R.P.,
Chen H., Textual analysis of stock market prediction using breaking financial news:
The AZFin text system, ACM Transactions on Information Systems, 27, 2, (2009);
Gidofalvi G., Using News Articles to Predict Stock Price Movements, (2001); Ding
X., Zhang Y., Liu T., Duan J., Using structured events to predict stock price
movement: An empirical investigation, Proceedings of the 2014 Conference on
Empirical Methods in Natural Language Processing, pp. 1415-1425, (2014); Ding X.,
Zhang Y., Liu T., Duan J., Deep learning for eventdriven stock prediction, The
IJCAI International Joint Conference on Artificial Intelligence, (2015); Nelson
D.M., Pereira A.C., De Oliveira R.A., Stock Market's price movement prediction with
LSTM neural networks, Neural Networks (IJCNN), 2017 International Joint Conference
on, pp. 1419-1426, (2017); Akita R., Yoshihara A., Matsubara T., Uehara K., Deep
learning for stock prediction using numerical and textual information, Proceedings
of the 15th International Conference on Computer and Information Science (ICIS),
pp. 1-6, (2016); Vargas M.R., De Lima B.S.L.P., Evsukoff A.G., Deep learning for
stock market prediction from financial news articles, Proceedings of the 2017 IEEE
International Conference on Computational Intelligence and Virtual Environments for
Measurement Systems and Applications (CIVEMSA), pp. 60-65, (2017); Huynh H.D., Dang
L.M., Duong D., A new model for stock price movements prediction using deep neural
network, Proceedings of the Eighth International Symposium on Information and
Communication Technology, pp. 57-62, (2017); Zhai Y., Hsu A., Halgamuge S.K.,
Combining news and technical indicators in daily stock price trends prediction,
International Symposium on Neural Networks, pp. 1087-1096, (2007); Stanford Open
Information Extraction; Pennington J., Socher R., Manning C.D., GloVe: Global
vectors for word representation, EMNLP 2014-2014 Conference on Empirical Methods in
Natural Language Processing, Proceedings of the Conference, pp. 1532-1543, (2014);
Daily News for Stock Market Prediction; Lavrenko V., Schmill M., Lawrie D., Ogilvie
P., Jensen D., Allan J., Mining of concurrent text and time series, KDD-2000
Workshop on Text Mining, 2000, pp. 37-44, (2000); Ioffe S., Szegedy C., Batch
Normalization: Accelerating Deep Network Training by Reducing Internal Covariate
Shift, (2015); Srivastava N., Hinton G., Krizhevsky A., Sutskever I., Salakhutdinov
R., Dropout: A simple way to prevent neural networks from overfitting, Journal of
Machine Learning Research, 15, pp. 1929-1958, (2014); Kingma D.P., Ba J., Adam: A
Method for Stochastic Optimization, (2014)",,,Institute of Electrical and
Electronics Engineers Inc.,,"5th International Conference on Advanced Informatics:
Concepts Theory and Applications, ICAICTA 2018",14 August 2018 through 17 August
2018,Krabi,142891,,978-153864804-9,,,English,ICAICTA - Int. Conf. Adv. Informatics:
Concepts Theory Appl.,Conference paper,Final,,Scopus,2-s2.0-85059965712
Gupta R.; Chen M.,"Gupta, Rubi (57220802725); Chen, Min (57193831567)",57220802725;
57193831567,Sentiment Analysis for Stock Price Prediction,2020,"Proceedings - 3rd
International Conference on Multimedia Information Processing and Retrieval, MIPR
2020",,,9175549,213,218,5,55,10.1109/MIPR49039.2020.00051,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85092197739&doi=10.1109%2fMIPR49039.2020.00051&partnerID=40&md5=5a2648cf19ef24a2057
3b7ef940a2138,"Computing and Software Systems, School of Stem, University of
Washington Bothell, Bothell, WA, United States","Gupta R., Computing and Software
Systems, School of Stem, University of Washington Bothell, Bothell, WA, United
States; Chen M., Computing and Software Systems, School of Stem, University of
Washington Bothell, Bothell, WA, United States","Stock prices and financial markets
are often sentiment-driven, which leads to research efforts to predict stock market
trend using public sentiments expressed on social media such as Facebook and
Twitter. In this project, we investigate the impact of sentiment expressed through
StockTwits on stock price prediction. StockTwits is a relatively new microblogging
website, which is becoming increasingly popular for users to share their
discussions and sentiments about stocks and financial markets. Specifically, we
analyze the StockTwits tweet contents and extract financial sentiment using a set
of text featurization and machine learning algorithms. The correlation between the
aggregated daily sentiment and daily stock price movement is then studied. Finally,
the sentiment information is used in addition to the past stock time series data to
improve the accuracy of stock price movement prediction. The effectiveness of the
proposed work on stock price prediction is demonstrated through experiments on five
companies (Apple, Amazon, General Electric, Microsoft, and Target) using nine-month
StockTwits data and daily stock data. © 2020 IEEE.",machine learning; sentiment
analysis; stock price prediction; StockTwits; tweet processing,Commerce;
Forecasting; Learning algorithms; Machine learning; Motion estimation; Sentiment
analysis; Social networking (online); General electrics; Microblogging; Public
sentiments; Research efforts; Stock price movement predictions; Stock price
movements; Stock price prediction; Stock time series; Financial
markets,,,,,,,"Ahuja R., Rastogi H., Choudhuri A., Garg B., Stock market forecast
using sentiment analysis, 2nd International Conference on Computing for Sustainable
Global Development, pp. 1008-1010, (2015); Baccianella S., Esuli A., Sebastiani F.,
SentiWordNet 3.0: An enhanced lexical resource for sentiment analysis and opinion
mining, Proceedings of the Seventh International Conference on Language Resources
and Evaluation, 10, pp. 2200-2204, (2010); Butler K.C., Malaikah S.J., Efficiency
and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia, Journal
of Banking and Finance, 16, pp. 197-210, (1992); Cambria E., Olsher D., Rajagopal
D., Senticnet 3: A common and common-sense knowledge base for cognition-driven
sentiment analysis, Aaai, pp. 1515-1521, (2014); Fama E.F., The Behavior of Stock-
Market Prices, The Journal of Business, 38, 1, pp. 34-105, (1965); Gallagher L.A.,
Taylor M.P., Permanent and temporary components of stock prices: Evidence from
assessing macroeconomic shocks, Southern Economic Journal, 69, pp. 345-362, (2002);
Kavussanos M.G., Dockery E., A multivariate test for stock market efficiency: The
case of ASE, Applied Financial Economics, 11, pp. 573-579, (2001); Lima M.L., Using
sentiment analysis for stock exchange prediction, International Journal of
Artificial Intelligence & Applications, 7, pp. 59-67, (2016); Musto C., Semeraro
G., Polignano M., A comparison of lexiconbased approaches for sentiment analysis of
microblog posts, Proceedings of the 8th International Workshop on Information
Filtering and Retrieval, 1314, pp. 50-68, (2014); Oliveira N., Cortez P., Areal N.,
Automatic creation of stock market lexicons for sentiment analysis using StockTwits
data, Proceedings of the Acm International Database Engineering & Applications
Symposium, pp. 115-123, (2014); Pagolu V.S., Reddy K.N., Panda G., Majhi B.,
Sentiment analysis of Twitter data for predicting stock market movements,
Proceedings of 2016 International Conference on Signal Processing, Communication,
Power and Embedded System, pp. 1345-1350, (2016); Qian B., Rasheed K., Stock market
prediction with multiple classifiers, Applied Intelligence, 26, pp. 25-33, (2007);
Ruiz E.J., Hristidis V., Castillo C., Gionis A., Jaimes A., Correlating financial
time series with micro-blogging activity, Proceedings of the 5th Acm International
Conference on Web Search and Data Mining, pp. 513-522, (2012); Stambaugh R.F., Yu
J., Yuan Y., The short of it: Investor sentiment and anomalies, Journal of
Financial Economics, 104, pp. 288-302, (2012); StockTwits; Strapparava C.,
Valitutti A., Wordnet affect: An affective extension of wordnet, Proceedings of the
Seventh International Conference on Language Resources and Evaluation, 4, pp. 1083-
1086, (2004); Talbot R., Acheampong C., Wicentowski R., SWASH: A Naive Bayes
classifier for tweet sentiment identification, Proceedings of 9th International
Workshop on Semantic Evaluation, pp. 626-630, (2015); Urolagin S., Text mining of
tweet for sentiment classification and association with stock prices, Proceedings
of 2017 International Conference on Computer and Applications, pp. 384-388, (2017);
Wei P., Wang N., Wikipedia and stock return: Wikipedia usage pattern helps to
predict the individual stock movement, Proceedings of the 25th International
Conference Companion on World Wide Web, pp. 591-594, (2016); Wiebe J., Wilson T.,
Cardie C., Annotating expressions of opinions and emotions in language, Language
Resources and Evaluation, 39, 2-3, pp. 165-210, (2005); Wu D.D., Zheng L., Olson
D.L., A decision support approach for online stock forum sentiment analysis, Ieee
Trans. Syst., Man, Cybern., Syst, 44, 8, pp. 1077-1087, (2014); Ye T., Stock
forecasting method based on wavelet analysis and arimasvr model, Proceedings of the
3rd International Conference on Information Management, pp. 102-106, (2017); Zhang
J., Cui S., Xu Y., Li Q., Li T., A novel data-driven stock price trend prediction
system, Expert Systems with Applications, 97, pp. 60-69, (2018)",,,Institute of
Electrical and Electronics Engineers Inc.,,"3rd International Conference on
Multimedia Information Processing and Retrieval, MIPR 2020",6 August 2020 through 8
August 2020,"Shenzhen, Guangdong",162650,,978-172814272-2,,,English,"Proc. - Int.
Conf. Multimed. Inf. Process. Retr., MIPR",Conference paper,Final,,Scopus,2-s2.0-
85092197739
Yu H.; Chen R.; Zhang G.,"Yu, Huanhuan (56200685100); Chen, Rongda (8551142100);
Zhang, Guoping (56202747500)",56200685100; 8551142100; 56202747500,A SVM stock
selection model within PCA,2014,Procedia Computer
Science,31,,,406,412,6,70,10.1016/j.procs.2014.05.284,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84902264873&doi=10.1016%2fj.procs.2014.05.284&partnerID=40&md5=ed1f433289f69dfc1393
62be1cc4d414,"School of Finance, Zhejiang University of Finance and Economics,
Hangzhou, 310018, China; School of Economics and International Trade, Zhejiang
University of Finance and Economics, Hangzhou, 310018, China","Yu H., School of
Finance, Zhejiang University of Finance and Economics, Hangzhou, 310018, China;
Chen R., School of Finance, Zhejiang University of Finance and Economics, Hangzhou,
310018, China; Zhang G., School of Economics and International Trade, Zhejiang
University of Finance and Economics, Hangzhou, 310018, China","In the financial
market, well-performing stocks usually have some specific features in financial
figures. This paper introduces a machine learning method of support vector machine
to construct a stock selection model, which can do the nonlinear classification of
stocks. However, the accuracy of SVM classification is very sensitive to the
quality of training set. To avoid the direct use of complicated and highly
dimensional financial ratios, we bring the principal component analysis (PCA) into
SVM model to extract the low-dimensional and efficient feature information, which
improves the training accuracy and efficiency as well as preserve the features of
initial data. As empirical results show, based on support vector machine, within
PCA after norm-standardization, the stock selection model achieves the entire
accuracy of 75.4464% in training set and of 61.7925% in test set. Further, the PCA-
SVM stock selection model contributes the annual earnings of stock portfolio to
outperforming those of A-share index of Shanghai Stock Exchange, significantly. ©
2014 Published by Elsevier B.V.",Machine learning; Principal components analysis;
Stock selection; Support vector machine,Artificial intelligence; Classification (of
information); Financial markets; Learning systems; Machine components; Support
vector machines; Feature information; Machine learning methods; Nonlinear
classification; Principal components analysis; Shanghai stock exchanges; Stock
selections; SVM classification; Training accuracy; Principal component
analysis,,,,,"National Natural Science Foundation of China, NSFC, (71171176)",This
research was supported by the National Natural Science Foundation of China (Grant
No. 71171176).,"Guo M., Zhang Y.-B., A stock selection model based on analytic
hierarchy process, Factor Analysis and TOPSIS//The International Conference on
Computer and Communication Technologies in Agriculture Engineerin, pp. 466-469,
(2010); Kuo R.J., Chen C.H., Hwang Y.C., A intelligent stock trading decision
support system through integration of genetic algorithm based fuzzy neural network
and artificial neural network, Fuzzy Sets and Systems, 118, pp. 21-45, (2001);
Tsumato S., Slowinski S., Komorowsk J., Grzymala-Busse J.W., Lecturenotes in
artificial intelligence, The Fourth International Conference on Rough Sets and
Current Trends in Computing, (2004); De Faria E.L., Albuquerque M.P., Gonzalez
J.L., Cavalcante J.T.P., Albuquerque M.P., Predicting the Brazilian stock market
through neural networks and adaptive exponential smoothing methods, Expert Systems
with Application, 36, pp. 12506-12509, (2009); Zhang Y., Wu L., Stock market
prediction of S&P 500 via combination of improved BCO approach and BP neural
network, Expert Systems with Applications, 36, pp. 8849-8854, (2009); Vapnik V.N.,
Statistical Learning Theory, (2004); Yeh C.-Y., Huang C.-W., Lee S.-J., A multiple-
kernel support vector regression approach for stock market price forecasting,
Expert Systems with Applications, 38, pp. 2177-2186, (2011); Huang P., Prediction
of the Turnover Points in Stock Trend Based on Support Vector Machine, (2010)","R.
Chen; School of Finance, Zhejiang University of Finance and Economics, Hangzhou,
310018, China; email: [email protected]",,Elsevier B.V.,"Chinese Academy of
Sciences, Research Center on FEDS; currexSole; Global Action Inc.; National
Research University Higher School of Economics; University of Nebraska at Omaha;
Yandex LLC","2nd International Conference on Information Technology and
Quantitative Management, ITQM 2014",3 June 2014 through 5 June
2014,Moscow,105641,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-84902264873
Tan Z.; Yan Z.; Zhu G.,"Tan, Z. (59033810800); Yan, Z. (57210432044); Zhu, Guangwei
(57200529246)",59033810800; 57210432044; 57200529246,Stock selection with random
forest: An exploitation of excess return in the Chinese stock
market,2019,Heliyon,5,8,e02310,,,,65,10.1016/j.heliyon.2019.e02310,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85070685998&doi=10.1016%2fj.heliyon.2019.e02310&partnerID=40&md5=ef532263ea9581f2c8
3878168a668f35,"Xiyuan Hedge Fund, 388 Yizhou Road, Chengdu, Sichuan, China;
Institute of Chinese Financial Studies, Southwestern University of Finance and
Economics, 555 Liutai Avenue, Wenjiang District, Chengdu, Sichuan, China","Tan Z.,
Xiyuan Hedge Fund, 388 Yizhou Road, Chengdu, Sichuan, China; Yan Z., Xiyuan Hedge
Fund, 388 Yizhou Road, Chengdu, Sichuan, China; Zhu G., Institute of Chinese
Financial Studies, Southwestern University of Finance and Economics, 555 Liutai
Avenue, Wenjiang District, Chengdu, Sichuan, China","In recent years, a variety of
research fields, including finance, have begun to place great emphasis on machine
learning techniques because they exhibit broad abilities to simulate more
complicated problems. In contrast to the traditional linear regression scheme that
is usually used to describe the relationship between the stock forward return and
company characteristics, the field of finance has experienced the rapid development
of tree-based algorithms and neural network paradigms when illustrating complex
stock dynamics. These nonlinear methods have proved to be effective in predicting
stock prices and selecting stocks that can outperform the general market. This
article implements and evaluates the robustness of the random forest (RF) model in
the context of the stock selection strategy. The model is trained for stocks in the
Chinese stock market, and two types of feature spaces, fundamental/technical
feature space and pure momentum feature space, are adopted to forecast the price
trend in the long run and the short run, respectively. It is evidenced that both
feature paradigms have led to remarkable excess returns during the past five out-
of-sample period years, with the Sharpe ratios calculated to be 2.75 and 5 for the
portfolio net value of the multi-factor space strategy and momentum space strategy,
respectively. Although the excess return has weakened in recent years with respect
to the multi-factor strategy, our findings point to a less efficient market that is
far from equilibrium. © 2019",Computer science; Economics; Excess return; Finance;
Machine learning; Random forests; Stock selection,,,,,,,,"Ahmad I., Basheri M.,
Iqbal M.J., Raheem A., Performance comparison of support vector machine, random
forest, and extreme learning machine for intrusion detection, IEEE Access, 6, pp.
33789-33795, (2018); Alberg J., Lipton Z.C., Improving Factor-Based Quantitative
Investing by Forecasting Company Fundamentals, (Nips), (2017); Andriyashin A.,
HHrdle W.K., Timofeev R.V., Recursive portfolio selection with decision trees, SSRN
Electron. J., (2008); Babu C.N., Reddy B.E., A moving-average filter based hybrid
ARIMA-ANN model for forecasting time series data, Appl. Soft Comput. J., 23,
November, pp. 27-38, (2014); Basu S., The relationship between earnigns' yield,
market value and return for NYSE common stocks: further evidence, J. Financ. Econ.,
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statistics in predicting stock market, Ann. Univ. Craiova - Math. Comput. Sci.
Ser., 44, 2, pp. 292-298, (2017); Breiman L., Out-of-bag Estimation, (1996);
Breiman L., Random forests, Mach. Learn., 45, 1, pp. 5-32, (2001); Brennan M.J.,
Chordia T., Subrahmanyam A., Alternative factor specifications, security
characteristics, and the cross-section of expected stock returns, J. Financ. Econ.,
49, pp. 345-373, (1997); Carhart M.M., On persistence in mutual fund performance,
J. Financ., 52, pp. 57-82, (1997); Chen L., Novy-Marx R., Zhang L., An Alternative
Three-Factor Model, (2011); Chen M., Wang X., Feng B., Liu W., Structured random
forest for label distribution learning, Neurocomputing, 320, 3, pp. 171-182,
(2018); Chong E., Han C., Park F.C., Deep learning networks for stock market
analysis and prediction: methodology, data representations, and case studies,
Expert Syst. Appl., 83, April, pp. 187-205, (2017); Engel J., Polytomous logistic
regression, Stat. Neerl., 42, 4, (1988); Enke D., Thawornwong S., The use of data
mining and neural networks for forecasting stock market returns, Expert Syst.
Appl., 29, 4, pp. 927-940, (2005); Fama E.F., French K.R., A five-factor asset
pricing model, J. Financ. Econ., 116, 1, pp. 1-22, (2015); Fama E.F., French K.R.,
Common risk factors in the returns on stocks and bonds, J. Financ. Econ., 33, pp.
3-56, (1993); Guresen E., Kayakutlu G., Daim T.U., Using artificial neural network
models in stock market index prediction, Expert Syst. Appl., 38, 8, pp. 10389-
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for stock market forecasting, Expert Syst. Appl., 33, 1, pp. 171-180, (2007); Hou
K., Andrew Karolyi G., Kho B.-C., What factors drive global stock returns?, Rev.
Financ. Stud., 24, pp. 2528-2574, (2011); James G., Witten D., Hastie T.,
Tibshirani R., An Introduction to Statistical Learning, (2013); Jegadeesh N.,
Titman S., Returns to buying winners and selling losers: implications for stock
market efficiency, J. Financ., 48, pp. 65-91, (1993); Jia C., Xu W., Wang F., Wang
H., Track irregularity time series analysis and trend forecasting, Discrete Dynam
Nat. Soc., 2012, (2012); Khashei M., Bijari M., An artificial neural network (p, d,
q) model for timeseries forecasting, Expert Syst. Appl., 37, 1, pp. 479-489,
(2010); Krauss C., Do X.A., Huck N., Deep neural networks, gradient-boosted trees,
random forests: statistical arbitrage on the S&P 500, Eur. J. Oper. Res., 259, 2,
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comparison of classification and level estimation models, Int. J. Forecast., 16, 2,
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J. Financ. Econ., 104, 2, pp. 228-250, (2012); Pedregosa F., Et al., Scikit-learn:
machine learning in Python, J. Mach. Learn. Res., 2011, 12, pp. 2825-2830, (2011);
Rather A.M., Agarwal A., Sastry V.N., Recurrent neural network and a hybrid model
for prediction of stock returns, Expert Syst. Appl., 42, 6, pp. 3234-3241, (2015);
Sorensen E.H., Miller K.L., Ooi C.K., The decision tree approach to stock
selection, J. Portfolio Manag., 27, 1, pp. 42-52, (2000); Takeuchi L., Lee Y.,
Applying Deep Learning to Enhance Momentum Trading Strategies in Stocks.
Cs229.Stanford.Edu, (December 1989), 1–5, (2013); Ticknor J.L., A Bayesian
regularized artificial neural network for stock market forecasting, Expert Syst.
Appl., 40, 14, pp. 5501-5506, (2013); Wang S., Aggarwal C., Liu H., Random-forest-
inspired neural networks, ACM Trans. Intell. Syst. Technol., 9, 6, pp. 1-25,
(2018); Yangming Z., Guoping Q., Random forest for label ranking, Expert Syst.
Appl., 112, 1, pp. 99-109, (2018); Zhu M., Philpotts D., Stevenson M.J., The
benefits of tree-based models for stock selection, J. Asset Manag., 13, 6, pp. 437-
448, (2012); Zhu M., Philpotts D., Sparks R., Stevenson M.J., A hybrid approach to
combining CART and logistic regression for stock ranking, J. Portfolio Manag., 38,
1, pp. 100-109, (2011)","Z. Tan; Xiyuan Hedge Fund, Chengdu, 388 Yizhou Road,
China; email: [email protected]",,Elsevier
Ltd,,,,,,24058440,,,,English,Heliyon,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85070685998
Song Q.; Liu A.; Yang S.Y.,"Song, Qiang (57189060778); Liu, Anqi (56391066200);
Yang, Steve Y. (24802841600)",57189060778; 56391066200; 24802841600,Stock portfolio
selection using learning-to-rank algorithms with news
sentiment,2017,Neurocomputing,264,,,20,28,8,62,10.1016/j.neucom.2017.02.097,https:/
/www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85021208422&doi=10.1016%2fj.neucom.2017.02.097&partnerID=40&md5=d098e4b31adf87fb065
f5d8b715483d2,"Financial Engineering Division, Stevens Institute of Technology, 1
Castle Point on Hudson, Hoboken, 07030, New Jersey, United States","Song Q.,
Financial Engineering Division, Stevens Institute of Technology, 1 Castle Point on
Hudson, Hoboken, 07030, New Jersey, United States; Liu A., Financial Engineering
Division, Stevens Institute of Technology, 1 Castle Point on Hudson, Hoboken,
07030, New Jersey, United States; Yang S.Y., Financial Engineering Division,
Stevens Institute of Technology, 1 Castle Point on Hudson, Hoboken, 07030, New
Jersey, United States","In this study, we apply learning-to-rank algorithms to
design trading strategies using relative performance of a group of stocks based on
investors’ sentiment toward these stocks. We show that learning-to-rank algorithms
are effective in producing reliable rankings of the best and the worst performing
stocks based on investors’ sentiment. More specifically, we use the sentiment shock
and trend indicators introduced in the previous studies, and we design stock
selection rules of holding long positions of the top 25% stocks and short positions
of the bottom 25% stocks according to rankings produced by learning-to-rank
algorithms. We then apply two learning-to-rank algorithms, ListNet and RankNet, in
stock selection processes and test long-only and long-short portfolio selection
strategies using 10 years of market and news sentiment data. Through backtesting of
these strategies from 2006 to 2014, we demonstrate that our portfolio strategies
produce risk-adjusted returns superior to the S&P 500 index return, the hedge fund
industry average performance - HFRIEMN, and some sentiment-based approaches without
learning-to-rank algorithm during the same period. © 2017 Elsevier B.V.",Financial
news sentiment; Learning-to-rank; Long-short strategy; Stock portfolio selection;
Trading strategy,Commerce; Electronic trading; Financial markets; Investments;
Learning algorithms; Multivariable control systems; Financial news; Long-short
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Financial Engineering Division, Stevens Institute of Technology, Hoboken, 1 Castle
Point on Hudson, 07030, United States; email: [email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85021208422
Nazareth N.; Ramana Reddy Y.V.,"Nazareth, Noella (58094877000); Ramana Reddy,
Yeruva Venkata (26023591300)",58094877000; 26023591300,Financial applications of
machine learning: A literature review,2023,Expert Systems with
Applications,219,,119640,,,,54,10.1016/j.eswa.2023.119640,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85147607452&doi=10.1016%2fj.eswa.2023.119640&partnerID=40&md5=9111065b858c2f2b8c92c
95a4006b079,"Goa Business School, Goa University, Goa, 403206, India","Nazareth N.,
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Business School, Goa University, Goa, 403206, India","This systematic literature
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review. The study also analyses bibliometric information to understand the current
status of research focused on machine learning in finance. The study finally points
out possible research directions which might lead to new inquiries in machine
learning and finance. © 2023 Elsevier Ltd",Bankruptcy and Insolvency;
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learning; Portfolio management; Stock Market prediction; Systematic literature
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Zoumpekas T., Houstis E., Vavalis M., (2020)","Y.V. Ramana Reddy; Goa Business
School, Goa University, Goa, 403206, India; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Review,Final,,Scopus,2-s2.0-
85147607452
Pawar K.; Jalem R.S.; Tiwari V.,"Pawar, Kriti (57204828764); Jalem, Raj Srujan
(57204832113); Tiwari, Vivek (56496391800)",57204828764; 57204832113;
56496391800,Stock Market Price Prediction Using LSTM RNN,2019,Advances in
Intelligent Systems and Computing,841,,,493,503,10,71,10.1007/978-981-13-2285-
3_58,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-
s2.0-85057427978&doi=10.1007%2f978-981-13-2285-
3_58&partnerID=40&md5=2b93f79ac8906e6742573ab27ac710aa,"DSPM IIIT, Naya Raipur,
India","Pawar K., DSPM IIIT, Naya Raipur, India; Jalem R.S., DSPM IIIT, Naya
Raipur, India; Tiwari V., DSPM IIIT, Naya Raipur, India","Financial Analysis has
become a challenging aspect in today’s world of valuable and better investment.
This paper introduces the implementation of Recurrent Neural Network (RNN) along
with Long Short-Term Memory Cells (LSTM) for Stock Market Prediction used for
Portfolio Management considering the Time Series Historical Stock Data of Stocks in
the Portfolio. The comparison of the model with the traditional Machine Learning
Algorithms—Regression, Support Vector Machine, Random Forest, Feed Forward Neural
Network and Backpropagation have been performed. Various metrics and architectures
of LSTM RNN model have been considered and are tested and analysed. There is
discussion on how the sentiments of the customer would affect the stocks along with
the changes in trends. © 2019, Springer Nature Singapore Pte Ltd.",Long short-term
memory; Portfolio optimization; Recurrent neural network; Trading,Backpropagation
algorithms; Brain; Commerce; Decision trees; Electronic trading; Financial markets;
Information management; Investments; Learning algorithms; Recurrent neural
networks; Financial analysis; Portfolio managements; Portfolio optimization;
Recurrent neural network (RNN); Short term memory; Stock market prediction; Stock
market prices; Trading; Long short-term memory,,,,,DSPM International Institute of
Information Technology Naya Raipur; IIIT-NR,"Acknowledgements This research was
partially supported by DSPM International Institute of Information Technology Naya
Raipur (IIIT-NR). We thank our colleagues from IIIT-NR who provided insight that
greatly helps us in this research. We would like to show our gratitude to Dr. Vivek
Tiwari, Asst. Prof. CSE, IIIT-NR for mentoring us and sharing his experience and
knowledge with us during this research. We thank every person associated with this
research directly or indirectly.","Li R., Fu D., Zheng Z., An Analysis of the
Correlation between Internet Public Opinion and Stock Market, 2017 4Th
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(IIAI–AAI), 2017 6Th IIAI International Congress On, pp. 23-28, (2017)","V. Tiwari;
DSPM IIIT, Naya Raipur, India; email: [email protected]",Maheshwari S.; Mishra
D.K.; Worring M.; Rathore V.S.; Joshi A.,Springer Verlag,,"International Conference
on Emerging Trends in Expert Applications and Security, ICETEAS 2018",17 February
2018 through 18 February 2018,Jaipur,221339,21945357,978-981132284-6,,,English,Adv.
Intell. Sys. Comput.,Conference paper,Final,,Scopus,2-s2.0-85057427978
Kumar I.; Dogra K.; Utreja C.; Yadav P.,"Kumar, Indu (58453427300); Dogra, Kiran
(57205395548); Utreja, Chetna (57205390266); Yadav, Premlata
(57205387625)",58453427300; 57205395548; 57205390266; 57205387625,A Comparative
Study of Supervised Machine Learning Algorithms for Stock Market Trend
Prediction,2018,"Proceedings of the International Conference on Inventive
Communication and Computational Technologies, ICICCT
2018",,,8473214,1003,1007,4,78,10.1109/ICICCT.2018.8473214,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85059860732&doi=10.1109%2fICICCT.2018.8473214&partnerID=40&md5=aca430b1e33e45e6df59
2e303adaffdd,"Computer Engineering Department, NIT Kurukshetra, India","Kumar I.,
Computer Engineering Department, NIT Kurukshetra, India; Dogra K., Computer
Engineering Department, NIT Kurukshetra, India; Utreja C., Computer Engineering
Department, NIT Kurukshetra, India; Yadav P., Computer Engineering Department, NIT
Kurukshetra, India","Impact of many factors on the stock prices makes the stock
prediction a difficult and highly complicated task. In this paper, machine learning
techniques have been applied for the stock price prediction in order to overcome
such difficulties. In the implemented work, five models have been developed and
their performances are compared in predicting the stock market trends. These models
are based on five supervised learning techniques i.e., Support Vector Machine
(SVM), Random Forest, K-Nearest Neighbor (KNN), Naive Bayes, and Softmax. The
experimental results show that Random Forest algorithm performs the best for large
datasets and Naive Bayesian Classifier is the best for small datasets. The results
also reveal that reduction in the number of technical indicators reduces the
accuracies of each algorithm. © 2018 IEEE.",classifier; KNN; machine learning;
Naïve Bayes; Random Forest; Softmax; SVM,Artificial intelligence; Classification
(of information); Classifiers; Commerce; Decision trees; Electronic trading;
Financial markets; Forecasting; Learning systems; Nearest neighbor search;
Supervised learning; Support vector machines; K nearest neighbor (KNN); Machine
learning techniques; Naive Bayesian Classifier; Random forest algorithm; Random
forests; Softmax; Stock price prediction; Supervised machine learning; Learning
algorithms,,,,,,,"Zhang G., Patuwo B.E., Hu M.Y., Forecasting with arti-cial neural
networks: The state of the art, Int. J. Forecasting, 14, pp. 35-62, (1998); Kim K.,
Financial time series forecasting using support vector machines, Neurocomputing,
55, pp. 307-319, (2003); Manojlovi T., Stajduhar I., Predicting stock market trends
using random forest: A sample of the zagreb stock exchange, IEEE International
Convention, pp. 1189-1193, (2015); Dai Y., Zhang Y., Machine Learning in Stock
Price Trend Forecasting, (2013); Achelis S.B., Technical Analysis from A to Z,
(2000); Golmohammadi K., Zaiane O.R., Diaz D., Detecting stock market manipulation
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and Advanced Analytics, pp. 435-441, (2014); Hajek P., Forecasting stock market
trend using prototype generation classifiers, WSEAS Transactions on Systems, 11,
12, pp. 671-680, (2012)",,,Institute of Electrical and Electronics Engineers
Inc.,,"2nd International Conference on Inventive Communication and Computational
Technologies, ICICCT 2018",20 April 2018 through 21 April 2018,"Coimbatore, Tamil
Nadu",140233,,978-153861974-2,,,English,"Proc. Int. Conf. Inventive Commun. Comput.
Technol., ICICCT",Conference paper,Final,,Scopus,2-s2.0-85059860732
Md A.Q.; Kapoor S.; A.V. C.J.; Sivaraman A.K.; Tee K.F.; Sabireen H.; Janakiraman
N.,"Md, Abdul Quadir (57955732100); Kapoor, Sanjit (58043226400); A.V., Chris Junni
(58043335100); Sivaraman, Arun Kumar (57218516162); Tee, Kong Fah (58198560000);
Sabireen, H. (57201070184); Janakiraman, N. (55911815300)",57955732100;
58043226400; 58043335100; 57218516162; 58198560000; 57201070184; 55911815300,Novel
optimization approach for stock price forecasting using multi-layered sequential
LSTM,2023,Applied Soft
Computing,134,,109830,,,,68,10.1016/j.asoc.2022.109830,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85145663645&doi=10.1016%2fj.asoc.2022.109830&partnerID=40&md5=b04689ccc93297336e364
fb27b25b4c6,"School of Computer Science and Engineering, Vellore Institute of
Technology, Chennai, 600127, India; Digital Engineering, Solution Center-H, Photo
Inc. DLF Cyber City, Chennai, 600089, India; Faculty of Engineering and Quantity
Surveying, INTI International University, Nilai, 71800, Malaysia; Department of
Electronics and Communication Engineering, K.L.N. College of Engineering, Tamil
Nadu, Madurai, India","Md A.Q., School of Computer Science and Engineering, Vellore
Institute of Technology, Chennai, 600127, India; Kapoor S., School of Computer
Science and Engineering, Vellore Institute of Technology, Chennai, 600127, India;
A.V. C.J., School of Computer Science and Engineering, Vellore Institute of
Technology, Chennai, 600127, India; Sivaraman A.K., Digital Engineering, Solution
Center-H, Photo Inc. DLF Cyber City, Chennai, 600089, India; Tee K.F., Faculty of
Engineering and Quantity Surveying, INTI International University, Nilai, 71800,
Malaysia; Sabireen H., School of Computer Science and Engineering, Vellore
Institute of Technology, Chennai, 600127, India; Janakiraman N., Department of
Electronics and Communication Engineering, K.L.N. College of Engineering, Tamil
Nadu, Madurai, India","Stock markets can often be one of the most volatile places
to invest. Statistical analysis of past stock performance and external factors play
a major role in the decision to buy or sell stocks. These factors are all used to
maximize profits. Stock price index forecasting has been a subject of great
research for many years, and several machine learning and deep learning algorithms
have been proposed to simplify this complex task, but little success has been found
so far. In order to forecast stocks accurately, it is crucial to understand the
context-specific dependence of stock prices on their past values. The use of Long
Short Term Memory (LSTM), which is capable of understanding long-term data
dependencies, can help overcome this obstacle. In this context, this paper proposes
a novel optimization approach for stock price prediction that is based on a Multi-
Layer Sequential Long Short Term Memory (MLS LSTM) model which makes use of the
adam optimizer. Additionally, the MLS LSTM algorithm uses normalized time series
data divided into time steps to determine the relationship between past values and
future values in order to make accurate predictions. Furthermore, it eliminates the
vanishing gradient problem associated with simple recurrent neural networks. The
stock price index is forecasted by taking into account past performance information
along with past trends and patterns. The results illustrate that a 95.9% prediction
accuracy is achieved on the training data set and a 98.1% accuracy on the testing
data set with the MLS LSTM algorithm, which dramatically exceeds the performance of
other machine learning and deep learning algorithms. The mean absolute percentage
error was observed to be 1.79% on the training set and 2.18% on the testing set,
respectively. Moreover, the proposed model is able to estimate the stock price with
a normalized root mean squared error of 0.019, thus giving an accurate forecast and
making it a feasible real-world solution. © 2022",Adam optimizer; Forecasting; Long
short-term memory; Recurrent neural network; Stock market,Brain; Commerce;
Electronic trading; Financial markets; Investments; Learning algorithms; Learning
systems; Long short-term memory; Mean square error; Multilayer neural networks;
Statistical tests; Adam optimizer; Machine-learning; Memory algorithms; Multi-
layers; Optimization approach; Optimizers; Performance; Price index; Stock price;
Stock price forecasting; Forecasting,,,,,,,"Seethalakshmi R., Analysis of stock
market predictor variables using linear regression, Int. J. Pure Appl. Math., 119,
15, pp. 369-378, (2018); Gharehchopogh F.S., Bonab T.H., Khaze S.R., A linear
regression approach to prediction of stock market trading volume: a case study,
Int. J. Manag. Value Supply Chains, 4, 3, (2013); Gururaj V., Shriya V.R., Ashwini
K., Stock market prediction using linear regression and support vector machines,
Int. J. Appl. Eng. Res., 14, 8, pp. 1931-1934, (2019); Sapankevych N.I., Sankar R.,
Time series prediction using support vector machines: a survey, IEEE Comput.
Intell. Mag., 4, 2, pp. 24-38, (2009); Mondal P., Shit L., Goswami S., Study of
effectiveness of time series modeling (ARIMA) in forecasting stock prices, Int. J.
Comput. Sci. Eng. Appl., 4, 2, (2014); Saud A.S., Shakya S., Analysis of look back
period for stock price prediction with RNN variants: A case study on banking sector
of NEPSE, Procedia Comput. Sci., 167, pp. 788-798, (2020); Rahman M.O., Hossain
M.S., Junaid T.S., Forhad M.S.A., Hossen M.K., Predicting prices of stock market
using gated recurrent units (GRUs) neural networks, Int. J. Comput. Sci. Netw.
Secur., 19, 1, pp. 213-222, (2019); Roondiwala M., Patel H., Varma S., Predicting
stock prices using LSTM, Int. J. Sci. Res. (IJSR), 6, 4, pp. 1754-1756, (2017);
Pawar K., Jalem R.S., Tiwari V., Stock market price prediction using LSTM RNN,
Emerging Trends in Expert Applications and Security, pp. 493-503, (2019);
Hoseinzade E., Haratizadeh S., CNNpred: CNN-based stock market prediction using a
diverse set of variables, Expert Syst. Appl., 129, pp. 273-285, (2019); Pothuganti
K., Long short-term memory (LSTM) algorithm based prediction of stock market
exchange, Int. J. Res. Publ. Rev., 2, 1, pp. 90-93, (2021); Moghar A., Hamiche M.,
Stock market prediction using LSTM recurrent neural network, Procedia Comput. Sci.,
170, pp. 1168-1173, (2020); Hiransha M., Gopalakrishnan E.A., Menon V.K., Soman
K.P., NSE stock market prediction using deep-learning models, Procedia Comput.
Sci., 132, pp. 1351-1362, (2018); Devadoss A.V., Ligori T.A.A., Forecasting of
stock prices using multi layer perceptron, Int. J. Comput. Algorithm, 2, 1, pp.
440-449, (2013); Khare K., Darekar O., Gupta P., Attar V.Z., Short term stock price
prediction using deep learning, 2017 2nd IEEE International Conference on Recent
Trends in Electronics, Information & Communication Technology, RTEICT, pp. 482-486,
(2017); Jia H., Investigation into the effectiveness of long short term memory
networks for stock price prediction, (2016); Chen K., Zhou Y., Dai F., A LSTM-based
method for stock returns prediction: A case study of China stock market, 2015 IEEE
International Conference on Big Data, big data, pp. 2823-2824, (2015); Jiang F.,
Tang G., Zhou G., Firm characteristics and Chinese stocks, J. Manage. Sci. Eng., 3,
4, pp. 259-283, (2018); Bergstra J., Bengio Y., Random search for hyper-parameter
optimization, J. Mach. Learn. Res., 13, 2, (2012); Yadav A., Jha C.K., Sharan A.,
Optimizing LSTM for time series prediction in Indian stock market, Procedia Comput.
Sci., 167, pp. 2091-2100, (2020)","K.F. Tee; Faculty of Engineering and Quantity
Surveying, INTI International University, Nilai, 71800, Malaysia; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft
Comput.,Article,Final,,Scopus,2-s2.0-85145663645
Li G.; Zhang A.; Zhang Q.; Wu D.; Zhan C.,"Li, Guanzhi (57537554500); Zhang, Aining
(57537554600); Zhang, Qizhi (57199110360); Wu, Di (57741959700); Zhan, Choujun
(55180932300)",57537554500; 57537554600; 57199110360; 57741959700;
55180932300,Pearson Correlation Coefficient-Based Performance Enhancement of Broad
Learning System for Stock Price Prediction,2022,IEEE Transactions on Circuits and
Systems II: Express
Briefs,69,5,,2413,2417,4,66,10.1109/TCSII.2022.3160266,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85126676104&doi=10.1109%2fTCSII.2022.3160266&partnerID=40&md5=8011f3786744ae8d44e8f
03405088388,"South China Normal University, School of Computing, Guangzhou, 510641,
China; Norwegian University of Science and Technology, Department of Ict and
Natural Science, Trondheim, 7491, Norway","Li G., South China Normal University,
School of Computing, Guangzhou, 510641, China; Zhang A., South China Normal
University, School of Computing, Guangzhou, 510641, China; Zhang Q., South China
Normal University, School of Computing, Guangzhou, 510641, China; Wu D., Norwegian
University of Science and Technology, Department of Ict and Natural Science,
Trondheim, 7491, Norway; Zhan C., South China Normal University, School of
Computing, Guangzhou, 510641, China","Accurate prediction of a stock price is a
challenging task due to the complexity, chaos, and non-linearity nature of
financial systems. In this brief, we proposed a multi-indicator feature selection
method for stock price prediction based on Pearson correlation coefficient (PCC)
and Broad Learning System (BLS), named the PCC-BLS framework. Firstly, PCC was used
to select the input features from 35 features, including original stock price,
technical indicators, and financial indicators. Secondly, these screened input
features were used for rapid information feature extraction and training a BLS.
Four stocks recorded on the Shanghai Stock Exchange or Shenzhen Stock Exchange were
adopted to evaluate the performance of the proposed method. In addition, we
compared the forecasting results with ten machine learning methods, including
Support Vector Regression (SVR), Adaptive Boosting (Adaboost), Bootstrap
aggregating (Bagging), Random Forest (RF), Gradient Boosting Decision Tree (GBDT),
Multi-layer Perceptron (MLP), Convolutional Neural Network (CNN), and Long Short-
Term Memory (LSTM), Gated Recurrent Unit (GRU) and Broad Learning System (BLS).
Among all algorithms used in this brief, the proposed model showed the best
performance with the highest model fitting ability. © 2004-2012 IEEE.",Broad
learning system; complex system; machine learning; Pearson correlation coefficient;
time series forecasting,Adaptive boosting; Complex networks; Correlation methods;
Costs; Decision trees; Feature extraction; Financial markets; Long short-term
memory; Broad learning system; Complex system.; Correlation; Input features;
Machine-learning; Pearson correlation coefficients; Predictive models; Stock price;
Stock price prediction; Time series forecasting; Forecasting,,,,,,,"Lu W., Li J.,
Wang J., Qin L., A CNN-BiLSTM-AM method for stock price prediction, Neural Comput.
Appl., 33, 10, pp. 4741-4753, (2021); Tse C.K., Liu J., Lau F.C.M., A network
perspective of the stock market, J. Empirical Financ., 17, 4, pp. 659-667, (2010);
Liu X.F., Tse C.K., A complex network perspective of world stock markets:
Synchronization and volatility, Int. J. Bifurcation Chaos, 22, 6, (2012); Chen G.,
Lou Y., Wang L., A comparative study on controllability robustness of complex
networks, IEEE Trans. Circuits Syst. II, Exp. Briefs, 66, 5, pp. 828-832, (2019);
Small M., Tse C.K., Determinism in financial time series, Stud. Nonlinear Dyn.
Econom., 7, 3, pp. 1-29, (2003); Dong J., Dai W., Liu Y., Yu L., Wang J.,
Forecasting chinese stock market prices using baidu search index with a learning-
based data collection method, Int. J. Inf. Technol. Decis. Making, 18, 5, pp. 1605-
1629, (2019); Zhang D., Lou S., The application research of neural network and BP
algorithm in stock price pattern classification and prediction, Future Gener.
Comput. Syst., 115, pp. 872-879, (2021); Li Q., Et al., Integrating reinforcement
learning and optimal power dispatch to enhance power grid resilience, IEEE Trans.
Circuits Syst. II, Exp. Briefs, 69, 3, pp. 1402-1406, (2021); Zhang X., Et al.,
Braess paradox and double-loop optimization method to enhance power grid
resilience, Rel. Eng. Syst. Safety, 215, (2021); Fischer T., Krauss C., Deep
learning with long short-term memory networks for financial market predictions,
Eur. J. Oper. Res., 270, 2, pp. 654-669, (2018); Koneru B.N.G., Vasudevan V.,
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Trans. Circuits Syst. II, Exp. Briefs, 66, 5, pp. 848-852, (2019); Bai L., Zhao Y.,
Huang X., A CNN accelerator on FPGA using depthwise separable convolution, IEEE
Trans. Circuits Syst. II, Exp. Briefs, 65, 10, pp. 1415-1419, (2018); Mohamed A.R.,
Qi L., Li Y., Wang G., A generic nano-Watt power fully tunable 1-D Gaussian kernel
circuit for artificial neural network, IEEE Trans. Circuits Syst. II, Exp. Briefs,
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(2017); Thakkar A., Patel D., Shah P., Pearson correlation coefficientbased
performance enhancement of vanilla neural network for stock trend prediction,
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forecasting with deep learning: A survey, Philos. Trans. Roy. Soc. A, 379, 2194,
(2021); Tsai C.-F., Hsiao Y.-C., Combining multiple feature selection methods for
stock prediction: Union, intersection, and multi-intersection approaches, Decis.
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assessment and enhancement of power grids from a complex network's perspective
using decision trees, IEEE Trans. Circuits Syst. II, Exp. Briefs, 66, 5, pp. 833-
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movement trend prediction on different investing periods, Proc. 12th Int. Conf.
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hybrid SOFM-SVR with a filterbased feature selection for stock market forecasting,
Expert Syst. Appl., 36, 2, pp. 1529-1539, (2009); Chen C.L.P., Liu Z., Broad
Learning System: An effective and efficient incremental learning system without the
need for deep architecture, IEEE Trans. Neural Netw. Learn. Syst., 29, 1, pp. 10-
24, (2018); Pearson K., Contributions to the mathematical theory of evolution,
Philos. Trans. Roy. Soc. London A, 185, pp. 71-110, (1894); Thakkar A., Chaudhari
K., Fusion in stock market prediction: A decade survey on the necessity, recent
developments, and potential future directions, Inf. Fusion, 65, pp. 95-107,
(2021)","C. Zhan; South China Normal University, School of Computing, Guangzhou,
510641, China; email: [email protected]",,Institute of Electrical and Electronics
Engineers Inc.,,,,,,15497747,,,,English,IEEE Trans. Circuits Syst. Express
Briefs,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85126676104
Morris K.J.; Egan S.D.; Linsangan J.L.; Leung C.K.; Cuzzocrea A.; Hoi
C.S.H.,"Morris, Kyle J. (57198863686); Egan, Sean D. (57207108540); Linsangan,
Jorell L. (57207114198); Leung, Carson K. (7402612526); Cuzzocrea, Alfredo
(23388216900); Hoi, Calvin S. H. (57202789966)",57198863686; 57207108540;
57207114198; 7402612526; 23388216900; 57202789966,Token-Based Adaptive Time-Series
Prediction by Ensembling Linear and Non-linear Estimators: A Machine Learning
Approach for Predictive Analytics on big Stock Data,2018,"Proceedings - 17th IEEE
International Conference on Machine Learning and Applications, ICMLA
2018",,,8614267,1486,1491,5,87,10.1109/ICMLA.2018.00242,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062213716&doi=10.1109%2fICMLA.2018.00242&partnerID=40&md5=4f5b54b41303692eefecc50
b383449c3,"University of Manitoba, Winnipeg, MB, Canada; University of Trieste,
Trieste, Italy","Morris K.J., University of Manitoba, Winnipeg, MB, Canada; Egan
S.D., University of Manitoba, Winnipeg, MB, Canada; Linsangan J.L., University of
Manitoba, Winnipeg, MB, Canada; Leung C.K., University of Manitoba, Winnipeg, MB,
Canada; Cuzzocrea A., University of Trieste, Trieste, Italy; Hoi C.S.H., University
of Manitoba, Winnipeg, MB, Canada","With technological advancements, big data can
be easily generated and collected in many applications. Embedded in these big data
are useful information and knowledge that can be discovered by machine learning and
data mining models, techniques or algorithms. A rich source of big data is stock
exchange. The ability to effectively predict future stock prices improves the
economic growth and development of a country. Traditional linear approaches for
prediction (e.g., Kalman filters) may not be practical in handling big data like
stock prices due to highly nonlinear and chaotic nature. This lead to the
exploitation of various nonlinear estimators such as the extended Kalman filters,
expert systems, and various neural network architectures. Moreover, to lessen the
potential shortcomings of individual algorithms, ensemble approaches have been
created by averaging values across different algorithms. Existing ensemble
techniques mostly basket-together a collection of sample-based algorithms that are
catered to nonlinear functions. To the best of our knowledge, traditional linear
estimators have not yet been incorporated into such an ensemble. Hence, in this
paper, we propose a machine learning (specifically, token-based ensemble) algorithm
that utilizes both linear and nonlinear estimators to predict big financial time-
series data. Our ensemble consists of a traditional Kalman filter, long short-term
memory (LSTM) network, and the traditional linear regression model. We also explore
the adaptive properties in short-term high-risk trading in the presence of noisy
data like stock prices and demonstrate the performance of our ensemble. © 2018
IEEE.",Ensemble learning; Kalman filter; Linear data; Linear regression; Long short
term memory (LSTM); Nonlinear data; Stock prediction; Time-series analysis,Big
data; Brain; Commerce; Costs; Data mining; Electronic trading; Financial markets;
Investments; Kalman filters; Learning algorithms; Network architecture; Predictive
analytics; Regression analysis; Time series analysis; Ensemble learning; Linear
data; Linear estimators; Long short term memory; Machine-learning; Nonlinear data;
Nonlinear estimator; Stock predictions; Stock price; Time-series analysis; Long
short-term memory,,,,,"University of Manitoba, U of M; Natural Sciences and
Engineering Research Council of Canada",ACKNOWLEDGMENT This project is partially
supported by NSERC (Canada) and University of Manitoba.,"Abdullah M.H.L.B.,
Ganapathy V., Neural network ensemble for financial trend prediction, Proc. Tencon,
3, pp. 157-161, (2000); Atsalakis G.S., Valavanis K.P., Surveying stock market
forecasting techniques-Part II: Soft computing methods, ESWA, 36, 3, pp. 5932-5941,
(2009); Brown J.A., Et al., A machine learning system for supporting advanced
knowledge discovery from chess game data, Proc. IEEE ICMLA, pp. 649-654, (2017);
Brock W., Et al., Simple technical trading rules and the stochastic properties of
stock returns, Journal of Finance, 47, 5, pp. 1731-1764, (1992); Brown R.G.,
Statistical Forecasting for Inventory Control, (1959); Chalmers G., Funk S.H.,
Adjusting real-time mode transitions via genetic algorithms, Proc. IEEE ICMLA, pp.
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modeling, Neurocomputing, 70, 4-6, pp. 697-703, (2007); Delorme-Costil A., Bezian
J.J., Forecasting domestic hot water demand in residential house using artificial
neural networks, Proc. IEEE ICMLA, pp. 467-472, (2017); Faragher R., Understanding
the basis of the Kalman filter via a simple and intuitive derivation, IEEE Signal
Processing, 29, 5, pp. 128-132, (2012); Grewal M.S., Kalman filtering,
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Abdulkadir S., Et al., Hybridization of ensemble Kalman filter and non-linear auto-
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learning machine to forecast road surface temperature, Proc. IEEE ICMLA, pp. 977-
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data mining, Proc. IEEE ICMLA, pp. 1075-1078, (2017); Neter J., Et al., Applied
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(2006)",,Wani M.A.; Kantardzic M.; Sayed-Mouchaweh M.; Gama J.; Lughofer
E.,Institute of Electrical and Electronics Engineers Inc.,,"17th IEEE International
Conference on Machine Learning and Applications, ICMLA 2018",17 December 2018
through 20 December 2018,Orlando,144456,,978-153866804-7,,,English,"Proc. - IEEE
Int. Conf. Mach. Learn. Appl., ICMLA",Conference paper,Final,,Scopus,2-s2.0-
85062213716
Ntakaris A.; Magris M.; Kanniainen J.; Gabbouj M.; Iosifidis A.,"Ntakaris,
Adamantios (57203684567); Magris, Martin (57201775466); Kanniainen, Juho
(23394868200); Gabbouj, Moncef (7005332419); Iosifidis, Alexandros
(36720841400)",57203684567; 57201775466; 23394868200; 7005332419;
36720841400,Benchmark dataset for mid-price forecasting of limit order book data
with machine learning methods,2018,Journal of
Forecasting,37,8,,852,866,14,86,10.1002/for.2543,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85052636067&doi=10.1002%2ffor.2543&partnerID=40&md5=ce847b7d55b6f05e3da5a5402c54ac7
c,"Laboratory of Signal Processing, Tampere University of Technology, Tampere,
Finland; Laboratory of Industrial and Information Management, Tampere University of
Technology, Tampere, Finland; Department of Engineering, Electrical and Computer
Engineering, Aarhus University, Aarhus, Denmark","Ntakaris A., Laboratory of Signal
Processing, Tampere University of Technology, Tampere, Finland; Magris M.,
Laboratory of Industrial and Information Management, Tampere University of
Technology, Tampere, Finland; Kanniainen J., Laboratory of Industrial and
Information Management, Tampere University of Technology, Tampere, Finland; Gabbouj
M., Laboratory of Signal Processing, Tampere University of Technology, Tampere,
Finland; Iosifidis A., Department of Engineering, Electrical and Computer
Engineering, Aarhus University, Aarhus, Denmark","Managing the prediction of
metrics in high-frequency financial markets is a challenging task. An efficient way
is by monitoring the dynamics of a limit order book to identify the information
edge. This paper describes the first publicly available benchmark dataset of high-
frequency limit order markets for mid-price prediction. We extracted normalized
data representations of time series data for five stocks from the Nasdaq Nordic
stock market for a time period of 10 consecutive days, leading to a dataset of
∼4,000,000 time series samples in total. A day-based anchored cross-validation
experimental protocol is also provided that can be used as a benchmark for
comparing the performance of state-of-the-art methodologies. Performance of
baseline approaches are also provided to facilitate experimental comparisons. We
expect that such a large-scale dataset can serve as a testbed for devising novel
solutions of expert systems for high-frequency limit order book data analysis. ©
2018 The Authors Journal of Forecasting Published by John Wiley & Sons Ltd.",high-
frequency trading; limit order book; machine learning; mid-price; ridge regression;
single hidden feedforward neural network,Benchmarking; Commerce; Electronic
trading; Expert systems; Feedforward neural networks; Financial markets;
Forecasting; Large dataset; Learning systems; Machine learning; Regression
analysis; Time series; Data representations; Experimental comparison; Experimental
protocols; High-frequency trading; Limit order book; Machine learning methods; mid-
price; Ridge regression; Correlation theory,,,,,"Horizon 2020 Framework Programme,
H2020, (675044); European Commission, EC","Funding text 1: Professor of Machine
Learning and Computer Vision in the Department of Engineering, at Aarhus
University, Denmark. He has held Postdoctoral Researcher positions in Tampere
University of Technology, Finland and Aristotle University of Thessaloniki, Greece.
He has participated in many R&D projects financed by EU, Greek, Finnish, and Danish
funding agencies and companies. He has co-authored more than 120 papers in
international journals and conferences proposing novel Machine Learning techniques
and their application in a variety of problems.; Funding text 2: This work was
supported by H2020 Project BigDataFi-nance MSCA-ITN-ETN 675044
(http://bigdatafinance.eu), Training for Big Data in Financial Research and Risk
Management.","Abernethy J., Kale S., Adaptive market making via online learning,
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Distilling liquidity costs from limit order books, (2015); An Y., Chan N.H., Short-
term stock price prediction based on limit order book dynamics, Journal of
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Assessing and combining financial conditions indexes, (2013); Avellaneda M.,
Stoikov S., High-frequency trading in a limit order book, Quantitative Finance, 8,
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High-frequency trading and price discovery, Review of Financial Studies, 27, 8, pp.
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Prediction of hidden liquidity in the limit order book of globex futures, Journal
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De Winne R., D'hondt C., Hide-and-seek in the market: placing and detecting hidden
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with machine learning, (2016); Felker T., Mazalov V., Watt S.M., Distance-based
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Finance, 13, 11, pp. 1709-1742, (2013); Hallgren J., Koski T., Testing for
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G.-B., Zhou H., Ding X., Zhang R., Extreme learning machine for regression and
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B, 42, 2, pp. 513-529, (2012); Iosifidis A., Tefas A., Pitas I., Approximate kernel
extreme learning machine for large scale data classification, Neurocomputing, 219,
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investigation of the demand and supply schedules at the TASE, Journal of Financial
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trading or call auctions: Revealed preferences of investors at the Tel Aviv stock
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Machine Learning for Market Microstructure and High Frequency Trading, High
Frequency Trading: New Realities for Traders, Markets and Regulators, (2013);
Kercheval A.N., Zhang Y., Modelling high-frequency limit order book dynamics with
support vector machines, Quantitative Finance, 15, 8, pp. 1315-1329, (2015); Kim
A.J., Input/Output Hidden Markov Models for Modeling Stock Order Flows, (2001);
Levendovszky J., Kia F., Prediction based-high frequency trading on financial time
series, Periodica Polytechnica: Electrical Engineering and Computer Science, 56, 1,
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F., Empirical analysis: Stock market prediction via extreme learning machine,
Neural Computing and Applications, 27, 1, pp. 67-78, (2016); Liu J., Park S.,
Behind stock price movement: Supply and demand in market microstructure and market
influence, Journal of Trading, 10, 3, pp. 13-23, (2015); Maglaras C., Moallemi
C.C., Zheng H., Optimal execution in a limit order book and an associated
microstructure market impact model, (2015); Majhi R., Panda G., Sahoo G.,
Development and performance evaluation of FLANN based model for forecasting of
stock markets, Expert Systems with Applications, 36, 3, pp. 6800-6808, (2009);
Malik A., Lon Ng W., Intraday liquidity patterns in limit order books, Studies in
Economics and Finance, 31, 1, pp. 46-71, (2014); Mankad S., Michailidis G.,
Kirilenko A., Discovering the ecosystem of an electronic financial market with a
dynamic machine-learning method, Algorithmic Finance, 2, 2, pp. 151-165, (2013);
Naes R., Skjeltorp J.A., Order book characteristics and the volume–volatility
relation: Empirical evidence from a limit order market, Journal of Financial
Markets, 9, 4, pp. 408-432, (2006); O'Hara M., Ye M., Is market fragmentation
harming market quality?,
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A hybrid Arima and support vector machines model in stock price forecasting, Omega,
33, 6, pp. 497-505, (2005); Palguna D., Pollak I., Mid-price prediction in a limit
order book, IEEE Journal of Selected Topics in Signal Processing, 10, 6, pp. 1083-
1092, (2016); Panayi E., Peters G.W., Danielsson J., Zigrand J.-P., Designating
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Estimation of exchange rate models after news announcement, (2016); Talebi H.,
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2075, (2014); Vella V., Ng W.L., Improving risk-adjusted performance in high
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Applications, 55, pp. 70-86, (2016); Yang S., Paddrik M., Hayes R., Todd A.,
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Frequency Trading Strategies, pp. 1-8, (2012); Yang S.Y., Qiao Q., Beling P.A.,
Scherer W.T., Kirilenko A.A., Gaussian process-based algorithmic trading strategy
identification, Quantitative Finance, 15, 10, pp. 1683-1703, (2015); Yu Y., The
Limit Order Book Information and the Order Submission Strategy: a Model
Explanation, 1, pp. 687-691, (2006); Zhang K., Kwok J.T., Parvin B., Prototype
Vector Machine for Large Scale Semi-Supervised Learning, Proceedings of the 26Th
Annual International Conference on Machine Learning, pp. 1233-1240, (2009); Zheng
B., Moulines E., Abergel F., Price jump prediction in limit order book, (2012)","A.
Ntakaris; Laboratory of Signal Processing, Tampere University of Technology,
Tampere, Finland; email: [email protected]",,John Wiley and Sons
Ltd,,,,,,2776693,,JOFOD,,English,J Forecast,Article,Final,All Open Access; Hybrid
Gold Open Access,Scopus,2-s2.0-85052636067
Htun H.H.; Biehl M.; Petkov N.,"Htun, Htet Htet (58061265500); Biehl, Michael
(7006629869); Petkov, Nicolai (7003864257)",58061265500; 7006629869;
7003864257,Survey of feature selection and extraction techniques for stock market
prediction,2023,Financial Innovation,9,1,26,,,,61,10.1186/s40854-022-00441-
7,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85146135042&doi=10.1186%2fs40854-022-00441-
7&partnerID=40&md5=541e3363046cacffb598f5bfbe105af7,"Bernoulli Institute for
Mathematics, Computer Science, Artificial Intelligence, University of Groningen,
Groningen, Netherlands","Htun H.H., Bernoulli Institute for Mathematics, Computer
Science, Artificial Intelligence, University of Groningen, Groningen, Netherlands;
Biehl M., Bernoulli Institute for Mathematics, Computer Science, Artificial
Intelligence, University of Groningen, Groningen, Netherlands; Petkov N., Bernoulli
Institute for Mathematics, Computer Science, Artificial Intelligence, University of
Groningen, Groningen, Netherlands","In stock market forecasting, the identification
of critical features that affect the performance of machine learning (ML) models is
crucial to achieve accurate stock price predictions. Several review papers in the
literature have focused on various ML, statistical, and deep learning-based methods
used in stock market forecasting. However, no survey study has explored feature
selection and extraction techniques for stock market forecasting. This survey
presents a detailed analysis of 32 research works that use a combination of feature
study and ML approaches in various stock market applications. We conduct a
systematic search for articles in the Scopus and Web of Science databases for the
years 2011–2022. We review a variety of feature selection and feature extraction
approaches that have been successfully applied in the stock market analyses
presented in the articles. We also describe the combination of feature analysis
techniques and ML methods and evaluate their performance. Moreover, we present
other survey articles, stock market input and output data, and analyses based on
various factors. We find that correlation criteria, random forest, principal
component analysis, and autoencoder are the most widely used feature selection and
extraction techniques with the best prediction accuracy for various stock market
applications. © 2023, The Author(s).",Dimensionality reduction; Feature extraction;
Feature selection; Machine learning; Stock market forecasting,,,,,,University of
Groningen and Prospect Burma; University of Groningen and Prospect Burma
organization,Funding text 1: This research work is funded by The University of
Groningen and Prospect Burma organization. ; Funding text 2: The authors would like
to thank the University of Groningen and Prospect Burma organization for their
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for Mathematics, Computer Science, Artificial Intelligence, University of
Groningen, Groningen, Netherlands; email: [email protected]",,Springer Science and
Business Media Deutschland GmbH,,,,,,21994730,,,,English,Financial
Innov.,Review,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85146135042
Griffel L.M.; Delparte D.; Edwards J.,"Griffel, L.M. (57202535550); Delparte, D.
(56020066800); Edwards, J. (58383301100)",57202535550; 56020066800;
58383301100,Using Support Vector Machines classification to differentiate spectral
signatures of potato plants infected with Potato Virus Y,2018,Computers and
Electronics in
Agriculture,153,,,318,324,6,83,10.1016/j.compag.2018.08.027,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85052638924&doi=10.1016%2fj.compag.2018.08.027&partnerID=40&md5=010af213fa031bb3fec
edc19da638da6,"Department of Geosciences, Idaho State University, 921 S 8th Ave,
Pocatello, 83209-8072, ID, United States; Department of Informatics and Computer
Science, Idaho State University, 921 S 8th Ave, Pocatello, 83209-8020, ID, United
States","Griffel L.M., Department of Geosciences, Idaho State University, 921 S 8th
Ave, Pocatello, 83209-8072, ID, United States; Delparte D., Department of
Geosciences, Idaho State University, 921 S 8th Ave, Pocatello, 83209-8072, ID,
United States; Edwards J., Department of Informatics and Computer Science, Idaho
State University, 921 S 8th Ave, Pocatello, 83209-8020, ID, United States","Potato
Virus Y (Potyviridae, PVY) has resulted in significant economic harm to potato
(Solanum tuberosum) farmers and has disrupted seed supplies to commercial growers,
especially in varieties with beneficial processing and marketing attributes but
high disease susceptibility such as Russet Burbank and Russet Norkotah varieties.
Commercial growers rely entirely on seed producers and certification systems to get
disease-free seed as they have no recourse to mitigate seed-borne PVY after the
seed is planted. Potato seed stock producers currently utilize intensive pesticide
applications to suppress insect vectors and human-resource intensive activities
where workers visually inspect and remove suspect infected plants during the
growing season. Industry stakeholders also depend upon extensive field and tuber
sampling coupled with off-season growouts and laboratory testing to ascertain
infection levels within certification programs. Despite these efforts, seed
producers and certification agencies are currently unable to control PVY infection
in the industry's seed pipeline, and this has a significant impact on commercial
markets and regional economies. The industry also lacks a consistent, scalable,
accurate, and robust detection system capable of assessing every plant within the
seed potato production agro-ecosystem during the production season. Remote sensing
technologies coupled with machine learning classifiers are a significant leap
forward in the detection and differentiation of plant disease incidence. The
continuing advancement of unmanned aerial systems (UAS) and unmanned ground
vehicles provide access to high spatial, temporal, and spectral resolution
instrumentation with which to monitor dynamic agricultural production systems at a
leaf-scale resolution. In this study, we demonstrate PVY-infected potato plants in
an agricultural production field produce different spectral reflectance profiles in
comparison to neighboring non-infected plants. The Support Vector Machines (SVM)
classifier differentiated spectral reflectance curves of PVY-infected and non-
infected plants at an accuracy of 89.8% using near infrared and shortwave infrared
wavelengths. The classification accuracy dropped to 46.9% using red, green, and
blue wavelengths that the industry currently utilizes to detect diseased plants
visually. This research shows that remote sensing and machine learning classifiers
outperform current industry standards and have the potential to greatly enhance PVY
detection efforts resulting in improved potato seed stock quality necessary to
maximize yields. © 2018",Machine learning; Potato; Potyviridae; PVY; Remote
sensing,Hexapoda; Potato virus Y; Potyviridae; Solanum tuberosum; Antennas;
Infrared devices; Reflection; Remote sensing; Seed; Unmanned aerial vehicles (UAV);
Viruses; Learning classifiers; Machine-learning; Potato; Potato plants; Potato
virus; Potyvirida; PVY; Remote-sensing; Spectral signature; Support vector machine
classification; accuracy assessment; commercial species; disease severity; food
processing; laboratory method; machine learning; potato; remote sensing; seed
production; spectral reflectance; stakeholder; support vector machine; vegetation
classification; viral disease; Support vector machines,,,,,"Idaho Department of
Commerce, (IGEM-00423); Idaho State Department of Agriculture, (AM170100XXXXG010);
U.S. Department of Agriculture, USDA; National Institute of Food and Agriculture,
NIFA, (2014-69004-21848)","This work was supported by the Idaho Department of
Commerce ( IGEM-00423 ); the US Department of Agriculture, National Institute of
Food and Agriculture ( 2014-69004-21848 ); and the Idaho State Department of
Agriculture 2017 Specialty Crop Block Grant ( AM170100XXXXG010 ). ","Behmann J.,
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1397, (2010)","L.M. Griffel; Department of Geosciences, Idaho State University,
Pocatello, 921 S 8th Ave, 83209-8072, United States; email:
[email protected]",,Elsevier B.V.,,,,,,1681699,,CEAGE,,English,Comput. Electron.
Agric.,Article,Final,,Scopus,2-s2.0-85052638924
Nardo M.; Petracco-Giudici M.; Naltsidis M.,"Nardo, Michela (6506870496); Petracco-
Giudici, Marco (36662838200); Naltsidis, Minás (56521624400)",6506870496;
36662838200; 56521624400,Walking down wall street with a tablet: A survey of stock
market predictions using the web,2016,Journal of Economic
Surveys,30,2,,356,369,13,65,10.1111/joes.12102,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84959507258&doi=10.1111%2fjoes.12102&partnerID=40&md5=e05052bfb1e9affc2b3f315e8e8a0
de5,"European Commission - Joint Research Centre, Belgium","Nardo M., European
Commission - Joint Research Centre, Belgium; Petracco-Giudici M., European
Commission - Joint Research Centre, Belgium; Naltsidis M., European Commission -
Joint Research Centre, Belgium","'A blindfolded chimpanzee throwing darts at The
Wall Street Journal could select a portfolio that would do as well as the (stock
market) experts' [Malkiel (2003) The efficient market hypothesis and its critics.
Journal of Economic Perspectives 17(1): 59-82)]. However, what if this chimpanzee
could browse the Internet before throwing any darts? In this paper, we ask whether
online news has any influence on the financial market, and we also investigate how
much influence it has. We explore the burgeoning literature on the predictability
of financial movements using online information and report its mixed findings. In
addition, we collate the efforts of various disciplines, including economics, text
mining, sentiment analysis and machine learning, and we offer suggestions for
future research. © 2016 John Wiley & Sons Ltd.",Big data; Financial predictions;
Machine learning; Sentiment analysis; Text mining; Trading strategies; Web
mining,Pan,,,,,,,"Agic Z., Ljubesic N., Tadic M., Towards sentiment analysis of
financial texts in Croatian., LREC Proceedings of the European Language Resource
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[email protected]",,Blackwell Publishing
Ltd,,,,,,9500804,,,,English,J. Econ. Surv.,Article,Final,,Scopus,2-s2.0-84959507258
Yang F.; Chen Z.; Li J.; Tang L.,"Yang, Fengmei (7403449789); Chen, Zhiwen
(57208188058); Li, Jingjing (57206962878); Tang, Ling (48361896000)",7403449789;
57208188058; 57206962878; 48361896000,A novel hybrid stock selection method with
stock prediction,2019,Applied Soft Computing
Journal,80,,,820,831,11,75,10.1016/j.asoc.2019.03.028,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85064071429&doi=10.1016%2fj.asoc.2019.03.028&partnerID=40&md5=c61a38697e71136c40d9b
baea69bae97,"School of Science, Beijing University of Chemical Technology, Beijing,
100029, China; School of Economics and Management, Beihang University, Beijing,
100191, China","Yang F., School of Science, Beijing University of Chemical
Technology, Beijing, 100029, China; Chen Z., School of Science, Beijing University
of Chemical Technology, Beijing, 100029, China; Li J., School of Economics and
Management, Beihang University, Beijing, 100191, China; Tang L., School of
Economics and Management, Beihang University, Beijing, 100191, China","The success
of stock selection is contingent upon the future performance of stock markets. We
incorporate stock prediction into stock selection to specifically capture the
future features of stock markets, thereby forming a novel hybrid (two-step) stock
selection method (involving stock prediction and stock scoring). (1) Stock returns
for the next period are predicted using emerging computational intelligence (CI),
i.e., extreme learning machine with a powerful learning capacity and a fast
computing speed. (2) A stock scoring mechanism is developed as a linear combination
of the predicted factor (generated in the first step) and the fundamental factors
(popular in existing literature) based on CI-based optimization for weights, and
top-ranked stocks are selected for an equally weighted portfolio. Using the A-share
market of China as the study sample, the empirical results show that the novel
hybrid approach, using highly weighted predicted factors, statistically outperforms
both traditional methods (without stock prediction) and similar counterparts (with
other model designs) in terms of market returns, which suggests the great
contribution of stock prediction for improving stock selection. © 2019 Elsevier
B.V.",Computational intelligence; Portfolio analysis; Stock prediction; Stock
selection,Artificial intelligence; Commerce; Financial markets; Investments;
Learning systems; Extreme learning machine; Future performance; Hybrid approach;
Learning capacity; Linear combinations; Portfolio analysis; Stock predictions;
Stock selections; Forecasting,,,,,,,"Huang C.F., Hsieh T.N., Chang B.R., Chang
C.H., A comparative study of stock scoring using regression and genetic-based
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Beijing, 37 Xueyuan Road, Haidian District, 100191, China; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.
J.,Article,Final,,Scopus,2-s2.0-85064071429
Sirignano J.A.,"Sirignano, Justin A. (35753895800)",35753895800,Deep learning for
limit order books,2019,Quantitative
Finance,19,4,,549,570,21,58,10.1080/14697688.2018.1546053,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057305753&doi=10.1080%2f14697688.2018.1546053&partnerID=40&md5=e88e07fe6ce9d4bd7d
5b6ed8b2fefeeb,"University of Illinois at Urbana-Champaign, Urbana, United
States","Sirignano J.A., University of Illinois at Urbana-Champaign, Urbana, United
States"," This paper develops a new neural network
architecture for modeling spatial distributions (i.e. distributions on ℝ
d ) which is more computationally efficient than a
traditional fully-connected feedforward architecture. The design of the
architecture takes advantage of the specific structure of limit order books. The
new architecture, which we refer to as a ‘spatial neural network’, yields a low-
dimensional model of price movements deep into the limit order book, allowing more
effective use of information from deep in the limit order book (i.e. many levels
beyond the best bid and best ask). The spatial neural network models the joint
distribution of the state of the limit order book at a future time conditional on
the current state of the limit order book. The spatial neural network outperforms
status quo models such as the naive empirical model, logistic regression (with
nonlinear features), and a standard neural network architecture. Both neural
networks strongly outperform the logistic regression model. Due to its more
effective use of information deep in the limit order book, the spatial neural
network especially outperforms the standard neural network in the tail of the
distribution, which is important for risk management applications. The models are
trained and tested on nearly 500 U.S. stocks. Techniques from deep learning such as
dropout are employed to improve performance. Due to the significant computational
challenges associated with the large amount of data, models are trained with a
cluster of 50 GPUs. © 2018, © 2018 Informa UK Limited,
trading as Taylor & Francis Group.",Big data; Data science; Deep learning; High-
frequency; Limit order market; Machine learning; Order book,,,,,,"Kay Giesecke;
Victor DeMiguel; Stanford University, SU; Chinese University of Hong Kong,
CUHK","The author thanks the Mathematical Finance Section of the Department of
Mathematics at Imperial College London for generously providing funds for
computations. The author also thanks Apaar Sadhwani (Stanford University), Rob Wang
(Stanford), Ilya Trubov (J.P. Morgan), Rama Cont (Imperial College London), Kay
Giesecke (Stanford), Mamdouh Medhat (Cass Business School), Steven Hutt (CME),
Victor DeMiguel (LBS), Xuefeng Gao (The Chinese University of Hong Kong), and David
Harding (Winton Capital Management) for insightful comments.","Abergel F., Jedidi
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3, 2, pp. 242-255, (2013)","J.A. Sirignano; University of Illinois at Urbana-
Champaign, Urbana, United States; email:
[email protected]",,Routledge,,,,,,14697688,,,,English,Quant.
Financ.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85057305753
Li Y.; Zheng W.; Zheng Z.,"Li, Yang (57207041524); Zheng, Wanshan (57210597305);
Zheng, Zibin (25224189400)",57207041524; 57210597305; 25224189400,Deep Robust
Reinforcement Learning for Practical Algorithmic Trading,2019,IEEE
Access,7,,8786132,108014,108021,7,87,10.1109/ACCESS.2019.2932789,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071105095&doi=10.1109%2fACCESS.2019.2932789&partnerID=40&md5=a210d1234cf03eb745ff
22d3367444d2,"School of Data and Computer Science, Sun Yat-sen University,
Guangzhou, 510275, China; Guangdong Key Laboratory for Big Data Analysis and
Simulation of Public Opinion, Sun Yat-sen University, Guangzhou, China; National
Engineering Research Center of Digital Life, Sun Yat-sen University, Guangzhou,
China","Li Y., School of Data and Computer Science, Sun Yat-sen University,
Guangzhou, 510275, China, Guangdong Key Laboratory for Big Data Analysis and
Simulation of Public Opinion, Sun Yat-sen University, Guangzhou, China; Zheng W.,
School of Data and Computer Science, Sun Yat-sen University, Guangzhou, 510275,
China, Guangdong Key Laboratory for Big Data Analysis and Simulation of Public
Opinion, Sun Yat-sen University, Guangzhou, China; Zheng Z., School of Data and
Computer Science, Sun Yat-sen University, Guangzhou, 510275, China, National
Engineering Research Center of Digital Life, Sun Yat-sen University, Guangzhou,
China","In algorithmic trading, feature extraction and trading strategy design are
two prominent challenges to acquire long-term profits. However, the previously
proposed methods rely heavily on domain knowledge to extract handcrafted features
and lack an effective way to dynamically adjust the trading strategy. With the
recent breakthroughs of deep reinforcement learning (DRL), sequential real-world
problems can be modeled and solved with a more human-like approach. In this paper,
we propose a novel trading agent, based on deep reinforcement learning, to
autonomously make trading decisions and gain profits in the dynamic financial
markets. We extend the value-based deep Q-network (DQN) and the asynchronous
advantage actor-critic (A3C) for better adapting to the trading market.
Specifically, in order to automatically extract robust market representations and
resolve the financial time series dependence, we utilize the stacked denoising
autoencoders (SDAEs) and the long short-term memory (LSTM) as parts of the function
approximator, respectively. Furthermore, we design several elaborate mechanisms to
make the trading agent more practical to the real trading environment, such as
position-controlled action and n-step reward. The experimental results show that
our trading agent outperforms the baselines and achieves stable risk-adjusted
returns in both the stock and the futures markets. © 2013 IEEE.",Algorithmic
trading; deep neural network; Markov decision process; reinforcement
learning,Autonomous agents; Commerce; Deep neural networks; Financial markets; Long
short-term memory; Machine learning; Markov processes; Profitability; Reinforcement
learning; Algorithmic trading; Financial time series; Function approximators; Long-
term profits; Markov Decision Processes; Real-world problem; Trading environments;
Trading strategies; Electronic trading,,,,,"Guangdong Innovative and
Entrepreneurial Research Team Program, (2016ZT06D211); National Natural Science
Foundation of China, NSFC, (61722214, U1811462); National Basic Research Program of
China (973 Program), (2016YFB1000101); Guangdong Province Higher Vocational
Colleges and Schools Pearl River Scholar Funded Scheme","This work was supported in
part by the National Key Research and Development Program under Grant
2016YFB1000101, in part by the National Natural Science Foundation of China under
Grant 61722214 and Grant U1811462, in part by the Guangdong Province Universities
and Colleges Pearl River Scholar Funded Scheme under Grant 2016, and in part by the
Program for Guangdong Introducing Innovative and Entrepreneurial Teams under Grant
2016ZT06D211.","Neely C.J., Rapach D.E., Tu J., Zhou G., Forecasting the equity
risk premium: The role of technical indicators, Manage. Set, 60, 7, pp. 1772-1791,
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financial market predictions, Eur. J. Oper. Res., 270, 2, pp. 654-669, (2018)","Z.
Zheng; School of Data and Computer Science, Sun Yat-sen University, Guangzhou,
510275, China; email: [email protected]",,Institute of Electrical and
Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85071105095
Huck N.,"Huck, Nicolas (25936271700)",25936271700,Large data sets and machine
learning: Applications to statistical arbitrage,2019,European Journal of
Operational Research,278,1,,330,342,12,65,10.1016/j.ejor.2019.04.013,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85064846164&doi=10.1016%2fj.ejor.2019.04.013&partnerID=40&md5=c682cc8436780d74c55c4
32bb213a8fb,"ICN Business School - CEREFIGE, 86 rue du Sergent Blandan, CS 70148,
Nancy Cedex, 54003, France","Huck N., ICN Business School - CEREFIGE, 86 rue du
Sergent Blandan, CS 70148, Nancy Cedex, 54003, France","Machine learning algorithms
and big data are transforming all industries including the finance and portfolio
management sectors. While these techniques, such as Deep Belief Networks or Random
Forests, are becoming more and more popular on the market, the academic literature
is relatively sparse. Through a series of applications involving hundreds of
variables/predictors and stocks, this article presents some of the state-of-the-art
techniques and how they can be implemented to manage a long-short portfolio.
Numerous practical and empirical issues are developed. One of the main questions
beyond big data use is the value of information. Does an increase in the number of
predictors improve the portfolio performance? Which features are the most
important? A large number of predictors means, potentially, a high level of noise.
How do the algorithms manage this? This article develops an application using a 22-
year trading period, up to 300 U.S. large caps and around 600 predictors. The
empirical results underline the ability of these techniques to generate useful
trading signals for portfolios with important turnovers and short holding periods
(one or five days). Positive excess returns are reported between 1993 and 2008.
They are strongly reduced after accounting for transaction costs and traditional
risk factors. When these machine learning tools were readily available in the
market, excess returns turned into the negative in most recent times. Results also
show that adding features is far from being a guarantee to boost the alpha of the
portfolio. © 2019 Elsevier B.V.",Big data; Finance; Machine learning; Statistical
arbitrage,Big data; Commerce; Decision trees; Deep learning; Finance; Financial
data processing; Financial markets; Investments; Learning algorithms; Learning
systems; Metadata; Academic literature; Deep belief networks; Long-short portfolio;
Portfolio managements; State-of-the-art techniques; Statistical arbitrage;
Transaction cost; Value of information; Machine learning,,,,,,,"Ariel R.A., High
stock returns before holidays: Existence and evidence on possible causes, Journal
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Statistical arbitrage in the US equities market, Quantitative Finance, 10, 7, pp.
761-782, (2010); Baba N., Sakurai Y., Predicting regime switches in the VIX index
with macroeconomic variables, Applied Economic Letters, 18, 13-15, pp. 1415-1419,
(2011); Baesens B., Bapna R., Marsden J.R., Vanthienen J., Zhao J.L.,
Transformational issues of big data and analytics in networked business, MIS
Quarterly, 40, 4, pp. 807-818, (2016); Bahrammirzaee A., A comparative survey of
artificial intelligence applications in finance: Artificial neural networks, expert
system and hybrid intelligent systems, Neural Computing and Applications, 19, 8,
pp. 1165-1195, (2010); Bai J., Fan J., Tsay R., Special issue on big data, Journal
of Business & Economic Statistics, 34, 4, pp. 487-488, (2016); Baldi P.,
Autoencoders, unsupervised learning, and deep architectures, Proceedings of icml
workshop on unsupervised and transfer learning, Proceedings of Machine Learning
Research, 27, pp. 37-49, (2012); Bao W., Yue J., Rao Y., A deep learning framework
for financial time series using stacked autoencoders and long-short term memory,
Plos One, 12, 7, (2017); Baron J., Mellers B.A., Tetlock P.E., Stone E., Ungar
L.H., Two reasons to make aggregated probability forecasts more extreme, Decision
Analysis, 11, 2, pp. 133-145, (2014); Bengio Y., Learning deep architectures for
AI, Foundations and Trends in Machine Learning, 2, 1, pp. 1-127, (2009); Black
A.J., Klinkowska O., McMillan D.G., McMillan F.J., Forecasting stock returns: Do
commodity prices help?, Journal of Forecasting, 33, 8, pp. 627-639, (2014); Blake
M., Smart technology for big data, Journal of Trading, 9, 1, pp. 57-66, (2014);
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Res,Article,Final,,Scopus,2-s2.0-85064846164
Oluyisola O.E.; Sgarbossa F.; Strandhagen J.O.,"Oluyisola, Olumide Emmanuel
(57203766164); Sgarbossa, Fabio (59157669800); Strandhagen, Jan Ola
(14825916200)",57203766164; 59157669800; 14825916200,"Smart production planning and
control: Concept, use-cases and sustainability implications",2020,Sustainability
(Switzerland),12,9,3791,,,,59,10.3390/su12093791,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084836845&doi=10.3390%2fsu12093791&partnerID=40&md5=877536aeb1b6932e61c98a0d73e1d
493,"Department of Mechanical and Industrial Engineering, Norwegian University of
Science and Technology, Trondheim, 7491, Norway","Oluyisola O.E., Department of
Mechanical and Industrial Engineering, Norwegian University of Science and
Technology, Trondheim, 7491, Norway; Sgarbossa F., Department of Mechanical and
Industrial Engineering, Norwegian University of Science and Technology, Trondheim,
7491, Norway; Strandhagen J.O., Department of Mechanical and Industrial
Engineering, Norwegian University of Science and Technology, Trondheim, 7491,
Norway","Many companies are struggling to manage their production systems due to
increasing market uncertainty. While emerging 'smart' technologies such as the
internet of things, machine learning, and cloud computing have been touted as
having the potential to transform production management, the realities of their
adoption and use have been much more challenging than anticipated. In this paper,
we explore these challenges and present a conceptual model, a use-case matrix and a
product-process framework for a smart production planning and control (smart PPC)
system and illustrate the use of these artefacts through four case companies. The
presented model adopts an incremental approach that companies with limited
resources could employ in improving their PPC process in the context of industry
4.0 and sustainability. The results reveal that while make-to-order companies are
more likely to derive greater benefits from a smart product strategy, make-to-stock
companies are more likely to derive the most benefit from pursuing a smart process
strategy, and consequently a smart PPC solution. © 2020 by the authors.",Case
study; Industry 4.0; Internet of things; Machine learning; Production planning and
control; Smart manufacturing,computer simulation; conceptual framework; industrial
production; Internet; machine learning; market system; production system; strategic
approach; sustainability; uncertainty analysis,,,,,"Norges Forskningsråd, (247637);
Norges Forskningsråd","Funding: This research was funded by The Research Council of
Norway, under the BIA project Manufacturing Network 4.0, number 247637.","Bragdon
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Oluyisola; Department of Mechanical and Industrial Engineering, Norwegian
University of Science and Technology, Trondheim, 7491, Norway; email:
[email protected]",,MDPI,,,,,,20711050,,,,English,Sustainability,Article,
Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85084836845
Pahwa K.; Agarwal N.,"Pahwa, Kunal (57211485972); Agarwal, Neha
(57197973868)",57211485972; 57197973868,Stock Market Analysis using Supervised
Machine Learning,2019,"Proceedings of the International Conference on Machine
Learning, Big Data, Cloud and Parallel Computing: Trends, Prespectives and
Prospects, COMITCon
2019",,,8862225,197,200,3,70,10.1109/COMITCon.2019.8862225,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074130109&doi=10.1109%2fCOMITCon.2019.8862225&partnerID=40&md5=dec7e48d671aff33ba
e25fef209a3def,"Dept. of Computer Science Engineering, Amity University, Noida,
Uttar Pradesh, India","Pahwa K., Dept. of Computer Science Engineering, Amity
University, Noida, Uttar Pradesh, India; Agarwal N., Dept. of Computer Science
Engineering, Amity University, Noida, Uttar Pradesh, India","Stock market or Share
market is one of the most complicated and sophisticated way to do business. Small
ownerships, brokerage corporations, banking sector, all depend on this very body to
make revenue and divide risks; a very complicated model. However, this paper
proposes to use machine learning algorithm to predict the future stock price for
exchange by using open source libraries and preexisting algorithms to help make
this unpredictable format of business a little more predictable. We shall see how
this simple implementation will bring acceptable results. The outcome is completely
based on numbers and assumes a lot of axioms that may or may not follow in the real
world so as the time of prediction. © 2019 IEEE.",Basics; Data Analysis;
Fundamental; Implementation; Linear Regression; Stock Market; Supervised Machine
Learning,Big data; Commerce; Data reduction; Electronic trading; Financial markets;
Learning algorithms; Linear regression; Supervised learning; Banking sectors;
Basics; Fundamental; Implementation; Open-source libraries; Share market; Stock
market analysis; Supervised machine learning; Machine learning,,,,,,,"Andrew M.,
Kamal N., Jason R., Kristie S., A machine learning approach to building domain-
specific search engine, IJCAI, (1999); Yadav S., Stock market volatility-a study of
indian stock market, Global Journal for Research Analysis, 6, pp. 629-632, (2017);
Montgomery D.C., Peck E.A., Vining G.G., Introduction to Linear Regression
Analysis, 821, (2012); Draper N.R., Smith H., Applied Regression Analysis (3rd Ed),
(1998); Pindyck R.S., Rubinfeld D.L., 4h Ed. Econometric Models and Economic
Forecasts, (1998); Linear Regression 1997-1998; Introduction to the stock market,
Intelligent Economist; Linear Regression for machine learning, Machine Learning
Mastery; Decending into ML: Linear Regression, (2018); Fiess N.M., MacDonald R.,
Towards the fundamentals of technical analysis: Analysing the information content
of High, Low and Close prices, Economic Modelling, 19, 3, pp. 353-374, (2002);
Hurwitz E., Marwala T., Common Mistakes When Applying Computational Intelligence
and Machine Learning to Stock Market Modelling, (2012)",,,Institute of Electrical
and Electronics Engineers Inc.,,"2019 International Conference on Machine Learning,
Big Data, Cloud and Parallel Computing, COMITCon 2019",14 February 2019 through 16
February 2019,Faridabad,152705,,978-172810211-5,,,English,"Proc. Int. Conf. Mach.
Learn., Big Data, Cloud Parallel Comput.: Trends, Prespectives Prospect.,
COMITCon",Conference paper,Final,,Scopus,2-s2.0-85074130109
Mehta P.; Pandya S.; Kotecha K.,"Mehta, Pooja (57214990449); Pandya, Sharnil
(57200178916); Kotecha, Ketan (6506676097)",57214990449; 57200178916;
6506676097,Harvesting social media sentiment analysis to enhance stock market
prediction using deep learning,2021,PeerJ Computer
Science,7,,,1,21,20,84,10.7717/peerj-cs.476,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105697647&doi=10.7717%2fpeerj-
cs.476&partnerID=40&md5=d3c20bbe5b16a0dad6570a92935f7015,"Faculty of Technology &
Engineering, C. U. Shah University, Wadhvan, Surendranagar, Gujarat, India;
Symbiosis Centre for Applied Artificial Intelligence, Symbiosis International
University, Pune, Maharastra, India","Mehta P., Faculty of Technology &
Engineering, C. U. Shah University, Wadhvan, Surendranagar, Gujarat, India; Pandya
S., Symbiosis Centre for Applied Artificial Intelligence, Symbiosis International
University, Pune, Maharastra, India; Kotecha K., Symbiosis Centre for Applied
Artificial Intelligence, Symbiosis International University, Pune, Maharastra,
India","Information gathering has become an integral part of assessing people’s
behaviors and actions. The Internet is used as an online learning site for sharing
an ideas. People can actively give their reviews and recommendations for variety of
products and services using popular social sites and personal blogs. Socia sites,
including Twitter, Facebook, and Google+, are examples of the sites used to share
opinion. The stock market (SM) is an essential area of the economy and plays a
significant role in trade and industry development. Predicting SM movements is a
well-known and area of interest to researchers. Social networking perfectly
reflects the public’s views of current affairs. Financial news stories are thought
to have an impact on the return of stock trend prices and many data mining
techniques are used address fluctuations in the SM. Machine learning can provide a
more accurate and robust approach to handle SM-related predictions. We sought to
identify how movements in a company’s stock prices correlate with the expressed
opinions (sentiments) of the public about that company. We designed and implemented
a stock price prediction accuracy tool considering public sentiment apart from
other parameters. The proposed algorithm considers public sentiment, opinions, news
and historical stock prices to forecast future stock prices. Our experiments were
performed using machine-learning and deep-learning methods including Support Vector
Machine, MNB classifier, linear regression, Naïve Bayes and Long Short-Term Memory.
Our results validate the success of the proposed methodology. © Copyright 2021
Mehta et al.",Deep learning; LSTM; Machine learning; Sentiment analysis; Stock
prediction,Commerce; Costs; Data mining; Electronic trading; Financial markets;
Forecasting; Learning systems; Sentiment analysis; Social networking (online);
Support vector machines; Support vector regression; Area of interest; Industry
development; Information gathering; Products and services; Public sentiments;
Robust approaches; Stock market prediction; Stock price prediction; Deep
learning,,,,,,,"Alexander P, Ilya R, Alexey S., Machine learning in prediction of
stock market indicators based on historical data and data from Twitter sentiment
analysis, IEEE 13th International Conference on Data Mining Workshops, (2013);
Awais M, Ghayvat H, Krishnan Pandarathodiyil A, Nabillah Ghani WM, Ramanathan A,
Pandya S, Walter N, Saad MN, Zain RB, Faye I., Healthcare professional in the loop
(HPIL): classification of standard and oral cancer-causing anomalous regions of
oral cavity using textural analysis technique in autofluorescence imaging, Sensors,
20, 20, (2020); Barot V, Kapadia V, Pandya S., QoS enabled IoT based low cost air
quality monitoring system with power consumption optimization, Cybernetics and
Information Technologies, 20, 2, (2020); Bhuriya D, Girish K, Ashish S, Upendra S.,
Stock market prediction using a linear regression, International Conference of
Electronics, Communication and Aerospace Technology, 2, (2017); Carosiaa AEO,
Coelho GP, Silva AEA., Analyzing the Brazilian financial market through Portuguese
sentiment analysis in social media, Applied Artificial Intelligence, 34, 1, pp. 1-
19, (2020); Chen L, Qiao Z, Wang M, Wang C, Du R, Stanley HE., Which artificial
intelligence algorithm better predicts the Chinese stock market, IEEE Access, 6,
pp. 48625-48633, (2018); Ghayvat H, Awais M, Pandya S, Ren H, Akbarzadeh S, Chandra
Mukhopadhyay S, Chen C, Gope P, Chouhan A, Chen W., Smart aging system: uncovering
the hidden wellness parameter for well-being monitoring and anomaly detection,
Sensors, 19, 4, (2019); Ghayvat H, Pandya S, Awais M., ReCognizing SUspect and
PredictiNg ThE SpRead of contagion based on mobile phone LoCation DaTa
(COUNTERACT): a system of identifying COVID-19 infectious and hazardous sites,
detecting disease outbreaks based on internet of things, edge computing and
artificial intelligence, Sustainable Cities and Society, 69, (2021); Jasmina S,
Miha G, Nada L, Martin Z., Predictive sentiment analysis of tweets: a stock market
application, HCI-KDD, pp. 77-78, (2013); Jiang W., Applications of deep learning in
stock market prediction: recent progress, (2020); Khan W, Ghazanfar M, Azam MA,
Karami A, Alyoubi KH, Alfakeeh AS., Stock market prediction using machine learning
classifiers and social media news, Journal of Ambient Intelligence and Humanized
Computing, 22, 3, (2020); Khedr AE, Salama SE, Yaseen N., Predicting stock market
behavior using data mining technique and news sentiment analysis, International
Journal of Intelligent Systems and Applications, 9, 7, pp. 22-30, (2017); Liu B.,
Sentiment analysis and opinion mining, Synthesis Lectures on Human Language
Technologies, 5, 1, pp. 1-167, (2012); Lai L, Liu J., Support vector machine and
least square support vector machine stock forecasting models, Computer Science and
Information Technology, 2, 1, pp. 30-39, (2014); Mate GS, Siddhant A, Rutuja K,
Maitreyi M., Stock prediction through news sentiment analysis, Journal of
Architecture & Technology, 11, 8, pp. 36-40, (2019); Mehta P, Pandya S., A review
on sentiment analysis methodologies, practices and applications, International
Journal of Scientific & Technology Research, 9, 2, pp. 601-609, (2020); Mihir A,
Sumedh N, Anmol K., Stock analysis using sentiment analysis and machine learning,
International Journal of Innovative Research in Technology, 6, 11, pp. 123-126,
(2020); Milosevic N., Equity forecast: predicting long term stock price movement
using machine learning, Journal of Economics Library, 3, 2, pp. 288-294, (2016);
Pandya S, Ghayvat H., Ambient acoustic event assistive framework for
identification, detection, and recognition of unknown acoustic events of a
residence, Advanced Engineering Informatics, 47, (2021); Pandya S, Sur A, Kotecha
K., Smart epidemic tunnel: IoT-based sensor-fusion assistive technology for COVID-
19 disinfection, International Journal of Pervasive Computing and Communications,
(2020); Pandya S, Ghayvat H, Kotecha K, Awais M, Akbarzadeh S, Gope P, Mukhopadhyay
SC, Chen W., Smart home anti-theft system: a novel approach for near real-time
monitoring and smart home security for wellness protocol, Applied System
Innovation, 1, 4, (2018); Pang X, Zhou Y, Wang P, Lin W, Chang V., An innovative
neural network approach for stock market prediction, (2018); Patel CI, Labana D,
Pandya S, Modi K, Ghayvat H, Awais M., Histogram of oriented gradient-based fusion
of features for human action recognition in action video sequences, Sensors, 20,
24, (2020); Patel J, Shah S, Thakkar P, Kotecha K., Predecting stock and stock
price index movement using trend deterministic data preparation and machine
learning techniques, Expert Systems with Applications, 42, 4, pp. 2162-2172,
(2015); Ritesh BR, Chethan R, Jani HS., Stock movement prediction using machine
learning on news articles, International Journal on Computer Science and
Engineering, 4, 3, pp. 153-155, (2017); Santos C, Gatti M., Deep convolutional
neural networks for sentiment analysis of short texts, International Conference on
Computational Linguistics, pp. 69-78, (2014); Srivastava A, Jain S, Miranda R,
Patil S, Pandya S, Kotecha K., Deep learning-based respiratory sound analysis for
detection of chronic obstructive pulmonary disease, PeerJ Computer Science, 7, 5,
(2021); Sun A., Trade the tweet: social media text mining and sparse matrix
factorization for stock market prediction, International Review of Financial
Analysis, 48, pp. 272-281, (2016); Sun B, Ng VT., Analyzing sentimental influence
of posts on social networks, IEEE International Conference on Computer Supported
Work in Design, pp. 546-551, (2014); Sur S, Pandya S, Sah R., Influence of bed
temperature on performance of silica gel/methanol adsorption refrigeration system
at adsorption equilibrium, Particulate Science and Technology, (2020); Sushree D,
Rajan Kumar B, Mukesh K, Santanu Kmar R., Real time sentiment analysis of twitter
streaming daya for stock prediction, Procedia Computer Science, 132, pp. 956-964,
(2018); Xing FZ, Cambria E, Welsch RE., Intelligent Bayesian asset allocation via
market sentiment views, IEEE Computational Intelligence Magazine, 13, 4, pp. 25-34,
(2018); Xing FZ, Cambria E, Welsch RE., Natural language-based financial
forecasting: a survey, Artificial Intelligence Review, 50, 1, pp. 49-73, (2018);
Yoshihara A, Fujikawa K, Seki K, Uehara K., Predicting stock market trends by
recurrent deep neural networks, pp. 759-769, (2014); Yu P, Yan X., Stock price
prediction based on deep neural networks, Neural Computing and Applications, 32, 6,
pp. 1609-1628, (2020)","P. Mehta; Faculty of Technology & Engineering, C. U. Shah
University, Wadhvan, Surendranagar, India; email: [email protected]; S. Pandya;
Symbiosis
Centre for Applied Artificial Intelligence, Symbiosis International University,
Pune, India; email: [email protected]",,PeerJ
Inc.,,,,,,23765992,,,,English,PeerJ Comput. Sci.,Article,Final,All Open Access;
Gold Open Access,Scopus,2-s2.0-85105697647
Anjaria M.; Guddeti R.M.R.,"Anjaria, Malhar (56081383600); Guddeti, Ram Mohana
Reddy (57196319462)",56081383600; 57196319462,A novel sentiment analysis of social
networks using supervised learning,2014,Social Network Analysis and
Mining,4,1,181,1,15,14,55,10.1007/s13278-014-0181-9,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84942834847&doi=10.1007%2fs13278-014-0181-
9&partnerID=40&md5=b315c09f0520d3a4c14f3c8dca7232f5,"Department of Information
Technology, National Institute of Technology Karnataka, Surathkal, Mangalore,
575025, India","Anjaria M., Department of Information Technology, National
Institute of Technology Karnataka, Surathkal, Mangalore, 575025, India; Guddeti
R.M.R., Department of Information Technology, National Institute of Technology
Karnataka, Surathkal, Mangalore, 575025, India","Online microblog-based social
networks have been used for expressing public opinions through short messages.
Among popular microblogs, Twitter has attracted the attention of several
researchers in areas like predicting the consumer brands, democratic electoral
events, movie box office, popularity of celebrities, the stock market, etc.
Sentiment analysis over a Twitter-based social network offers a fast and efficient
way of monitoring the public sentiment. This paper studies the sentiment prediction
task over Twitter using machine-learning techniques, with the consideration of
Twitter-specific social network structure such as retweet. We also concentrate on
finding both direct and extended terms related to the event and thereby
understanding its effect. We employed supervised machine-learning techniques such
as support vector machines (SVM), Naive Bayes, maximum entropy and artificial
neural networks to classify the Twitter data using unigram, bigram and
unigram + bigram (hybrid) feature extraction model for the case study of US
Presidential Elections 2012 and Karnataka State Assembly Elections (India) 2013.
Further, we combined the results of sentiment analysis with the influence factor
generated from the retweet count to improve the prediction accuracy of the task.
Experimental results demonstrate that SVM outperforms all other classifiers with
maximum accuracy of 88 % in predicting the outcome of US Elections 2012, and 68 %
for Indian State Assembly Elections 2013. © 2014, Springer-Verlag Wien.",Electoral
prediction; Microblogs; Opinion mining; Sentiment analysis; Social intelligence;
Social network analysis; Supervised machine learning; Twitter; Twitter
analytics,Artificial intelligence; Data mining; Forecasting; Learning algorithms;
Learning systems; Maximum entropy methods; Motion pictures; Neural networks;
Supervised learning; Support vector machines; Microblogs; Opinion mining; Sentiment
analysis; Social intelligence; Supervised machine learning; Twitter; Twitter
analytics; Social networking (online),,,,,,,"Aragon P., Communication dynamics in
Twitter during political campaigns: the case of the 2011 Spanish national election,
Policy & Internet, 5, 2, pp. 183-206, (2013); Berger A.L., Della Pietra V.J., Della
Pietra S.A., A maximum entropy approach to natural language processing, J Comput
Linguist, 22, 1, pp. 39-71, (1996); Asur S., Huberman B., Predicting the future
with social media, WI-IAT’10 Proceedings of the 2010 IEEE/WIC/ACM International
Conference on web intelligence and intelligent agent technology, 1, pp. 492-499,
(2010); Boutet A., What’s in your tweet: I know who you supported in the UK 2010
general elections, (2013); Bakliwal A., Sentiment analysis of political tweets:
towards an accurate classifier, Proceedings of the Workshop on language in social
media (LASM, 2013, pp. 49-58, (2013); Barbosa L., Feng J., Robust sentiment
detection on Twitter from biased and noisy data, (2010); Bermingham A., Smeaton
A.F., On using Twitter to monitor political sentiment and predict election results,
Proceedings of the Workshop on sentiment analysis where AI meets psychology
(SAAIP), IJCNLP, 2011, pp. 2-10, (2011); Bollen J., Pepe A., Mao H., Modeling
public mood and emotion: Twitter sentiment and socioeconomic phenomena, Proceedings
of the Fifth International AAAI Conference on weblogs and social media (ICWSM,
(2011); Chen L.S., Liu C.H., Chiu H.J., A neural network based approach for
sentiment classification in the Blogosphere, Elseveir J Inf, 5, pp. 313-322,
(2011); Cozma R., Chen K., Congressional candidates “use of Twitter during the 2010
Midterm Elections: a wasted opportunity?, In: 61st Annual Conference of the
International communication association, (2011); Cristianini N., Shawe-Taylor J.,
An introduction to support vector machines and other kernel-based learning methods,
(2000); Davidiv D., Tsur O., Rappoport A., Enhanced sentiment learning using
Twitter hashtags and smileys, Proceedings of the 23rd international conference on
computational linguistics, 2010, pp. 241-249, (2010); Doshi L., Using sentiment and
social network analyses to predict opening-movie box-office success in fulfilment
of Master’s degree proceedings at Department of Electrical and Computer
Engineering, Massachusetts Institute of Technology, (2008); Gayo-Avello D., Metaxas
P.T., Mustafaraj E., Limits of electoral predictions using Twitter. In:
International conference on weblogs and social media, IAAA, (2011); Go A.,
Sentiment analysis of Twitter posts about news. Natural language processing,
Stanford University, (2010); Go A., Twitter sentiment classification using distant
supervision. Natural language processing, Stanford University, (2010); Hastie T.,
Tibshirani R., Friedman J., The elements of statistical learning, (2001); Jiang L.,
Target-dependent Twitter sentiment classification, In: Proceedings of the 49th
Annual Meeting of the association for computational linguistics, (2011); Katakis
I., Social voting advice applications—definitions, challenges, datasets and
evaluation, (2013); Kibriya A., Et al., Multinomial Naive Bayes for text
categorization revisited—AI 2004, Adv Artif Intell Lect Notes Computer Sci, 3339,
pp. 488-499, (2005); Livne A., Simmons M.P., Adar E., Adamic L.A., The party is
over here: structure and content in the 2010 election. In: International conference
on weblogs and social media, IAAA, (2011); Mejova Y., Srinivasan P., Boynton B.,
GOP primary season on Twitter: “popular” political sentiment in social media.
WSDM’13, February 4–8, 2012, (2013); Moraes R., Valiati J.F., Document-level
sentiment classification: an empirical comparison between SVM and ANN, Elseveir
Trans Expert Syst Appl, 40, pp. 621-633, (2013); Nooralahzadeh F., Arunachalam V.,
Chiru C (2013) 2012 Presidential Elections on Twitter—an analysis of how the US and
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doi:10.1109/CSCS, 2013; O'Connor B., Balasubramanyan R., From tweets to polls:
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of the Seventh International Conference on language resources and evaluation
(LREC’10), (2010); Pang B., Lee L., Seeing stars: exploiting class relationships
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'05 Proceedings of the 43rd Annual Meeting on Association for Computational
Linguistics, pp 115–124, doi:10.3115/1219840.1219855, (2002); Pang B., Lee L.,
Sentiment classification using machine learning techniques, In: Proceedings of the
Conference on empirical methods in natural language processing, (2002); Parikh R.,
Movassate M., Sentiment analysis of user-generated Twitter updates using various
classification techniques. Stanford University, Stanford, (2009); Parsing Election
Day media: how the midterms message varied by platform, Pew, (2010); Romero D.M.,
Meeder B., Kleinberg J., Differences in the mechanics of information diffusion
across topics: idioms, political hashtags, and complex contagion on Twitter. In:
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doi:10.1109/SOCIETY, 2013; Stieglitz S., Dang-Xuan L (2012) Political communication
and influence through microblogging: an empirical analysis of sentiment in Twitter
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system sciences. doi:10.1109/HICSS, 2012; User-level sentiment analysis
incorporating social networks, In: Proceedings of the Sixteenth ACM SIGKDD
International conference on knowledge discovery and data mining, (2011); Turney
P.D., Thumbs up or thumbs down?, Semantic orientation applied to unsupervised
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analysis on tweets for social events, Proceedings of the 2013 IEEE 17th
international conference on computer supported cooperative work in design, CSCWD,
2013, pp. 557-562, (2013)","M. Anjaria; Department of Information Technology,
National Institute of Technology Karnataka, Mangalore, Surathkal, 575025, India;
email: [email protected]",,Springer-Verlag
Wien,,,,,,18695450,,,,English,Soc. Netw. Analysis Min.,Article,Final,,Scopus,2-
s2.0-84942834847
Wang Q.; Xu W.; Zheng H.,"Wang, Qili (57198901406); Xu, Wei (56582984800); Zheng,
Han (57201496167)",57198901406; 56582984800; 57201496167,Combining the wisdom of
crowds and technical analysis for financial market prediction using deep random
subspace
ensembles,2018,Neurocomputing,299,,,51,61,10,58,10.1016/j.neucom.2018.02.095,https:
//www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85045111057&doi=10.1016%2fj.neucom.2018.02.095&partnerID=40&md5=95f05338e6f01e505b9
272757c91b0a7,"School of Information, Renmin University of China, Beijing, 100872,
China; Smart City Research Center, Renmin University of China, Beijing, 100872,
China","Wang Q., School of Information, Renmin University of China, Beijing,
100872, China; Xu W., School of Information, Renmin University of China, Beijing,
100872, China, Smart City Research Center, Renmin University of China, Beijing,
100872, China; Zheng H., School of Information, Renmin University of China,
Beijing, 100872, China","Many researchers and practitioners have attempted to
predict financial market trends for excess returns using multiple information
sources including social media. Recent studies have investigated the relation
between public sentiment and stock price movements and demonstrated that investment
decisions are affected by public opinion. In this paper, we design a novel
framework that combines the wisdom of crowds and technical analysis for financial
market prediction using a new fusion strategy. A machine learning technique called
deep random subspace ensembles (DRSE), which integrates deep learning algorithms
and ensemble learning methods, is proposed according to the characteristics of the
prediction task. Based on collected real-world datasets, the experimental results
show that our proposed method outperforms the baseline models in predicting stock
market by at least 14.2% in terms of AUC value, indicating the efficacy of DRSE as
a viable mechanism for financial market prediction. © 2018",Deep learning;
Financial market prediction; Random subspace ensembles; Sentiment analysis; Wisdom
of crowds,Commerce; Financial markets; Forecasting; Investments; Learning
algorithms; Sentiment analysis; Social aspects; Information sources; Investment
decisions; Machine learning techniques; Market prediction; Random subspace
ensembles; Real-world datasets; Stock price movements; Wisdom of crowds; article;
deep learning; human; prediction; Deep learning,,,,,"National Natural Science
Foundation of China, NSFC, (71301163, 71771212); Ministry of Education of the
People's Republic of China, MOE, (14YJA630075, 15YJA630068, 201701602); Renmin
University of China, RUC, (15XNLQ08); Fundamental Research Funds for the Central
Universities","This work was supported in part by National Natural Science
Foundation of China (Grant No. 71301163 , 71771212 ), Humanities and Social
Sciences Foundation of the Ministry of Education (No. 14YJA630075, 15YJA630068 ),
the People’s Livelihood Investigation Project of Social Sciences Development Fund
(201701602), and the Fundamental Research Funds for the Central Universities, and
the Research Funds of Renmin University of China (No. 15XNLQ08 ). ","Alan Y., Gao
G.P., Gaur V., Does inventory productivity predict future stock returns? a
retailing industry perspective, Manag. Sci., 60, 10, pp. 2416-2434, (2014); Li X.,
Huang X., Deng X., Zhu S., Enhancing quantitative intra-day stock return prediction
by integrating both market news and stock prices information, Neurocomputing, 142,
1, pp. 228-238, (2014); Luo X., Zhang J., Duan W., Social media and firm equity
value, Inf. Syst. Res., 24, 1, pp. 146-163, (2013); Bao Y., Lu Y., Zhang J.,
Forecasting stock price by SVMs regression, Proceedings of the International
Conference on Artificial Intelligence: Methodology, Systems, and Applications, pp.
295-303, (2004); Brown G.W., Cliff M.T., Investor sentiment and the near-term stock
market, J. Empir. Financ., 11, pp. 1-27, (2004); Hu Z., Bao Y., Xiong T.,
Comprehensive learning particle swarm optimization based memetic algorithm for
model selection in short-term load forecasting using support vector regression,
Appl. Soft Comput., 25, pp. 15-25, (2014); Patel J., Shah S., Thakkar P., Kotecha
K., Predicting stock and stock price index movement using trend deterministic data
preparation and machine learning techniques, Expert Syst. Appl., 42, 1, pp. 259-
268, (2015); Li Q., Chen Y., Jiang L.L., Li P., Chen H., A tensor-based information
framework for predicting the stock market, ACM Trans. Inf. Syst., 34, 2, (2016);
Cheung Y.W., Ng L.K., Stock price dynamics and firm size: an empirical
investigation, J. Financ., 47, 5, pp. 1985-1997, (1992); Schumaker R.P., Chen H.,
Textual analysis of stock market prediction using breaking financial news: the
AZFin text system, ACM Trans. Inf. Syst., 27, 2, pp. 1-19, (2009); Bollen J., Mao
H., Zeng X., Twitter mood predicts the stock market, J. Comput. Sci., 2, 1, pp. 1-
8, (2011); Yang S.Y., Mo S.Y.K., Liu A., Twitter financial community sentiment and
its predictive relationship to stock market movement, Quant. Financ., 15, 10, pp.
1637-1656, (2015); Oliveira N., Cortez P., Areal N., The impact of microblogging
data for stock market prediction: using twitter to predict returns, volatility,
trading volume and survey sentiment indices, Expert Syst. Appl., 73, pp. 125-144,
(2017); Chen H., De P., Hu Y., Hwang B., Wisdom of crowds: the value of stock
opinions transmitted through social media, Rev. Financ. Stud., 27, 5, pp. 1367-
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[email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,,Scopus,2-s2.0-
85045111057
Dash R.K.; Nguyen T.N.; Cengiz K.; Sharma A.,"Dash, Ranjan Kumar (56354050100);
Nguyen, Tu N. (57218449471); Cengiz, Korhan (56522820200); Sharma, Aditi
(57215335789)",56354050100; 57218449471; 56522820200; 57215335789,Fine-tuned
support vector regression model for stock predictions,2023,Neural Computing and
Applications,35,32,,23295,23309,14,58,10.1007/s00521-021-05842-w,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85102768494&doi=10.1007%2fs00521-021-05842-
w&partnerID=40&md5=c7b4c85ec04a72d1ea436885f1ba6964,"College of Engineering and
Technology Bhubaneswar, Odisha, Bhubaneswar, India; Department of Computer Science,
Purdue University Fort Wayne, Fort Wayne, 46805, IN, United States; Department of
Electrical-Electronics Engineering, Faculty of Engineering, Trakya University,
Edirne, Turkey; Department of Computer Science and Engineering, Quantum University,
Uttarakhand, Roorkee, India","Dash R.K., College of Engineering and Technology
Bhubaneswar, Odisha, Bhubaneswar, India; Nguyen T.N., Department of Computer
Science, Purdue University Fort Wayne, Fort Wayne, 46805, IN, United States; Cengiz
K., Department of Electrical-Electronics Engineering, Faculty of Engineering,
Trakya University, Edirne, Turkey; Sharma A., Department of Computer Science and
Engineering, Quantum University, Uttarakhand, Roorkee, India","In this paper, a new
machine learning (ML) technique is proposed that uses the fine-tuned version of
support vector regression for stock forecasting of time series data. Grid search
technique is applied over training dataset to select the best kernel function and
to optimize its parameters. The optimized parameters are validated through
validation dataset. Thus, the tuning of this parameters to their optimized value
not only increases model’s overall accuracy but also requires less time and memory.
Further, this also minimizes the model from being data overfitted. The proposed
method is used to analysis different performance parameters of stock market like
up-to-daily and up-to-monthly return, cumulative monthly return, its volatility
nature and the risk associated with it. Eight different large-sized datasets are
chosen from different domain, and stock is predicted for each case by using the
proposed method. A comparison is carried out among the proposed method and some
similar methods of same interest in terms of computed root mean square error and
the mean absolute percentage error. The comparison reveals the proposed method to
be more accurate in predicting the stocks for the chosen datasets. Further, the
proposed method requires much less time than its counterpart methods. © 2021, The
Author(s), under exclusive licence to Springer-Verlag London Ltd., part of Springer
Nature.",Grid search; Machine learning; Mean absolute percentage error; Root mean
square error; Support vector regression; Volatility,Errors; Financial markets;
Forecasting; Large dataset; Mean square error; Regression analysis; Risk
assessment; Grid search; Machine learning techniques; Machine-learning; Mean
absolute percentage error; Percentage error; Root mean square errors; Stock
predictions; Support vector regression models; Support vector regressions;
Volatility; Machine learning,,,,,,,"Malkiel B.G., The efficient market hypothesis
and its critics, J Econ Perspect, 17, 1, pp. 59-82, (2003); Henrique B.M., Sobreiro
V.A., Herbert K., Stock price prediction using support vector regression on daily
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N., Tu N.N., Shivani A., Jude H.D., Capsule and attention layer augmented
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approach to early detection of IoT Botnet, Comput Electr Eng (Early Access),
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summarization and the interpretability, scalability of fuzzy representations of
multilevel semantic structures of word-domains, Microprocess Microsyst, 81, (2021);
Pham D.V., Nguyen G.L., Nguyen T.N., Pham C.V., Nguyen A.V., Multi-topic
misinformation blocking with budget constraint on online social networks, IEEE
Access, 8, pp. 78879-78889, (2021); Le N.T., Wang J., Le D.H., Wang C., Nguyen
T.N., Fingerprint enhancement based on tensor of wavelet subbands for
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Nguyen T.N., Novel framework based on HOSVD for Ski goggles defect detection and
classification, Sensors, 19, (2019); Le N.T., Wang J., Wang C., Nguyen T.N.,
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(2012)","K. Cengiz; Department of Electrical-Electronics Engineering, Faculty of
Engineering, Trakya University, Edirne, Turkey; email:
[email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,9410643,,,,English,Neural Comput. Appl.,Article,Final,,Scopus,2-s2.0-
85102768494
Ghosh P.; Neufeld A.; Sahoo J.K.,"Ghosh, Pushpendu (57202605795); Neufeld, Ariel
(55651686900); Sahoo, Jajati Keshari (55290807700)",57202605795; 55651686900;
55290807700,Forecasting directional movements of stock prices for intraday trading
using LSTM and random forests,2022,Finance Research
Letters,46,,102280,,,,84,10.1016/j.frl.2021.102280,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85109440262&doi=10.1016%2fj.frl.2021.102280&partnerID=40&md5=09ee9c1397d92cb89e47c8
4d6b9d92bc,"Department of Computer Science & Information Systems, BITS Pilani K.K.
Birla Goa campus, India; Division of Mathematical Sciences, Nanyang Technological
University, Singapore; Department of Mathematics, BITS Pilani K.K. Birla Goa
campus, India","Ghosh P., Department of Computer Science & Information Systems,
BITS Pilani K.K. Birla Goa campus, India; Neufeld A., Division of Mathematical
Sciences, Nanyang Technological University, Singapore; Sahoo J.K., Department of
Mathematics, BITS Pilani K.K. Birla Goa campus, India","We employ both random
forests and LSTM networks (more precisely CuDNNLSTM) as training methodologies to
analyze their effectiveness in forecasting out-of-sample directional movements of
constituent stocks of the S&P 500 from January 1993 till December 2018 for intraday
trading. We introduce a multi-feature setting consisting not only of the returns
with respect to the closing prices, but also with respect to the opening prices and
intraday returns. As trading strategy, we use Krauss et al. (2017) and Fischer and
Krauss (2018) as benchmark. On each trading day, we buy the 10 stocks with the
highest probability and sell short the 10 stocks with the lowest probability to
outperform the market in terms of intraday returns — all with equal monetary
weight. Our empirical results show that the multi-feature setting provides a daily
return, prior to transaction costs, of 0.64% using LSTM networks, and 0.54% using
random forests. Hence we outperform the single-feature setting in Fischer and
Krauss (2018) and Krauss et al. (2017) consisting only of the daily returns with
respect to the closing prices, having corresponding daily returns of 0.41% and of
0.39% with respect to LSTM and random forests, respectively. © 2021 Elsevier
Inc.",Forecasting; Intraday trading; LSTM; Machine learning; Random forest;
Statistical arbitrage,,,,,,NTU-India,"Acknowledgment: The first author gratefully
acknowledges the NTU-India Connect Research Internship Programme which allowed him
to carry out part of this research project while visiting the Nanyang Technological
University, Singapore. The second author gratefully acknowledges financial support
by his NAP Grant Machine Learning based Algorithms in Finance and Insurance .
","Avellaneda M., Lee J.-H., Statistical arbitrage in the us equities market,
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S.R., Predicting the direction of stock market prices using tree-based classifiers,
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C.W., Dilated convolutional neural networks for time series forecasting, J. Comput.
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machine learning in python, J. Mach. Learn. Res., 12, pp. 2825-2830, (2011); Qiu
J., Wang B., Zhou C., Forecasting stock prices with long-short term memory neural
network based on attention mechanism, PLoS One, 15, 1, (2020); Sadorsky J., A
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pp. 176-186, (2018)","A. Neufeld; Division of Mathematical Sciences, Nanyang
Technological University, Singapore; email: [email protected]",,Elsevier
Ltd,,,,,,15446123,,,,English,Finan. Res. Lett.,Article,Final,All Open Access; Green
Open Access,Scopus,2-s2.0-85109440262
Bouktif S.; Fiaz A.; Awad M.,"Bouktif, Salah (7801624534); Fiaz, Ali (57203302463);
Awad, Mamoun (23003485300)",7801624534; 57203302463; 23003485300,Augmented Textual
Features-Based Stock Market Prediction,2020,IEEE
Access,8,,9016182,40269,40282,13,69,10.1109/ACCESS.2020.2976725,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85081598221&doi=10.1109%2fACCESS.2020.2976725&partnerID=40&md5=f869672867cc710e7119
5c529e4c7027,"Department of Computer Science and Software Engineering, United Arab
Emirates University, Al Ain, United Arab Emirates","Bouktif S., Department of
Computer Science and Software Engineering, United Arab Emirates University, Al Ain,
United Arab Emirates; Fiaz A., Department of Computer Science and Software
Engineering, United Arab Emirates University, Al Ain, United Arab Emirates; Awad
M., Department of Computer Science and Software Engineering, United Arab Emirates
University, Al Ain, United Arab Emirates","Due to its dynamics, non-linearity and
complexity nature, stock market is inherently difficult to predict. One of the
attractive objectives is to predict stock market movement direction by using public
sentiments analysis. However, there is an active debate about the usefulness of
this approach and the strength of causality between stock market trends and
sentiments. The opinions of researchers range from rejecting the relationship to
confirming a clear causality between sentiments and trading in stock markets.
Nevertheless, many advanced computational methods have adopted sentiment-based
features, yet did not attain maturity and performance. In this paper, we are
contributing constructively in this debate by empirically investigating the
predictability of stock market movement direction using an enhanced method of
sentiments analysis. Precisely, we experiment on stock prices history, sentiments
polarity, subjectivity, N-grams, customized text-based features in addition to
features lags that are used for a finer-grained analysis. Five research questions
have been investigated towards answering issues associated with stock market
movement prediction using sentiment analysis. We have collected and studied the
stocks of ten influential companies belonging to different stock domains in NASDAQ.
Our analysis approach is complemented by a sophisticated causality analysis, an
algorithmic feature selection and a variety of machine learning techniques
including regularized models stacking. A comparison of our approach with other
sentiment-based stock market prediction approaches including Deep learning,
establishes that our proposed model is performing adequately and predicting stock
movements with a higher accuracy of 60%. © 2013 IEEE.",Machine learning; model
stacking; sentiment analysis; stock movement direction prediction; textual features
extraction; tweets mining,Commerce; Deep learning; Financial markets; Forecasting;
Learning systems; Motion estimation; Sentiment analysis; Causality analysis;
Machine learning techniques; Movement prediction; Research questions; Stock market
prediction; Stock movement; Text-based features; Textual features; Electronic
trading,,,,,"United Arab Emirates University, UAEU, (G00002881, G00003306)",This
work was supported by the United Arab Emirates University through the Sure Plus
Grant Project under Grant G00002881 and Grant G00003306.,"Yoo P.D., Kim M.H., Jan
T., Machine learning techniques and use of event information for stock market
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De Oliveira R.A., Stock market's price movement prediction with LSTM neural
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Y., Liu Y., Wang M., Liu R., Lstm model optimization on stock price forecasting,
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for stock market prediction using technical indicators and financial news articles,
Proc. Int. Joint Conf. Neural Netw. (IJCNN), pp. 1-8, (2018)","S. Bouktif;
Department of Computer Science and Software Engineering, United Arab Emirates
University, Al Ain, United Arab Emirates; email: [email protected]",,Institute of
Electrical and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85081598221
Li Y.; Bu H.; Li J.; Wu J.,"Li, Yelin (57191091934); Bu, Hui (57204073569); Li,
Jiahong (57221574466); Wu, Junjie (35313047900)",57191091934; 57204073569;
57221574466; 35313047900,The role of text-extracted investor sentiment in Chinese
stock price prediction with the enhancement of deep learning,2020,International
Journal of
Forecasting,36,4,,1541,1562,21,68,10.1016/j.ijforecast.2020.05.001,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85090479680&doi=10.1016%2fj.ijforecast.2020.05.001&partnerID=40&md5=1f19b4ce7c62636
828393900d18a05e0,"Department of Information Systems, School of Economics and
Management, Beihang University, Beijing, 100191, China; Department of Finance,
School of Economics and Management, Beihang University, Beijing, 100191, China; JD
Digits, Beijing, 100176, China; Beijing Advanced Innovation Center for Big Data and
Brain Computing, Beihang University, Beijing, 100191, China","Li Y., Department of
Information Systems, School of Economics and Management, Beihang University,
Beijing, 100191, China; Bu H., Department of Finance, School of Economics and
Management, Beihang University, Beijing, 100191, China; Li J., JD Digits, Beijing,
100176, China; Wu J., Department of Information Systems, School of Economics and
Management, Beihang University, Beijing, 100191, China, Beijing Advanced Innovation
Center for Big Data and Brain Computing, Beihang University, Beijing, 100191,
China","Whether investor sentiment affects stock prices is an issue of long-
standing interest for economists. We conduct a comprehensive study of the
predictability of investor sentiment, which is measured directly by extracting
expectations from online user-generated content (UGC) on the stock message board of
Eastmoney.com in the Chinese stock market. We consider the influential factors in
prediction, including the selections of different text classification algorithms,
price forecasting models, time horizons, and information update schemes. Using
comparisons of the long short-term memory (LSTM) model, logistic regression,
support vector machine, and Naïve Bayes model, the results show that daily investor
sentiment contains predictive information only for open prices, while the hourly
sentiment has two hours of leading predictability for closing prices. Investors do
update their expectations during trading hours. Moreover, our results reveal that
advanced models, such as LSTM, can provide more predictive power with investor
sentiment only if the inputs of a model contain predictive information. © 2020
International Institute of Forecasters",Deep learning method; Naïve Bayes
classification algorithm; Stock price forecasting; Text mining; Textual
data,,,,,,"National Key R&D Program of China; Ulrich Fritsche; National Natural
Science Foundation of China, NSFC, (71490723, 71531001, 71671012, 71725002,
91846108, U1636210); National Key Research and Development Program of China,
NKRDPC, (2019YFB2101804)","Funding text 1: This work was supported by Prof. Wu’s
grants from National Key R&D Program of China [grant number 2019YFB2101804 ], Prof.
Bu’s grants from the National Natural Science Foundation of China [grant numbers
71671012 , 91846108 ], and Prof. Wu’s grants from National Natural Science
Foundation of China [grant numbers 71531001 , 71725002 , U1636210 , 71490723 ]. We
thank the Special Issue Editors Professors Michael Clements and Ulrich Fritsche,
and the anonymous referees for their valuable comments. This paper was presented
and discussed at the 14th International Conference on Services Systems and Services
Management (ICSSSM 2017). We thank the conference participants for their helpful
comments on this paper.; Funding text 2: This work was supported by Prof. Wu's
grants from National Key R&D Program of China [grant number 2019YFB2101804], Prof.
Bu's grants from the National Natural Science Foundation of China [grant numbers
71671012, 91846108], and Prof. Wu's grants from National Natural Science Foundation
of China [grant numbers 71531001, 71725002, U1636210, 71490723]. We thank the
Special Issue Editors Professors Michael Clements and Ulrich Fritsche, and the
anonymous referees for their valuable comments. This paper was presented and
discussed at the 14th International Conference on Services Systems and Services
Management (ICSSSM 2017). We thank the conference participants for their helpful
comments on this paper.","Antweiler W., Frank M.Z., Is all that talk just noise?
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Finance, School of Economics and Management, Beihang University, Beijing, 100191,
China; email: [email protected]",,Elsevier B.V.,,,,,,1692070,,IJFOE,,English,Int.
J. Forecast.,Article,Final,,Scopus,2-s2.0-85090479680
Alsharef A.; Aggarwal K.; Sonia; Kumar M.; Mishra A.,"Alsharef, Ahmad
(57224565822); Aggarwal, Karan (57171775600); Sonia (57213078881); Kumar, Manoj
(57201849165); Mishra, Ashutosh (57201340690)",57224565822; 57171775600;
57213078881; 57201849165; 57201340690,Review of ML and AutoML Solutions to Forecast
Time-Series Data,2022,Archives of Computational Methods in
Engineering,29,7,,5297,5311,14,66,10.1007/s11831-022-09765-0,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85131088878&doi=10.1007%2fs11831-022-09765-
0&partnerID=40&md5=262dd5ef488f02260d09ea4e3143cec1,"Yogananda School of Artificial
Intelligence, Computing and Data Science, Shoolini University, Solan, 173229,
India; Electronics and Communication Engineering Department, Maharishi
Markandeshwar (Deemed to be University), Mullana, Haryana, Ambala, 133207, India;
School of Computer Science, University of Petroleum and Energy Studies, Dehradun,
India; School of Integrated Technology, Yonsei University, Seuol, South
Korea","Alsharef A., Yogananda School of Artificial Intelligence, Computing and
Data Science, Shoolini University, Solan, 173229, India; Aggarwal K., Electronics
and Communication Engineering Department, Maharishi Markandeshwar (Deemed to be
University), Mullana, Haryana, Ambala, 133207, India; Sonia, Yogananda School of
Artificial Intelligence, Computing and Data Science, Shoolini University, Solan,
173229, India; Kumar M., School of Computer Science, University of Petroleum and
Energy Studies, Dehradun, India; Mishra A., School of Integrated Technology, Yonsei
University, Seuol, South Korea","Time-series forecasting is a significant
discipline of data modeling where past observations of the same variable are
analyzed to predict the future values of the time series. Its prominence lies in
different use cases where it is required, including economic, weather, stock price,
business development, and other use cases. In this work, a review was conducted on
the methods of analyzing time series starting from the traditional linear modeling
techniques until the automated machine learning (AutoML) frameworks, including deep
learning models. The objective of this review article is to support identifying the
time-series forecasting challenge and the different techniques to meet the
challenge. This work can be additionally an assist and a reference for researchers
and industries demanding to use AutoML to solve the problem of forecasting. It
identifies the gaps of the previous works and techniques used to solve the problem
of forecasting time series. © 2022, The Author(s) under exclusive licence to
International Center for Numerical Methods in Engineering (CIMNE).",,Financial
markets; Forecasting; Numerical methods; Time series; Business development;
Forecast time; IT Identify; Learning models; Linear modeling; Modelling techniques;
Stock price; Time series forecasting; Time-series data; Times series; Deep
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Yogananda School of Artificial Intelligence, Computing and Data Science, Shoolini
University, Solan, 173229, India; email: [email protected]",,Springer Science and
Business Media B.V.,,,,,,11343060,,,,English,Arch. Comput. Methods
Eng.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-85131088878
Döpke J.; Fritsche U.; Pierdzioch C.,"Döpke, Jörg (56220242800); Fritsche, Ulrich
(7003386065); Pierdzioch, Christian (55891223700)",56220242800; 7003386065;
55891223700,Predicting recessions with boosted regression trees,2017,International
Journal of
Forecasting,33,4,,745,759,14,85,10.1016/j.ijforecast.2017.02.003,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85020740280&doi=10.1016%2fj.ijforecast.2017.02.003&partnerID=40&md5=4421ebb59c57dc4
6cd42c7f2406d7ca3,"University of Applied Sciences, Merseburg, Germany; University
Hamburg, Germany; Helmut-Schmidt-University, Hamburg, Germany","Döpke J.,
University of Applied Sciences, Merseburg, Germany; Fritsche U., University
Hamburg, Germany; Pierdzioch C., Helmut-Schmidt-University, Hamburg, Germany","We
use a machine-learning approach known as boosted regression trees (BRT) to
reexamine the usefulness of selected leading indicators for predicting recessions.
We estimate the BRT approach on German data and study the relative importance of
the indicators and their marginal effects on the probability of a recession. Our
results show that measures of the short-term interest rate and the term spread are
important leading indicators. The recession probability is a nonlinear function of
these leading indicators. The BRT approach also helps to uncover the way in which
the recession probability depends on the interactions between the leading
indicators. While the predictive power of the short-term interest rates has
declined over time, the term spread and the stock market have gained in importance.
The BRT approach shows a better out-of-sample performance than popular probit
approaches. © 2017 International Institute of Forecasters",Boosting; Recession
forecasting; Regression trees,,,,,,,,"Bai J., Ng S., Boosting diffusion indices,
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(2014); Berge T.J., Predicting recessions with leading indicators: Model averaging
and selection over the business cycle, Journal of Forecasting, 34, 6, pp. 455-471,
(2015); Berge T.J., Jorda O., Evaluating the classification of economic activity
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Pierdzioch; Helmut-Schmidt-University, Department of Economics, Hamburg,
Holstenhofweg 85, P.O.B. 700822, 22008, Germany; email: c.pierdzioch@hsu-
hh.de",,Elsevier B.V.,,,,,,1692070,,IJFOE,,English,Int. J.
Forecast.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
85020740280
Ren X.; Duan K.; Tao L.; Shi Y.; Yan C.,"Ren, Xiaohang (57037599900); Duan, Kun
(57200080384); Tao, Lizhu (57226892069); Shi, Yukun (56564410500); Yan, Cheng
(56988306500)",57037599900; 57200080384; 57226892069; 56564410500;
56988306500,Carbon prices forecasting in quantiles,2022,Energy
Economics,108,,105862,,,,71,10.1016/j.eneco.2022.105862,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85126015553&doi=10.1016%2fj.eneco.2022.105862&partnerID=40&md5=2658713caceb7a2a551d
87ae249acfe1,"School of Business, Central South University, Changsha, 410083,
China; School of Economics, Huazhong University of Science and Technology, Wuhan,
430074, China; College of Mathematics, Sichuan University, Chengdu, 610065, China;
Adam Smith Business School, University of Glasgow, UK, Glasgow, G12 8QQ, United
Kingdom; Essex Business School, University of Essex, UK, Colchester, CO4 3SQ,
United Kingdom","Ren X., School of Business, Central South University, Changsha,
410083, China; Duan K., School of Economics, Huazhong University of Science and
Technology, Wuhan, 430074, China; Tao L., College of Mathematics, Sichuan
University, Chengdu, 610065, China; Shi Y., Adam Smith Business School, University
of Glasgow, UK, Glasgow, G12 8QQ, United Kingdom; Yan C., Essex Business School,
University of Essex, UK, Colchester, CO4 3SQ, United Kingdom","This paper proposes
two new methods (the Quantile Group LASSO and the Quantile Group SCAD models) to
evaluate the predictability of a large group of factors on carbon futures returns.
The most powerful predictors are selected through the dimension-reduction mechanism
of the two models, while potential differences of the statistically significant
predictors for different quantiles of carbon returns are carefully considered.
First, we find that the proposed models outperform a series of competing ones with
respect to prediction accuracy. Second, impacts of the selected predictors over the
carbon price distribution are estimated through a quantile approach, which
outperforms the mean shrinkage model in our case with data featured by a non-normal
distribution. Specifically, the Brent spot price, the crude oil closing stock in
the UK, and the growth of natural gas production in the UK are found to impact
carbon futures returns only in extreme conditions with a strong asymmetric feature.
Importantly, our estimators remain robust against the extreme event caused by the
Covid-19. Our findings reveal that the identification of appropriate carbon return
predictors and their impacts hinge on the carbon market conditions, and should be
of interest to various stakeholders. © 2022 Elsevier B.V.",Carbon return
predictability; Dimension reduction techniques; LASSO penalty; Out-of-sample
forecasting; Quantile regression; SCAD penalty; Variable selection,United Kingdom;
Binary alloys; Carbon; Costs; Natural gas; Natural gas well production; Normal
distribution; Carbon price; Carbon return predictability; Dimension reduction
techniques; LASSO penalty; Out-of-sample forecasting; Price forecasting; Quantile
regression; Returns predictabilities; SCAD penalty; Variables selections;
environmental economics; forecasting method; future prospect; machine learning;
pollution tax; prediction; regression analysis; Forecasting,,,,,"National Natural
Science Foundation of China, NSFC, (72131011); National Natural Science Foundation
of China, NSFC","The article is supported by the Key Program of the National
Natural Science Foundation of China (Grant No. 72131011 ). The authors gratefully
acknowledge the helpful reviews and comments from the editors and anonymous
reviewers, which improved this manuscript considerably. Certainly, all remaining
errors are our own. ","Alberola E., Chevallier J., Cheze B., Price drivers and
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(2006); Zhang C.-H., Huang J., Et al., The sparsity and bias of the lasso selection
in high-dimensional linear regression, Ann. Statist., 36, 4, pp. 1567-1594, (2008);
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(2010); Zhu B., Chevallier J., Carbon price forecasting with a hybrid ARIMA and
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adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear
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Statist. Assoc., 101, 476, pp. 1418-1429, (2006)","L. Tao; College of Mathematics,
Sichuan University, Chengdu, 610065, China; email: [email protected]",,Elsevier
B.V.,,,,,,1409883,,EECOD,,English,Energy Econ.,Article,Final,All Open Access; Green
Open Access,Scopus,2-s2.0-85126015553
Ghosh A.; Bose S.; Maji G.; Debnath N.C.; Sen S.,"Ghosh, Achyut (57215211522);
Bose, Soumik (58588625600); Maji, Giridhar (57191860455); Debnath, Narayan C.
(7003461872); Sen, Soumya (54964654400)",57215211522; 58588625600; 57191860455;
7003461872; 54964654400,Stock price prediction using lstm on indian share
market,2019,EPiC Series in Computing,63,,,101,110,9,69,10.29007/qgcz,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85080116891&doi=10.29007%2fqgcz&partnerID=40&md5=59a68596db92181fbcc6622dc5c263b1,"
A.K. Chowdhury School of I.T., University of Calcutta, India; Asansol Polytechnic,
Asansol, India; Department of Software Engineering, Eastern International
University, Viet Nam","Ghosh A., A.K. Chowdhury School of I.T., University of
Calcutta, India; Bose S., A.K. Chowdhury School of I.T., University of Calcutta,
India; Maji G., Asansol Polytechnic, Asansol, India; Debnath N.C., Department of
Software Engineering, Eastern International University, Viet Nam; Sen S., A.K.
Chowdhury School of I.T., University of Calcutta, India","Predicting stock market
is one of the most difficult tasks in the field of computation. There are many
factors involved in the prediction – physical factors vs. physiological, rational
and irrational behavior, investor sentiment, market rumors,etc. All these aspects
combine to make stock prices volatile and very difficult to predict with a high
degree of accuracy. We investigate data analysis as a game changer in this
domain.As per efficient market theory when all information related to a company and
stock market events are instantly available to all stakeholders/market investors,
then the effects of those events already embed themselves in the stock price. So,
it is said that only the historical spot price carries the impact of all other
market events and can be employed to predict its future movement. Hence,
considering the past stock price as the final manifestation of all impacting
factors we employ Machine Learning (ML) techniques on historical stock price data
to infer future trend. ML techniques have the potential to unearth patterns and
insights we didn’t see before, and these can be used to make unerringly accurate
predictions. We propose a framework using LSTM (Long Short-Term Memory) model and
companies’ net growth calculation algorithm to analyze as well as prediction of
future growth of a company. © 2019, EasyChair. All rights
reserved.",,,,,,,,,"Eugene F.A.O., Efficient capital markets: A review of theory
and empirical work, Journal of Finance, 25, 2, pp. 383-417, (1970); Farhath Z.A.,
Arputhamary B., Arockiam L., A Survey on ARIMA Forecasting Using Time Series Model,
Int. J. Comput. Sci. Mobile Comput, 5, pp. 104-109, (2016); Wichaidit S.,
Kittitornkun S., Predicting SET50 stock prices using CARIMA (Cross correlation
ARIMA), 2015 International Computer Science and Engineering Conference (ICSEC),
IEEE, pp. 1-4, (2015); Mondal D., Maji G., Goto T., Debnath N.C., Sen S., A Data
Warehouse Based Modelling Technique for Stock Market Analysis, International
Journal of Engineering & Technology, 3, 13, pp. 165-170, (2018); Maji G., Sen S.,
Sarkar A., Share Market Sectoral Indices Movement Forecast with Lagged Correlation
and Association Rule Mining, International Conference on Computer Information
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Research (IJSR), 6, 4, pp. 1754-1756, (2017); Kim T., Kim H.Y., Forecasting stock
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same data, Plos One, 14, 2, (2019); Selvin S., Vinayakumar R., Gopalkrishnan E.A.,
Menon V.K., Soman K.P., Stock price prediction using LSTM, RNN and CNN-sliding
window model, In International Conference on Advances in Computing, Communications
and Informatics, (2017); Hochreiter S., Untersuchungen Zu Dynamischen Neuronalen
Netzen,"", 91, 1, (1991); Bengio Y., Simard P., Frasconi P., Learning long-term
dependencies with gradient descent is difficult, IEEE Transactions on Neural
Networks, 5, 2, pp. 157-166, (1994); Hochreiter S., Schmidhuber J., LSTM can solve
hard long time lag problems, Advances in Neural Information Processing Systems,
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recurrent neural networks via linear autoencoders, Advances in Neural Information
Processing Systems, NIPS, pp. 3572-3580, (2014); Chen J., Chaudhari N.S.,
Segmented-memory recurrent neural networks, IEEE Transactions on Neural Networks,
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Merri{\""e}nboer B., Gulcehre C., Bahdanau D., Bougares F., Schwenk H., Bengio Y.,
Learning Phrase Representations Using RNN Encoder-Decoder for Statistical Machine
Translation, (2014); Yao K., Cohn T., Vylomova K., Duh K., Dyer C., Depth-Gated
LSTM, (2015); Koutnik J., Greff K., Gomez F., Schmidhuber J., A Clockwork Rnn,
(2014); Kotikalapudi R., Keras Visualization Toolkit",,Yuan Q.; Shi Y.; Miller L.;
Lee G.; Hu G.; Goto T.,EasyChair,,"32nd International Conference on Computer
Applications in Industry and Engineering, CAINE 2019",30 September 2019 through 2
October 2019,San Diego,237399,23987340,,,,English,EPIC Sre. Comp.,Conference
paper,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-85080116891
Pyo S.; Lee J.; Cha M.; Jang H.,"Pyo, Sujin (57189898383); Lee, Jaewook
(8852130600); Cha, Mincheol (57196720559); Jang, Huisu (57196702616)",57189898383;
8852130600; 57196720559; 57196702616,Predictability of machine learning techniques
to forecast the trends of market index prices: Hypothesis testing for the Korean
stock markets,2017,PLoS
ONE,12,11,e0188107,,,,58,10.1371/journal.pone.0188107,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85033705551&doi=10.1371%2fjournal.pone.0188107&partnerID=40&md5=efdd19d76e8b6c3d9e6
9123f31852ba2,"Department of Industrial Engineering, Seoul National University,
Seoul, South Korea","Pyo S., Department of Industrial Engineering, Seoul National
University, Seoul, South Korea; Lee J., Department of Industrial Engineering, Seoul
National University, Seoul, South Korea; Cha M., Department of Industrial
Engineering, Seoul National University, Seoul, South Korea; Jang H., Department of
Industrial Engineering, Seoul National University, Seoul, South Korea","The
prediction of the trends of stocks and index prices is one of the important issues
to market participants. Investors have set trading or fiscal strategies based on
the trends, and considerable research in various academic fields has been studied
to forecast financial markets. This study predicts the trends of the Korea
Composite Stock Price Index 200 (KOSPI 200) prices using nonparametric machine
learning models: artificial neural network, support vector machines with polynomial
and radial basis function kernels. In addition, this study states controversial
issues and tests hypotheses about the issues. Accordingly, our results are
inconsistent with those of the precedent research, which are generally considered
to have high prediction performance. Moreover, Google Trends proved that they are
not effective factors in predicting the KOSPI 200 index prices in our frameworks.
Furthermore, the ensemble methods did not improve the accuracy of the prediction. ©
2017 Pyo et al. This is an open access article distributed under the terms of the
Creative Commons Attribution License, which permits unrestricted use, distribution,
and reproduction in any medium, provided the original author and source are
credited.",,"Commerce; Forecasting; Machine Learning; Models, Economic; Republic of
Korea; Support Vector Machine; artificial neural network; human; Korea; market;
prediction; support vector machine; commercial phenomena; economic model;
forecasting; machine learning; South Korea",,,,,,,"Kohzadi N., Boyd M.S.,
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of artificial neural network for the prediction of stock market returns: The case
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46, 1, (2013); Choi H., Varian H., Predicting the present with Google Trends, Econ
Re, 88, S1, pp. 2-9, (2012)","H. Jang; Department of Industrial Engineering, Seoul
National University, Seoul, South Korea; email: [email protected]",,Public
Library of Science,,,,,,19326203,,POLNC,29136004,English,PLoS ONE,Article,Final,All
Open Access; Gold Open Access; Green Open Access,Scopus,2-s2.0-85033705551
Bezerra P.C.S.; Albuquerque P.H.M.,"Bezerra, Pedro Correia S. (57191962722);
Albuquerque, Pedro Henrique M. (51763202000)",57191962722; 51763202000,Volatility
forecasting via SVR–GARCH with mixture of Gaussian kernels,2017,Computational
Management Science,14,2,,179,196,17,57,10.1007/s10287-016-0267-0,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84995400031&doi=10.1007%2fs10287-016-0267-
0&partnerID=40&md5=b0607c91256ce22275cc9d6fb448710d,"Departament of Management,
Universidade de Brasília, Brasília, Brazil","Bezerra P.C.S., Departament of
Management, Universidade de Brasília, Brasília, Brazil; Albuquerque P.H.M.,
Departament of Management, Universidade de Brasília, Brasília, Brazil","The support
vector regression (SVR) is a supervised machine learning technique that has been
successfully employed to forecast financial volatility. As the SVR is a kernel-
based technique, the choice of the kernel has a great impact on its forecasting
accuracy. Empirical results show that SVRs with hybrid kernels tend to beat single-
kernel models in terms of forecasting accuracy. Nevertheless, no application of
hybrid kernel SVR to financial volatility forecasting has been performed in
previous researches. Given that the empirical evidence shows that the stock market
oscillates between several possible regimes, in which the overall distribution of
returns it is a mixture of normals, we attempt to find the optimal number of
mixture of Gaussian kernels that improve the one-period-ahead volatility
forecasting of SVR based on GARCH(1,1). The forecast performance of a mixture of
one, two, three and four Gaussian kernels are evaluated on the daily returns of
Nikkei and Ibovespa indexes and compared with SVR–GARCH with Morlet wavelet kernel,
standard GARCH, Glosten–Jagannathan–Runkle (GJR) and nonlinear EGARCH models with
normal, student-t, skew-student-t and generalized error distribution (GED)
innovations by using mean absolute error (MAE), root mean squared error (RMSE) and
robust Diebold–Mariano test. The results of the out-of-sample forecasts suggest
that the SVR–GARCH with a mixture of Gaussian kernels can improve the volatility
forecasts and capture the regime-switching behavior. © 2016, Springer-Verlag Berlin
Heidelberg.",Gaussian mixtures; Market regimes; Mixture of Kernels; Statistical
learning theory; Support vector regression; Volatility
forecasting,,,,,,,,"Alexander C., Lazar E., Normal mixture GARCH(1,1): applications
to exchange rate modelling, J Appl Econom, 21, 3, pp. 307-336, (2006); Arlot S.,
Celisse A., A survey of cross-validation procedures for model selection, Stat Surv,
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pp. 450-458, (2014); Bai X., Russell J.R., Tiao G.C., Kurtosis of GARCH and
stochastic volatility models with non-normal innovations, J Econom, 114, 2, pp.
349-360, (2003); Bollerslev T., Generalized autoregressive conditional
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438, (1996); Brooks C., A Double-threshold GARCH Model for the French
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Persand G., Volatility forecasting for risk management, J Forecast, 22, 1, pp. 1-
22, (2003); Brownlees C.T., Gallo G.M., Comparison of volatility measures: a risk
management perspective, J Financial Econom, 8, 1, pp. 29-56, (2009); Cao L., Tay
F., Support vector machine with adaptive parameters in financial time series
forecasting, IEEE Trans Neural Netw, 14, 6, pp. 1506-1518, (2003); Cao L., Tay
F.E., Financial forecasting using support vector machines, Neural Comput Appl, 10,
2, pp. 184-192, (2001); Casella G., Berger R.L., Statistical inference, (2001);
Cavalcante R.C., Brasileiro R.C., Souza V.L., Nobrega J.P., Oliveira A.L.,
Computational intelligence and financial markets: a survey and future directions,
Expert Syst Appl, 55, pp. 194-211, (2016); Chen S., Hardle W.K., Jeong K.,
Forecasting volatility with support vector machine-based GARCH model, J Forecast,
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Trans Syst Man Cybern Part B, 34, 1, pp. 34-39, (2004)","P.H.M. Albuquerque;
Departament of Management, Universidade de Brasília, Brasília, Brazil; email:
[email protected]",,Springer Verlag,,,,,,1619697X,,,,English,Comput. Manage.
Sci.,Article,Final,,Scopus,2-s2.0-84995400031
Chen B.; Zhong J.; Chen Y.,"Chen, Bilian (56320635900); Zhong, Jingdong
(57206207429); Chen, Yuanyuan (57194559879)",56320635900; 57206207429;
57194559879,A hybrid approach for portfolio selection with higher-order moments:
Empirical evidence from Shanghai Stock Exchange,2020,Expert Systems with
Applications,145,,113104,,,,72,10.1016/j.eswa.2019.113104,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85076259489&doi=10.1016%2fj.eswa.2019.113104&partnerID=40&md5=6243267da8e21401b5750
433fa771308,"Department of Automation, Xiamen University, Xiamen, 361005, China;
Xiamen Key Lab. of Big Data Intelligent Analysis and Decision-making, Xiamen,
361005, China; School of Economics, Peking University, Beijing, 100871, China;
Department of Finance and Insurance, Nanjing University, 210093, Jiangsu Province,
China","Chen B., Department of Automation, Xiamen University, Xiamen, 361005,
China, Xiamen Key Lab. of Big Data Intelligent Analysis and Decision-making,
Xiamen, 361005, China; Zhong J., School of Economics, Peking University, Beijing,
100871, China; Chen Y., Department of Finance and Insurance, Nanjing University,
210093, Jiangsu Province, China","Skewness and kurtosis, the third and fourth order
moments, are statistics to summarize the shape of a distribution function. Recent
studies show that investors would take these higher-order moments into
consideration to make a profitable investment decision. Unfortunately, due to the
difficulties in solving the multi-objective problem with higher-order moments, the
literature on portfolio selection problem with higher-order moments is few. This
paper proposes a new hybrid approach to solve the portfolio selection problem with
skewness and kurtosis, which includes not only the multi-objective optimization but
also the data-driven asset selection and return prediction, where the techniques of
two-stage clustering, radial basis function neural network and genetic algorithm
are employed. With the historical data from Shanghai stock exchange, we find that
the out-of-sample performance of our model with higher-order moments is
significantly better than that of traditional mean-variance model and verify the
robustness of our hybrid algorithm. © 2019",Genetic algorithm; Higher-order
moments; Machine learning algorithm; Portfolio optimization,Distribution functions;
Electronic trading; Financial markets; Genetic algorithms; Higher order statistics;
Investments; Learning algorithms; Learning systems; Machine learning;
Multiobjective optimization; Radial basis function networks; Fourth order moments;
Higher order moments; Investment decisions; Multi-objective problem; Portfolio
optimization; Portfolio selection problems; Radial basis function neural networks;
Shanghai stock exchanges; Clustering algorithms,,,,,"National Natural Science
Foundation of China, NSFC, (11671335, 61772442, 61836005)","This work was supported
in part by the National Natural Science Foundation of China (Grants nos. 61772442 ,
11671335 and 61836005 ). ","Adcock C.J., Mean-variance-skewness efficient
surfaces, Stein's lemma and the multivariate extended skew-student distribution,
European Journal of Operational Research, 234, 2, pp. 392-401, (2014); Aksarayli
M., Pala O., A polynomial goal programming model for portfolio optimization based
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(2018); Bertsekas D.P., Nonlinear programming: 3rd edition, (2016); Briec W.,
Kerstens K., Jokung O., Mean-variance-skewness portfolio performance gauging: A
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149, (2007); Chen C., Zhou Y.-S., Robust multiobjective portfolio with higher
moments, Expert Systems with Applications, 100, pp. 165-181, (2018); Chong E., Han
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and stock price index movement using trend deterministic data preparation and
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moments: Evidence from the indian stock market, Asia-Pacific Financial Markets, 21,
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A novel clustering method on time series data, Expert Systems with Applications,
38, 9, pp. 11891-11900, (2011)","Y. Chen; Department of Finance and Insurance,
Nanjing University, 210093, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85076259489
Malandri L.; Xing F.Z.; Orsenigo C.; Vercellis C.; Cambria E.,"Malandri, Lorenzo
(57204852435); Xing, Frank Z. (57196019442); Orsenigo, Carlotta (22836411700);
Vercellis, Carlo (6602166592); Cambria, Erik (56140547500)",57204852435;
57196019442; 22836411700; 6602166592; 56140547500,Public Mood–Driven Asset
Allocation: the Importance of Financial Sentiment in Portfolio
Management,2018,Cognitive Computation,10,6,,1167,1176,9,72,10.1007/s12559-018-9609-
2,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057550141&doi=10.1007%2fs12559-018-9609-
2&partnerID=40&md5=b84cbd8c7ffbf687a81f27305bb74761,"Department of Management,
Economics and Industrial Engineering, Politecnico di Milano, Milan, Italy; School
of Computer Science and Engineering, Nanyang Technological University, Singapore,
Singapore","Malandri L., Department of Management, Economics and Industrial
Engineering, Politecnico di Milano, Milan, Italy; Xing F.Z., School of Computer
Science and Engineering, Nanyang Technological University, Singapore, Singapore;
Orsenigo C., Department of Management, Economics and Industrial Engineering,
Politecnico di Milano, Milan, Italy; Vercellis C., Department of Management,
Economics and Industrial Engineering, Politecnico di Milano, Milan, Italy; Cambria
E., School of Computer Science and Engineering, Nanyang Technological University,
Singapore, Singapore","The study of the impact of investor sentiment on stock
returns has gained increasing momentum in the past few years. It has been widely
accepted that public mood is correlated with financial markets. However, only a few
studies discussed how the public mood would affect one of the fundamental problems
of computational finance: portfolio management. In this study, we use public
financial sentiment and historical prices collected from the New York Stock
Exchange (NYSE) to train multiple machine learning models for automatic wealth
allocation across a set of assets. Unlike previous studies which set as target
variable the asset prices in the portfolio, the variable to predict here is
represented by the best asset allocation strategy ex post. Experiments performed on
five portfolios show that long short-term memory networks are superior to multi-
layer perceptron and random forests producing, in the period under analysis, an
average increase in the revenue across the portfolios ranging between 5% (without
financial mood) and 19% (with financial mood) compared to the equal-weighted
portfolio. Results show that our all-in-one and end-to-end approach for automatic
portfolio selection outperforms the equal-weighted portfolio. Moreover, when using
long short-term memory networks, the employment of sentiment data in addition to
lagged data leads to greater returns for all the five portfolios under evaluation.
Finally, we find that among the employed machine learning algorithms, long short-
term memory networks are better suited for learning the impact of public mood on
financial time series. © 2018, Springer Science+Business Media, LLC, part of
Springer Nature.",Long short-term memory networks; Machine learning; Portfolio
allocation; Sentiment analysis,Brain; Costs; Decision trees; Electronic trading;
Financial markets; Learning algorithms; Learning systems; Long short-term memory;
Sentiment analysis; Computational finance; Financial time series; Investor
sentiments; Multi layer perceptron; New York Stock Exchange; Portfolio allocation;
Portfolio managements; Short term memory; Investments,,,,,,,"Bollen J., Mao H.,
Zeng X., Twitter mood predicts the stock market, J Comput Sci, 2, 1, pp. 1-8,
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Financ Econ, 11, 5, pp. 573-579, (2001); Bo Q., Rasheed K., Stock market prediction
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prediction, Proceedings of the 53Rd Annual Meeting of the Association for
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Sentic activation: A two-level affective common sense reasoning framework, AAAI,
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T., Merging senticnet and Wordnet-affect emotion lists for sentiment analysis, 2012
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Cambria; School of Computer Science and Engineering, Nanyang Technological
University, Singapore, Singapore; email: [email protected]",,Springer New York
LLC,,,,,,18669956,,,,English,Cognitive Comput.,Article,Final,,Scopus,2-s2.0-
85057550141
Yuan X.; Yuan J.; Jiang T.; Ain Q.U.,"Yuan, Xianghui (55278228500); Yuan, Jin
(57215060877); Jiang, Tianzhao (57215035310); Ain, Qurat Ul
(57225435382)",55278228500; 57215060877; 57215035310; 57225435382,Integrated Long-
Term Stock Selection Models Based on Feature Selection and Machine Learning
Algorithms for China Stock Market,2020,IEEE
Access,8,,8968561,22672,22685,13,96,10.1109/ACCESS.2020.2969293,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85079807334&doi=10.1109%2fACCESS.2020.2969293&partnerID=40&md5=ad37b3e55974a3a53740
fd214d7d1cd7,"School of Economics and Finance, Xi'An Jiaotong University, Xi'an,
China; Shanghai Foresee Investment Ltd., Liability Company, Shanghai, China","Yuan
X., School of Economics and Finance, Xi'An Jiaotong University, Xi'an, China; Yuan
J., School of Economics and Finance, Xi'An Jiaotong University, Xi'an, China; Jiang
T., Shanghai Foresee Investment Ltd., Liability Company, Shanghai, China; Ain Q.U.,
School of Economics and Finance, Xi'An Jiaotong University, Xi'an, China","The
classical linear multi-factor stock selection model is widely used for long-Term
stock price trend prediction. However, the stock market is chaotic, complex, and
dynamic, for which reasons the linear model assumption may be unreasonable, and it
is more meaningful to construct a better-integrated stock selection model based on
different feature selection and nonlinear stock price trend prediction methods. In
this paper, the features are selected by various feature selection algorithms, and
the parameters of the machine learning-based stock price trend prediction models
are set through time-sliding window cross-validation based on 8-year data of
Chinese A-share market. Through the analysis of different integrated models, the
model performs best when the random forest algorithm is used for both feature
selection and stock price trend prediction. Based on the random forest algorithm, a
long-short portfolio is constructed to validate the effectiveness of the best
model. © 2013 IEEE.",feature selection; long-Term investment; machine learning;
Stock; trend prediction,Commerce; Decision trees; Electronic trading; Feature
extraction; Financial markets; Forecasting; Investments; Learning systems; Random
forests; China stock markets; Feature selection algorithm; Long-short portfolio;
Long-term investment; Random forest algorithm; Stock; Time sliding windows; Trend
prediction; Machine learning,,,,,"Chinese Natural Science Foundation, (11631013,
11801433, 11971372)","This work was supported by the Chinese Natural Science
Foundation under Grant 11631013, Grant 11971372, and Grant 11801433.","Huang W.,
Nakamori Y., Wang S.-Y., Forecasting stock market movement direction with support
vector machine, Comput. Oper. Res, 32, 10, pp. 2513-2522, (2005); Huang C., Yang
D., Chuang Y., Application of wrapper approach and composite classifier to the
stock trend prediction, Expert Syst. Appl, 34, 4, pp. 2870-2878, (2008); Lee M.-C.,
Using support vector machine with a hybrid feature selection method to the stock
trend prediction, Expert Syst. Appl, 36, 8, pp. 10896-10904, (2009); Kara Y., Acar
Boyacioglu M., Baykan O.K., Predicting direction of stock price index movement
using artificial neural networks and support vector machines: The sample of the
Istanbul Stock Exchange, Expert Syst. Appl, 38, 5, pp. 5311-5319, (2011); Ballings
M., Poel Den D.Van, Hespeels N., Gryp R., Evaluating multiple classifiers for stock
price direction prediction, Expert Syst. Appl, 42, 20, pp. 7046-7056, (2015); Enke
D., Thawornwong S., The use of data mining and neural networks for forecasting
stock market returns, Expert Syst. Appl, 29, 4, pp. 927-940, (2005); Tsai C.-F.,
Wang S.-P., Stock price forecasting by hybrid machine learning techniques, Proc.
Int. Multi-Conf. Eng. Comput. Scientists, pp. 755-761, (2009); Zuo Y., Kita E.,
Stock price forecast using Bayesian network, Expert Syst. Appl, 39, 8, pp. 6729-
6737, (2012); Chong E., Han C., Park F.C., Deep learning networks for stock market
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(2014); Rohde J., Downside risk measure performance in the presence of breaks in
volatility, J. Risk Model Validation, 9, 2, pp. 31-68, (2015)","J. Yuan; School of
Economics and Finance, Xi'An Jiaotong University, Xi'an, China; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85079807334
Chen S.; He H.,"Chen, Sheng (57171224800); He, Hongxiang
(57204848025)",57171224800; 57204848025,Stock Prediction Using Convolutional Neural
Network,2018,IOP Conference Series: Materials Science and
Engineering,435,1,12026,,,,78,10.1088/1757-899X/435/1/012026,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057495562&doi=10.1088%2f1757-899X
%2f435%2f1%2f012026&partnerID=40&md5=0a875210b07e702831ed34a5cb9984c6,"School of
Optical-Electrical and Computer Engineering, University of Shanghai for Science and
Technology, Shanghai, China","Chen S., School of Optical-Electrical and Computer
Engineering, University of Shanghai for Science and Technology, Shanghai, China; He
H., School of Optical-Electrical and Computer Engineering, University of Shanghai
for Science and Technology, Shanghai, China","Stock prediction is a very hot topic
in our life. However, in the early time, because of some reasons and the limitation
of the device, only a few people had the access to the study. Thanks to the rapid
development of science and technology, in recent years more and more people are
devoted to the study of the prediction and it becomes easier and easier for us to
make stock prediction by using different ways now, including machine learning, deep
learning and so on. In this paper, we proposed a deep learning method based on
Convolutional Neural Network to predict the stock price movement of Chinese stock
market. We set the opening price, high price, low price, closing price and volume
of stock deriving from the internet as input of the architecture and then run and
test the program. The result has shown that it is a bit reliable to use deep
learning method based on Convolutional Neural Network to predict the stockprice
movement of China. © Published under licence by IOP Publishing Ltd.",,Convolution;
Electronic trading; Financial markets; Forecasting; Neural networks; Software
testing; Chinese stock market; Convolutional neural network; Development of science
and technologies; High price; Hot topics; Learning methods; Stock predictions;
Stock price movements; Deep learning,,,,,,,"Chen J.F., Chen W.L., Huang C.P., Huang
S.H., Chen A.P., 2016 7th International Conference on Cloud Computing and Big Data
(CCBD), pp. 87-92, (2016); Cao L.J., Tay F.E.H., Support vector machine with
adaptive parameters in financial time series forecasting, IEEE Transactions on
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Modelling high-frequency limit order book dynamics with support vector machines,
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nonlinearities improve neural network acoustic models, ICML, (2013)",,,Institute of
Physics Publishing,Donghua University,"2018 2nd International Conference on
Artificial Intelligence Applications and Technologies, AIAAT 2018",8 August 2018
through 10 August 2018,Shanghai,142232,17578981,,,,English,IOP Conf. Ser. Mater.
Sci. Eng.,Conference paper,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-
85057495562
Kaczmarek T.; Perez K.; Demir E.; Zaremba A.,"Kaczmarek, Tomasz (57221489183);
Perez, Katarzyna (57221374704); Demir, Ender (57222086051); Zaremba, Adam
(37121242800)",57221489183; 57221374704; 57222086051; 37121242800,How to survive a
pandemic: The corporate resiliency of travel and leisure companies to the COVID-19
outbreak,2021,Tourism
Management,84,,104281,,,,88,10.1016/j.tourman.2020.104281,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85098980131&doi=10.1016%2fj.tourman.2020.104281&partnerID=40&md5=443d2ca2cbe1f7ee0e
90fdb5efd96142,"Montpellier Business School, 2300, Avenue des Moulins, Montpellier,
34185, France; Department of Investment and Financial Markets, Institute of
Finance, Poznan University of Economics and Business, Al. Niepodległości 10,
Poznań, 61-875, Poland; University of Social Sciences, Lodz, Poland; Faculty of
Tourism, Istanbul Medeniyet University, Istanbul, Turkey","Kaczmarek T., Department
of Investment and Financial Markets, Institute of Finance, Poznan University of
Economics and Business, Al. Niepodległości 10, Poznań, 61-875, Poland; Perez K.,
Department of Investment and Financial Markets, Institute of Finance, Poznan
University of Economics and Business, Al. Niepodległości 10, Poznań, 61-875,
Poland; Demir E., University of Social Sciences, Lodz, Poland, Faculty of Tourism,
Istanbul Medeniyet University, Istanbul, Turkey; Zaremba A., Montpellier Business
School, 2300, Avenue des Moulins, Montpellier, 34185, France, Department of
Investment and Financial Markets, Institute of Finance, Poznan University of
Economics and Business, Al. Niepodległości 10, Poznań, 61-875, Poland","What
protects travel and leisure companies from a global pandemic, such as COVID-19? To
answer this question, we investigate data on over 1200 travel and leisure companies
in 52 countries. We consider 80 characteristics, such as company financial ratios,
macroeconomic variables, and government policy responses. Using regressions and
machine learning tools, we demonstrate that firms with low valuations, limited
leverage, and high investments have been more immune to the pandemic-induced crash.
We also find a beneficial effect of stringent containment and closure policies.
Finally, our results indicate that countries with less individualism may be better
positioned to cope with the pandemic. Our findings have implications for regulatory
bodies, managers, and investors concerning future pandemic outbreaks. © 2020
Elsevier Ltd",Closure; Containment; Corporate immunity; COVID-19; Novel
coronavirus; Policy responses; Stock market; Tourism and leisure,Coronavirus;
corporate strategy; COVID-19; epidemic; stock market; tourism management; viral
disease,,,,,"National Science Center of Poland, (2016/23/B/HS4/00731)",Adam Zaremba
acknowledges the support of the National Science Center of Poland [Grant no.
2016/23/B/HS4/00731 ]. ,"Acemoglu D., Naidu S., Restrepo P., Robinson J.A.,
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(2005)","A. Zaremba; Montpellier Business School, 2300 Avenue des Moulins,
Montpellier cedex 4, 34185, France; email: [email protected]",,Elsevier
Ltd,,,,,,2615177,,,,English,Tour. Manage.,Article,Final,All Open Access; Green Open
Access,Scopus,2-s2.0-85098980131
Kamara A.F.; Chen E.; Pan Z.,"Kamara, Amadu Fullah (56024921900); Chen, Enhong
(35228685900); Pan, Zhen (57193523471)",56024921900; 35228685900; 57193523471,An
ensemble of a boosted hybrid of deep learning models and technical analysis for
forecasting stock prices,2022,Information
Sciences,594,,,1,19,18,55,10.1016/j.ins.2022.02.015,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85124896120&doi=10.1016%2fj.ins.2022.02.015&partnerID=40&md5=7e52e3d1013f271d173b68
eadad41b87,"School of Computer Science and Technology, University of Science and
Technology of China, China; Department of Mathematics & Statistics, Fourah Bay
College, University of Sierra Leone, Sierra Leone","Kamara A.F., School of Computer
Science and Technology, University of Science and Technology of China, China,
Department of Mathematics & Statistics, Fourah Bay College, University of Sierra
Leone, Sierra Leone; Chen E., School of Computer Science and Technology, University
of Science and Technology of China, China; Pan Z., School of Computer Science and
Technology, University of Science and Technology of China, China","For several
years the modeling as well as forecasting of the prices of stocks have been
extremely challenging for the business community and researchers as a result of the
existence of noise in samples and also the non-stationary behaviour of information
samples. Notwithstanding these drawbacks with improved deep learning, it is now
possible to design schemes that will efficiently perform the feature learning task.
For this work, we proposed a brand-new end to end algorithm labeled EHTS toward
solving the stock price forecasting problem. The AB-CNN and CB-LSTM modules extract
features from the stock price dataset and soon after amalgamating the results.
Thus, the output of the concatenation stage was feed into the concluding stage
which is a stand-alone MLP module. The inclusion of the LSTM and Attention
Mechanism in our architecture is to extract long-range and exceptionally long-term
stock price information. We experiment the proposed algorithm on two popular stocks
both from the NYSE stock market namely “Johnson & Johnson” code-named, “JNJ” and
the Bank of America (BAC). In terms of the rMSE, MAE and MAPE error metrics, our
proposed scheme gives the lowest error value in all for all datasets. Also, five
percentage training window sizes are experimented and EHTS outperforms all the
baseline schemes for the different window sizes in all the two datasets with the
70% window size having the highest performance. In terms of number of epochs, EHTS
uses the lowest number of epochs for training than the other schemes in all the
datasets. Finally, we as well study our stock's information to point out short-
range trading opportunities by performing simulations on our stock price data. The
metrics considered in the simulation are as follows: Moving Average (MA), Moving
Average Convergence Divergence (MACD) curve, MACD histogram, Signal line, Relative
Strength Index (RSI), Returns (R), Annual Returns (AR), Sharpe Ratio (SR), Annual
Volatility (V), Maximum DrawDown (MDD) and Daily WinningRate (DWR). For all the
aforementioned metrics, EHTS performs better than the baselines. Experimental
results revealed that our proposed scheme outperformed the stand-alone deep
learning schemes, statistical algorithms, and machine learning models from the
beginning to the end. © 2022 Elsevier Inc.",Attention-based convolutional neural
network; Contextual bidirectional long short-term memory; Moving average; Moving
average convergence-divergence curve; Moving average convergence-divergence
histogram; Relative strength index,Commerce; Convolutional neural networks; Costs;
Electric lines; Electronic trading; Financial markets; Forecasting; Graphic
methods; Attention-based convolutional neural network; Contextual bidirectional
long short-term memory; Convergence/divergence; Convolutional neural network;
Moving average convergence-divergence curve; Moving average convergence-divergence
histogram; Moving averages; Relative strength index; Long short-term
memory,,,,,"National Natural Science Foundation of China, NSFC, (61727809,
U1605251); National Basic Research Program of China (973 Program),
(2016YFB1000904)","I want to thank the National Key Research and Development
Program of China (No. 2016YFB1000904) and the National Natural Science Foundation
of China (Grants No. U1605251, 61727809) for partially aiding my research via
grants.","Song D., Baek A.M.C., Kim N.; Cheng D., Yang F., Xiang S., Liu J.,
Financial time series forecasting with multi-modality graph neural network, Pattern
Recogn., 121, (2022); Chodakowska E., Nazarko J., Nazarko L., Arima models in
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(2021); Gujral H., Kushwaha A.K., Khurana S., Utilization of time series tools in
life-sciences and neuroscience, Neurosci. Insights, 15, (2020); Xing Y., Hu Z.,
Huang Z., Lv C., Cao D., Velenis E., Multi-scale driver behaviors reasoning system
for intelligent vehicles based on a joint deep learning framework, 2020 IEEE
International Conference on Systems, Man, and Cybernetics (SMC), pp. 4410-4415,
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model for human authentication using ecg signals, Expert Syst., (2020); Plawiak P.,
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using ecg signals, Neural Comput. Appl., 32, 15, pp. 11137-11161, (2020); Kurtz M.,
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Shavit N., Alistarh D., Inducing and exploiting activation sparsity for fast
inference on deep neural networks, pp. 5533-5543, (2020)","A.F. Kamara; Department
of Mathematics & Statistics, Fourah Bay College, University of Sierra Leone, Sierra
Leone; email: [email protected]",,Elsevier
Inc.,,,,,,200255,,ISIJB,,English,Inf Sci,Article,Final,,Scopus,2-s2.0-85124896120
Shah D.; Campbell W.; Zulkernine F.H.,"Shah, Dev (57207574843); Campbell, Wesley
(57207581485); Zulkernine, Farhana H. (22735783200)",57207574843; 57207581485;
22735783200,A Comparative Study of LSTM and DNN for Stock Market
Forecasting,2018,"Proceedings - 2018 IEEE International Conference on Big Data, Big
Data 2018",,,8622462,4148,4155,7,82,10.1109/BigData.2018.8622462,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062644306&doi=10.1109%2fBigData.2018.8622462&partnerID=40&md5=cd26cb3fd09325e0f89
0e69090ef8b84,"School of Computing, Queen's University, Kingston, K7L 2N8, ON,
Canada; Department of Civil Engineering, Queen's University, Kingston, K7L 2N8, ON,
Canada","Shah D., School of Computing, Queen's University, Kingston, K7L 2N8, ON,
Canada; Campbell W., Department of Civil Engineering, Queen's University, Kingston,
K7L 2N8, ON, Canada; Zulkernine F.H., School of Computing, Queen's University,
Kingston, K7L 2N8, ON, Canada","Prediction of stock markets is a challenging
problem because of the number of potential variables as well as unpredictable noise
that may contribute to the resultant prices. However, the ability to analyze stock
market trends could be invaluable to investors and researchers, and thus has been
of continued interest. Numerous statistical and machine learning techniques have
been explored for stock analysis and prediction. We present a comparative study of
two very promising artificial neural network models namely a Long Short-Term Memory
(LSTM) recurrent neural network (RNN) and a deep neural network (DNN) in
forecasting the daily and weekly movements of the Indian BSE Sensex index. With
both networks, measures were taken to reduce overfitting. Daily predictions of the
Tech Mahindra (NSE: TECHM) stock price were made to test the generalizability of
the models. Both networks performed well at making daily predictions, and both
generalized well to make daily predictions of the Tech Mahindra data. The LSTM RNN
outperformed the DNN in terms of weekly predictions and thus, holds more promise
for making longer term predictions. © 2018 IEEE.",Artificial neural networks; deep
learning; financial forecasting; long short-term memory; multi-layer neural
network; recurrent neural network; stock market analysis,Brain; Commerce; Deep
neural networks; Electronic trading; Financial markets; Forecasting; Investments;
Multilayer neural networks; Network layers; Comparatives studies; Deep learning;
Financial forecasting; Machine learning techniques; Market trends; Multi-layer
neural networks; Statistical learning techniques; Stock analysis; Stock market
analysis; Stock market forecasting; Long short-term memory,,,,,,,"Ariyo A.A.,
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International Journal of Science and ReSearch (IJSR)., 6, 4, (2017); Shen S., Jiang
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Adaptive Larning Rate Method; Wang J.J., Wang J.Z., Zhang Z.G., Guo S.P., Stock
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D.P., Ba J., 2014 ADAM: A Method for Stochastic Optimization; Overview of Mini
Batch Gradient Descent, (2018)",,Abe N.; Liu H.; Pu C.; Hu X.; Ahmed N.; Qiao M.;
Song Y.; Kossmann D.; Liu B.; Lee K.; Tang J.; He J.; Saltz J.,Institute of
Electrical and Electronics Engineers Inc.,Baidu; et al.; Expedia Group; IEEE; IEEE
Computer Society; Squirrel AI Learning,"2018 IEEE International Conference on Big
Data, Big Data 2018",10 December 2018 through 13 December 2018,Seattle,144531,,978-
153865035-6,,,English,"Proc. - IEEE Int. Conf. Big Data, Big Data",Conference
paper,Final,,Scopus,2-s2.0-85062644306
Ashtiani M.N.; Raahemi B.,"Ashtiani, Matin N. (57226185288); Raahemi, Bijan
(6603140306)",57226185288; 6603140306,News-based intelligent prediction of
financial markets using text mining and machine learning: A systematic literature
review,2023,Expert Systems with
Applications,217,,119509,,,,60,10.1016/j.eswa.2023.119509,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85146050153&doi=10.1016%2fj.eswa.2023.119509&partnerID=40&md5=e536084289d86c5a3023c
86645e7894b,"Knowledge Discovery and Data Mining Lab, Telfer School of Management,
University of Ottawa, 55 Laurier Avenue East, Ottawa, ON K1N6N5, Canada","Ashtiani
M.N., Knowledge Discovery and Data Mining Lab, Telfer School of Management,
University of Ottawa, 55 Laurier Avenue East, Ottawa, ON K1N6N5, Canada; Raahemi
B., Knowledge Discovery and Data Mining Lab, Telfer School of Management,
University of Ottawa, 55 Laurier Avenue East, Ottawa, ON K1N6N5,
Canada","Researchers and practitioners have attempted to predict the financial
market by analyzing textual (e.g., news articles and social media) and numeric data
(e.g., hourly stock prices, and moving averages). Among textual data, while many
papers have been published that analyze social media, news content has gained
limited attention in predicting the stock market. Acknowledging that news is
critical in predicting the stock market, the focus of this systematic review is on
papers investigating machine learning and text mining techniques to predict the
stock market using news. Using Kitchenham's methodology, we present a systematic
review of the literature on intelligent financial market prediction, examining data
mining and machine learning approaches and the employed datasets. From five digital
libraries, we identified 61 studies from 2015–2022 for synthesis and
interpretation. We present notable gaps and barriers to predicting financial
markets, then recommend future research scopes. Various input data, including
numerical (stock prices and technical indicators) and textual data (news text and
sentiment), have been employed for news-based stock market prediction. News data
collection can be costly and time-consuming: most studies have used custom crawlers
to gather news articles; however, there are financial news databases available that
could significantly facilitate news collection. Furthermore, although most datasets
have covered fewer than 100K records, deep learning and more sophisticated
artificial neural networks can process enormous datasets faster, improving future
model performance. There is a growing trend toward using artificial neural
networks, particularly recurrent neural networks and deep learning models, from
2018 to 2021. Furthermore, regression and gradient-boosting models have been
developed for stock market prediction during the last four years. Although word
embedding approaches for feature representation have been employed recently with
good accuracy, emerging language models may be a focus for future research.
Advanced natural language processing methods like transformers have undeniably
contributed to intelligent stock market prediction. However, stock market
prediction has not yet taken full advantage of them. © 2023 Elsevier Ltd",Machine
learning; Natural language processing; Stock market prediction; Systematic
literature review; Text mining,Commerce; Costs; Data mining; Digital libraries;
Electronic trading; Financial markets; Learning systems; Recurrent neural networks;
Sentiment analysis; Social networking (online); Language processing; Machine-
learning; Natural language processing; Natural languages; News articles; Stock
market prediction; Stock price; Systematic literature review; Text-mining; Textual
data; Forecasting,,,,,"Natural Sciences and Engineering Research Council of Canada,
NSERC, (RGPIN/341811-2012)",This work was supported by the Natural Sciences and
Engineering Research Council of Canada (NSERC) Discovery Grant (Nbr RGPIN/341811-
2012 ). ,"Ahmadi E., Jasemi M., Monplaisir L., Nabavi M.A., Mahmoodi A., Jam P.A.,
New efficient hybrid candlestick technical analysis model for stock market timing
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novel ensemble learning approach for stock market prediction based on sentiment
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(2010)","M.N. Ashtiani; Knowledge Discovery and Data Mining Lab, Telfer School of
Management, University of Ottawa, Ottawa, Canada; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Review,Final,,Scopus,2-s2.0-85146050153
Li Y.; Ni P.; Chang V.,"Li, Yuming (57209344608); Ni, Pin (57251100100); Chang,
Victor (56926234700)",57209344608; 57251100100; 56926234700,Application of deep
reinforcement learning in stock trading strategies and stock
forecasting,2020,Computing,102,6,,1305,1322,17,78,10.1007/s00607-019-00773-
w,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85077165842&doi=10.1007%2fs00607-019-00773-
w&partnerID=40&md5=f60a9948bc8dc5ae94eca87c5f24ce63,"Department of Computer
Science, University of Liverpool, Liverpool, United Kingdom; School of Computing
Engineering and Digital Technologies, Teesside University, Middlesbrough, United
Kingdom","Li Y., Department of Computer Science, University of Liverpool,
Liverpool, United Kingdom; Ni P., Department of Computer Science, University of
Liverpool, Liverpool, United Kingdom; Chang V., School of Computing Engineering and
Digital Technologies, Teesside University, Middlesbrough, United Kingdom","The role
of the stock market across the overall financial market is indispensable. The way
to acquire practical trading signals in the transaction process to maximize the
benefits is a problem that has been studied for a long time. This paper put forward
a theory of deep reinforcement learning in the stock trading decisions and stock
price prediction, the reliability and availability of the model are proved by
experimental data, and the model is compared with the traditional model to prove
its advantages. From the point of view of stock market forecasting and intelligent
decision-making mechanism, this paper proves the feasibility of deep reinforcement
learning in financial markets and the credibility and advantages of strategic
decision-making. © 2019, Springer-Verlag GmbH Austria, part of Springer
Nature.",Deep Q learning; Financial strategy; Reinforcement learning,Commerce;
Decision making; Financial markets; Forecasting; Machine learning; Reinforcement
learning; Reliability theory; Financial strategies; Intelligent decision making; Q-
learning; Reliability and availability; Stock market forecasting; Stock price
prediction; Strategic decision making; Transaction process; Deep
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91, (2012); Wang J., Hou R., Wang C., Shen L., Improved v-support vector regression
model based on variable selection and brain storm optimization for stock price
forecasting, Appl Soft Comput, 49, pp. 164-178, (2016); Wang J.Z., Wang J.J., Zhang
Z.G., Guo S.P., Forecasting stock indices with back propagation neural network,
Expert Syst Appl, 38, 11, pp. 14346-14355, (2011); Wang Z., Schaul T., Hessel M.,
van Hasselt H., Lanctot M., de Freitas N., Dueling Network Architectures for Deep
Reinforcement Learning, (2015); Wymann B., Espie E., Guionneau C., Dimitrakakis C.,
Coulom R., Sumner A., Torcs, the open racing car simulator, Software, (2000)","V.
Chang; School of Computing Engineering and Digital Technologies, Teesside
University, Middlesbrough, United Kingdom; email:
[email protected]",,Springer,,,,,,0010485X,,CMPTA,,English,Comput.,Art
icle,Final,,Scopus,2-s2.0-85077165842
Clarke J.; Chen H.; Du D.; Hu Y.J.,"Clarke, Jonathan (14059986700); Chen, Hailiang
(35110334600); Du, Ding (57223016542); Hu, Yu Jeffrey (7407115736)",14059986700;
35110334600; 57223016542; 7407115736,"Fake news, investor attention, and market
reaction",2021,Information Systems
Research,32,1,,35,52,17,94,10.1287/isre.2019.0910,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85104372110&doi=10.1287%2fisre.2019.0910&partnerID=40&md5=aa64116a21928daa3be4e013c
242a99d,"Scheller College of Business, Georgia Institute of Technology, Atlanta,
30308, GA, United States; Faculty of Business and Economics, University of Hong
Kong, Hong Kong; Sloan School of Management, Massachusetts Institute of Technology,
Cambridge, 02142, MA, United States","Clarke J., Scheller College of Business,
Georgia Institute of Technology, Atlanta, 30308, GA, United States; Chen H.,
Faculty of Business and Economics, University of Hong Kong, Hong Kong; Du D., Sloan
School of Management, Massachusetts Institute of Technology, Cambridge, 02142, MA,
United States; Hu Y.J., Scheller College of Business, Georgia Institute of
Technology, Atlanta, 30308, GA, United States","Does fake news in financial markets
attract more investor attention and have a significant impact on stock prices? We
use the U.S. Securities and Exchange Commission (SEC) crackdown of stock promotion
schemes in April 2017 to examine investor attention and the stock price reaction to
fake news articles. Using data from Seeking Alpha, we find that fake news stories
generate significantly more attention than a control sample of legitimate articles.
We find no evidence that article commenters can detect fake news, and we also find
that Seeking Alpha editors have only modest ability to detect fake news. However,
we show that machine learning algorithms can successfully identify fake news from
linguistic features of the article. The stock market appears to price fake news
correctly. While abnormal trading volume increases around the release of fake news,
the increase is less than that observed for legitimate news. The stock price
reaction to fake news is discounted when compared with legitimate news articles. ©
2020 INFORMS",Fake news; Financial technology; Investor attention; Social media;
Textual analysis,Commerce; Financial markets; Learning algorithms; Linguistics;
Machine learning; Control samples; Linguistic features; Market reactions; News
articles; Securities and Exchange Commissions; Stock price; Trading volumes;
Investments,,,,,"Seed Fund for Basic Research, University of Hong Kong,
(104005181)","History: Terrence Hendershott, Michael X. Zhang, J. Leon Zhao, and
Eric Zheng, Special Section Editors; Ryan Riordan, Associate Editor. This paper has
been accepted for the Information Systems Re-search Special Section on Fintech—
Innovating the Financial Industry Through Emerging Infor-mation Technologies.
Funding: This work was partially supported by Seed Fund for Basic Research,
University of Hong Kong [Project 104005181]. Supplemental Material: The online
appendix is available at https://doi.org/10.1287/isre.2019.0910.","Agrawal A, Chen
MA, Do analyst conflicts matter? Evidence from stock recommendations, J. Law
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Clarke; Scheller College of Business, Georgia Institute of Technology, Atlanta,
30308, United States; email: [email protected]",,INFORMS Inst.for
Operations Res.and the Management Sciences,,,,,,10477047,,,,English,Inf. Syst.
Res.,Article,Final,,Scopus,2-s2.0-85104372110
Kamalov F.,"Kamalov, Firuz (55821119700)",55821119700,Forecasting significant stock
price changes using neural networks,2020,Neural Computing and
Applications,32,23,,17655,17667,12,79,10.1007/s00521-020-04942-3,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085145779&doi=10.1007%2fs00521-020-04942-
3&partnerID=40&md5=9b4f8af7b400bb693d0c0c73c6851fec,"Department of Electrical
Engineering, Canadian University of Dubai, Dubai, United Arab Emirates","Kamalov
F., Department of Electrical Engineering, Canadian University of Dubai, Dubai,
United Arab Emirates","Stock price prediction is a rich research topic that has
attracted interest from various areas of science. The recent success of machine
learning in speech and image recognition has prompted researchers to apply these
methods to asset price prediction. The majority of literature has been devoted to
predicting either the actual asset price or the direction of price movement. In
this paper, we study a hitherto little explored question of predicting significant
changes in stock price based on previous changes using machine learning algorithms.
We are particularly interested in the performance of neural network classifiers in
the given context. To this end, we construct and test three neural network models
including multilayer perceptron, convolutional net, and long short-term memory net.
As benchmark models, we use random forest and relative strength index methods. The
models are tested using 10-year daily stock price data of four major US public
companies. Test results show that predicting significant changes in stock price can
be accomplished with a high degree of accuracy. In particular, we obtain
substantially better results than similar studies that forecast the direction of
price change. © 2020, Springer-Verlag London Ltd., part of Springer Nature.",CNN;
LSTM; Neural networks; RSI; Stock price forecasting,Convolutional neural networks;
Decision trees; Electronic trading; Financial markets; Fintech; Forecasting; Image
recognition; Learning algorithms; Machine learning; Speech recognition; Benchmark
models; High degree of accuracy; Neural network classifier; Neural network model;
Public company; Relative strength index; Research topics; Stock price prediction;
Multilayer neural networks,,,,,,,"Agustini W.F., Affianti I.R., Putri E.R., Stock
price prediction using geometric Brownian motion, J Phys Conf Ser, 974, 1, (2018);
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stacked autoencoders and long-short term memory, PLoS ONE, 12, 7, (2017); Borovkova
S., Tsiamas I., An ensemble of LSTM neural networks for high-frequency stock market
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Hardt M., Recht B., Vinyals O., Understanding Deep Learning Requires Rethinking
Generalization, (2016)","F. Kamalov; Department of Electrical Engineering, Canadian
University of Dubai, Dubai, United Arab Emirates; email: [email protected]",,Springer
Science and Business Media Deutschland GmbH,,,,,,9410643,,,,English,Neural Comput.
Appl.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85085145779
Obaid K.; Pukthuanthong K.,"Obaid, Khaled (57217994585); Pukthuanthong, Kuntara
(14825851600)",57217994585; 14825851600,A picture is worth a thousand words:
Measuring investor sentiment by combining machine learning and photos from
news,2022,Journal of Financial
Economics,144,1,,273,297,24,58,10.1016/j.jfineco.2021.06.002,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85110986461&doi=10.1016%2fj.jfineco.2021.06.002&partnerID=40&md5=77fdfb2abdba2f1d9f
e717bd3e08171b,"College of Business and Economics, California State University-East
Bay, Hayward, 94542, CA, United States; Robert J. Trulaske Sr. College of Business,
University of Missouri, Columbia, 65211, MO, United States","Obaid K., College of
Business and Economics, California State University-East Bay, Hayward, 94542, CA,
United States; Pukthuanthong K., Robert J. Trulaske Sr. College of Business,
University of Missouri, Columbia, 65211, MO, United States","By applying machine
learning to the accurate and cost-effective classification of photos based on
sentiment, we introduce a daily market-level investor sentiment index (Photo
Pessimism) obtained from a large sample of news photos. Consistent with behavioral
models, Photo Pessimism predicts market return reversals and trading volume. The
relation is strongest among stocks with high limits to arbitrage and during periods
of elevated fear. We examine whether Photo Pessimism and pessimism embedded in news
text act as complements or substitutes for each other in predicting stock returns
and find evidence that the two are substitutes. © 2021",Behavioral finance; Big
data; Deep learning; Investor sentiment; Machine learning; Return
predictability,,,,,,"Midwest Finance Association; University of Missouri-Columbia
and California State University-East Bay finance departments; University of
Missouri-St. Louis, UMSL; University of Missouri, MU; Southern Finance Association,
SFA","Funding text 1: We thank David Hirshleifer (the editor), and the referee for
their helpful comments. We particularly want to thank Richard Roll for his time and
suggestions and also Dominique Badoer, Dave Berger, John Howe, Xing Huang, Inder
Khurana, Seung Jung Lee, Heikki Lehkonen, Venky Nagar, Michael O'Doherty, John
Pinfold, and Martin Stefan and seminar participants at the University of Missouri-
Columbia, the University of Missouri-St. Louis, Missouri State University, Saint
Louis University, California State University-East Bay, the Midwest Finance
Association Meeting (2019), the Southern Finance Association Meeting (2019), the
GSURFS FinTech Conference (2020), and the Financial Management Association Annual
Meeting (2020) for helpful feedback. We are grateful for financial support from the
Hillcrest Behavioral Finance Award, Winemiller Excellence Award, and the University
of Missouri-Columbia and California State University-East Bay finance departments.
An earlier version of this paper was circulated under the title “A Picture is Worth
a Thousand Words: Market Sentiment from Photos.” The data are available at:
https://www.kuntara.net/.; Funding text 2: We thank David Hirshleifer (the editor),
and the referee for their helpful comments. We particularly want to thank Richard
Roll for his time and suggestions and also Dominique Badoer, Dave Berger, John
Howe, Xing Huang, Inder Khurana, Seung Jung Lee, Heikki Lehkonen, Venky Nagar,
Michael O'Doherty, John Pinfold, and Martin Stefan and seminar participants at the
University of Missouri-Columbia, the University of Missouri-St. Louis, Missouri
State University, Saint Louis University, California State University-East Bay, the
Midwest Finance Association Meeting (2019), the Southern Finance Association
Meeting (2019), the GSURFS FinTech Conference (2020), and the Financial Management
Association Annual Meeting (2020) for helpful feedback. We are grateful for
financial support from the Hillcrest Behavioral Finance Award, Winemiller
Excellence Award, and the University of Missouri-Columbia and California State
University-East Bay finance departments. An earlier version of this paper was
circulated under the title “A Picture is Worth a Thousand Words: Market Sentiment
from Photos.” The data are available at: https://www.kuntara.net/ . ","Aiken L.S.,
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Razavi S.,"Razavi, Saman (39062138000)",39062138000,"Deep learning, explained:
Fundamentals, explainability, and bridgeability to process-based
modelling",2021,Environmental Modelling and
Software,144,,105159,,,,93,10.1016/j.envsoft.2021.105159,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85114319353&doi=10.1016%2fj.envsoft.2021.105159&partnerID=40&md5=3d45ea302786d3802f
3dfbc27e8e22b8,"School of Environment and Sustainability, Department of Civil,
Geological and Environmental Engineering, and Global Institute for Water Security,
University of Saskatchewan, Canada","Razavi S., School of Environment and
Sustainability, Department of Civil, Geological and Environmental Engineering, and
Global Institute for Water Security, University of Saskatchewan, Canada","Recent
breakthroughs in artificial intelligence (AI), and particularly in deep learning
(DL), have created tremendous excitement and opportunities in the earth and
environmental sciences communities. To leverage these new ‘data-driven’
technologies, however, one needs to understand the fundamental concepts that give
rise to DL and how they differ from ‘process-based’, mechanistic modelling. This
paper revisits those fundamentals and addresses 10 questions that might be posed by
earth and environmental scientists, and with the aid of a real-world modelling
experiment, it explains some critical, but often ignored, issues DL may face in
practice. The overarching objective is to contribute to a future of AI-assisted
earth and environmental sciences where AI models can (1) embrace the typically
ignored knowledge base available, (2) function credibly in ‘true’ out-of-sample
prediction, and (3) handle non-stationarity in earth and environmental systems.
Comparing and contrasting earth and environmental problems with prominent AI
applications, such as playing chess and trading in stock markets, provides critical
insights for better directing future research in this field. © 2021 The
Author(s)",Artificial intelligence; Artificial neural networks; Deep learning;
Earth systems; Hydrology; Machine learning; Process-based modelling,Commerce; Deep
neural networks; Data driven; Deep learning; Earth systems; Environmental science;
Environmental scientists; Fundamental concepts; Mechanistic models; Process-based;
Process-based modeling; Science community; artificial intelligence; environmental
issue; numerical model; stock market; Knowledge based systems,,,,,"Integrated
Modeling Program for Canada; Natural Sciences and Engineering Research Council of
Canada, NSERC; University of Birmingham; University of Bristol","Funding text 1:
This paper was shaped by discussions with David Hannah, Amin Elshorbagy, Hoshin
Gupta, Grey Nearing, Steven Weijs, Dimitri Solomatine, Sujay Kumar, Lucy Marshall,
Amin Dezfuli, Thorsten Wagener, Yashar Mehdad (Facebook AI) and many others over
the last year who directly or indirectly provided feedback on different aspects
covered. Also, I am thankful to Dan Ames, Tony Jakeman, Joseph Guillaume, and
Holger Maier from Environmental Modelling and Software for providing constructive
comments that helped me improve the paper. This work was a part of my sabbatical
plan that was scheduled to take place during 2020-21 in Australian National
University, University of Birmingham (as a IAS Vanguard Fellow), and University of
Bristol (as a Benjamin Meaker Distinguished Visiting Professor). Although these
visits were cancelled due to the COVID-19 pandemic, I am in indebted to Tony
Jakeman, David Hannah, and Thorsten Wagener for their gracious and generous offers
to host me and my family at their respective institutions. And, my special thanks
to Nasim, my wife, and the kids, Kian and Nikan, who made my stay-at-home
sabbatical time memorable, full of love and fun. Lastly, funding supports from the
Natural Sciences and Engineering Research Council of Canada (Discovery Grants) and
Integrated Modeling Program for Canada (IMPC) under the framework of Global Water
Futures (GWF) are acknowledged.; Funding text 2: This paper was shaped by
discussions with David Hannah, Amin Elshorbagy, Hoshin Gupta, Grey Nearing, Steven
Weijs, Dimitri Solomatine, Sujay Kumar, Lucy Marshall, Amin Dezfuli, Thorsten
Wagener, Yashar Mehdad (Facebook AI) and many others over the last year who
directly or indirectly provided feedback on different aspects covered. Also, I am
thankful to Dan Ames, Tony Jakeman, Joseph Guillaume, and Holger Maier from
Environmental Modelling and Software for providing constructive comments that
helped me improve the paper. This work was a part of my sabbatical plan that was
scheduled to take place during 2020-21 in Australian National University,
University of Birmingham (as a IAS Vanguard Fellow), and University of Bristol (as
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cancelled due to the COVID-19 pandemic, I am in indebted to Tony Jakeman, David
Hannah, and Thorsten Wagener for their gracious and generous offers to host me and
my family at their respective institutions. And, my special thanks to Nasim, my
wife, and the kids, Kian and Nikan, who made my stay-at-home sabbatical time
memorable, full of love and fun. Lastly, funding supports from the Natural Sciences
and Engineering Research Council of Canada (Discovery Grants) and Integrated
Modeling Program for Canada (IMPC) under the framework of Global Water Futures
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Ltd,,,,,,13648152,,EMSOF,,English,Environ. Model. Softw.,Article,Final,All Open
Access; Hybrid Gold Open Access,Scopus,2-s2.0-85114319353
Zhou F.; Zhang Q.; Sornette D.; Jiang L.,"Zhou, Feng (56132330700); Zhang, Qun
(57194543931); Sornette, Didier (7102654290); Jiang, Liu
(57205421192)",56132330700; 57194543931; 7102654290; 57205421192,Cascading logistic
regression onto gradient boosted decision trees for forecasting and trading stock
indices,2019,Applied Soft Computing
Journal,84,,105747,,,,90,10.1016/j.asoc.2019.105747,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071649912&doi=10.1016%2fj.asoc.2019.105747&partnerID=40&md5=45af77890db9a566c2cb0
e7923a97ff1,"School of Information, Guangdong University of Finance and Economics,
Guangzhou, Guangdong, China; School of Finance, Guangdong University of Foreign
Studies, Guangzhou, Guangdong, China; Southern China Institute of Fortune
Management Research, Guangdong University of Foreign Studies, Guangzhou, Guangdong,
China; Department of Management, Technology and Economics, ETH Zurich
(Eidgenössische Technische Hochschule Zürich), Zurich, Switzerland; Swiss Finance
Institute, c/o University of Geneva, Geneva, Switzerland; Surrey Business School,
University of Surrey, Guildford, England, Ireland","Zhou F., School of Information,
Guangdong University of Finance and Economics, Guangzhou, Guangdong, China; Zhang
Q., School of Finance, Guangdong University of Foreign Studies, Guangzhou,
Guangdong, China, Southern China Institute of Fortune Management Research,
Guangdong University of Foreign Studies, Guangzhou, Guangdong, China; Sornette D.,
Department of Management, Technology and Economics, ETH Zurich (Eidgenössische
Technische Hochschule Zürich), Zurich, Switzerland, Swiss Finance Institute, c/o
University of Geneva, Geneva, Switzerland; Jiang L., Surrey Business School,
University of Surrey, Guildford, England, Ireland","Forecasting the direction of
the daily changes of stock indices is an important yet difficult task for market
participants. Advances on data mining and machine learning make it possible to
develop more accurate predictions to assist investment decision making. This paper
attempts to develop a learning architecture LR2GBDT for forecasting and trading
stock indices, mainly by cascading the logistic regression (LR) model onto the
gradient boosted decision trees (GBDT) model. Without any assumption on the
underlying data generating process, raw price data and twelve technical indicators
are employed for extracting the information contained in the stock indices. The
proposed architecture is evaluated by comparing the experimental results with the
LR, GBDT, SVM (support vector machine), NN (neural network) and TPOT (tree-based
pipeline optimization tool) models on three stock indices data of two different
stock markets, which are an emerging market (Shanghai Stock Exchange Composite
Index) and a mature stock market (Nasdaq Composite Index and S&P 500 Composite
Stock Price Index). Given the same test conditions, the cascaded model not only
outperforms the other models, but also shows statistically and economically
significant improvements for exploiting simple trading strategies, even when
transaction cost is taken into account. © 2019 Elsevier B.V.",Ensemble learning;
Gradient boosted decision trees; Logistic regression; Stock market; Transaction
cost,Commerce; Data mining; Decision making; Decision trees; Electronic trading;
Financial markets; Forecasting; Investments; Network architecture; Regression
analysis; Support vector machines; Trees (mathematics); Boosted decision trees;
Ensemble learning; Investment decision making; Logistic regression models; Logistic
regressions; Shanghai stock exchange composite indices; SVM(support vector
machine); Transaction cost; Costs,,,,,"Guangdong Youth Innovation Talent Project,
(2017KQNCX083); Guangzhou Science and Technology Plan Project, China,
(201904010225); National Natural Science Foundation of China, NSFC, (11701106,
11901113, 71801057); National Natural Science Foundation of China, NSFC; Ministry
of Education of the People's Republic of China, MOE, (17YJCZH248); Ministry of
Education of the People's Republic of China, MOE; Eidgenössische Technische
Hochschule Zürich, ETH; Natural Science Foundation of Guangdong Province,
(2018A030313968, 2018A030313996); Natural Science Foundation of Guangdong
Province","Funding text 1: Qun Zhang is Yushan Young Scholar and Associate
Professor at School of Finance, Guangdong University of Foreign Studies. She was
visiting researcher of Entrepreneurial Risks in the Department of Management,
Technology and Economics at ETH Zurich from September 2014 to March 2016, supported
by Guangzhou Elites Project of Guangzhou Municipal Government. She received her
doctoral degree in management science and engineering at South China University of
Technology (SCUT), China, in 2016, within a Successive Postgraduate and Doctoral
Program after two years postgraduate study in School of Science at SCUT. Her
research interests are primarily in the complex financial system, machine learning,
decision making and risk management. ; Funding text 2: This work was supported by
the National Natural Science Foundation of China ( 71801057 ; 11901113 ;
11701106 ); the Humanities and Social Sciences Research Youth Foundation of the
Ministry of Education in China ( 17YJCZH248 ); the Natural Science Foundation of
Guangdong Province, China ( 2018A030313968 ; 2018A030313996 ); the Guangdong Youth
Innovation Talent Project, China (natural sciences, 2017KQNCX083 ) and the
Guangzhou Science and Technology Plan Project, China ( 201904010225 ). ","Fama
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J.C., Li H., Zhang J., Gao Y., Huang Y., Symptom severity classification with
gradient tree boosting, J. Biomed. Inform., 75, pp. S105-S111, (2017)","Q. Zhang;
School of Finance, Guangdong University of Foreign Studies, Guangzhou, Guangdong,
China; email: [email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl.
Soft Comput. J.,Article,Final,,Scopus,2-s2.0-85071649912
Rouf N.; Malik M.B.; Arif T.; Sharma S.; Singh S.; Aich S.; Kim H.-C.,"Rouf, Nusrat
(57219243069); Malik, Majid Bashir (55583726400); Arif, Tasleem (57214298194);
Sharma, Sparsh (57213924268); Singh, Saurabh (57281125800); Aich, Satyabrata
(56149932800); Kim, Hee-Cheol (55739535700)",57219243069; 55583726400; 57214298194;
57213924268; 57281125800; 56149932800; 55739535700,"Stock market prediction using
machine learning techniques: A decade survey on methodologies, recent developments,
and future directions",2021,Electronics
(Switzerland),10,21,2717,,,,86,10.3390/electronics10212717,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85118543855&doi=10.3390%2felectronics10212717&partnerID=40&md5=5b78af6fe35bd50aa386
817ce13830fe,"Research Lab, Department of Computer Sciences, BGSB University,
Rajouri, 185234, India; Department of Computer Sciences, BGSB University, Rajouri,
185234, India; Department of Information Technology, BGSB University, Rajouri,
185234, India; Department of Computer Science and Engineering, NIT, Srinagar,
190001, India; Department of Industrial and System Engineering, Dongguk University,
Seoul, 04620, South Korea; Department of Computer Engineering, Institute of Digital
Anti-Aging Healthcare, Inje University, Gimhae, 50834, South Korea; College of AI
Convergence, Institute of Digital Anti-Aging Healthcare, u-AHRC, Inje University,
Gimhae, 50834, South Korea","Rouf N., Research Lab, Department of Computer
Sciences, BGSB University, Rajouri, 185234, India; Malik M.B., Department of
Computer Sciences, BGSB University, Rajouri, 185234, India; Arif T., Department of
Information Technology, BGSB University, Rajouri, 185234, India; Sharma S.,
Department of Computer Science and Engineering, NIT, Srinagar, 190001, India; Singh
S., Department of Industrial and System Engineering, Dongguk University, Seoul,
04620, South Korea; Aich S., Department of Computer Engineering, Institute of
Digital Anti-Aging Healthcare, Inje University, Gimhae, 50834, South Korea; Kim H.-
C., College of AI Convergence, Institute of Digital Anti-Aging Healthcare, u-AHRC,
Inje University, Gimhae, 50834, South Korea","With the advent of technological
marvels like global digitization, the prediction of the stock market has entered a
technologically advanced era, revamping the old model of trading. With the
ceaseless increase in market capitalization, stock trading has become a center of
investment for many financial investors. Many analysts and researchers have
developed tools and techniques that predict stock price movements and help
investors in proper decision-making. Advanced trading models enable researchers to
predict the market using non-traditional textual data from social platforms. The
application of advanced machine learning approaches such as text data analytics and
ensemble methods have greatly increased the prediction accuracies. Meanwhile, the
analysis and prediction of stock markets continue to be one of the most challenging
research areas due to dynamic, erratic, and chaotic data. This study explains the
systematics of machine learning-based approaches for stock market prediction based
on the deployment of a generic framework. Findings from the last decade (2011–2021)
were critically analyzed, having been retrieved from online digital libraries and
databases like ACM digital library and Scopus. Furthermore, an extensive
comparative analysis was carried out to identify the direction of significance. The
study would be helpful for emerging researchers to understand the basics and
advancements of this emerging area, and thus carry-on further research in promising
directions. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.",Generic
review; Machine learning; Stock market prediction; Support vector
machine,,,,,,"Commercializations Promotion Agency for R&D Outcomes; Ministry of
Science, ICT and Future Planning, MSIP, (1711139492); Ministry of Science, ICT and
Future Planning, MSIP",This work was supported by the Commercializations Promotion
Agency for R&D Outcomes (COMPA) grant funded by the Korean Government (Ministry of
Science and ICT) (R&Dproject No.1711139492).,"Krishna V., ScienceDirect
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15; Seethalakshmi R., Analysis of Stock Market Predictor Variables using Linear
Regression Analysis, Int. J. Pure Appl. Math, 119, pp. 369-378, (2020)","S. Aich;
Department of Computer Engineering, Institute of Digital Anti-Aging Healthcare,
Inje University, Gimhae, 50834, South Korea; email: [email protected]; H.-C.
Kim; College of AI Convergence, Institute of Digital Anti-Aging Healthcare, u-AHRC,
Inje University, Gimhae, 50834, South Korea; email:
[email protected]",,MDPI,,,,,,20799292,,,,English,Electronics
(Switzerland),Review,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85118543855
Zhang M.; Jiang X.; Fang Z.; Zeng Y.; Xu K.,"Zhang, Mengqi (57204575067); Jiang,
Xin (57191283508); Fang, Zehua (57225694448); Zeng, Yue (57204571910); Xu, Ke
(56799555700)",57204575067; 57191283508; 57225694448; 57204571910;
56799555700,High-order Hidden Markov Model for trend prediction in financial time
series,2019,Physica A: Statistical Mechanics and its
Applications,517,,,1,12,11,58,10.1016/j.physa.2018.10.053,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85056213871&doi=10.1016%2fj.physa.2018.10.053&partnerID=40&md5=e5332d4b50b1b3cdc44c
34eff8aacd1e,"Beijing Advanced Innovation Center for Big Data and Brain Computing
(BDBC), China; LMIB & School of Mathematics and Systems Science, Beihang
University, Beijing, 100191, China; School of Computer Science and Engineering,
Beihang University, Beijing, 100191, China","Zhang M., Beijing Advanced Innovation
Center for Big Data and Brain Computing (BDBC), China, LMIB & School of Mathematics
and Systems Science, Beihang University, Beijing, 100191, China; Jiang X., Beijing
Advanced Innovation Center for Big Data and Brain Computing (BDBC), China, LMIB &
School of Mathematics and Systems Science, Beihang University, Beijing, 100191,
China; Fang Z., LMIB & School of Mathematics and Systems Science, Beihang
University, Beijing, 100191, China; Zeng Y., LMIB & School of Mathematics and
Systems Science, Beihang University, Beijing, 100191, China; Xu K., Beijing
Advanced Innovation Center for Big Data and Brain Computing (BDBC), China, School
of Computer Science and Engineering, Beihang University, Beijing, 100191,
China","Financial price series trend prediction is an essential problem which has
been discussed extensively using tools and techniques of economic physics and
machine learning. Time dependence and volatility issues in this problem have made
Hidden Markov Model (HMM) a useful tool in predicting the states of stock market.
In this paper, we present an approach to predict the stock market price trend based
on high-order HMM. Different from the commonly used first-order HMM, short and
long-term time dependence are both considered in the high order HMM. By introducing
a dimension reduction method which could transform the high-dimensional state
vector of high-order HMM into a single one, we present a dynamic high-order HMM
trading strategy to predict and trade CSI 300 and S&P 500 stock index for the next
day given historical data. In our approach, we make a statistic of the daily
returns in the history to demonstrate the relationship between hidden states and
the price change trend. Experiments on CSI 300 and S&P 500 index illustrate that
high-order HMM has preferable ability to identify market price trend than first-
order one. Thus, the high-order HMM has higher accuracy and lower risk than the
first-order model in predicting the index price trend. © 2018 Elsevier B.V.",High-
order HMM; Trading algorithm; Trend prediction,Commerce; Electronic trading;
Financial markets; Forecasting; Dimension reduction method; Essential problems;
Financial time series; First-order models; High-order; Stock market prices; Tools
and techniques; Trend prediction; Hidden Markov models,,,,,"National Basic Research
Program of China (973 Program), (2017YFB0701702, 2018YFB11074)",This work is
supported by National Key Research and Development Program of China under Grants
No. 2017YFB0701702 . and No. 2018YFB11074 . ,"Ghanavati M., Wong R.K., Chen F.,
Lee J., Lee J., A hierarchical beta process approach for financial time series
trend prediction, pp. 227-237, (2016); Koza J.R., Bookstore S., Trend prediction in
financial time series, J. Perinat. Med., 30, 4, pp. 333-335, (2010); Johnson N.F.,
Lamper D., Jefferies P., Hart M.L., Howison S., Application of multi-agent games to
the prediction of financial time series, Physica A, 299, 1, pp. 222-227, (2001);
Kaboudan M.A., Genetic programming prediction of stock prices, Comput. Econ., 16,
3, pp. 207-236, (2000); Leung M.T., Daouk H., Chen A.S., Forecasting stock indices:
a comparison of classification and level estimation models, Int. J. Forecast., 16,
2, pp. 173-190, (2000); Zhang H.S., Shen X.Y., Huang J.P., Pattern of trends in
stock markets as revealed by the renormalization method, Physica A, 456, pp. 340-
346, (2016); Yang Y., Liu G., Zhang Z., Stock market trend prediction based on
neural networks, multiresolution analysis and dynamical reconstruction, Syst. Eng.-
Theory Prac., 391, 12, pp. 155-156, (2001); Yang J., Zhang Y., Application Research
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58, (1994)","X. Jiang; School of Mathematics and Systems Science, Beihang
University, China; email: [email protected]",,Elsevier
B.V.,,,,,,3784371,,PHYAD,,English,Phys A Stat Mech Appl,Article,Final,,Scopus,2-
s2.0-85056213871
Khushi M.; Meng T.L.,"Khushi, Matloob (36969331400); Meng, Terry Lingze
(57211292958)",36969331400; 57211292958,Reinforcement learning in financial
markets,2019,Data,4,3,110,,,,82,10.3390/data4030110,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073352699&doi=10.3390%2fdata4030110&partnerID=40&md5=07eff170cc9cd683d5d670599bde
98f1,"School of Computer Science, University of Sydney, Building J12, 1 Cleveland
Street, Darlington, 2006, NSW, Australia","Khushi M., School of Computer Science,
University of Sydney, Building J12, 1 Cleveland Street, Darlington, 2006, NSW,
Australia; Meng T.L., School of Computer Science, University of Sydney, Building
J12, 1 Cleveland Street, Darlington, 2006, NSW, Australia","Recently there has been
an exponential increase in the use of artificial intelligence for trading in
financial markets such as stock and forex. Reinforcement learning has become of
particular interest to financial traders ever since the program AlphaGo defeated
the strongest human contemporary Go board game player Lee Sedol in 2016. We
systematically reviewed all recent stock/forex prediction or trading articles that
used reinforcement learning as their primary machine learning method. All reviewed
articles had some unrealistic assumptions such as no transaction costs, no
liquidity issues and no bid or ask spread issues. Transaction costs had significant
impacts on the profitability of the reinforcement learning algorithms compared with
the baseline algorithms tested. Despite showing statistically significant
profitability when reinforcement learning was used in comparison with baseline
models in many studies, some showed no meaningful level of profitability, in
particular with large changes in the price pattern between the system training and
testing data. Furthermore, few performance comparisons between reinforcement
learning and other sophisticated machine/deep learning models were provided. The
impact of transaction costs, including the bid/ask spread on profitability has also
been assessed. In conclusion, reinforcement learning in stock/forex trading is
still in its early development and further research is needed to make it a reliable
method in this domain. © 2019 by the authors. Licensee MDPI, Basel,
Switzerland.",Forecasts; Foreign exchange market; Reinforcement learning; Stock
market; Trading,Commerce; Costs; Electronic trading; Financial markets; Learning
algorithms; Profitability; Baseline models; Board games; Exponential increase;
Forecast; Game players; Machine learning methods; Reinforcement learning
algorithms; Reinforcement learnings; Trading; Transaction cost; Reinforcement
learning,,,,,,,"Khushi M., Dean I.M., Teber E.T., Chircop M., Arthur J.W., Flores-
Rodriguez N., Automated classification and characterization of the mitotic spindle
following knockdown of a mitosis-related protein, BMC Bioinform, 18, (2017);
Criminisi A., Shotton J., Konukoglu E., Decision forests: A unified framework for
classification, regression, density estimation, manifold learning and semi-
supervised learning, Found. Trends® Comput. Graph. Vis, 7, pp. 81-227, (2012);
Khalid S., Khalil T., Nasreen S., A survey of feature selection and feature
extraction techniques in machine learning, Proceedings of the 2014 Science and
Information Conference, pp. 372-378, (2014); Khushi M., Choudhury N., Arthur J.W.,
Clarke C.L., Graham J.D., Predicting Functional Interactions Among DNA-Binding
Proteins, 25Th International Conference on Neural Information Processing, pp. 70-
80, (2018); Ertugrul O.F., Tagluk M.E., Forecasting financial indicators by
generalized behavioral learning method, Soft Comput, 22, pp. 8259-8272, (2018);
Moody J.M.S., Learning to Trade via Direct Reinforcement, IEEE Trans. Neural Netw,
12, pp. 875-889, (2001); Saffell J.M., Reinforcement Learning for Trading, Advances
in Neural Information Processing Systems 11, (1999); Moody J., Wu L., Liao Y.,
Saffell M., Performance functions and reinforcement learning for trading systems
and portfolios, J. Forecast, 17, pp. 441-470, (1998); Kanwar N., Deep Reinforcement
Learning-Based Portfolio Management, (2019); Cumming J., An Investigation into the
Use of Reinforcement Learning Techniques within the Algorithmic Trading Domain,
(2015); Pendharkar P.C., Cusatis P., Trading financial indices with reinforcement
learning agents, Expert Syst. Appl, 103, pp. 1-13, (2018); D'Eramo C., Restelli M.,
Nuara A., Estimating the Maximum Expected Value through Gaussian Approximation,
Int. Conf. Mach. Learn, 48, pp. 1032-1040, (2016); Corazza M.A.S., Q-Learning and
SARSA: A comparison between two intelligent stochastic control approaches for
financial trading, Univ. Ca’ Foscari Venice Dept. Econ. Res. Pap, 15, pp. 1-23,
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Bus. Adm. Coll, 39, pp. 15-33, (2019); Lee J.W., Park J., Lee J., Hong E., A
Multiagent Approach to Q-Learning for Daily Stock Trading, IEEE Trans. Syst. Man
Cybern. -Part a Syst. Hum., 37, pp. 864-877, (2007); Elder T., Creating Algorithmic
Traders with Hierarchical Reinforcement Learning, (2008); Dietmar Maringer T.R.,
Threshold Recurrent Reinforcement Learning Model for Automated Trading; Springer,
(2010); Li H., Dagli C.H., Enke D., Short-term Stock Market Timing Prediction under
Reinforcement Learning Schemes, Proceedings of the 2007 IEEE International
Symposium on Approximate Dynamic Programming and Reinforcement Learning, (2007);
Sherstov A.A., Stone P., Three automated stock-trading agents: A comparative study,
Agent-Mediated Electronic Commerce VI, (2004); Garcia-Galicia M., Carsteanu A.A.,
Clempner J.B., Continuous-time reinforcement learning approach for portfolio
management with time penalization, Elsevier Expert Syst. Appl, 129, pp. 27-36,
(2019); Lee J.W., Stock price prediction using reinforcement learning, Proceedings
of the 2001 IEEE International Symposium on Industrial Electronics, (2001); Jeong
G., Kim H.Y., Improving financial trading decisions using deep Q-learning:
Predicting the number of shares, action strategies, and transfer learning, Expert
Syst. Appl, 117, pp. 125-138, (2018); Carapuco J., Neves R., Horta N.,
Reinforcement learning applied to Forex trading, Appl. Soft Comput, 73, pp. 783-
794, (2018); Tan Z., Philip C.Q., Cheng Y.K., Stock trading with cycles: Afinancial
application of ANFIS and reinforcement learning, Expert Syst. Appl, 38, pp. 4741-
4755, (2011); Lu D.W., Agent Inspired Trading Using Recurrent Reinforcement
Learning and LSTM Neural Networks; Huang C.-Y., Financial Trading as a Game: A Deep
Reinforcement Learning Approach, Arxiv Quant. Financ; Hryshko A., Downs T., System
for foreign exchange trading using genetic algorithms and reinforcement learning,
Int. J. Syst. Sci., 35, pp. 763-774, (2004); Lee J., Lee J.W., Zhang B.T., Adaptive
stock trading with dynamic asset allocation using reinforcement learning, Inf. Sci,
176, pp. 2121-2147, (2006); Gabrielsson P., Johansson U., High-Frequency Equity
Index Futures Trading Using Recurrent Reinforcement Learning with Candlesticks,
Proceedings of the 2015 IEEE Symposium Series on Computational Intelligence,
(2015); Zhang J., Maringer D., TwoParameter Update Schemes for Recurrent
Reinforcement Learning, Proceedings of the 2014 IEEE Congress on Evolutionary
Computation, (2014); Zhang J., Maringer D., Indicator selection for daily equity
trading with recurrent reinforcement learning, Proceedings of the 15Th Annual
Conference Companion on Genetic and Evolutionary Computation, pp. 1757-1758,
(2013)","M. Khushi; School of Computer Science, University of Sydney, Darlington,
Building J12, 1 Cleveland Street, 2006, Australia; email:
[email protected]",,MDPI,,,,,,23065729,,,,English,Data,Review,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85073352699
Mohanty D.K.; Parida A.K.; Khuntia S.S.,"Mohanty, D.K. (57222519984); Parida, Ajaya
Kumar (57189231511); Khuntia, Shelly Suman (57219980992)",57222519984; 57189231511;
57219980992,Financial market prediction under deep learning framework using auto
encoder and kernel extreme learning machine,2021,Applied Soft
Computing,99,,106898,,,,61,10.1016/j.asoc.2020.106898,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85096403901&doi=10.1016%2fj.asoc.2020.106898&partnerID=40&md5=7ca7db651fb7de770185f
0b2c414b929,"School of Computer Engineering, KIIT Deemed to be University,
Bhubaneswar, Odisha, India","Mohanty D.K., School of Computer Engineering, KIIT
Deemed to be University, Bhubaneswar, Odisha, India; Parida A.K., School of
Computer Engineering, KIIT Deemed to be University, Bhubaneswar, Odisha, India;
Khuntia S.S., School of Computer Engineering, KIIT Deemed to be University,
Bhubaneswar, Odisha, India","The technical indicators are highly uncertain
therefore possess greater influence on the stock market prediction. Among different
techniques developed for effective prediction of the financial market the AI
techniques show better prediction efficiency. In this paper, a hybrid model
combined with auto encoder (AE) and kernel extreme learning machine (KELM) is
proposed for further improvement in the quality of financial market prediction.
This study mainly emphasizes on a precise prediction of the financial market, the
main motive behind stock price prediction is minimizing the substantial losses
faced by investors, and analysing the profitability with the help of buying and
selling amount. The prime advantage of the proposed technique over the conventional
SAE is robust prediction of different financial market with reduction in error. To
authenticate the performance of the proposed deep learning (DL) technique (KELM-
AE), high-frequency data of different financial market like Yes Bank, SBI, ASHR,
and DJI are taken into consideration and the performance of the proposed technique
is investigated in MATLAB based simulation in accordance with MAPE (Mean Absolute
Percentage Error), MAE (Mean Absolute Error) and RMSE (Root Mean Square Error). The
application of SAE is new in the field of predicting different bank data. The
validation of the model is performed by comparing it with other traditional methods
based on different performance indexes. The simulation result indicates that the
proposed DL based technique (KELM-AE) outperforms other models with a MAPE value of
less than 2%for future prediction, irrespective of the financial market. For
example the MAPE value for KELM-AE is observed to be 1.074 %, 0.888%, 1.021% for
YES, SBI and BOI respectively which is much lower as compared to other model like
ELM that shows a MAPE value of 1.714%, 1.473% and 1.550% for the above mentioned
bank. © 2020",HELM and stock market; KELM; Prediction methods; Stacked AE,Commerce;
Errors; Financial markets; Forecasting; Investments; Knowledge acquisition;
Learning systems; MATLAB; Mean square error; Signal encoding; Extreme learning
machine; High frequency data; Mean absolute error; Mean absolute percentage error;
Performance indices; RMSE (root mean square error); Stock market prediction; Stock
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(ICPES), pp. 1-6, (2019)","A.K. Parida; School of Computer Engineering, KIIT Deemed
to be University, Odisha, Bhubaneswar, India; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft
Comput.,Review,Final,,Scopus,2-s2.0-85096403901
Zaremba A.; Kizys R.; Tzouvanas P.; Aharon D.Y.; Demir E.,"Zaremba, Adam
(37121242800); Kizys, Renatas (56002685400); Tzouvanas, Panagiotis (57211146860);
Aharon, David Y. (36518306700); Demir, Ender (57222086051)",37121242800;
56002685400; 57211146860; 36518306700; 57222086051,The quest for multidimensional
financial immunity to the COVID-19 pandemic: Evidence from international stock
markets,2021,"Journal of International Financial Markets, Institutions and
Money",71,,101284,,,,67,10.1016/j.intfin.2021.101284,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85099871479&doi=10.1016%2fj.intfin.2021.101284&partnerID=40&md5=4b85daea772cd3f9bb9
7db87c7ed44b5,"Montpellier Business School, Montpellier, France; Poznan University
of Economics and Business, Institute of Finance, Department of Investment and
Financial Markets, Poland; University of Southampton, Southampton Business School,
Department of Banking and Finance, United Kingdom; University of Sussex, University
of Sussex Business School, Department of Accounting and Finance, United Kingdom;
Ono Academic College, Faculty of Business Administration, Israel; Istanbul
Medeniyet University, Turkey","Zaremba A., Montpellier Business School,
Montpellier, France, Poznan University of Economics and Business, Institute of
Finance, Department of Investment and Financial Markets, Poland; Kizys R.,
University of Southampton, Southampton Business School, Department of Banking and
Finance, United Kingdom; Tzouvanas P., University of Sussex, University of Sussex
Business School, Department of Accounting and Finance, United Kingdom; Aharon D.Y.,
Ono Academic College, Faculty of Business Administration, Israel; Demir E.,
Istanbul Medeniyet University, Turkey","What determines a country's financial
immunity to a global pandemic? To answer this question, we investigate the behavior
of 67 equity markets around the world during the COVID-19 outbreak in 2020. We
consider a multidimensional data set that includes factors from finance, economics,
demographics, technological development, healthcare, governance, culture, and law.
Our study also accounts for government interventions, such as containment and
closure policies, and economic stimuli. We apply machine learning techniques, panel
regression, and factor analysis to ascertain sources of financial immunity to the
coronavirus pandemic. Our findings demonstrate that stock markets in countries with
low unemployment rates and populated with firms with conservative investment
policies and low valuations relative to expected profits tend to be more immune to
the healthcare crisis. We also find that firm government policy responses tend to
support stock markets in times of the pandemic. © 2021 Elsevier B.V.",COVID-19;
Economy; Financial immunity; Fundamentals; Governance; Government interventions;
Healthcare; Institutions; International stock markets; National culture; Novel
coronavirus; Policy responses,,,,,,"Narodowe Centrum Nauki, NCN,
(2016/23/B/HS4/00731)",Adam Zaremba acknowledges the support of the National
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(2005)","A. Zaremba; Poznan University of Economics and Business, Institute of
Finance, Department of Investment and Financial Markets, Poland; email:
[email protected]",,Elsevier Ltd,,,,,,10424431,,,,English,J. Int.
Financ. Mark. Inst. Money,Article,Final,All Open Access; Green Open
Access,Scopus,2-s2.0-85099871479
Sim H.S.; Kim H.I.; Ahn J.J.,"Sim, Hyun Sik (57205733705); Kim, Hae In
(57200620678); Ahn, Jae Joon (25321171600)",57205733705; 57200620678;
25321171600,Is Deep Learning for Image Recognition Applicable to Stock Market
Prediction?,2019,Complexity,2019,,4324878,,,,76,10.1155/2019/4324878,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062603929&doi=10.1155%2f2019%2f4324878&partnerID=40&md5=1c69599bf7a79649fa4a2f2c8
e6c8856,"Department of Industrial and Management Engineering, Kyonggi University,
Suwon, 16227, South Korea; Department of Information and Statistics, Yonsei
University, Wonju, 03722, South Korea","Sim H.S., Department of Industrial and
Management Engineering, Kyonggi University, Suwon, 16227, South Korea; Kim H.I.,
Department of Information and Statistics, Yonsei University, Wonju, 03722, South
Korea; Ahn J.J., Department of Information and Statistics, Yonsei University,
Wonju, 03722, South Korea","Stock market prediction is a challenging issue for
investors. In this paper, we propose a stock price prediction model based on
convolutional neural network (CNN) to validate the applicability of new learning
methods in stock markets. When applying CNN, 9 technical indicators were chosen as
predictors of the forecasting model, and the technical indicators were converted to
images of the time series graph. For verifying the usefulness of deep learning for
image recognition in stock markets, the predictive accuracies of the proposed model
were compared to typical artificial neural network (ANN) model and support vector
machine (SVM) model. From the experimental results, we can see that CNN can be a
desirable choice for building stock prediction models. To examine the performance
of the proposed method, an empirical study was performed using the S&P 500 index.
This study addresses two critical issues regarding the use of CNN for stock price
prediction: how to use CNN and how to optimize them. © 2019 Hyun Sik Sim et
al.",,Commerce; Electronic trading; Financial markets; Forecasting; Image
recognition; Investments; Neural networks; Support vector machines; Artificial
neural network models; Convolutional neural network; Empirical studies; Forecasting
modeling; Predictive accuracy; Stock market prediction; Stock price prediction;
Technical indicator; Deep learning,,,,,,,"Fama E.F., Random walks in stock market
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(2018)","J.J. Ahn; Department of Information and Statistics, Yonsei University,
Wonju, 03722, South Korea; email: [email protected]",,Hindawi
Limited,,,,,,10762787,,,,English,Complexity,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85062603929
Wang J.; Zhang Y.; Tang K.; Wu J.; Xiong Z.,"Wang, Jingyuan (36111994400); Zhang,
Yang (57211359314); Tang, Ke (35782203300); Wu, Junjie (35313047900); Xiong, Zhang
(7202955989)",36111994400; 57211359314; 35782203300; 35313047900;
7202955989,AlphaStock: A buying-winners-and-selling-losers investment strategy
using interpretable deep reinforcement attention networks,2019,Proceedings of the
ACM SIGKDD International Conference on Knowledge Discovery and Data
Mining,,,,1900,1908,8,81,10.1145/3292500.3330647,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071183482&doi=10.1145%2f3292500.3330647&partnerID=40&md5=8212236974ae5317cf9a0475
68ba7968,"MOE Engineering Research Center of Advanced Computer Application
Technology, School of Computer Science Engineering, Beihang University, Beijing,
China; Institute of Economics, School of Social Sciences, Tsinghua University,
Beijing, China; Beijing Key Laboratory of Emergency Support Simulation Technologies
for City Operations, School of Economics and Management, Beihang University,
Beijing, China; Beijing Advanced Innovation Center for BDBC, Beihang University,
Beijing, China","Wang J., MOE Engineering Research Center of Advanced Computer
Application Technology, School of Computer Science Engineering, Beihang University,
Beijing, China, Beijing Advanced Innovation Center for BDBC, Beihang University,
Beijing, China; Zhang Y., MOE Engineering Research Center of Advanced Computer
Application Technology, School of Computer Science Engineering, Beihang University,
Beijing, China; Tang K., Institute of Economics, School of Social Sciences,
Tsinghua University, Beijing, China; Wu J., Beijing Key Laboratory of Emergency
Support Simulation Technologies for City Operations, School of Economics and
Management, Beihang University, Beijing, China, Beijing Advanced Innovation Center
for BDBC, Beihang University, Beijing, China; Xiong Z., MOE Engineering Research
Center of Advanced Computer Application Technology, School of Computer Science
Engineering, Beihang University, Beijing, China","Recent years have witnessed the
successful marriage of finance innovations and AI techniques in various finance
applications including quantitative trading (QT). Despite great research efforts
devoted to leveraging deep learning (DL) methods for building better QT strategies,
existing studies still face serious challenges especially from the side of finance,
such as the balance of risk and return, the resistance to extreme loss, and the
interpretability of strategies, which limit the application of DL-based strategies
in real-life financial markets. In this work, we propose AlphaStock, a novel
reinforcement learning (RL) based investment strategy enhanced by interpretable
deep attention networks, to address the above challenges. Our main contributions
are summarized as follows: i) We integrate deep attention networks with a Sharpe
ratio-oriented reinforcement learning framework to achieve a risk-return balanced
investment strategy; ii) We suggest modeling interrelationships among assets to
avoid selection bias and develop a cross-asset attention mechanism; iii) To our
best knowledge, this work is among the first to offer an interpretable investment
strategy using deep reinforcement learning models. The experiments on long-periodic
U.S. and Chinese markets demonstrate the effectiveness and robustness of AlphaStock
over diverse market states. It turns out that AlphaStock tends to select the stocks
as winners with high long-term growth, low volatility, high intrinsic value, and
being undervalued recently. © 2019 Association for Computing Machinery.",Deep
Learning; Interpretable Prediction; Investment Strategy; Reinforcement
Learning,Commerce; Data mining; Deep learning; Machine learning; Reinforcement
learning; Strategic planning; Attention mechanisms; Chinese markets;
Interpretability; Investment strategy; Long-term growths; Reinforcement learning
models; Research efforts; Selection bias; Investments,,,,,"CETC Union Fund,
(6141B08080401); National Social Sciences Foundation of China, (14BJL028, 71531001,
71725002, U1636210); National Natural Science Foundation of China, NSFC, (61202426,
61572059); National Basic Research Program of China (973 Program),
(2017YFC0820405); Fundamental Research Funds for the Central Universities; Beijing
Science and Technology Planning Project, (Z181100003518001)","J. Wang’s work was
partially supported by the National Natural Science Foundation of China (NSFC)
(61572059, 61202426), the Science and Technology Project of Beijing
(Z181100003518001), and the CETC Union Fund (6141B08080401). Y. Zhang’s work was
partially supported by the National Key Research and Development Program of China
under Grant (2017YFC0820405) and the Fundamental Research Funds for the Central
Universities. K. Tang’s work was partially supported the National Social Sciences
Foundation of China (No.14BJL028). J. Wu’s work was partially supported by NSFC
(71725002, 71531001, U1636210).","Adebayo J., Gilmer J., Muelly M., Goodfellow I.,
Hardt M., Kim B., Sanity checks for saliency maps, NIPS'18, pp. 9525-9536, (2018);
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stock prediction, IJCAI'15, pp. 2327-2333, (2015); Ding X., Zhang Y., Liu T., Duan
J., Knowledge-driven event embedding for stock prediction, COLING'16, pp. 2133-
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framework for trading knowledge extraction, KDD'18, pp. 1310-1319, (2018); Fama
E.F., French K.R., Multifactor explanations of asset pricing anomalies, J. Finance,
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(2018)",,,Association for Computing Machinery,ACM SIGKDD; ACM SIGMOD,"25th ACM
SIGKDD International Conference on Knowledge Discovery and Data Mining, KDD 2019",4
August 2019 through 8 August 2019,Anchorage,149966,,978-145036201-6,,,English,Proc.
ACM SIGKDD Int. Conf. Knowl. Discov. Data Min.,Conference paper,Final,All Open
Access; Green Open Access,Scopus,2-s2.0-85071183482
He H.; Gao S.; Jin T.; Sato S.; Zhang X.,"He, Houtian (57218530280); Gao, Shangce
(23491827300); Jin, Ting (58169297300); Sato, Syuhei (54394311100); Zhang, Xingyi
(57211629237)",57218530280; 23491827300; 58169297300; 54394311100; 57211629237,A
seasonal-trend decomposition-based dendritic neuron model for financial time series
prediction,2021,Applied Soft
Computing,108,,107488,,,,81,10.1016/j.asoc.2021.107488,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105518624&doi=10.1016%2fj.asoc.2021.107488&partnerID=40&md5=68c8c22a599e80642cc38
8a779c1565e,"Faculty of Engineering, University of Toyama, Toyama-shi, 930-8555,
Japan; School of Science, Nanjing Forestry University, Nanjing, 210037, China;
Shanghai General Hospital Affiliated to Shanghai Jiaotong University, Shanghai,
200080, China","He H., Faculty of Engineering, University of Toyama, Toyama-shi,
930-8555, Japan; Gao S., Faculty of Engineering, University of Toyama, Toyama-shi,
930-8555, Japan; Jin T., School of Science, Nanjing Forestry University, Nanjing,
210037, China; Sato S., Faculty of Engineering, University of Toyama, Toyama-shi,
930-8555, Japan; Zhang X., Shanghai General Hospital Affiliated to Shanghai
Jiaotong University, Shanghai, 200080, China","Financial time series prediction is
a hot topic in machine learning field, but existing works barely catch the point of
such data. In this study, we employ the most suitable preprocessing technology,
machine learning model, and training algorithm to construct a novel seasonal-trend
decomposition-based dendritic neuron model (STLDNM) to tackle this issue. The
model's unique part is to use the seasonal-trend decomposition based on loess (STL)
as preprocessing technology. Particularly, the STL can extract seasonal and trend
features from the original data, so that a simple polynomial fitting method can be
used to handle these sub-series. Next, the remained complex residual component is
predicted by an anti-overfitting dendritic neuron model (DNM) trained by an
efficient back-propagation algorithm. Finally, the processed components are added
up to obtain the predicting result. sixteen real-world stock market indices are
used to test STLDNM. The experimental results show that it can perform
significantly better than other previous convinced models under different
assessment criteria. This model successfully reveals the internal feature of
financial data and certainly improves the predicting accuracy due to the rightful
methodology selection. Therefore, the newly designed STLDNM not only has high
potentials for practical applications in the financial aspect but also provides
novel inspirations for complex time series prediction problem researchers. © 2021
Elsevier B.V.",Artificial neural network; Dendritic neuron model; Financial time
series prediction; Machine learning; Preprocessing technology; Seasonal-trend
decomposition; Separate processing,Backpropagation; Electronic trading; Finance;
Forecasting; Neurons; Time series; Assessment criteria; Complex time series;
Financial time series predictions; Machine learning models; Polynomial fitting
method; Pre-processing technology; Residual components; Training algorithms;
Learning systems,,,,,,,"Krajbich I., Camerer C., Ledyard J., Rangel A., Using
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University of Toyama, Toyama-shi, 930-8555, Japan; email: [email protected]
toyama.ac.jp",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft
Comput.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-85105518624
Ben Jabeur S.; Khalfaoui R.; Ben Arfi W.,"Ben Jabeur, Sami (57193341755);
Khalfaoui, Rabeh (12646573300); Ben Arfi, Wissal (57195988307)",57193341755;
12646573300; 57195988307,"The effect of green energy, global environmental indexes,
and stock markets in predicting oil price crashes: Evidence from explainable
machine learning",2021,Journal of Environmental
Management,298,,113511,,,,78,10.1016/j.jenvman.2021.113511,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85112366392&doi=10.1016%2fj.jenvman.2021.113511&partnerID=40&md5=3c2d15da8ecac0a621
7e3e3143e32a52,"Institute of Sustainable Business and Organizations, Confluence:
Sciences et Humanités, UCLY, ESDES, 10 Place des Archives, Lyon, 69002, France;
Applied Economics Research Unit (URECA), Faculty of Economics and Management,
University of Sfax, Tunisia; EDC Paris Business School, Observatory and Research
Center on Entrepreneurship (OCRE), Department of Entrepreneurship and Digital
Transformation, 70 galerie des Damiers - Paris La Défense 1, Courbevoie Cedex,
92415, France","Ben Jabeur S., Institute of Sustainable Business and Organizations,
Confluence: Sciences et Humanités, UCLY, ESDES, 10 Place des Archives, Lyon, 69002,
France; Khalfaoui R., Applied Economics Research Unit (URECA), Faculty of Economics
and Management, University of Sfax, Tunisia; Ben Arfi W., EDC Paris Business
School, Observatory and Research Center on Entrepreneurship (OCRE), Department of
Entrepreneurship and Digital Transformation, 70 galerie des Damiers - Paris La
Défense 1, Courbevoie Cedex, 92415, France","This study aims to predict oil prices
during the 2019 novel coronavirus (COVID-19) pandemic by looking into green energy
resources, global environmental indexes (ESG), and stock markets. The study employs
advanced machine learning, such as the LightGBM, CatBoost, XGBoost, Random Forest
(RF), and neural network models. An accurate forecasting framework can effectively
capture the trend of the changes in oil prices and reduce the impact of the COVID-
19 pandemic on such prices. Additionally, a large dataset with different asset
classes was used to investigate the crash period. The research also introduced
SHapely Additive exPlanations (SHAP) values for model analysis and
interpretability. The empirical results indicate the superiority of the RF and
LightGBM over traditional models. Moreover, this new framework provides favorable
explanations of the model performance using the efficient SHAP algorithm. It also
highlights the core features of predicting oil prices. The study found that high
values of GER and ESG lead to lower crude oil prices. Our results are crucial for
investors and policymakers in promoting climate change mitigation and sustained
economic prosperity through green energy resources. © 2021 Elsevier Ltd",COVID-19;
Crash; Crude oil; Machine learning models,"Accidents, Traffic; COVID-19; Humans;
Machine Learning; Pandemics; SARS-CoV-2; Coronavirus; oil; petroleum; algorithm;
climate change; COVID-19; crude oil; detection method; energy resource; index
method; machine learning; policy making; stock market; accuracy; algorithm;
Article; artificial neural network; climate change; coronavirus disease 2019;
energy resource; forecasting; human; machine learning; pandemic; price; random
forest; soybean; stock market; machine learning; pandemic; traffic
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with portfolio implications: evidence from China, Finance Res. Lett., (2020); Zhang
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breakage of red-bed soft rock using a logistic regression model, Transportation
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contagion effect between oil and stock markets: new evidence from China, Econ.
Modell., 94, pp. 780-788, (2021); Zolfaghari M., Ghoddusi H., Faghihian F.,
Volatility spillovers for energy prices: a diagonal BEKK approach, Energy Econ.,
92, (2020); Ladyzynski P., Zbikowski K., Gawrysiak P., Direct marketing campaigns
in retail banking with the use of deep learning and random forests, Expert Syst.
Appl., 134, pp. 28-35, (2019)","W. Ben Arfi; EDC Paris Business School, Observatory
and Research Center on Entrepreneurship (OCRE), Department of Entrepreneurship and
Digital Transformation, Courbevoie Cedex, 70 galerie des Damiers - Paris La Défense
1, 92415, France; email: [email protected]",,Academic
Press,,,,,,3014797,,JEVMA,34392096,English,J. Environ. Manage.,Article,Final,All
Open Access; Bronze Open Access,Scopus,2-s2.0-85112366392
Guo Y.; Han S.; Shen C.; Li Y.; Yin X.; Bai Y.,"Guo, Yanhui (55782898900); Han,
Siming (57195913759); Shen, Chuanhe (36671897200); Li, Ying (36782266000); Yin,
Xijie (56082788200); Bai, Yu (55217532900)",55782898900; 57195913759; 36671897200;
36782266000; 56082788200; 55217532900,An adaptive SVR for high-frequency stock
price forecasting,2018,IEEE
Access,6,,,11397,11404,7,77,10.1109/ACCESS.2018.2806180,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85043454080&doi=10.1109%2fACCESS.2018.2806180&partnerID=40&md5=d9a93228a62c37d98bce
cbbea62226a3,"School of Information Technology, Shandong Women's University, Jinan,
China; School of Computer Science, Shaanxi Normal University, Xi'an, China; School
of Engineering and Computer Science, California State University, Fullerton, CA,
United States","Guo Y., School of Information Technology, Shandong Women's
University, Jinan, China, School of Computer Science, Shaanxi Normal University,
Xi'an, China; Han S., School of Computer Science, Shaanxi Normal University, Xi'an,
China; Shen C., School of Information Technology, Shandong Women's University,
Jinan, China; Li Y., School of Information Technology, Shandong Women's University,
Jinan, China; Yin X., School of Information Technology, Shandong Women's
University, Jinan, China; Bai Y., School of Engineering and Computer Science,
California State University, Fullerton, CA, United States","In order to mitigate
investments, stock price forecasting has attracted more attention in recent years.
Aiming at the discreteness, non-normality, high-noise in high-frequency data, a
support vector machine regression (SVR) algorithm is introduced in this paper.
However, the characteristics in different periods of the same stock, or the same
periods of different stocks are significantly different. So, SVR with fixed
parameters is difficult to satisfy with the constantly changing data flow. To
tackle this problem, an adaptive SVR was proposed for stock data at three different
time scales, including daily data, 30-min data, and 5-min data. Experiments show
that the improved SVR with dynamic optimization of learning parameters by particle
swarm optimization can get a better result than compared methods including SVR and
back-propagation neural network. © 2013 IEEE.",high-frequency data; particle swarm
optimization; regression; stock price forecasting; Support vector
machine,Backpropagation; Costs; Electronic trading; Evolutionary algorithms;
Financial markets; Forecasting; Hidden Markov models; Markov processes; Neural
networks; Optimization; Personnel training; Support vector machines; Back-
propagation neural networks; Different time scale; Dynamic optimization; High
frequency data; Kernel; Regression; Stock price forecasting; Support vector machine
regression (SVR); Particle swarm optimization (PSO),,,,,"Humanity and Social
Science Research Foundation of Ministry of Education of China, (15YJA790051);
Shandong Provincial Key Scientific Research Projects; Department of Science and
Technology of Shandong Province, (2013YD01041); Department of Education of Shandong
Province, (J14LN54); National Social Science Fund of China, NSSFC,
(17BGL058)","This work was supported in part by the Shandong Provincial Department
of Education Fund under Grant J14LN54, in part by the Shandong Provincial Key
Scientific Research Projects in 2014 under Grant 86, in part by the Science and
Technology Department of Shandong Province under Grant 2013YD01041, in part by the
National Social Science Fund Project of China under Grant 17BGL058, and in part by
the Humanity and Social Science Research Foundation of Ministry of Education of
China under Grant 15YJA790051.","Gwilym O., Sutcliffe C., Problems encountered when
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aquatic product price based on time series GA-SVR, Trans. Chin. Soc. Agricult.
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using particle swarm theory, Proc. MHS, pp. 39-43, (1995)","Y. Li; School of
Information Technology, Shandong Women's University, Jinan, China; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85043454080
Batra R.; Daudpota S.M.,"Batra, Rakhi (57203206213); Daudpota, Sher Muhammad
(57190295678)",57203206213; 57190295678,Integrating StockTwits with sentiment
analysis for better prediction of stock price movement,2018,"2018 International
Conference on Computing, Mathematics and Engineering Technologies: Invent, Innovate
and Integrate for Socioeconomic Development, iCoMET 2018 - Proceedings",2018-
January,,,1,5,4,70,10.1109/ICOMET.2018.8346382,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85050933743&doi=10.1109%2fICOMET.2018.8346382&partnerID=40&md5=dd3e6859d9d2bd172f17
d3aaad6a665a,"Department of Computer Science, Sukkur IBA University,
Pakistan","Batra R., Department of Computer Science, Sukkur IBA University,
Pakistan; Daudpota S.M., Department of Computer Science, Sukkur IBA University,
Pakistan","Sentiment Analysis is new way of machine learning to extract opinion
orientation (positive, negative, neutral) from a text segment written for any
product, organization, person or any other entity. Sentiment Analysis can be used
to predict the mood of people that have impact on stock prices, therefore it can
help in prediction of actual stock movement. In order to exploit the benefits of
sentiment analysis in stock market industry we have performed sentiment analysis on
tweets related to Apple products, which are extracted from StockTwits (a social
networking site) from 2010 to 2017. Along with tweets, we have also used market
index data which is extracted from Yahoo Finance for the same period. The sentiment
score of a tweet is calculated by sentiment analysis of tweets through SVM. As a
result each tweet is categorized as bullish or bearish. Then sentiment score and
market data is used to build a SVM model to predict next day's stock movement.
Results show that there is positive relation between people opinion and market data
and proposed work has an accuracy of 76.65% in stock prediction. © 2018
IEEE.",Machine Learning; NLP; Opinion Mining; Sentiment Analysis; Stock Prediction;
StockTwits,Artificial intelligence; Commerce; Data mining; Financial markets;
Forecasting; Learning systems; Market data; Sentiment scores; Social networking
sites; Stock movement; Stock predictions; Stock price movements; StockTwits; Text
segments; Sentiment analysis,,,,,,,"Fama E.F., The behavior of stock-market prices,
The Journal of Business, pp. 34-105, (1965); Cootner P.H., The random character of
stock market, The Journal of Business; Fama E.F., Random walks in stock market
prices, Financial Analysts Journal; Fama E.F., Fisher L., Jensen M.C., Roll R., The
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Cross-Section of Stock Returns, (2006); Megahed F.M., Farmer J., Frontiers in
Statistical Quality Control, 11, (2015); Kordonis J., Stock price forecasting via
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'16), Greece, (2016); Dang M., Improvement Methods for stock market prediction
using financial news articles, Information and Computer Science (NICS) 2016 3rd
National Foundation for Science and Technology Development Conference, Danang,
Vietnam, (2016); Sun A., Trade the tweet: Social media text mining and sparse
matrix factorization for stock market prediction, International Review of Financial
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sources, Expert Systems with Applications, pp. 153-163, (2017); Smailovi J., Grar
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application, Human-Computer Interaction and Knowledge Discovery in Complex,
Unstructured, Big Data, pp. 77-88, (2013); Rao T., Srivastava S., Analyzing stock
market movements using twitter sentiment analysis, International Conference on
Advances in Social Networks Analysis and Mining, (2012); Gilbert E., Karahalios K.,
Widespread worry and the stock market, Artifical Intelligence, (2010); Zhang X.,
Fuehres H., Gloor P.A., Predicting Stock Market Indicators Through Twitter,
(2009)",,,Institute of Electrical and Electronics Engineers Inc.,Cheninn; HEC;
NBP,"2018 International Conference on Computing, Mathematics and Engineering
Technologies, iCoMET 2018",3 March 2018 through 4 March 2018,Sukkur,136152,,978-
153861370-2,,,English,"Int. Conf. Comput., Math. Engi. Technol.: Invent, Innov.
Integrate Socioecon. Dev., iCoMET - Proc.",Conference paper,Final,,Scopus,2-s2.0-
85050933743
Khan W.; Malik U.; Ghazanfar M.A.; Azam M.A.; Alyoubi K.H.; Alfakeeh A.S.,"Khan,
Wasiat (57211410537); Malik, Usman (57205612400); Ghazanfar, Mustansar Ali
(36023331300); Azam, Muhammad Awais (57190946338); Alyoubi, Khaled H.
(57144527700); Alfakeeh, Ahmed S. (57209777937)",57211410537; 57205612400;
36023331300; 57190946338; 57144527700; 57209777937,Predicting stock market trends
using machine learning algorithms via public sentiment and political situation
analysis,2020,Soft Computing,24,15,,11019,11043,24,55,10.1007/s00500-019-04347-
y,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073835555&doi=10.1007%2fs00500-019-04347-
y&partnerID=40&md5=cd6d46181f52f8ea5db0019affb8dd92,"Department of Software
Engineering, University of Engineering and Technology, Taxila, 47050, Pakistan;
LITIS Lab, Normandy University, INSA Rouen, Rouen, 76000, France; School of
Architecture, Computing and Engineering, University of East London, London, United
Kingdom; Department of Computer Engineering, University of Engineering and
Technology, Taxila, 47050, Pakistan; Faculty of Computing and Information
Technology, King Abdulaziz University, Jeddah, Saudi Arabia","Khan W., Department
of Software Engineering, University of Engineering and Technology, Taxila, 47050,
Pakistan; Malik U., LITIS Lab, Normandy University, INSA Rouen, Rouen, 76000,
France; Ghazanfar M.A., School of Architecture, Computing and Engineering,
University of East London, London, United Kingdom; Azam M.A., Department of
Computer Engineering, University of Engineering and Technology, Taxila, 47050,
Pakistan; Alyoubi K.H., Faculty of Computing and Information Technology, King
Abdulaziz University, Jeddah, Saudi Arabia; Alfakeeh A.S., Faculty of Computing and
Information Technology, King Abdulaziz University, Jeddah, Saudi Arabia","Stock
market trends can be affected by external factors such as public sentiment and
political events. The goal of this research is to find whether or not public
sentiment and political situation on a given day can affect stock market trends of
individual companies or the overall market. For this purpose, the sentiment and
situation features are used in a machine learning model to find the effect of
public sentiment and political situation on the prediction accuracy of algorithms
for 7 days in future. Besides, interdependencies among companies and stock markets
are also studied. For the sake of experimentation, stock market historical data are
downloaded from Yahoo! Finance and public sentiments are obtained from Twitter.
Important political events data of Pakistan are crawled from Wikipedia. The raw
text data are then pre-processed, and the sentiment and situation features are
generated to create the final data sets. Ten machine learning algorithms are
applied to the final data sets to predict the stock market future trend. The
experimental results show that the sentiment feature improves the prediction
accuracy of machine learning algorithms by 0–3%, and political situation feature
improves the prediction accuracy of algorithms by about 20%. Furthermore, the
sentiment attribute is most effective on day 7, while the political situation
attribute is most effective on day 5. SMO algorithm is found to show the best
performance, while ASC and Bagging show poor performance. The interdependency
results indicate that stock markets in the same industry show a medium positive
correlation with each other. © 2019, Springer-Verlag GmbH Germany, part of Springer
Nature.",Natural language processing; Predictive models; Sentiment analysis; Stock
markets,Commerce; Electronic trading; Financial markets; Forecasting; Machine
learning; Sentiment analysis; Machine learning models; NAtural language processing;
Positive correlations; Prediction accuracy; Predictive models; Public sentiments;
Sentiment features; Situation analysis; Learning algorithms,,,,,,,"Ahuja R.,
Rastogi H., Choudhuri A., Garg B., Stock market forecast using sentiment analysis,
IEEE 2Nd International Conference on Computers for Sustainable Global Development,
pp. 1008-1010, (2015); Beaulieu M.C., Cosset J.C., Essaddam N., The impact of
political risk on the volatility of stock returns: the case of Canada, J Int Bus
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adaptive news access, User Modell User Adapt Interact, 10, 2-3, pp. 147-180,
(2000); Bing L., Chan K.C., Ou C., Public sentiment analysis in Twitter data for
prediction of a company’s stock price movements, 2014 IEEE 11Th International
Conference on E-Business Engineering (ICEBE), pp. 232-239, (2014); Bollen J., Mao
H., Pepe A., Modeling public mood and emotion: Twitter sentiment and socio-economic
phenomena, 5Th International AAAI Conference on Weblogs and Social Media, (2011);
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impacts of political events on foreign institutional investors and stock returns:
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Predicting disputes in public-private partnership projects: classification and
ensemble models, J Comput Civil Eng, 27, 1, pp. 51-60, (2012); Chouliaras A., High
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(2017); Deng W., Xu J., Zhao H., An improved ant colony optimization algorithm
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(2016)","W. Khan; Department of Software Engineering, University of Engineering and
Technology, Taxila, 47050, Pakistan; email:
[email protected]",,Springer,,,,,,14327643,,,,English,Soft
Comput.,Article,Final,,Scopus,2-s2.0-85073835555
Malagrino L.S.; Roman N.T.; Monteiro A.M.,"Malagrino, Luciana S. (57201435199);
Roman, Norton T. (12446313600); Monteiro, Ana M. (42962047000)",57201435199;
12446313600; 42962047000,Forecasting stock market index daily direction: A Bayesian
Network approach,2018,Expert Systems with
Applications,105,,,11,22,11,85,10.1016/j.eswa.2018.03.039,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85044785082&doi=10.1016%2fj.eswa.2018.03.039&partnerID=40&md5=3b7871c2283283ee52721
5efc34e0395,"University of São Paulo, São Paulo, Brazil; Campo Limpo Paulista
Faculty, Campo Limpo Paulista, Brazil","Malagrino L.S., University of São Paulo,
São Paulo, Brazil; Roman N.T., University of São Paulo, São Paulo, Brazil; Monteiro
A.M., Campo Limpo Paulista Faculty, Campo Limpo Paulista, Brazil","In this work, we
investigate the feasibility of Bayesian Networks as a way to verify the extent to
which stock market indices from around the globe influence iBOVESPA – the main
index at the São Paulo Stock Exchange, Brazil. To do so, index directions were
input to a network designed to reflect some intuitive dependencies amongst
continental markets, moving through 24 and 48 h cycles, and outputting iBOVESPA's
next day closing direction. Two different network topologies were tested, with
different numbers of stock indices used in each test. Best results were obtained
with the model that accounts for a single index per continent, up to 24 h before
iBOVESPA's closing time. Mean accuracy with this configuration was around 71% (with
almost 78% top accuracy). With results comparable to those of the related
literature, our model has the further advantage of being simpler and more tractable
for its users. Also, along with the fact that it not only gives the next day
closing direction, but also furnishes the set of indices that influence iBovespa
the most, the model lends itself both to academic research purposes and as one of
the building blocks in more robust decision support systems. © 2018 Elsevier
Ltd",Applied artificial intelligence; Bayesian Networks; Machine learning; Stock
direction prediction,Artificial intelligence; Associative processing; Commerce;
Decision support systems; Financial markets; Learning systems; Academic research;
Building blockes; Network topology; Robust decisions; Stock exchange; Stock
indices; Stock market index; Bayesian networks,,,,,,,"Atsalakis G.S., Valavanis
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statistical learning: Data mining, inference, and prediction, (2009); Hattori R.H.,
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forecasting IBOVESPA's closure trend: Indexes that influence IBOVESPA, Proceedings
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Engineering Management Research, 1, 2, pp. 46-52, (2012)","N.T. Roman; EACH-USP,
Arlindo Béttio, São Paulo-SP, 1000, Ermelino Matarazzo, 03828-000, Brazil; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85044785082
Troiano L.; Villa E.M.; Loia V.,"Troiano, Luigi (7005130244); Villa, Elena Mejuto
(57194408685); Loia, Vincenzo (35570326700)",7005130244; 57194408685;
35570326700,Replicating a Trading Strategy by Means of LSTM for Financial Industry
Applications,2018,IEEE Transactions on Industrial
Informatics,14,7,,3226,3234,8,74,10.1109/TII.2018.2811377,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85042883444&doi=10.1109%2fTII.2018.2811377&partnerID=40&md5=fb0f6a260e8cba87f6e016c
58dd7b546,"Department of Engineering, University of Sannio, Benevento, 82100,
Italy; Department of Innovation Systems, University of Salerno, Fisciano, 84084,
Italy","Troiano L., Department of Engineering, University of Sannio, Benevento,
82100, Italy; Villa E.M., Department of Engineering, University of Sannio,
Benevento, 82100, Italy; Loia V., Department of Innovation Systems, University of
Salerno, Fisciano, 84084, Italy","This paper investigates the possibility of
learning a trading rule looking at the relationship between market indicators and
decisions undertaken regarding entering or quitting a position. As means to achieve
this objective, we employ a long short-term memory machine, due its capability to
relate past and recent events. Our solution is a first step in the direction of
building a model-free robot, based on deep learning, able to identify the logic
that links the market mood given by technical indicators to the undertaken
investment decisions. Although preliminary, experimental results show that the
proposed solution is viable and promising. © 2005-2012 IEEE.",Recurrent neural
networks; robot Learning; stock markets,Commerce; Computer architecture; Computer
circuits; Deep learning; Investments; Logic gates; Mathematical models;
Microprocessor chips; Personnel training; Robots; Time series analysis; Financial
industry; Investment decisions; Investment opportunities; Model free; Price
movement; Technical indicator; Trading rules; Trading strategies; Long short-term
memory,,,,,,,"Luckow A., Cook M., Ashcraft N., Weill E., Djerekarov E., Vorster B.,
Deep learning in the automotive industry: Applications and tools, Proc. IEEE Int.
Conf. Big Data, pp. 3759-3768, (2016); Cheon K., Kim J., Hamadache M., Lee D., On
replacing PID controller with deep learning controller for DC motor system, J.
Autom. Control Eng., 3, 6, pp. 452-456, (2015); Liu Z., Jia Z., Vong C.M., Bu S.,
Han J., Tang X., Capturing highdiscriminative fault features for electronics-rich
analog system via deep learning, IEEE Trans. Ind. Informat., 13, 3, pp. 1213-1226,
(2017); Lee K.B., Cheon S., Kim C.O., A convolutional neural network for fault
classification and diagnosis in semiconductor manufacturing processes, IEEE Trans.
Semicond. Manuf., 30, 2, pp. 135-142, (2017); Rav D., Et al., Deep learning for
health informatics, IEEE J. Biomed. Health Informat., 21, 1, pp. 4-21, (2017); Lee
S., Chang J.H., Oscillometric blood pressure estimation based on deep learning,
IEEE Trans. Ind. Informat., 13, 2, pp. 461-472, (2017); Troiano L., Kriplani P., A
mean-reverting strategy based on fuzzy transform residuals, Proc. IEEE Conf.
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transform and its application to time series, Proc. 2010 Int. Conf. Soft Comput.
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using restricted Boltzmann machine for stock price prediction, Proc. IEEE Int.
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LSTM-based method for stock returns prediction: A case study of China stock market,
Proc. IEEE Int. Conf. Big Data, pp. 2823-2824, (2015); Persio L.D., Honchar O.,
Artificial neural networks approach to the forecast of stock market price
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Stochastic Models Bus. Ind., 33, 1, pp. 3-12, (2017); Arevalo A., Nino J.,
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Analysis and application to information retrieval, IEEE/ACM Trans. Audio, Speech,
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IEEE Spoken Lang. Technol. Workshop, pp. 189-194, (2014); Sundermeyer M., Ney H.,
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with LSTM recurrent networks, J. Mach. Learn. Res., 3, pp. 115-143, (2003); Hirose
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A., Generating Sequences with Recurrent Neural Networks, (2013); Gers F.A.,
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Neural Comput., 12, 10, pp. 2451-2471, (2000); Gers F.A., Schmidhuber J., Long
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Neural Nets and Genetic Algorithms, pp. 134-137, (2001); Jozefowicz R., Zaremba W.,
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Y., On the difficulty of training recurrent neural networks, Proc. 30th Int. Conf.
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gradient by a running average of its recent magnitude, COURSERA: Neural Netw. Mach.
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stopping in gradient descent learning, Constructive Approx., 26, 2, pp. 289-315,
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Dropout: A simple way to prevent neural networks from overfitting, J. Mach. Learn.
Res., 15, pp. 1929-1958, (2014)","V. Loia; Department of Innovation Systems,
University of Salerno, Fisciano, 84084, Italy; email: [email protected]",,IEEE Computer
Society,,,,,,15513203,,,,English,IEEE Trans. Ind. Inf.,Article,Final,,Scopus,2-
s2.0-85042883444
Barak S.; Arjmand A.; Ortobelli S.,"Barak, Sasan (55336935700); Arjmand, Azadeh
(57095918500); Ortobelli, Sergio (22136213900)",55336935700; 57095918500;
22136213900,Fusion of multiple diverse predictors in stock market,2017,Information
Fusion,36,,,90,102,12,67,10.1016/j.inffus.2016.11.006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84995739777&doi=10.1016%2fj.inffus.2016.11.006&partnerID=40&md5=186401054f7ae6bcaea
1c6740215f5d8,"Faculty of Economics, VŠB Technical University of Ostrava, Ostrava,
70200, Czech Republic; Department of SAEQM, University of Bergamo, Via dei Caniana
2, Bergamo, 24127, Italy; Faculty of Industrial Engineering, Alzahra University,
Tehran, Iran","Barak S., Faculty of Economics, VŠB Technical University of Ostrava,
Ostrava, 70200, Czech Republic, Department of SAEQM, University of Bergamo, Via dei
Caniana 2, Bergamo, 24127, Italy; Arjmand A., Faculty of Industrial Engineering,
Alzahra University, Tehran, Iran; Ortobelli S., Faculty of Economics, VŠB Technical
University of Ostrava, Ostrava, 70200, Czech Republic, Department of SAEQM,
University of Bergamo, Via dei Caniana 2, Bergamo, 24127, Italy","Forecasting stock
returns and their risk represents one of the most important concerns of market
decision makers. Although many studies have examined single classifiers of stock
returns and risk methods, fusion methods, which have only recently emerged, require
further study in this area. The main aim of this paper is to propose a fusion model
based on the use of multiple diverse base classifiers that operate on a common
input and a Meta classifier that learns from base classifiers’ outputs to obtain
more precise stock return and risk predictions. A set of diversity methods,
including Bagging, Boosting and AdaBoost, is applied to create diversity in
classifier combinations. Moreover, the number and procedure for selecting base
classifiers for fusion schemes is determined using a methodology based on dataset
clustering and candidate classifiers’ accuracy. The results demonstrate that
Bagging exhibited superior performance within the fusion scheme and could achieve a
maximum of 83.6% accuracy with Decision Tree, LAD Tree and Rep Tree for return
prediction and 88.2% accuracy with BF Tree, DTNB and LAD Tree in risk prediction.
For feature selection part, a wrapper-GA algorithm is developed and compared with
the fusion model. This paper seeks to help researcher select the best individual
classifiers and fuse the proper scheme in stock market prediction. To illustrate
the approach, we apply it to Tehran Stock Exchange (TSE) data for the period from
2002 to 2012. © 2016 Elsevier B.V.",Classifier fusion; Diversity creation;
Fundamental analysis; Machine learning; Risk prediction; Stock returns
prediction,Adaptive boosting; Commerce; Decision making; Decision trees; Financial
markets; Forecasting; Investments; Learning systems; Risk assessment; Classifier
fusion; Diversity creation; Fundamental analysis; Risk predictions; Stock returns;
Classification (of information),,,,,"Grantová Agentura České Republiky, GA ČR, (15-
23699S, SP2016/11); European Social Fund, ESF, (CZ.1.07/2.3.00/20.0296); Vysoká
Škola Bánská - Technická Univerzita Ostrava","The research was supported through
the Czech Science Foundation (GACR) under project 15-23699S and through SP2016/11,
a SGS research project of VSB-TU Ostrava, and furthermore by the European Social
Fund in the framework of CZ.1.07/2.3.00/20.0296 . ","Cervello-Royo R., Guijarro F.,
Michniuk K., Stock market trading rule based on pattern recognition and technical
analysis: forecasting the DJIA index with intraday data, Expert Syst. Appl., 42,
pp. 5963-5975, (2015); Huang C.-F., A hybrid stock selection model using genetic
algorithms and support vector regression, Appl. Soft Comput., 12, pp. 807-818,
(2012); Barak S., Dahooie J.H., Tichy T., Wrapper ANFIS-ICA method to do stock
market timing and feature selection on the basis of Japanese Candlestick, Expert
Syst. Appl., 42, pp. 9221-9235, (2015); Rapach D.E., Zhou G., Forecasting stock
returns, Handbook of Economic Forecasting, 2, pp. 328-383, (2013); Tsai C.-F., Lin
Y.-C., Yen D.C., Chen Y.-M., Predicting stock returns by classifier ensembles,
Appl. Soft Comput., 11, pp. 2452-2459, (2011); Enke D., Thawornwong S., The use of
data mining and neural networks for forecasting stock market returns, Expert Syst.
Appl., 29, pp. 927-940, (2005); Hyup Roh T., Forecasting the volatility of stock
price index, Expert Syst. Appl., 33, pp. 916-922, (2007); Barak S., Abessi M.,
Modarres M., Fuzzy turnover rate chance constraints portfolio model, Eur. J. Oper.
Res., 228, pp. 141-147, (2013); Cheng S.-H., A hybrid predicting stock return model
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Yen D.C., Determinants of intangible assets value: the data mining approach,
Knowl.-Based Syst., 31, pp. 67-77, (2012)","S. Barak; Faculty of Economics, VŠB
Technical University of Ostrava, Ostrava, Sokolská třída 33, 70200, Czech Republic;
email: [email protected]",,Elsevier B.V.,,,,,,15662535,,,,English,Inf.
Fusion,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-84995739777
Ayala J.; García-Torres M.; Noguera J.L.V.; Gómez-Vela F.; Divina F.,"Ayala, Jordan
(57223312916); García-Torres, Miguel (8918249300); Noguera, José Luis Vázquez
(56021949600); Gómez-Vela, Francisco (38961263300); Divina, Federico
(12242477700)",57223312916; 8918249300; 56021949600; 38961263300;
12242477700,Technical analysis strategy optimization using a machine learning
approach in stock market indices[Formula presented],2021,Knowledge-Based
Systems,225,,107119,,,,77,10.1016/j.knosys.2021.107119,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107658769&doi=10.1016%2fj.knosys.2021.107119&partnerID=40&md5=052026854aea62fdc29
81d86d27bef02,"Polytechnic School, Universidad Nacional de Asunción, P.O.Box: 2111
SL, Paraguay; Division of Computer Science, Universidad Pablo de Olavide, Seville,
ES-41013, Spain","Ayala J., Polytechnic School, Universidad Nacional de Asunción,
P.O.Box: 2111 SL, Paraguay; García-Torres M., Division of Computer Science,
Universidad Pablo de Olavide, Seville, ES-41013, Spain; Noguera J.L.V., Polytechnic
School, Universidad Nacional de Asunción, P.O.Box: 2111 SL, Paraguay; Gómez-Vela
F., Division of Computer Science, Universidad Pablo de Olavide, Seville, ES-41013,
Spain; Divina F., Division of Computer Science, Universidad Pablo de Olavide,
Seville, ES-41013, Spain","Within the area of stock market prediction, forecasting
price values or movements is one of the most challenging issue. Because of this,
the use of machine learning techniques in combination with technical analysis
indicators is receiving more and more attention. In order to tackle this problem,
in this paper we propose a hybrid approach to generate trading signals. To do so,
our proposal consists of applying a technical indicator combined with a machine
learning approach in order to produce a trading decision. The novelty of this
approach lies in the simplicity and effectiveness of the hybrid rules as well as
its possible extension to other technical indicators. In order to select the most
suitable machine learning technique, we tested the performances of Linear Model
(LM), Artificial Neural Network (ANN), Random Forests (RF) and Support Vector
Regression (SVR). As technical strategies for trading, the Triple Exponential
Moving Average (TEMA) and Moving Average Convergence/Divergence (MACD) were
considered. We tested the resulting technique on daily trading data from three
major indices: Ibex35 (IBEX), DAX and Dow Jones Industrial (DJI). Results achieved
show that the addition of machine learning techniques to technical analysis
strategies improves the trading signals and the competitiveness of the proposed
trading rules. © 2021",Machine learning; Stock market prediction; Technical
analysis,Commerce; Competition; Decision trees; Electronic trading; Financial
markets; Learning algorithms; Machine learning; Neural networks; Analysis
strategies; Index formula; Machine learning approaches; Machine learning
techniques; Machine-learning; Stock market index; Stock market prediction; Strategy
optimization; Technical analysis; Technical indicator; Forecasting,,,,,"Centro
Informático Científico de Andalucía; Comisión de Investigaciones Científicas,
CIC",Part of the computer time was provided by the Centro Informático Científico de
Andalucía (CIC).,"Pai P.F., Lin C.S., A hybrid ARIMA and support vector machines
model in stock price forecasting, Omega, 33, 6, pp. 497-505, (2005); Wei L.Y., A
hybrid model based on ANFIS and adaptive expectation genetic algorithm to forecast
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5808, pp. 332-346, (2009)","M. García-Torres; Division of Computer Science,
Universidad Pablo de Olavide, Seville, ES-41013, Spain; email:
[email protected]",,Elsevier B.V.,,,,,,9507051,,KNSYE,,English,Knowl Based
Syst,Article,Final,,Scopus,2-s2.0-85107658769
Kumar D.; Sarangi P.K.; Verma R.,"Kumar, Deepak (57202478164); Sarangi, Pradeepta
Kumar (36669300800); Verma, Rajit (57216818474)",57202478164; 36669300800;
57216818474,A systematic review of stock market prediction using machine learning
and statistical techniques,2020,Materials Today:
Proceedings,49,,,3187,3191,4,76,10.1016/j.matpr.2020.11.399,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85118333539&doi=10.1016%2fj.matpr.2020.11.399&partnerID=40&md5=d2e2df939fbdfc960faf
42ce2fa63b1e,"Chitkara University Institute of Engineering and Technology, Chitkara
University, Punjab, India; Chitkara Business School, Chitkara University, Punjab,
India","Kumar D., Chitkara University Institute of Engineering and Technology,
Chitkara University, Punjab, India; Sarangi P.K., Chitkara University Institute of
Engineering and Technology, Chitkara University, Punjab, India; Verma R., Chitkara
Business School, Chitkara University, Punjab, India","The stock market prediction
patterns are seen as an important activity and it is more effective. Hence, stock
prices will lead to lucrative profits from sound taking decisions. Because of the
stagnant and noisy data, stock market-related forecasts are a major challenge for
investors. Therefore, forecasting the stock market is a major challenge for
investors to use their money to make more profit. Stock market predictions use
mathematical strategies and learning tools. This paper provides a complete overview
of 30 research papers recommending methods that include calculation methods, ML
algorithms, performance parameters, and outstanding journals. The studies are
selected based on research questions. Hence, these selected studies are helping to
find the ML techniques along with their dataset for stock market prediction. Most
widely ANN and NN techniques are used to achieve precise predictions of the stock
market. While much amount of work is done, the latest stock market-related
prediction methodology has many limitations. It can be assumed in this study that
stock market forecasting is an integrated process and distinctive parameters for
forecast the stock market should be considered more accurate. © 2020 Elsevier Ltd.
All rights reserved.",Classification; Deep learning; Machine learning (ML); Neural
networks (NN); Stock market prediction; Support vector machine (SVM),Commerce; Deep
learning; Forecasting; Investments; Learning systems; Profitability; Support vector
machines; Deep learning; Machine learning; Machine learning techniques; Machine-
learning; Neural network; Neural-networks; Stock market prediction; Support vector
machine; Support vectors machine; Systematic Review; Financial markets,,,,,,,"Qian
B., Rasheed K., Stock market prediction with multiple classifiers, Appl. Intell.,
26, 1, pp. 25-33, (2007); Hussain N.A.A., Ali S.S.A., Saad M.N.M., Nordin N.,
Underactuated nonlinear adaptive control approach using U-model for multivariable
underwater glider control parameters, 2016 IEEE International Conference on
Underwater System Technology: Theory and Applications (USYS), pp. 19-25, (2016);
Shah D., Isah H., Zulkernine F., Stock market analysis: A review and taxonomy of
prediction techniques, Int. J. Financial Stud., 7, 2, (2019); Pathak A., Shetty
N.P., Indian stock market prediction using ML and sentiment analysis, Computational
Intelligence in Data Mining, Pp. 595-603, pp. 595-603, (2019); Patel J., Shah S.,
Thakkar P., Kotecha K., Predicting stock and stock price index movement using trend
deterministic data preparation and machine learning techniques, Expert Syst. Appl.,
42, 1, pp. 259-268, (2015); Hernandez-Alvarez M., Torres Hernandez E.A., Yoo S.G.,
Stock market data prediction using ML techniques, International Conference on
Information Technology & Systems, pp. 539-547, (2019); Banik S., Khan A.K., Anwer
M., Dhaka stock market timing decisions by hybrid machine learning technique, 2012
15th International Conference on Computer and Information Technology (ICCIT), pp.
384-389, (2012); Waqas A., Analyzing different ML techniques for stock market
prediction, Int. J. Comput. Sci. Inform. Sec., 12, pp. 12-17, (2014); Yang H., Chan
L., King I., Support vector machine regression for volatile stock market
prediction, International Conference on Intelligent Data Engineering and Automated
Learning 2002, pp. 391-396; Patel H.R., Parikh S.M., Darji D.N., Prediction model
for the stock market using news based different Classification, Regression, and
Statistical Techniques: (PMSMN), In2016 International Conference on ICT in Business
Industry & Government (ICTBIG) 2016 Nov, 18, pp. 1-5; Kim K.J., Lee W.B., Stock
market prediction using artificial NN with optimal feature transformation, Neural
Comput. Appl., 13, 3, pp. 255-260, (2004); Yoo P.D., Kim M.H., Jan T., Financial
forecasting: Advanced machine learning techniques in stock market analysis, In2005
Pakistan Section Multitopic Conference 2005 Dec 24, pp. 1-7; Chandar S.K., Sumathi
M., Sivanandam S.N., Prediction of the stock market price using a hybrid of wavelet
transform and artificial neural network, Indian J. Sci. Technol., 9, 8, pp. 1-5,
(2016); Ticknor J.L., A Bayesian regularized artificial neural network for stock
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analysis and prediction: Methodology, data representations, and case studies,
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Chang V., An innovative neural network approach for stock market prediction, J.
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Prediction models for the Indian stock market, Procedia Comput. Sci., 89, pp. 441-
449, (2016); Zhang K., Zhong G., Dong J., Wang S., Wang Y., Stock market prediction
based on the generative adversarial network, Procedia Comput. Sci., 147, pp. 400-
406, (2019); Selvin S., Vinayakumar R., Gopalakrishnan E.A., Menon V.K., Soman
K.P., Stock price prediction using LSTM, RNN, and CNN-sliding window model, In2017
International Conference on Advances in Computing, Communications, and Informatics
(Icacci), 13, pp. 1643-1647, (2017); Singh R., Srivastava S., Stock prediction
using deep learning, Multimedia Tools Appl, 76, 18, pp. 18569-18584, (2017); Vargas
M.R., de Lima B.S., Evsukoff A.G., Deep learning for stock market prediction from
financial news articles, 2017 IEEE International Conference on Computational
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(CIVEMSA), pp. 60-65, (2017); Althelaya K.A., El-Alfy E.S.M., Mohammed S.,
Evaluation of bidirectional lstm for short-and long-term stock market prediction,
2018 9th International Conference on Information and Communication Systems (ICICS),
pp. 151-156, (2018); Ray R., Khandelwal P., Baranidharan B., A survey on stock
market prediction using artificial intelligence techniques, 2018 International
Conference on Smart Systems and Inventive Technology (ICSSIT), pp. 594-598, (2018);
Li J., Bu H., Wu J., Sentiment-aware stock market prediction: A deep learning
method, 2017 International Conference on Service Systems and Service Management,
pp. 1-6, (2017); Guresen E., Kayakutlu G., Daim T.U., Using artificial neural
network models in stock market index prediction, Expert Syst. Appl., 38, 8, pp.
10389-10397, (2011)",,Singh P.K.; Singh R.C.; Singh M.,Elsevier Ltd,,"2020 National
Conference on Functional Materials: Emerging Technologies and Applications in
Materials Science, NCFM 2020",25 July 2020 through 26 July 2020,"Virtual,
Online",176172,22147853,,,,English,Mater. Today Proc.,Conference
paper,Final,,Scopus,2-s2.0-85118333539
Anjaria M.; Guddeti R.M.R.,"Anjaria, Malhar (56081383600); Guddeti, Ram Mohana
Reddy (57196319462)",56081383600; 57196319462,Influence factor based opinion mining
of Twitter data using supervised learning,2014,"2014 6th International Conference
on Communication Systems and Networks, COMSNETS
2014",,,6734907,,,,84,10.1109/COMSNETS.2014.6734907,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84896803877&doi=10.1109%2fCOMSNETS.2014.6734907&partnerID=40&md5=fee45cbada1f0e9da3
5cae8d61a5dc6f,"Department of Information Technology, National Institute of
Technology Karnataka, Surathkal, Mangalore - 575025, India","Anjaria M., Department
of Information Technology, National Institute of Technology Karnataka, Surathkal,
Mangalore - 575025, India; Guddeti R.M.R., Department of Information Technology,
National Institute of Technology Karnataka, Surathkal, Mangalore - 575025,
India","Social Networking portals have been widely used for expressing opinions in
the public domain through internet based text messages and images. Among popular
social networking portals, Twitter has been the point of attraction to several
researchers in important areas like prediction of democratic electoral events,
consumer brands, movie box office, stock market, popularity of celebrities etc.
Sentiment analysis over Twitter offers a fast and efficient way of monitoring the
public sentiment. In this paper, we introduce the novel approach of exploiting the
user influence factor in order to predict the outcome of an election result. We
also propose a hybrid approach of extracting opinion using direct and indirect
features of Twitter data based on Support Vector Machines (SVM), Naive Bayes,
Maximum Entropy and Artificial Neural Networks based supervised classifiers. We
combined Principal Component Analysis (PCA) with SVM in an attempt to perform
dimensionality reduction. This paper shows two different case studies of entirely
different social scenarios, US Presidential Elections 2012 and Karnataka Assembly
Elections 2013. We conclude the conditions under which Twitter may fail or succeed
in predicting the outcome of elections. Experimental results demonstrate that
Support Vector Machines outperform all other classifiers with maximum successful
prediction accuracy of 88% in case of US Presidential Elections held in November
2012 and maximum prediction accuracy of 58% in case of Karnataka State Assembly
Elections held in May 2013. © 2014 IEEE.",big data analysis electoral prediction;
micro-blogs; opinion mining; sentiment analysis; social intelligence; social
network analysis; supervised machine learning; twitter; twitter
analytics,Communication systems; Data mining; Forecasting; Motion pictures; Neural
networks; Principal component analysis; Supervised learning; Support vector
machines; Telephone systems; micro-blogs; Opinion mining; Sentiment analysis;
Social intelligence; Supervised machine learning; twitter; twitter analytics;
Social networking (online),,,,,,,"Pak A., Paroubek P., Twitter as a corpus for
sentiment analysis and opinion mining, Proceedings of the Seventh International
Conference on Language Resources and Evaluation (LREC' 10), (2010); Pang B., Lee
L., Seeing Stars: Exploiting Class Relationships Fpr Sentiment Categorization with
Respect to Rating Scales, (2002); O'Connor B., Balasubramanyan, Et al., From tweets
to polls: Linking text sentiment to public opinion time series, Proceedings of the
International AAAI Conference on Weblogs and Social Media, (2010); Meeyoung C., Et
al., Measuring user in uence in twitter: The million follower fallacy, Fourth
International AAAI Conference on Weblogs and Social Media, (2010); Boutet A., Et
al., What's in your tweet: I know Who You Supported in the UK 2010 general
elections, Association for the Advancement of Artificial Intelligence, (2012);
Bollen J., Pepe A., Mao H., Modeling public mood and emotion: Twitter sentiment and
socioeconomic phenomena, Proceedings of the Fifth International AAAI Conference on
Weblogs and Social Media (ICWSM 2011), (2011); Skoric M., Poor N., Achananuparp P.,
Lim E., Jiang J., Et al., Tweets and votes: A study of the 2011 singapore general
election, Proceedings at 2012 45th Hawaii International Conference on System
Sciences; Romero D.M., Meeder B., Kleinberg J., Differences in the mechanics of
information diffusion across topics: Idioms, political hashtags, and complex
contagion on twitter, Proceedings of the 20th International Conference on World
Wide Web (WWW), (2011); Cozma R., Chen K., Congressional candidates use of twitter
during the 2010 midterm elections: A wasted opportunity?, 6lst Annual Conference of
the International Communication Association, (2011); Parsing election day media:
How the midterms message varied by platform, Pew, (2010); Moraes R., Valiati J.F.,
Document-level sentiment classification: An empirical comparison between SVM and
ANN, Elseveir Transactions for Expert Systems with Applications, 40, pp. 621-633,
(2013); Chen L., Liu C., Chiu H., A neural network based approach for sentiment
classification in the Blogosphere, Elseveir Journal of Informatics, 5, pp. 313-322,
(2011); Song M., Kim Chul M., RT2M: Real-time Twitter Trend Mining System, 2013
International Conference on Social Intelligence and Technology; Sentiment Analysis
of User-Generated Twitter Updates Using Various Classification Techniques, (2009);
Barbosa L., Feng J., Robust sentiment detection on Twitter from biased and noisy
data, Proc. of CO Ling, (2010); Turney P.D., Thumbs up or thumbs down? Semantic
orientation applied to unsupervised classification of reviews, Proceedings of ACL
2002, (2002); Jiang L., Ai E., Target-dependent twitter sentiment classification,
Proceedings of the 49th Annual Meeting of the Association for Computational
Linguistics; Cristianini N., Shawe-Taylor J., An Introduction to Support Vector
Machines and Other Kernel-based Learning Methods, (2000); Ashraf M., Et al.,
Multinomial Naive Bayes for Text Categorization Revisited; Go A., Et al., Twitter
Sentiment Classification Using Distant Supervision; Computer D.O., Hsu C.W., Chang
C.C., Lin C.J., A practical guide to support vector classification chih-wei hsu,
chih-chung chang, and chih-jen lin, Technical Report, (2003); Pang, Lee, Sentiment
classification using machine learning techniques, Proceedings of the Conference on
Empirical Methods in Natural Language Processing (EMNLP) 2002, (2002); Bermingham
A., Smeaton A.F., On using Twitter to monitor polticial sentiment and predict
election results, Proceedings of the Workshop on Sentiment Analysis Where Al Meets
Psychology (SAAIP), pp. 2-10, (2011); Nigam K., Laverty J., McCallum A., Using
maximum entropy for text classification, IlCAI-99 Workshop on Machine Learning for
Information Filtering, pp. 61-67; Hastie T., Tibshirani R., Friedman J., The
Elements of Statistical Learning, (2001); Russell S.J., Norvig P., Davis E.,
Artificial Intelligence: A Modern Approach, (2010); Gutierrez R., Dimensionality
Reduction (PC A); Rosenman E.T.R., Retweets,but Not Just Retweets, (2011);
Predicting the future with Social Media, WI-IAT '10 Proceedings of the 2010
IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent
Technology, 1, pp. 492-499",,,,Microsoft; Cisco; Google; AirTight; IBM,"2014 6th
International Conference on Communication Systems and Networks, COMSNETS 2014",7
January 2014 through 10 January 2014,Bangalore,103070,,978-147993635-
9,,,English,"Int. Conf. Commun. Syst. Networks, COMSNETS",Conference
paper,Final,,Scopus,2-s2.0-84896803877
Carta S.; Corriga A.; Ferreira A.; Podda A.S.; Recupero D.R.,"Carta, Salvatore
(7004254388); Corriga, Andrea (57202710253); Ferreira, Anselmo (36699403000);
Podda, Alessandro Sebastian (56875324700); Recupero, Diego Reforgiato
(57206674454)",7004254388; 57202710253; 36699403000; 56875324700; 57206674454,A
multi-layer and multi-ensemble stock trader using deep learning and deep
reinforcement learning,2021,Applied
Intelligence,51,2,,889,905,16,86,10.1007/s10489-020-01839-5,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85090308710&doi=10.1007%2fs10489-020-01839-
5&partnerID=40&md5=18836e6886360f724c0a43ebec9a40ba,"Department of Mathematics and
Computer Science, University of Cagliari, Via Ospedale 72, Cagliari, 09124,
Italy","Carta S., Department of Mathematics and Computer Science, University of
Cagliari, Via Ospedale 72, Cagliari, 09124, Italy; Corriga A., Department of
Mathematics and Computer Science, University of Cagliari, Via Ospedale 72,
Cagliari, 09124, Italy; Ferreira A., Department of Mathematics and Computer
Science, University of Cagliari, Via Ospedale 72, Cagliari, 09124, Italy; Podda
A.S., Department of Mathematics and Computer Science, University of Cagliari, Via
Ospedale 72, Cagliari, 09124, Italy; Recupero D.R., Department of Mathematics and
Computer Science, University of Cagliari, Via Ospedale 72, Cagliari, 09124,
Italy","The adoption of computer-aided stock trading methods is gaining popularity
in recent years, mainly because of their ability to process efficiently past
information through machine learning to predict future market behavior. Several
approaches have been proposed to this task, with the most effective ones using
fusion of a pile of classifiers decisions to predict future stock values. However,
using prices information in single supervised classifiers has proven to lead to
poor results, mainly because market history is not enough to be an indicative of
future market behavior. In this paper, we propose to tackle this issue by proposing
a multi-layer and multi-ensemble stock trader. Our method starts by pre-processing
data with hundreds of deep neural networks. Then, a reward-based classifier acts as
a meta-learner to maximize profit and generate stock signals through different
iterations. Finally, several metalearner trading decisions are fused in order to
get a more robust trading strategy, using several trading agents to take a final
decision. We validate the effectiveness of the approach in a real-world trading
scenario, by extensively testing it on the Standard & Poor’s 500 future market and
the J.P. Morgan and Microsoft stocks. Experimental results show that the proposed
method clearly outperforms all the considered baselines (which still performs very
well in the analysed period), and even the conventional Buy-and-Hold strategy,
which replicates the market behaviour. © 2020, Springer Science+Business Media,
LLC, part of Springer Nature.",Deep learning; Deep reinforcement learning; Intraday
stock trading,Classification (of information); Commerce; Computer aided
instruction; Data handling; Deep neural networks; Electronic trading; Piles;
Reinforcement learning; Buy-and-hold strategy; Computer aided; Final decision;
Market behavior; Market behaviours; Pre-processing; Supervised classifiers; Trading
strategies; Deep learning,,,,,"Associação Portuguesa de Enfermeiros de Cuidados em
Estomaterapia, APECE",,"Ahmadian S., Khanteymoori A.R., Training back propagation
neural networks using asexual reproduction optimization, Conference on Information
and Knowledge Technology (IKT), pp. 1-6, (2015); An N., Ding H., Yang J., Au R.,
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Inform, 105, (2020); Asad M., Optimized stock market prediction using ensemble
learning, 2015 9Th International Conference on Application of Information and
Communication Technologies (AICT), pp. 263-268, (2015); Barra S., Carta S.M.,
Corriga A., Podda A.S., Recupero D.R., Deep learning and time series-to-image
encoding for financial forecasting, IEEE/CAA J Autom Sin, 73, pp. 683-692, (2020);
Calvi G.G., Lucic V., Mandic D.P., Support tensor machine for financial
forecasting, ICASSP 2019 - 2019 IEEE International Conference on Acoustics, Speech
and Signal Processing (ICASSP), pp. 8152-8156, (2019); Chun S.H., Park Y.J.,
Dynamic adaptive ensemble case-based reasoning: application to stock market
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(2020)","S. Carta; Department of Mathematics and Computer Science, University of
Cagliari, Cagliari, Via Ospedale 72, 09124, Italy; email:
[email protected]",,Springer,,,,,,0924669X,,APITE,,English,Appl
Intell,Article,Final,,Scopus,2-s2.0-85090308710
Jayanth Balaji A.; Harish Ram D.S.; Nair B.B.,"Jayanth Balaji, A. (57191282192);
Harish Ram, D.S. (49963634900); Nair, Binoy B. (35386974400)",57191282192;
49963634900; 35386974400,Applicability of deep learning models for stock price
forecasting an empirical study on bankex data,2018,Procedia Computer
Science,143,,,947,953,6,60,10.1016/j.procs.2018.10.340,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85058350678&doi=10.1016%2fj.procs.2018.10.340&partnerID=40&md5=752965ef13b627d93b08
28fd21b9baf2,"SIERS Research Laboratory, Department of Electronics and
Communication Engineering, Amrita School of Engineering, Amrita Vishwa
Vidyapeetham, Coimbatore, India","Jayanth Balaji A., SIERS Research Laboratory,
Department of Electronics and Communication Engineering, Amrita School of
Engineering, Amrita Vishwa Vidyapeetham, Coimbatore, India; Harish Ram D.S., SIERS
Research Laboratory, Department of Electronics and Communication Engineering,
Amrita School of Engineering, Amrita Vishwa Vidyapeetham, Coimbatore, India; Nair
B.B., SIERS Research Laboratory, Department of Electronics and Communication
Engineering, Amrita School of Engineering, Amrita Vishwa Vidyapeetham, Coimbatore,
India","Stock price time series are extremely nonlinear in nature and hence,
accurate stock price forecasting has been a challenge. Accurate prediction of stock
prices and the direction of stock price movement is also essential for a stock
trader/investor in order to trade profitably. A deep learning approach to stock
price forecasting is presented in this study. A total of fourteen different deep
learning models based on Long-Short Term Memory (LSTM), Gated Recurring Unit (GRU),
Convolutional Neural Networks (CNN) and Extreme Learning Machines (ELM) are
designed and empirically evaluated on all stocks in the S&P BSE-BANKEX index for
their ability to generate one-step ahead and four-step ahead forecasts. Performance
of the proposed systems is evaluated in terms of the Root Mean Squared Error
(RMSE), Directional Accuracy (DA) and the Median Absolute Percentage Error (MdAPE).
Results indicate that deep learning models proposed in this study are capable of
generating highly accurate stock price forecasts. © 2018 The Authors. Published by
Elsevier B.V.",CNN; Deep learning; ELM; Financial time-series; GRU; LSTM,Commerce;
Electronic trading; Financial markets; Forecasting; Long short-term memory; Mean
square error; Time series; Convolutional Neural Networks (CNN); Extreme learning
machine; Financial time series; LSTM; Root mean squared errors; Stock price
forecasting; Stock price forecasts; Stock price movements; Deep
learning,,,,,,,"Cowles A., Can stock market forecasters forecast?, Econometrica:
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forecasting, Econometrica, Journal of The Econometric Society, pp. 206-214, (1944);
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survey and some empirical results, Intelligent Decision Technologies, 9, 2, pp. 99-
140, (2015); Nair B.B., Mohandas V., An intelligent recommender system for stock
trading, Intelligent Decision Technologies, 9, 3, pp. 243-269, (2015); Nair B.B.,
Mohandas V., Nayanar N., Teja E., Vigneshwari S., Teja K., A stock trading
recommender system based on temporal association rule mining, SAGE Open, 5, 2,
(2015); Huang G., Liu Z., Weinberger K.Q., Van Der Maaten L., Densely connected
convolutional networks, Proceedings of The IEEE Conference on Computer Vision and
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Vision and Pattern Recognition, pp. 770-778, (2016); Index Reach - S&P Bse Bankex,
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event forecasting with neural networks at uber, International Conference on Machine
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Reports, 8, 1, (2018); Bandara K., Bergmeir C., Smyl S., Forecasting Across Time
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machine for regression and multiclass classification, IEEE Transactions on Systems,
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forecasting based on a hybrid model, Omega, 40, 6, pp. 758-766, (2012)","A. Jayanth
Balaji; SIERS Research Laboratory, Department of Electronics and Communication
Engineering, Amrita School of Engineering, Amrita Vishwa Vidyapeetham, Coimbatore,
India; email: [email protected]",Buyya R.; Sherly K.K.,Elsevier
B.V.,,"8th International Conference on Advances in Computing and Communications,
ICACC 2018",13 September 2018 through 15 September
2018,Kochi,142252,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85058350678
Usmani M.; Adil S.H.; Raza K.; Ali S.S.A.,"Usmani, Mehak (57193066828); Adil, Syed
Hasan (35434470300); Raza, Kamran (36459246400); Ali, Syed Saad Azhar
(16318609100)",57193066828; 35434470300; 36459246400; 16318609100,Stock market
prediction using machine learning techniques,2016,"2016 3rd International
Conference on Computer and Information Sciences, ICCOINS 2016 -
Proceedings",,,7783235,322,327,5,97,10.1109/ICCOINS.2016.7783235,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85010430957&doi=10.1109%2fICCOINS.2016.7783235&partnerID=40&md5=57a228268651c24800b
c7d19bfa93750,"Department of Computer Science, Iqra University, Karachi, Pakistan;
Department of Electrical Engineering, Universiti Teknologi Petronas, Bandar Seri
Iskandar, Malaysia","Usmani M., Department of Computer Science, Iqra University,
Karachi, Pakistan; Adil S.H., Department of Computer Science, Iqra University,
Karachi, Pakistan; Raza K., Department of Computer Science, Iqra University,
Karachi, Pakistan; Ali S.S.A., Department of Electrical Engineering, Universiti
Teknologi Petronas, Bandar Seri Iskandar, Malaysia","The main objective of this
research is to predict the market performance of Karachi Stock Exchange (KSE) on
day closing using different machine learning techniques. The prediction model uses
different attributes as an input and predicts market as Positive & Negative. The
attributes used in the model includes Oil rates, Gold & Silver rates, Interest
rate, Foreign Exchange (FEX) rate, NEWS and social media feed. The old statistical
techniques including Simple Moving Average (SMA) and Autoregressive Integrated
Moving Average (ARIMA) are also used as input. The machine learning techniques
including Single Layer Perceptron (SLP), Multi-Layer Perceptron (MLP), Radial Basis
Function (RBF) and Support Vector Machine (SVM) are compared. All these attributes
are studied separately also. The algorithm MLP performed best as compared to other
techniques. The oil rate attribute was found to be most relevant to market
performance. The results suggest that performance of KSE-100 index can be predicted
with machine learning techniques. © 2016 IEEE.",KSE-100 Index; Neural Networks;
Stock Prediction; Support Vector Machine,Artificial intelligence; Commerce;
Electronic trading; Financial markets; Forecasting; Information science; Learning
algorithms; Neural networks; Radial basis function networks; Support vector
machines; Auto-regressive integrated moving average; KSE-100 Index; Machine
learning techniques; Multi layer perceptron; Radial Basis Function(RBF); Single
layer perceptron; Stock market prediction; Stock predictions; Learning
systems,,,,,,,"Qamar S., Adil S.H., Comparative analysis of data mining techniques
for financial data using parallel processing, Proceedings of the 7th International
Conference on Frontiers of Information Technology, (2009); Adil S.H., Qamar S.,
Implementation of association rule mining using CUDA, International Conference on
Emerging Technologies (ICET), (2009); Ah S.S.A., Moinuddin M., Raza K., Adil S.H.,
An adaptive learning rate for RBFNN using time-domain feedback analysis, The
Scientific World Journal, (2014); Lo A.W., MacKinlay A.C., Stock market prices do
not follow random walks: Evidence from a simple specification test, Review of
Financial Studies, 1, 1, pp. 41-66, (1988); Aurangzeb C.D.R., Factors affecting
performance of stock market: Evidence from South Asian countries, International
Journal of Academic Research in Business and Social Sciences, 2, 9, (2012); Fatima
S., Hussain G., Statistical models of KSE100 index using hybrid financial systems,
Neurocomputing, 71, 13, pp. 2742-2746, (2008); Ali I., Rehman K.U., Yilmaz A.K.,
Khan M.A., Afzal H., Causal relationship between macro-economic indicators and
stock exchange prices in Pakistan, African Journal of Business Management, 4, 3,
(2010); Bollen J., Mao H., Zeng X., Twitter mood predicts the stock market, Journal
of Computational Science, 2, 1, pp. 1-8, (2011); Shen S., Jiang H., Zhang T., Stock
Market Forecasting Using Machine Learning Algorithms, (2012); Asur S., Huberman
B.A., Predicting the future with social media, International Conference on Web
Intelligence and Intelligent Agent Technology (WI-IAT), (2010); Hung N.H., Zhaojun
Y., Profitability of applying simple moving average trading rules for the
Vietnamese stock market, Journal of Business Management, 2, 3, pp. 22-31, (2013);
Wilson T., Hoffmann P., Somasundaran S., Kessler J., Wiebe J., Choi Y., Patwardhan
S., OpinionFinder: A system for subjectivity analysis, Proceedings of Emnlp on
Interactive Demonstrations, pp. 34-35, (2005)",,,Institute of Electrical and
Electronics Engineers Inc.,,"3rd International Conference on Computer and
Information Sciences, ICCOINS 2016",15 August 2016 through 17 August 2016,Kuala
Lumpur,125433,,978-150905134-2,,,English,"Int. Conf. Comput. Inf. Sci., ICCOINS
2016 - Proc.",Conference paper,Final,,Scopus,2-s2.0-85010430957
Chen C.; Zhao L.; Bian J.; Xing C.; Liu T.-Y.,"Chen, Chi (56918840400); Zhao, Li
(57192668720); Bian, Jiang (57203105806); Xing, Chunxiao (55625403700); Liu, Tie-
Yan (8536446600)",56918840400; 57192668720; 57203105806; 55625403700;
8536446600,Investment behaviors can tell what inside: Exploring stock intrinsic
properties for stock trend prediction,2019,Proceedings of the ACM SIGKDD
International Conference on Knowledge Discovery and Data
Mining,,,,2376,2384,8,61,10.1145/3292500.3330663,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071173399&doi=10.1145%2f3292500.3330663&partnerID=40&md5=8b6a1c99a07d2155498f6f73
7b450e04,"Tsinghua University, Beijing, China; Microsoft Research, Beijing,
China","Chen C., Tsinghua University, Beijing, China; Zhao L., Microsoft Research,
Beijing, China; Bian J., Microsoft Research, Beijing, China; Xing C., Tsinghua
University, Beijing, China; Liu T.-Y., Microsoft Research, Beijing, China","Stock
trend prediction, aiming at predicting future price trend of stocks, plays a key
role in seeking maximized profit from the stock investment. Recent years have
witnessed increasing efforts in applying machine learning techniques, especially
deep learning, to pursue more promising stock prediction. While deep learning has
given rise to significant improvement, human investors still retain the leading
position due to their understanding on stock intrinsic properties, which can imply
invaluable principles for stock prediction. In this paper, we propose to extract
and explore stock intrinsic properties to enhance stock trend prediction.
Fortunately, we discover that the repositories of investment behaviors within
mutual fund portfolio data form up a gold mine to extract latent representations of
stock properties, since such collective investment behaviors can reflect the
professional fund managers' common beliefs on stock intrinsic properties. Powered
by extracted stock properties, we further propose to model the dynamic market state
and trend using stock representations so as to generate the dynamic correlation
between the stock and the market, and then we aggregate such correlation with
dynamic stock indicators to achieve more accurate stock prediction. Extensive
experiments on real-world stock market data demonstrate the effectiveness of stock
properties extracted from collective investment behaviors in the task of stock
prediction. © 2019 Association for Computing Machinery.",Matrix Factorization;
Mutual Fund Portfolio Data; Stock Prediction,Commerce; Data mining; Deep learning;
Factorization; Financial markets; Forecasting; Dynamic correlation; Intrinsic
property; Machine learning techniques; Matrix factorizations; Mutual funds; Stock
indicators; Stock predictions; Stock trend prediction; Investments,,,,,"National
Key R&D Program of China, (SQ2018YFB140235); National Natural Science Foundation of
China, NSFC, (91646202)",Chi Chen and Chunxiao Xing are supported by NSFC 91646202
and National Key R&D Program of China SQ2018YFB140235.,"Adebiyi A.A., Adewumi A.O.,
Ayo C.K., Comparison of ARIMA and artificial neural networks models for stock price
prediction, Journal of Applied Mathematics, 2014, (2014); Akita R., Yoshihara A.,
Matsubara T., Uehara K., Deep learning for stock prediction using numerical and
textual information, Computer and Information Science (ICIS), 2016 IEEE/ACIS 15th
International Conference on, pp. 1-6, (2016); Bisoi R., Dash P.K., A hybrid
evolutionary dynamic neural network for stock market trend analysis and prediction
using unscented Kalman filter, Applied Soft Computing, 19, pp. 41-56, (2014); Chan
L.K.C., Chen H.-L., Lakonishok J., On mutual fund investment styles, The Review of
Financial Studies, 15, 5, pp. 1407-1437, (2002); Chandra P., Investment Analysis
and Portfolio Management, (2017); Edwards R.D., Magee J., Charles Bassetti W.H.,
Technical Analysis of Stock Trends, (2007); Falkenstein E.G., Preferences for stock
characteristics as revealed by mutual fund portfolio holdings, The Journal of
Finance, 51, 1, pp. 111-135, (1996); Fischer T., Krauss C., Deep learning with long
short-term memory networks for financial market predictions, European Journal of
Operational Research, 270, 2, pp. 654-669, (2018); Frey B.J., Dueck D., Clustering
by passing messages between data points, Science, 315, 5814, pp. 972-976, (2007);
Gao Q., Stock Market Forecasting Using Recurrent Neural Network, (2016); Gers F.A.,
Schraudolph N.N., Schmidhuber J., Learning precise timing with LSTM recurrent
networks, Journal of Machine Learning Research, 3, pp. 115-143, (2002); Gocken M.,
Ozcalici M., Boru A., Dosdogru A.T., Integrating metaheuristics and artificial
neural networks for improved stock price prediction, Expert Systems with
Applications, 44, pp. 320-331, (2016); Kakushadze Z., 101 Formulaic Alphas, Wilmott
2016, 84, pp. 72-81, (2016); Kim K.-J., Ahn H., Simultaneous optimization of
artificial neural networks for financial forecasting, Applied Intelligence, 36, 4,
pp. 887-898, (2012); Koren Y., Bell R., Volinsky C., Matrix factorization
techniques for recommender systems, Computer, 42, (2009); Laboissiere L.A.,
Fernandes R.A.S., Lage G.G., Maximum and minimum stock price forecasting of
Brazilian power distribution companies based on artificial neural networks, Applied
Soft Computing, 35, pp. 66-74, (2015); Li L., Leng S., Yang J., Yu M., Stock market
autoregressive dynamics: A multinational comparative study with quantile
regression, Mathematical Problems in Engineering 2016, (2016); Liu T.-Y., Et al.,
Learning to rank for information retrieval, Foundations and Trends® in Information
Retrieval, 3, 3, pp. 225-331, (2009); Medsker L.R., Jain L.C., Recurrent neural
networks, Design and Applications, 5, (2001); Murphy J.J., Technical Analysis of
the Financial Markets: A Comprehensive Guide to Trading Methods and Applications,
(1999); Nassirtoussi A.K., Aghabozorgi S., Wah T.Y., Ngo D.C.L., Text mining of
news-headlines for FOREX market prediction: A Multi-layer Dimension Reduction
Algorithm with semantics and sentiment, Expert Systems with Applications, 42, 1,
pp. 306-324, (2015); Nelson D.M.Q., Pereira A.C.M., De Oliveira R.A., Stock
market's price movement prediction with LSTM neural networks, Neural Networks
(IJCNN), 2017 International Joint Conference on, pp. 1419-1426, (2017); Patel J.,
Shah S., Thakkar P., Kotecha K., Predicting stock market index using fusion of
machine learning techniques, Expert Systems with Applications, 42, 4, pp. 2162-
2172, (2015); Paul Pauca V., Shahnaz F., Berry M.W., Plemmons R.J., Text mining
using non-negative matrix factorizations, Proceedings of the 2004 SIAM
International Conference on Data Mining, pp. 452-456, (2004); Preethi G., Santhi
B., Stock market forecasting techniques: A survey, Journal of Theoretical & Applied
Information Technology, 46, (2012); Rather A.M., Agarwal A., Sastry V.N., Recurrent
neural network and a hybrid model for prediction of stock returns, Expert Systems
with Applications, 42, 6, pp. 3234-3241, (2015); Schoneburg E., Stock price
prediction using neural networks: A project report, Neurocomputing, 2, 1, pp. 17-
27, (1990); Shashua A., Hazan T., Non-negative tensor factorization with
applications to statistics and computer vision, Proceedings of the 22nd
International Conference on Machine Learning, pp. 792-799, (2005); Si J., Mukherjee
A., Liu B., Li Q., Li H., Deng X., Exploiting topic based twitter sentiment for
stock prediction, Proceedings of the 51st Annual Meeting of the Association for
Computational Linguistics (Volume 2: Short Papers), 2, pp. 24-29, (2013); Ticknor
J.L., A Bayesian regularized artificial neural network for stock market
forecasting, Expert Systems with Applications, 40, 14, pp. 5501-5506, (2013); Zhang
L., Aggarwal C., Qi G.-J., Stock price prediction via discovering multi-frequency
trading patterns, Proceedings of the 23rd ACM SIGKDD International Conference on
Knowledge Discovery and Data Mining, pp. 2141-2149, (2017); Zhou Z., Zhao J., Xu
K., Can online emotions predict the stock market in China?, International
Conference on Web Information Systems Engineering, pp. 328-342,
(2016)",,,Association for Computing Machinery,ACM SIGKDD; ACM SIGMOD,"25th ACM
SIGKDD International Conference on Knowledge Discovery and Data Mining, KDD 2019",4
August 2019 through 8 August 2019,Anchorage,149966,,978-145036201-6,,,English,Proc.
ACM SIGKDD Int. Conf. Knowl. Discov. Data Min.,Conference paper,Final,,Scopus,2-
s2.0-85071173399
Nayak A.; Pai M.M.M.; Pai R.M.,"Nayak, Aparna (57641685800); Pai, M. M. Manohara
(58943928700); Pai, Radhika M. (57194587874)",57641685800; 58943928700;
57194587874,Prediction Models for Indian Stock Market,2016,Procedia Computer
Science,89,,,441,449,8,85,10.1016/j.procs.2016.06.096,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84986628098&doi=10.1016%2fj.procs.2016.06.096&partnerID=40&md5=f1f6ac352be6970bd22a
24e355be8d55,"Manipal Institute of Technology, Manipal University, Manipal, 576
104, India","Nayak A., Manipal Institute of Technology, Manipal University,
Manipal, 576 104, India; Pai M.M.M., Manipal Institute of Technology, Manipal
University, Manipal, 576 104, India; Pai R.M., Manipal Institute of Technology,
Manipal University, Manipal, 576 104, India","Stock market price data is generated
in huge volume and it changes every second. Stock market is a complex and
challenging system where people will either gain money or lose their entire life
savings. In this work, an attempt is made for prediction of stock market trend. Two
models are built one for daily prediction and the other one is for monthly
prediction. Supervised machine learning algorithms are used to build the models. As
part of the daily prediction model, historical prices are combined with sentiments.
Up to 70% of accuracy is observed using supervised machine learning algorithms on
daily prediction model. Monthly prediction model tries to evaluate whether there is
any similarity between any two months trend. Evaluation proves that trend of one
month is least correlated with the trend of another month. © 2016 The Authors.
Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND
license.",Boosted Decision Tree; Logistic Regression; Sentiment Analysis; Stock
market; Support Vector Machine,Artificial intelligence; Commerce; Complex networks;
Data mining; Decision trees; Electronic trading; Finance; Financial markets;
Forecasting; Image processing; Learning systems; Signal processing; Supervised
learning; Support vector machines; Warehouses; Boosted decision trees; Logistic
regressions; Prediction model; Sentiment analysis; Stock market prices; Supervised
machine learning; Learning algorithms,,,,,,,"Nai-Fu Chen S.A.R., Roll R., Forces
E., The Stock Market, The Journal of Business, 59, 3, pp. 383-403, (1986); Fama
E.F., Random Walks in Stock Market Prices, Financial Analysts Journal, 51, 1, pp.
75-80, (1995); Grossman S.J., Shiller R.J., The Determinants of the Variability of
Stock Market Prices, National Bureau of Economic Research, (1980); Lo A.W.,
MacKinlay A.C., Stock Market Prices do not Follow Random Walks: Evidence from a
Simple Specification Test, Review of Financial Studies, 1, 1, pp. 41-66, (1988);
Paakkonen P., Reference Architecture and Classification of Technologies, Products
and Services for Big Data Systems, 2, 4, pp. 166-186, (2015); Zhang P.A.G.X.,
Fuehres H., Predicting Stock Market Indicators Through Twitter i Hope It Is Not As
Bad As i Fear, 26, pp. 55-62, (2011); Bollen J., Mao H., Zeng X., Twitter Mood
Predicts the Stock Market, Journal of Computational Science, 2, 1, pp. 1-8, (2011);
Mizumoto K., Yanagimoto H., Yoshioka M., Sentiment Analysis of Stock Market News
with Semi-Supervised Learning, 2012 IEEE/ACIS 11th International Conference on
Computer and Information Science (ICIS), pp. 325-328, (2012); Antweiler M.Z.F.W.,
Is all that Talk Just Noise? the Information Content of Internet Stock Message
Boards, The Journal of Finance, 59, 3, pp. 1259-1294, (2004); Ahuja R., Rastogi H.,
Choudhuri A., Garg B., Stock Market Forecast Using Sentiment Analysis, 2015 2nd
International Conference on Computing for Sustainable Global Development
(INDIACom), pp. 1008-1010, (2015); Lin N., Yuan J., Xu W., Wei L., Wang X., How web
News Media Impact Futures Market Price Linkage?, 2013 Sixth International
Conference on Business Intelligence and Financial Engineering (BIFE), pp. 562-566,
(2013); Hagenau M., Liebmann M., Hedwig M., Neumann D., Automated News Reading:
Stock Price Prediction Based on Financial News Using Context-Specific Features,
2012 45th Hawaii International Conference on System Science (HICSS), pp. 1040-1049,
(2012); Gong J., Sun S., A New Approach of Stock Price Prediction Based on Logistic
Regression Model, 2009. NISS'09. International Conference on New Trends in
Information and Service Science, pp. 1366-1371, (2009); Tumarkin R.F.W.R., News or
Noise? Internet Postings and Stock Prices, Financial Analysts Journal, 57, 3, pp.
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Nayak A., Stock Market Prediction: A Big Data Approach, TENCON 2015-2015 IEEE
Region 10 Conference, pp. 1-5, (2015); Rechenthin P.S.M., Street W.N., Stock
Chatter: Using Stock Sentiment to Predict Price Direction, (2013); Nguyen T.H.,
Shirai K., Velcin J., Sentiment Analysis on Social Media for Stock Movement
Prediction, Expert Systems with Applications, 42, 24, pp. 9603-9611,
(2015)","M.M.M. Pai; Manipal Institute of Technology, Manipal University, Manipal,
576 104, India; email: [email protected]","Iyengar S.S.; Venugopal K.R.; Raja
K.B.; Buyya R.; Patnaik L.M.; National Institute of Advanced Studies (INSA), Indian
Institute of Science Campus, Bangalore; Deepa Shenoy P.",Elsevier B.V.,,"12th
International Conference on Communication Networks, ICCN 2016, 12th International
Conference on Data Mining and Warehousing, ICDMW 2016 and 12th International
Conference on Image and Signal Processing, ICISP 2016",19 August 2016 through 21
August 2016,Bangalore,123476,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-84986628098
Koukaras P.; Nousi C.; Tjortjis C.,"Koukaras, Paraskevas (57209837238); Nousi,
Christina (57270112300); Tjortjis, Christos (6505849477)",57209837238; 57270112300;
6505849477,Stock Market Prediction Using Microblogging Sentiment Analysis and
Machine Learning,2022,Telecom,3,2,,358,378,20,36,10.3390/telecom3020019,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85134408271&doi=10.3390%2ftelecom3020019&partnerID=40&md5=7c8309fd2f6173230e9529e21
fa23986,"School of Science and Technology, International Hellenic University,
Thessaloniki, 57001, Greece","Koukaras P., School of Science and Technology,
International Hellenic University, Thessaloniki, 57001, Greece; Nousi C., School of
Science and Technology, International Hellenic University, Thessaloniki, 57001,
Greece; Tjortjis C., School of Science and Technology, International Hellenic
University, Thessaloniki, 57001, Greece","The use of Machine Learning (ML) and
Sentiment Analysis (SA) on data from microblogging sites has become a popular
method for stock market prediction. In this work, we developed a model for
predicting stock movement utilizing SA on Twitter and StockTwits data. Stock
movement and sentiment data were used to evaluate this approach and validate it on
Microsoft stock. We gathered tweets from Twitter and StockTwits, as well as
financial data from Finance Yahoo. SA was applied to tweets, and seven ML
classification models were implemented: K-Nearest Neighbors (KNN), Support Vector
Machine (SVM), Logistic Regression (LR), Naïve Bayes (NB), Decision Tree (DT),
Random Forest (RF) and Multilayer Perceptron (MLP). The main novelty of this work
is that it integrates multiple SA and ML methods, emphasizing the retrieval of
extra features from social media (i.e., public sentiment), for improving stock
prediction accuracy. The best results were obtained when tweets were analyzed using
Valence Aware Dictionary and sEntiment Reasoner (VADER) and SVM. The top F-score
was 76.3%, while the top Area Under Curve (AUC) value was 67%. © 2022 by the
authors.",classification; data mining; machine learning; microblogging; sentiment
analysis; stock market prediction; stocktwits; twitter,,,,,,,,"Billah M., Waheed
S., Hanifa A., Stock market prediction using an improved training algorithm of
neural network, Proceedings of the 2016 2nd International Conference on Electrical,
Computer & Telecommunication Engineering (ICECTE), pp. 1-4; Khedr A.E., Yaseen N.,
Predicting stock market behavior using data mining technique and news sentiment
analysis, Int. J. Intell. Syst. Appl, 9, (2017); Rousidis D., Koukaras P., Tjortjis
C., Social media prediction: A literature review, Multimed. Tools Appl, 79, pp.
6279-6311, (2020); Gurjar M., Naik P., Mujumdar G., Vaidya T., Stock market
prediction using ANN, Int. Res. J. Eng. Technol, 5, pp. 2758-2761, (2018); Huang
Y., Capretz L.F., Ho D., Machine learning for stock prediction based on fundamental
analysis, Proceedings of the 2021 IEEE Symposium Series on Computational
Intelligence (SSCI), pp. 1-10; Smailovic J., Grcar M., Lavrac N., Znidarsic M.,
Predictive sentiment analysis of tweets: A stock market application, International
Workshop on Human-Computer Interaction and Knowledge Discovery in Complex,
Unstructured, Big Data, pp. 77-88, (2013); Koukaras P., Tjortjis C., Rousidis D.,
Social Media Types: Introducing a Data Driven Taxonomy, 102, pp. 295-340, (2020);
Koukaras P., Tjortjis C., Social Media Analytics, Types and Methodology, Machine
Learning Paradigms, pp. 401-427, (2019); Nasukawa T., Yi J., Sentiment analysis:
Capturing favorability using natural language processing, Proceedings of the 2nd
International Conference on Knowledge Capture, pp. 70-77; Kordonis J., Symeonidis
S., Arampatzis A., Stock price forecasting via sentiment analysis on Twitter,
Proceedings of the 20th Pan-Hellenic Conference on Informatics, pp. 1-6; Pagolu
V.S., Reddy K.N., Panda G., Majhi B., Sentiment analysis of Twitter data for
predicting stock market movements, Proceedings of the 2016 International Conference
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Standford Univ. CS229, 15, (2011); Hamed A.R., Qiu R., Li D., Analysis of the
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Information systems (ICICIS), pp. 660-665; Batra R., Daudpota S.M., Integrating
StockTwits with sentiment analysis for better prediction of stock price movement,
Proceedings of the 2018 International Conference on Computing, Mathematics and
Engineering Technologies (iCoMET), pp. 1-5; Gupta R., Chen M., Sentiment analysis
for stock price prediction, Proceedings of the 2020 IEEE Conference on Multimedia
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based on multiple data sources and sentiment analysis, Connect. Sci, 34, pp. 44-62,
(2022); Zhao B., He Y., Yuan C., Huang Y., Stock market prediction exploiting
microblog sentiment analysis, Proceedings of the 2016 International Joint
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A.P., Zhao H., The interaction between microblog sentiment and stock return: An
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J. Shanghai Jiaotong Univ. (Sci.), 22, pp. 173-179, (2017); Yan D., Zhou G., Zhao
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Logistic Regression, (2002); Rish I., An empirical study of the naive Bayes
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Communication, pp. 383-394, (2018)","C. Tjortjis; School of Science and Technology,
International Hellenic University, Thessaloniki, 57001, Greece; email:
[email protected]",,MDPI,,,,,,26734001,,,,English,Telecom.,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85134408271
Agrawal M.; Khan A.U.; Shukla P.K.,"Agrawal, Manish (57210604310); Khan, Asif Ullah
(58595922500); Shukla, Piyush Kumar (56599752300)",57210604310; 58595922500;
56599752300,Stock price prediction using technical indicators: A predictive model
using optimal deep learning,2019,International Journal of Recent Technology and
Engineering,8,2,,2297,2305,8,49,10.35940/ijrteB3048.078219,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071125656&doi=10.35940%2fijrteB3048.078219&partnerID=40&md5=3d49cc9a26b8e4b82d700
3e633088ae3,"UIT, RGPV, Bhopal, M.P, India; Department of CSE TIT-(E), RGPV,
Bhopal, M.P, India; Department of CSE UIT, RGPV, Bhopal, M.P, India","Agrawal M.,
UIT, RGPV, Bhopal, M.P, India; Khan A.U., Department of CSE TIT-(E), RGPV, Bhopal,
M.P, India; Shukla P.K., Department of CSE UIT, RGPV, Bhopal, M.P, India","The
stock market is highly volatile and complex in nature. Technical analysts often
apply Technical Analysis (TA) on historical price data, which is an exhaustive task
and might produce incorrect predictions. The machine learning coupled with
fundamental and / or Technical Analysis also yields satisfactory results for stock
market prediction. In this work an effort is made to predict the price and price
trend of stocks by applying optimal Long Short Term Memory (O-LSTM) deep learning
and adaptive Stock Technical Indicators (STIs). We also evaluated the model for
taking buy-sell decision at the end of day. To optimize the deep learning task we
utilized the concept of Correlation-Tensor built with appropriate STIs. The tensor
with adaptive indicators is passed to the model for better and accurate prediction.
The results are analyzed using popular metrics and compared with two benchmark ML
classifiers and a recent classifier based on deep learning. The mean prediction
accuracy achieved using proposed model is 59.25%, over number of stocks, which is
much higher than benchmark approaches. ©BEIESP.",Data science; Deep learning; Long
short term memory; Machine learning; National stock exchange; Predictive modelling;
Stock market prediction; Stock technical indicators; Technical
analysis,,,,,,,,"Hochreiter S., Schmidhuber J., Long 25. Short-Term Memory, Journal
Neural Computation, 9, 8, pp. 1735-1780, (1997); Oriani F.B., Coelho G.P.,
Evaluating 27. The impact of technical indicators on stock forecasting, 2016 IEEE
Symposium Series on Computational Intelligence (SSCI), pp. 1-8, (2016); Mitilineos
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genetic algorithms, International Journal of Decision Sciences, Risk and
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financial time series using a methodology based on autoregressive 28. Integrated
moving average and taylor expansion, Expert Systems, 33, 5, pp. 501-516, (2016);
Valipour M., Banihabib M.E., Behbahani S.M.R., Comparison of the ARMA, ARIMA, and
the autoregressive artificial neural network models in forecasting the monthly
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266, (2006)",,,Blue Eyes Intelligence Engineering and Sciences
Publication,,,,,,22773878,,,,English,Int. J. Recent Technol. Eng.,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85071125656
Bansal G.; Hasija V.; Chamola V.; Kumar N.; Guizani M.,"Bansal, Gaurang
(57210318404); Hasija, Vikas (57209808751); Chamola, Vinay (55427784900); Kumar,
Neeraj (57206866080); Guizani, Mohsen (7004750176)",57210318404; 57209808751;
55427784900; 57206866080; 7004750176,Smart stock exchange market: A secure
predictive decentralized model,2019,"Proceedings - IEEE Global Communications
Conference, GLOBECOM",,,9013787,,,,39,10.1109/GLOBECOM38437.2019.9013787,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074647993&doi=10.1109%2fGLOBECOM38437.2019.9013787&partnerID=40&md5=7f5eafcbc987d
81cb0137ff896ca7c5d,"Department of Electrical and Electronics Engineering, BITS
Pilani, Pilani Campus, India; Department of CSE and IT, Jaypee Institute of
Information Technolgy, Noida, India; Department of Computer Science and
Engineering, Thapar University, Patiala, Punjab, India; CSE Department, Qatar
University, Qatar","Bansal G., Department of Electrical and Electronics
Engineering, BITS Pilani, Pilani Campus, India; Hasija V., Department of CSE and
IT, Jaypee Institute of Information Technolgy, Noida, India; Chamola V., Department
of Electrical and Electronics Engineering, BITS Pilani, Pilani Campus, India; Kumar
N., Department of Computer Science and Engineering, Thapar University, Patiala,
Punjab, India; Guizani M., CSE Department, Qatar University, Qatar","Stock
exchanges around the world are exploring the best possible solution that can
improve trading efficiency, lower the risks and tighten secu- rity levels. The
working and functioning of a stock exchange involves very hectic and cumbersome
pro- cedures which are time consuming, cost inefficient and can be prone to
numerous risks. Machine learning and Blockchain are most popular upcoming
technologies. In this paper we present a novel secure and de- centralized
intelligent stock market prediction model. We present a blockchain based solution
for stock exchange model that uses machine learning accessible smart contracts. The
machine learning model makes a prediction on the future of the stock market
providing an intelligent solution for secure stock market. © 2019
IEEE.",Blockchain; Commerce; FinTech; Machine Learning; Stock Exchange,Blockchain;
Commerce; Electronic trading; Financial markets; Block-chain; Centralised;
Decentralized models; Exchange models; Machine-learning; Prediction modelling;
Stock exchange; Stock exchange markets; Stock market prediction; Trading
efficiency; Machine learning,,,,,,,"Kim S.H., Chun S.H., Graded forecasting using
an array of bipolar predictions: Application of probabilistic neural networks to a
stock market index, International Journal of Forecasting, 14, 3, pp. 323-337,
(1998); Crosby M., Pattanayak P., Verma S., Kalyanaraman V., Et al., Blockchain
technology: Beyond bitcoin, Applied Innovation, 2, 6-10, (2016); Hansson M., On
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blockchain applications in fundamental analysis for investment management, Asia
Proceedings of Social Sciences, 2, 2, pp. 111-114, (2018); Kim H.-J., Shin K.-S., A
hybrid approach based on neural networks and genetic algorithms for detecting
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applications, 2018 7th Mediterranean Conference on Embedded Computing (MECO)., pp.
1-4, (2018); Hassija V., Bansal G., Chamola V., Saxena V., Sikdar B., Blockcom: A
blockchain based commerce model for smart communities using auction mechanism, 2019
IEEE International Conference on Communications Workshops (ICC Workshops), pp. 1-6,
(2019); Islam M.R., Al-Shaikhli I.F., Nor R.B.M., Varadarajan V., Technical
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survey on IoT security: Application areas, security threats, and solution
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Blockchain-enabled e-voting, IEEE Software, 35, 4, pp. 95-99, (2018); Salah K.,
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stock index movement using rnn-boost, Data & Knowledge Engineering, 118, pp. 14-24,
(2018); Rather A.M., Agarwal A., Sastry V., Recurrent neural network and a hybrid
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Learning to Forget: Continual Prediction with Lstm, (1999); New York Stock Exchange
Dataset, (2017)",,,,,"2019 IEEE Global Communications Conference, GLOBECOM 2019",9
December 2019 through 13 December 2019,Waikoloa,158034,23340983,,,,English,"Proc. -
IEEE Glob. Commun. Conf., GLOBECOM",Conference paper,Final,,Scopus,2-s2.0-
85074647993
Vuong P.H.; Dat T.T.; Mai T.K.; Uyen P.H.; Bao P.T.,"Vuong, Pham Hoang
(58944328800); Dat, Trinh Tan (56526389300); Mai, Tieu Khoi (57256495000); Uyen,
Pham Hoang (57687397700); Bao, Pham The (35145405200)",58944328800; 56526389300;
57256495000; 57687397700; 35145405200,Stock-price forecasting based on XGBoost and
LSTM,2022,Computer Systems Science and
Engineering,40,1,,237,246,9,35,10.32604/CSSE.2022.017685,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85114784316&doi=10.32604%2fCSSE.2022.017685&partnerID=40&md5=3b0389a8cd573510159f45
d6dfa1b860,"Information Science Faculty, Sai Gon University, Ho Chi Minh City,
700000, Viet Nam; University of Economics and Law, Ho Chi Minh City, 700000, Viet
Nam","Vuong P.H., Information Science Faculty, Sai Gon University, Ho Chi Minh
City, 700000, Viet Nam; Dat T.T., Information Science Faculty, Sai Gon University,
Ho Chi Minh City, 700000, Viet Nam; Mai T.K., Information Science Faculty, Sai Gon
University, Ho Chi Minh City, 700000, Viet Nam; Uyen P.H., University of Economics
and Law, Ho Chi Minh City, 700000, Viet Nam; Bao P.T., Information Science Faculty,
Sai Gon University, Ho Chi Minh City, 700000, Viet Nam","Using time-series data
analysis for stock-price forecasting (SPF) is complex and challenging because many
factors can influence stock prices (e.g., inflation, seasonality, economic policy,
societal behaviors). Such factors can be analyzed over time for SPF. Machine
learning and deep learning have been shown to obtain better forecasts of stock
prices than traditional approaches. This study, therefore, proposed a method to
enhance the performance of an SPF system based on advanced machine learning and
deep learning approaches. First, we applied extreme gradient boosting as a feature-
selection technique to extract important features from high-dimensional time-series
data and remove redundant features. Then, we fed selected features into a deep long
short-term memory (LSTM) network to forecast stock prices. The deep LSTM network
was used to reflect the temporal nature of the input time series and fully exploit
future contextual information. The complex structure enables this network to
capture more stochasticity within the stock price. The method does not change when
applied to stock data or Forex data. Experimental results based on a Forex dataset
covering 2008-2018 showed that our approach outperformed the baseline
autoregressive integrated moving average approach with regard to mean absolute
error, mean squared error, and root-mean-square error. © 2022 CRL Publishing. All
rights reserved.",ARIMA; Deep learning; LSTM; Stock-price forecasting;
XGBoost,Complex networks; Costs; Deep learning; Economics; Errors; Financial
markets; Forecasting; Learning systems; Mean square error; Time series; Time series
analysis; Auto-regressive integrated moving average; Contextual information; Mean
absolute error; Root mean square errors; Selection techniques; Stock price
forecasting; Time series data analysis; Traditional approaches; Long short-term
memory,,,,,,,"Hu Z., Zhao Y., Khushi M., A survey of Forex and stock price
prediction using deep learning, Applied System Innovation, 4, 9, pp. 1-30, (2021);
Hewamalage H., Bergmeir C., Bandara K., Recurrent neural networks for time series
forecasting: Current status and future directions, International Journal of
Forecasting, 37, 1, pp. 388-427, (2021); Ariyo A. A., Adewumi A. O., Ayo C. K.,
Stock price prediction using the ARIMA model, 2014 UKSimAMSS 16th Int. Conf. on
Computer Modelling and Simulation, IEEE, pp. 106-112, (2014); Mondal P., Shit L.,
Goswami S., Study of effectiveness of time series modeling (ARIMA) in forecasting
stock prices, International Journal of Computer Science, Engineering and
Applications, 4, 2, pp. 13-29, (2014); Jarrett J. E., Kyper E., ARIMA modeling with
intervention to forecast and analyze Chinese stock prices, International Journal of
Engineering Business Management, 3, 3, pp. 53-58, (2011); Mishra S., The quantile
regression approach to analysis of dynamic interaction between exchange rate and
stock returns in emerging markets: Case of BRIC nations, IUP Journal of Financial
Risk Management, 13, 1, pp. 7-27, (2016); Lee K. J., Chi A. Y., Yoo S., Jongdae Jin
J., Forecasting Korean stock price index (KOSPI) using back propagation neural
network model, Bayesian Chiao's model, and SARIMA model, Academy of Information &
Management Sciences Journal, 11, 2, pp. 32-35, (2008); Zeng Z., Li M., Bayesian
median autoregression for robust time series forecasting, International Journal of
Forecasting, 7, 2, pp. 1000-1010, (2021); Tsai M. C., Cheng C. H., Tsai M. I., Shiu
H. Y., Forecasting leading industry stock prices based on a hybrid time-series
forecast model, PLoS One, 13, 12, pp. 1-24, (2018); Ballings M., Poel D. V. D.,
Hespeels N., Gry R., Evaluating multiple classifiers for stock price direction
prediction, Expert Systems with Applications, 42, 20, pp. 7046-7056, (2015); Zhang
J., Cui S., Xu Y., Li Q., Li T., A novel data-driven stock price trend prediction
system, Expert Systems with Applications, 97, pp. 60-69, (2018); Yang F., Chen Z.,
Li J., Tang L., A novel hybrid stock selection method with stock prediction,
Applied Soft Computing, 80, pp. 820-831, (2019); Selvin S., Vinayakumar R.,
Gopalakrishnan E. A., Menon V. K., Soman K. P., Stock price prediction using LSTM,
RNN and CNN-sliding window model, 2017 Int. Conf. on Advances in Computing,
Communications and Informatics (ICACCI), pp. 1643-1647, (2017); Hoseinzade E.,
Haratizadeh S., CNNpred: CNN-based stock market prediction using a diverse set of
variables, Expert Systems with Applications, 129, pp. 273-285, (2019); Wen M., Li
P., Zhang L., Chen Y., Stock market trend prediction using high-order information
of time series, IEEE Access, 7, pp. 28299-28308, (2019); Nabipour M., Nayyeri P.,
Jabani H., Mosavi A., Salwana E., Deep learning for stock market prediction,
Entropy, 22, 8, pp. 1-23, (2020); Singh R., Srivastava S., Stock prediction using
deep learning, Multimedia Tools and Applications, 76, 18, pp. 18569-18584, (2017);
Maqsood H., Mehmood I., Maqsood M., Yasir M., Afzal S., Et al., A local and global
event sentiment based efficient stock exchange forecasting using deep learning,
International Journal of Information Management, 50, pp. 432-451, (2020); Long W.,
Lu Z., Cui L., Deep learning-based feature engineering for stock price movement
prediction, Knowledge-Based Systems, 164, pp. 163-173, (2019); Siami-Namini S.,
Tavakoli N., Namin A. S., A comparison of ARIMA and LSTM in forecasting time
series, 2018 17th IEEE Int. Conf. on Machine Learning and Applications (ICMLA), pp.
1394-1401, (2018); Mehtab S., Sen J., Dutta A., Stock price prediction using
machine learning and LSTM-based deep learning models, Machine Learning and
Metaheuristics Algorithms, and Applications. SoMMA 2020. Communications in Computer
and Information Science, 1366, pp. 88-106, (2021); Siami-Namini S., Tavakoli N.,
Namin A. S., A comparative analysis of forecasting financial time series using
ARIMA, LSTM, and BiLSTM, (2019); Chen W., Yeo C. K., Lau C. T., Lee B. S.,
Leveraging social media news to predict stock index movement using RNN-boost, Data
& Knowledge Engineering, 118, pp. 14-24, (2018); Baek Y., Kim H. Y., ModAugNet: A
new forecasting framework for stock market index value with an overfitting
prevention LSTM module and a prediction LSTM module, Expert Systems with
Applications, 113, pp. 457-480, (2018); Fischer T., Krauss C., Deep learning with
long short-term memory networks for financial market predictions, European Journal
of Operational Research, 270, 2, pp. 654-669, (2018); Jin Z., Yang Y., Liu Y.,
Stock closing price prediction based on sentiment analysis and LSTM, Neural
Computing and Applications, 32, pp. 9713-9729, (2020); Li X., Wu P., Wang W.,
Incorporating stock prices and news sentiments for stock market prediction: A case
of Hong Kong, Information Processing & Management, 57, 5, pp. 1-19, (2020); Chen
T., Guestrin C., XGBoost: A scalable tree boosting system, Proc. of the 22nd ACM
SIGKDD Int. Conf. on Knowledge Discovery and Data Mining, pp. 785-794, (2016); Wang
Y., Ni X. S., A XGBoost risk model via feature selection and Bayesian hyper-
parameter optimization, International Journal of Database Management Systems
(IJDMS), 11, 1, pp. 1-10, (2019); 2019 International Data Science Competition,
(2019)","P.T. Bao; Information Science Faculty, Sai Gon University, Ho Chi Minh
City, 700000, Viet Nam; email: [email protected]",,Tech Science
Press,,,,,,2676192,,CSSEE,,English,Comput Syst Sci Eng,Article,Final,All Open
Access; Hybrid Gold Open Access,Scopus,2-s2.0-85114784316
Hasan M.M.; Taylor G.; Richardson G.,"Hasan, Mostafa Monzur (56489515600); Taylor,
Grantley (36125472400); Richardson, Grant (14825601700)",56489515600; 36125472400;
14825601700,Brand Capital and Stock Price Crash Risk,2022,Management
Science,68,10,,7221,7247,26,44,10.1287/mnsc.2021.4197,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85141611734&doi=10.1287%2fmnsc.2021.4197&partnerID=40&md5=0639fab8cd6df1cd615ba3c6f
a72c49a,"Department of Accounting and Corporate Governance, Macquarie University,
North Ryde, 2109, NSW, Australia; School of Accounting, Curtin University, Perth,
6845, WA, Australia","Hasan M.M., Department of Accounting and Corporate
Governance, Macquarie University, North Ryde, 2109, NSW, Australia; Taylor G.,
School of Accounting, Curtin University, Perth, 6845, WA, Australia; Richardson G.,
Department of Accounting and Corporate Governance, Macquarie University, North
Ryde, 2109, NSW, Australia","We examine the relationship between brand capital and
stock price crash risk. Crash risk, defined as the negative skewness in the
distribution of returns for individual stocks, captures asymmetry in risk, and has
important implications for investment choices and risk management. Using a sample
of 39,685 publicly listed U.S. firm-year observations covering 1975 to 2018, we
show that brand capital is significantly and negatively related to crash risk. We
also use an advanced machine learning approach and confirm that brand capital is a
strong predictor of future stock price crashes. Our cross-sectional analyses show
that this negative relationship is more evident for subsamples with transitory poor
earnings performance or persistent good earnings performance, greater corporate tax
avoidance, and weak corporate governance structures. The results survive numerous
robustness tests, including the use of alternative measures of brand capital, crash
risk, and several endogeneity tests. In sum, our findings are consistent with
agency theory, suggesting that high levels of brand capital expose firms to
investor and customer scrutiny, which reduces managerial opportunistic behavior
that may include the accumulation and concealment of negative information.
Copyright: © 2021 INFORMS.",agency problems; brand capital; stock price crash
risk,Financial markets; Risk assessment; Risk management; Agency problems; Brand
capital; Corporate governance; Crash risk; Cross sectional analysis; Earnings
performance; Machine learning approaches; Risks management; Stock price; Stock
price crash risk; Taxation,,,,,"Macquarie University; University of Tasmania,
UTAS","The authors thank Karl Diether (department editor), anonymous associate
editor, and two anonymous reviewers for helpful comments and suggestions on earlier
draft of this paper; Fengfei Li, Philip Sinnadurai, Adrian Cheung, M. Sadiqul
Islam, Masud Rahman, and the participants at the 2019 Financial Research Network
Annual Conference, seminars participants at University of Adelaide, University of
Western Australia, Macquarie University, University of Tasmania, and University of
Dhaka for constructive comments and suggestions; and Nurul Alam and Xianyang Xin
for excellent research assistance. The usual disclaimer applies.","Aaker DA,
Building Strong Brands, (1996); Aaker DA, Jacobson R, The financial information
content of perceived quality, J. Marketing Res, 31, 2, pp. 191-201, (1994); Aboody
D, Lev B, Information asymmetry, R&D, and insider gains, J. Finance, 55, 6, pp.
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3, pp. 295-316, (2003)",,,INFORMS Inst.for Operations Res.and the Management
Sciences,,,,,,251909,,MSCIA,,English,Manage Sci,Article,Final,,Scopus,2-s2.0-
85141611734
Liu M.; Luo K.; Zhang J.; Chen S.,"Liu, Meng (57854242900); Luo, Kaiping
(35092801100); Zhang, Junhuan (35791235600); Chen, Shengli
(57219510268)",57854242900; 35092801100; 35791235600; 57219510268,A stock selection
algorithm hybridizing grey wolf optimizer and support vector regression,2021,Expert
Systems with Applications,179,,115078,,,,53,10.1016/j.eswa.2021.115078,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105471393&doi=10.1016%2fj.eswa.2021.115078&partnerID=40&md5=f78e71987dba2bcd3a9c0
dd27af726fb,"School of Software and Microelectronics, Peking University, Beijing,
102600, China; School of Economics and Management, Beihang University, Beijing,
100083, China; Harvest Fund Management Company Limited, Beijing, 100005,
China","Liu M., School of Software and Microelectronics, Peking University,
Beijing, 102600, China; Luo K., School of Economics and Management, Beihang
University, Beijing, 100083, China; Zhang J., School of Economics and Management,
Beihang University, Beijing, 100083, China; Chen S., Harvest Fund Management
Company Limited, Beijing, 100005, China","Artificial intelligence remarkably
facilitates quantitative investment. A latest intelligent search algorithm, grey
wolf optimizer, is well integrated with support vector regression machine to obtain
the optimal portfolio. The performance of the hybrid algorithm is empirically
investigated through transactional and financial data from stock markets of America
and China. The experimental results indicate that (i) the proposed algorithm is
able to stably achieve excess returns; (ii) compared with genetic algorithm,
particle swarm optimization, gravitational search algorithm and harmony search, the
enhanced grey wolf optimizer significantly boots the predictive performance of
support vector regression machine; (iii) the proposed algorithm can achieve the
better profitability and the higher reliability in Chinese A-share market. © 2021
Elsevier Ltd",Grey wolf optimizer; Portfolio optimization; Quantitative investment;
Stock selection; Support vector regression,Commerce; Financial data processing;
Financial markets; Genetic algorithms; Learning algorithms; Particle swarm
optimization (PSO); Regression analysis; Support vector machines; Vectors; Gray
wolf optimizer; Gray wolves; Intelligent search algorithm; Optimizers; Portfolio
optimization; Quantitative investment; Selection algorithm; Stock selections;
Support vector regression machines; Support vector regressions;
Investments,,,,,"National Natural Science Foundation of China, NSFC, (71801008,
71850007, 71871004)","The authors would like to thank the editors and anonymous
reviewers for valuable comments. This work was supported by the National Natural
Science Foundation of China under Grant Nos. 71801008, 71871004 and
71850007.","Abiodun O.I., Jantan A., Omolara A.E., Dada K.V., Mohamed N.A., Arshad
H., pp. 1-41, (2018); Almeida B.J.D., Neves R.F., Horta N., Combining support
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of Electrical Systems, 11, pp. 174-188, (2015); Henrique B.M., Sobreiro V.A.,
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artificial algae algorithm for multidimensional knapsack problems, Applied Soft
Computing, 43, pp. 583-595, (2016)","K. Luo; School of Economics and Management,
Beihang University, Beijing, 100083, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85105471393
Ecer F.; Ardabili S.; Band S.S.; Mosavi A.,"Ecer, Fatih (55778680000); Ardabili,
Sina (57189099323); Band, Shahab S. (57221738247); Mosavi, Amir
(57191408081)",55778680000; 57189099323; 57221738247; 57191408081,Training
multilayer perceptron with genetic algorithms and particle swarm optimization for
modeling stock price index
prediction,2020,Entropy,22,11,1239,1,20,19,51,10.3390/e22111239,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85094876535&doi=10.3390%2fe22111239&partnerID=40&md5=589e545f66da5b1d7bed01698e65f3
21,"Department of Business Administration, Afyon Kocatepe University,
Afyonkarahisar, 03030, Turkey; Biosystem Engineering Department, University of
Mohaghegh Ardabili, Ardabil, 5619911367, Iran; Kando Kalman, Faculty of Electrical
Engineering, Obuda University, Budapest, 1034, Hungary; Future Technology Research
Center, College of Future, National Yunlin University of Science and Technology,
123 University Road, Section 3, Douliou, Yunlin, 64002, Taiwan; Faculty of Civil
Engineering, Technische Universität Dresden, Dresden, 01069, Germany; Institute of
Research and Development, Duy Tan University, Da Nang, 550000, Viet Nam; School of
Economics and Business, Norwegian University of Life Sciences, As, 1430,
Norway","Ecer F., Department of Business Administration, Afyon Kocatepe University,
Afyonkarahisar, 03030, Turkey; Ardabili S., Biosystem Engineering Department,
University of Mohaghegh Ardabili, Ardabil, 5619911367, Iran, Kando Kalman, Faculty
of Electrical Engineering, Obuda University, Budapest, 1034, Hungary; Band S.S.,
Future Technology Research Center, College of Future, National Yunlin University of
Science and Technology, 123 University Road, Section 3, Douliou, Yunlin, 64002,
Taiwan; Mosavi A., Faculty of Civil Engineering, Technische Universität Dresden,
Dresden, 01069, Germany, Institute of Research and Development, Duy Tan University,
Da Nang, 550000, Viet Nam, School of Economics and Business, Norwegian University
of Life Sciences, As, 1430, Norway","Predicting stock market (SM) trends is an
issue of great interest among researchers, investors and traders since the
successful prediction of SMs’ direction may promise various benefits. Because of
the fairly nonlinear nature of the historical data, accurate estimation of the SM
direction is a rather challenging issue. The aim of this study is to present a
novel machine learning (ML) model to forecast the movement of the Borsa Istanbul
(BIST) 100 index. Modeling was performed by multilayer perceptron–genetic
algorithms (MLP–GA) and multilayer perceptron–particle swarm optimization (MLP–PSO)
in two scenarios considering Tanh (x) and the default Gaussian function as the
output function. The historical financial time series data utilized in this
research is from 1996 to 2020, consisting of nine technical indicators. Results are
assessed using Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE)
and correlation coefficient values to compare the accuracy and performance of the
developed models. Based on the results, the involvement of the Tanh (x) as the
output function, improved the accuracy of models compared with the default Gaussian
function, significantly. MLP–PSO with population size 125, followed by MLP–GA with
population size 50, provided higher accuracy for testing, reporting RMSE of
0.732583 and 0.733063, MAPE of 28.16%, 29.09% and correlation coefficient of 0.694
and 0.695, respectively. According to the results, using the hybrid ML method could
successfully improve the prediction accuracy. © 2020 by the authors. Licensee MDPI,
Basel, Switzerland.",Artificial intelligence; Artificial neural networks; Big data;
Evolutionary algorithms; Financial data; Machine learning; Multilayer perceptron;
Online trading; Optimization; Social science data; Stock market,,,,,,"European
Commission, EC, (2017-1.3.1-VKE-2017-00025, EFOP-3.6.1-16-2016-00010)",We
acknowledge the financial support of this work by the Hungarian State and the
European Union under the EFOP-3.6.1-16-2016-00010 project and the 2017-1.3.1-VKE-
2017-00025 project.,"Adebiyi A.A., Ayo C.K., Adebiyi M.O., Otokiti S.O., Stock
price prediction using neural network with hybridized market indicators, J. Emerg.
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market prediction, J. Supercomput, 76, pp. 2098-2118, (2020); Mosavi A., Salimi M.,
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predicting stock market price time series, Digital Signal Processing, 7, (2020);
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Trends Using Machine Learning and Deep Learning Algorithms Via Continuous and
Binary Data; a Comparative Analysis, IEEE Access, 8, pp. 150199-150212, (2020);
Nabipour M., Nayyeri P., Jabani H., Mosavi A., Salwana E., Deep learning for stock
market prediction, Entropy, 22, (2020)","A. Mosavi; Faculty of Civil Engineering,
Technische Universität Dresden, Dresden, 01069, Germany; email:
[email protected]; A. Mosavi; Institute of Research and
Development, Duy Tan University, Da Nang, 550000, Viet Nam; email:
[email protected]; A. Mosavi; School of Economics and Business,
Norwegian University of Life Sciences, As, 1430, Norway; email:
[email protected]",,MDPI
AG,,,,,,10994300,,,,English,Entropy,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85094876535
Alimohammadi H.; Nancy Chen S.,"Alimohammadi, Hamzeh (57214799043); Nancy Chen,
Shengnan (56281318200)",57214799043; 56281318200,Performance evaluation of outlier
detection techniques in production timeseries: A systematic review and meta-
analysis,2022,Expert Systems with
Applications,191,,116371,,,,47,10.1016/j.eswa.2021.116371,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85120693059&doi=10.1016%2fj.eswa.2021.116371&partnerID=40&md5=8b8db13d85960395e81ca
92b13b1d23f,"Department of Chemical and Petroleum Engineering, Schulich School of
Engineering, University of Calgary, 2500 University Dr. NW, Calgary, T2N 1N4, AB,
Canada","Alimohammadi H., Department of Chemical and Petroleum Engineering,
Schulich School of Engineering, University of Calgary, 2500 University Dr. NW,
Calgary, T2N 1N4, AB, Canada; Nancy Chen S., Department of Chemical and Petroleum
Engineering, Schulich School of Engineering, University of Calgary, 2500 University
Dr. NW, Calgary, T2N 1N4, AB, Canada","Time-series data have been extensively
collected and analyzed in many disciplines, such as stock market, medical
diagnosis, meteorology, and oil and gas industry. Numerous data in these
disciplines are sequence of observations measured as functions of time, which can
be further used for different applications via analytical or data analytics
techniques (e.g., to forecast future price, climate change, etc.). However,
presence of outliers can cause significant uncertainties to interpretation results;
hence, it is essential to remove the outliers accurately and efficiently before
conducting any further analysis. A total of 17 techniques that belong to
statistical, regression-based, and machine learning (ML) based categories for
outlier detection in timeseries are applied to the oil and gas production data
analysis. 15 of these methods are utilized for production data analysis for the
first time. Two state-of-the-art and high-performance techniques are then selected
for data cleaning which require minimum control and time complexity. Moreover,
performances of these techniques are evaluated based on several metrics including
the accuracy, precision, recall, F1 score, and Cohen's Kappa to rank the
techniques. Results show that eight unsupervised algorithms outperform the rest of
the methods based on the synthetic case study with known outliers. For example,
accuracies of the eight shortlisted methods are in the range of 0.83–0.99 with a
precision between 0.83 and 0.98, compared to 0.65–0.82 and 0.07–0.77 for the
others. In addition, ML-based techniques perform better than statistical
techniques. Our experimental results on real field data further indicate that the
k-nearest neighbor (KNN) and Fulford-Blasingame methods are superior to other
outlier detection frameworks for outlier detection in production data, followed by
four others including density-based spatial clustering of applications with noise
(DBSCAN), and angle-based outlier detection (ABOD). Even though the techniques are
examined with oil and gas production data, but the same data cleaning workflow can
be used to detect timeseries’ outliers in other disciplines. © 2021",Binary
classification; Decline curve analysis; Outlier detection; Performance evaluation;
Production data analysis,Climate change; Data handling; Diagnosis; Gas industry;
Nearest neighbor search; Statistics; Uncertainty analysis; Binary classification;
Data cleaning; Decline curve analysis; Meta-analysis; Oil and gas production;
Outlier Detection; Performances evaluation; Production data; Production data
analysis; Systematic Review; Data Analytics,,,,,"Natural Resources Canada, NRCan;
Office of Energy Research and Development, OERD","The authors wish to acknowledge
the Office of Energy Research and Development, Natural Resource of Canada , for
supporting the work. We would also like to show our gratitude to David Fulford from
ARM Resources for his valuable and constructive suggestions on applying Fulford-
Blasingame method.","Abualigah L., Diabat A., Mirjalili S., Abd Elaziz M., Gandomi
A.H., The arithmetic optimization algorithm, Computer Methods in Applied Mechanics
and Engineering, 376, (2021); Abualigah L., (2019); Abualigah L., Yousri D., Abd
M., Ewees A.A., Mohammed A., Al-qaness A., Gandomi A.H., Computers & industrial
engineering aquila optimizer: A novel meta-heuristic optimization algorithm,
Computers & Industrial Engineering, 157, February, (2021); Aggarwal C., (2016);
Ahmed M., Mahmood A.N., Islam M.R., A survey of anomaly detection techniques in
financial domain, Future Generation Computer Systems, 55, pp. 278-288, (2016);
Arciniega-Esparza S., Hernandez-Espriu A., Brena-Naranjo J.A., Young M.H., Pedrozo-
Acuna A., An outlier detection approach for water footprint assessments in shale
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217, (2019); Basora L., Olive X., Dubot T., Recent advances in anomaly detection
methods applied to aviation, Aerospace, 6, 11, pp. 1-27, (2019); Bergman L., Hoshen
Y., (2020); Blazquez-Garcia A., Conde A., Mori U., Lozano J.A., A review on
outlier/anomaly detection in time series data, (2020); Chaudhary N.L., Lee W.J.,
(2016); Czesla S., (2021); Dang T.T., Ngan H.Y.T., Liu W., Distance-based k-nearest
neighbors outlier detection method in large-scale traffic data, International
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S.A.H., Outliers detection in regression analysis using partial least square
approach, Advances in Intelligent Systems and Computing, 249, pp. 125-135, (2014);
Du M., Li F., Zheng G., Srikumar V., DeepLog: Anomaly detection and diagnosis from
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ArXiv, pp. 1-37, (2020); Fulford D., Blasingame T., (2020); Golitsyna M.,
Semenikhin A., Chebuniaev I., Vasilyev V., Koryabkin V., (2020); Hasan M.H., Malik
A.A., Jasamai M., A review on anomaly detection methods for optimizing oil well
surveillance, IJCSNS International Journal of Computer Science and Network
Security, 17, 11, pp. 151-155, (2017); Howbert J., (2014); Kriegel H.P., Schubert
M., Zimek A., Angle-based outlier detection in high-dimensional data, Proceedings
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(2003); Marti L., Sanchez-Pi N., Molina J.M., Garcia A.C.B., Anomaly detection
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2, pp. 2774-2797, (2015); Motulsky H.J., Brown R.E., Detecting outliers when
fitting data with nonlinear regression - A new method based on robust nonlinear
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Information Systems, 35, 1, pp. 131-152, (2013); Rosner B., Percentage points for a
generalized ESD Many-outlier procedure, Technometrics, 25, 2, (1983); Staar B.,
Lutjen M., Freitag M., Anomaly detection with convolutional neural networks for
industrial surface inspection, Procedia CIRP, 79, pp. 484-489, (2019); Sun H.,
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Analysis and Application, pp. 1-29, (2015); Togbe M., Barry M., Boly A., Chabchoub
Y., Chiky R., Togbe M., (2020); Wu X., (2017); Yu Y., Zhu Y., Li S., Wan D., Time
series outlier detection based on sliding window prediction, Mathematical Problems
in Engineering, 2014, pp. 1-14, (2014); Zhao Y., Nasrullah Z., Li Z., PyOD: A
python toolbox for scalable outlier detection, ArXiv, 20, pp. 1-7, (2019)","S.
Nancy Chen; Department of Chemical and Petroleum Engineering, Schulich School of
Engineering, University of Calgary, Calgary, 2500 University Dr. NW, T2N 1N4,
Canada; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85120693059
Xu H.; Chai L.; Luo Z.; Li S.,"Xu, Hongfeng (57218657395); Chai, Lei (57218658381);
Luo, Zhiming (57192367715); Li, Shaozi (57204367236)",57218657395; 57218658381;
57192367715; 57204367236,Stock movement prediction via gated recurrent unit network
based on reinforcement learning with incorporated attention
mechanisms,2022,Neurocomputing,467,,,214,228,14,43,10.1016/j.neucom.2021.09.072,htt
ps://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85121256075&doi=10.1016%2fj.neucom.2021.09.072&partnerID=40&md5=c370edf71122dd8a379
0d6e65e7d13d8,"Department of Artificial Intelligence, Xiamen University, Xiamen,
361005, China; School of Economic and Management, Guizhou Normal University,
Guiyang, 550001, China","Xu H., Department of Artificial Intelligence, Xiamen
University, Xiamen, 361005, China, School of Economic and Management, Guizhou
Normal University, Guiyang, 550001, China; Chai L., Department of Artificial
Intelligence, Xiamen University, Xiamen, 361005, China; Luo Z., Department of
Artificial Intelligence, Xiamen University, Xiamen, 361005, China; Li S.,
Department of Artificial Intelligence, Xiamen University, Xiamen, 361005,
China","The recent advances usually mine market information from the chaotic data
to conduct a stock movement prediction task. However, the current stock price
movement prediction approaches mainly compute attention weighted sum of the global
contextual semantic embeddings, which fails to combine local word-level or char-
level ones to jointly learn news-level representation. Moreover, for Chinese stock
price movement prediction task, some collected news texts are chaotic even
irrelevant to the target stock. It suggests that the models need filter some news-
level representations (viewed as noises) to enhance the performance. To that aim,
we develop a novel stock price movement prediction network via bidirectional gated
recurrent unit (GRU) network based on reinforcement learning (RL) with incorporated
attention mechanism. In specific, to reduce the noise of news texts and learn news-
level representation with more abundant semantics, two novel attention mechanisms
respectively based on add and dot operation were first proposed in this work. We
then design a novel GRU structure based on RL to filter some irrelated news-level
representations (i.e., news-level noises) and capture abundant long-term
dependencies. Finally, the experimental results show that the proposed model far
outperforms the recent advances and achieves state-of-the-art performances. © 2021
Elsevier B.V.",Attention; Gated recurrent unit; Reinforcement learning; Stock
movement prediction,Financial markets; Forecasting; Motion estimation; Semantics;
Attention; Attention mechanisms; Chaotics; Gated recurrent unit; Movement
prediction; Network-based; Prediction tasks; Stock movement; Stock movement
prediction; Stock price movement predictions; Article; China; digital filtering;
forecasting; gated recurrent unit network; information processing; information
retrieval; prediction; price; reinforcement learning (machine learning); stock
market; Reinforcement learning,,,,,"Chinese Oolong Tea Industry-Collaborative
Innovation Center; Fujian Province; National Natural Science Foundation of China,
NSFC, (61571188, 61572409, 61806172, 61876159, U1705286); Ministry of Education of
the People's Republic of China, MOE; Department of Education of Guizhou Province,
(2018ssd06, QJH-KY[2017]034); National Key Research and Development Program of
China, NKRDPC, (2018YFC0831402)","Funding text 1: This work is supported by the
National Nature Science Foundation of China (Nos. 61876159, 61806172, 61572409,
U1705286 & 61571188), the National Key Research and Development Program of China
(No. 2018YFC0831402), Fujian Province 2011 Collaborative Innovation Center of TCM
Health Management, Collaborative Innovation Center of Chinese Oolong Tea Industry-
Collaborative Innovation Center (2011) of Fujian Province, Guizhou Provincial
Education Department Innovation Group Project (No. QJH-KY[2017]034), Guizhou
Provincial Education Department Project (No. 2018ssd06). ; Funding text 2: Shao-Zi
Li received the B.S. degree from Hunan University, Changsha, China; the M.S. degree
from Xi’an Jiaotong University, Xi’an, China; and the Ph.D. degree from the
National University of Defense Technology, Changsha. He is the Chair and Professor
of the Cognitive Science Department, Xiamen University, Xiamen, China, the Vice
Director of the Technical Committee on Collaborative Computing of CCF, and the Vice
Director of the Fujian Association of Artificial Intelligence. He has directed and
completed more than 20 research projects, including several national 863 Programs,
National Nature Science Foundation of China, and the Ph.D. Programs Foundation of
the Ministry of Education of China. Furthermore, he has authored nearly 300 papers
in journals and international conferences. His research interests include
artificial intelligence and its applications, moving objects detection and
recognition, machine learning, computer vision, and multimedia information
retrieval. Dr. Li is a Senior Member of ACM and the China Computer
Federation.","Huang C.-F., Hsieh T.-N., Chang B.R., Chang C.-H., A comparative
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J.","S. Li; Department of Artificial Intelligence, Xiamen University, Xiamen,
361005, China; email: [email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,,Scopus,2-s2.0-
85121256075
Long W.; Song L.; Tian Y.,"Long, Wen (36792418900); Song, Linqiu (57194395528);
Tian, Yingjie (9272686000)",36792418900; 57194395528; 9272686000,A new graphic
kernel method of stock price trend prediction based on financial news semantic and
structural similarity,2019,Expert Systems with
Applications,118,,,411,424,13,36,10.1016/j.eswa.2018.10.008,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85055058760&doi=10.1016%2fj.eswa.2018.10.008&partnerID=40&md5=d571f2435d82df026f032
a38d3cfc46f,"School of Economics & Management, University of Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China; Research Center on Fictitious Economy & Data Science, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China; Key Laboratory of Big Data Mining & Knowledge Management, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China","Long W., School of Economics & Management, University of Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China, Research Center on Fictitious Economy & Data Science, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China, Key Laboratory of Big Data Mining & Knowledge Management, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China; Song L., School of Economics & Management, University of Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China, Research Center on Fictitious Economy & Data Science, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China, Key Laboratory of Big Data Mining & Knowledge Management, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China; Tian Y., School of Economics & Management, University of Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China, Research Center on Fictitious Economy & Data Science, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China, Key Laboratory of Big Data Mining & Knowledge Management, Chinese Academy of
Sciences, No. 80 of Zhongguancun East Street, Haidian District, Beijing, 100190,
China","Lots of researches try to predict the stock price movement using financial
news based on machine learning represented by SVM (Support Vector Machine). But
almost all of them focus on the news contents while very few consider the
information hiding in the relationship between different news. In this paper, we
proposed a new kernel based on SVM concerning not only the contents themselves but
also the information structures among them. As both the news contents and the
information structures are imported into our kernel, this kernel is named as
semantic and structural kernel, referred to S&S kernel. Medical industry financial
news is used to illustrate the efficiency of our kernel. By comparing the
predicting accuracy of S&S kernel with other kernels, such as linear kernel, we
find our method outperforms the others by at least 5% on accuracy, which is a quite
meaningful promotion. The result also confirms the information structure contained
in daily financial news can offer extra information helping to predict the trend of
stock price. © 2018 Elsevier Ltd",Financial news; Information structure; S&S
kernel; Stock price movement prediction,Financial markets; Forecasting; Semantics;
Support vector machines; Financial news; Information hiding; Information
structures; S-kernel; Stock price movement predictions; Stock price movements;
Structural similarity; SVM(support vector machine); Motion estimation,,,,,"National
Natural Science Foundation of China, NSFC, (61472390, 71731009, 71771204)","This
research was partly supported by National Natural Science Foundation of China (Nos.
71771204 , 71731009 , and 61472390 ). ","Antweiler W., Frank M.Z., Is all that
talk just noise? The information content of internet stock message boards, Journal
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An empirical study, International workshop on multiple classifier systems, 3541,
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24, (2018)","Y. Tian; School of Economics & Management, University of
Chinese Academy of Sciences, Beijing, No. 80 of Zhongguancun East Street, Haidian
District, 100190, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85055058760
Kim H.; Cho H.; Ryu D.,"Kim, Hyeongjun (57210962286); Cho, Hoon (58188015300); Ryu,
Doojin (35280774000)",57210962286; 58188015300; 35280774000,Corporate default
predictions using machine learning: Literature review,2020,Sustainability
(Switzerland),12,16,6325,,,,51,10.3390/SU12166325,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85089901662&doi=10.3390%2fSU12166325&partnerID=40&md5=8f9b596ca67ecb0975c0679bb4b4f
8bb,"Department of Business Administration, Yeungnam University, Gyeongsan, 38541,
South Korea; College of Business, Korea Advanced Institute of Science and
Technology, Seoul, 02455, South Korea; College of Economics, Sungkyunkwan
University, Seoul, 03063, South Korea","Kim H., Department of Business
Administration, Yeungnam University, Gyeongsan, 38541, South Korea; Cho H., College
of Business, Korea Advanced Institute of Science and Technology, Seoul, 02455,
South Korea; Ryu D., College of Economics, Sungkyunkwan University, Seoul, 03063,
South Korea","Corporate default predictions play an essential role in each sector
of the economy, as highlighted by the global financial crisis and the increase in
credit risk. This study reviews the corporate default prediction literature from
the perspectives of financial engineering and machine learning. We define three
generations of statistical models: discriminant analyses, binary response models,
and hazard models. In addition, we introduce three representative machine learning
methodologies: support vector machines, decision trees, and artificial neural
network algorithms. For both the statistical models and machine learning
methodologies, we identify the key studies used in corporate default prediction. By
comparing these methods with findings from the interdisciplinary literature, our
review suggests some new tasks in the field of machine learning for predicting
corporate defaults. First, a corporate default prediction model should be a multi-
period model in which future outcomes are affected by past decisions. Second, the
stock price and the corporate value determined by the stock market are important
factors to use in default predictions. Finally, a corporate default prediction
model should be able to suggest the cause of default. © 2020 by the
authors.",Classification; Default prediction; Financial engineering; Forecasting;
Machine learning,algorithm; artificial neural network; credit provision;
discriminant analysis; financial crisis; literature review; machine learning;
prediction; stock market,,,,,"Ministry of Science and ICT, (2019R1G1A1100196);
National Research Foundation of Korea, NRF; Ministry of Science and ICT, South
Korea, MSIT",This work was supported by the National Research Foundation of Korea
(NRF) grant funded by the Korea government (MSIT; Ministry of Science and ICT) [No.
2019R1G1A1100196]. We are grateful for the valuable comments of three anonymous
referees.,"Beaver W.H., Financial ratios as predictors of failure, J. Account.
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H.J., An application of support vector machines in bankruptcy prediction model,
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firms with statistical and intelligent techniques and a comparison of evolutionary
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Soft Comput., 24, pp. 977-984, (2014); Zieba M., Tomczak S.K., Tomczak J.M.,
Ensemble boosted trees with synthetic features generation in application to
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neural networks for bankruptcy prediction and risk scoring, Procedia Comput. Sci.,
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Appl., 39, pp. 823-827, (2012); Chen H.-J., Huang S.Y., Lin C.-S., Alternative
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P., Handling imbalanced datasets: A review, GESTS Int. Trans. Comput. Sci. Eng.,
30, pp. 25-36, (2006); Lane P.C.R., Clarke D., Hender P., On developing robust
models for favourability analysis: Model choice, feature sets and imbalanced data,
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bankruptcy prediction models on imbalanced dataset: The effect of sampling methods,
Knowl. Based Syst., 41, pp. 16-25, (2013); Veganzones D., Severina E., An
investigation of bankruptcy prediction in imbalanced datasets, Decis. Support
Syst., 112, pp. 111-124, (2018); Kim H.-J., Jo N.-O., Shin K.-S., Optimization of
cluster-based evolutionary undersampling for the artificial neural networks in
corporate bankruptcy prediction, Expert Syst. Appl., 59, pp. 226-234, (2016); Piri
S., Delen D., Liu T., A synthetic informative minority over-sampling (SIMO)
algorithm leveraging support vector machine to enhance learning from imbalanced
datasets, Decis. Support Syst., 106, pp. 15-29, (2018); Tian S., Yu Y., Zhou M.,
Data sample selection issues for bankruptcy prediction, Risk Hazards Crisis Pub.
Policy, 6, pp. 91-116, (2015); Song Y., Peng Y., A MCDM-based evaluation approach
for imbalanced classification methods in financial risk prediction, IEEE Access, 7,
pp. 84897-84906, (2019)","D. Ryu; College of Economics, Sungkyunkwan University,
Seoul, 03063, South Korea; email:
[email protected]",,MDPI,,,,,,20711050,,,,English,Sustainability,Review,Final,Al
l Open Access; Gold Open Access,Scopus,2-s2.0-85089901662
Meesad P.; Rasel R.I.,"Meesad, Phayung (6603067787); Rasel, Risul Islam
(55652413900)",6603067787; 55652413900,Predicting stock market price using support
vector regression,2013,"2013 International Conference on Informatics, Electronics
and Vision, ICIEV 2013",,,6572570,,,,52,10.1109/ICIEV.2013.6572570,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84883381673&doi=10.1109%2fICIEV.2013.6572570&partnerID=40&md5=2ee31f8c354c76e81b483
0304b3c1dd0,"Faculty of Information Technology, King Mongkut's University of
Technology, North-Bangkok, Thailand; Dept of Computer Science and Engineering,
University of Chittagong, Chittagong 4000, Bangladesh","Meesad P., Faculty of
Information Technology, King Mongkut's University of Technology, North-Bangkok,
Thailand; Rasel R.I., Dept of Computer Science and Engineering, University of
Chittagong, Chittagong 4000, Bangladesh","In this study, support vector regression
(SVR) analysis is used as a machine learning technique in order to predict the
stock market price as well as to predict stock market trend. Moreover, different
types of windowing operators are used as data preprocess or input selection
technique for SVR models. This is a new approach which uses different types of
windowing functions as data preprocess for predicting time series data. Support
vector regression is a useful and powerful machine learning technique to recognize
pattern of time series dataset. It can produce good prediction result if the value
of important parameters can be determined properly. Different kinds of Windowing
operators are used in this experiment in order to feed more reliable inputs into
regression models. This study is done on a well known company of Dhaka stock
exchange (DSE), named ACI group of company Limited. Four year's historical time
series dataset are collected from the DSE from 2009 to 2012, as daily basis for
experimentations. Finally, predicted results from Win-SVR models are compared with
actual price values of DSE to evaluate the model prediction performance. © 2013
IEEE.",Stock market; Support vector regression (SVR); Time series data; Windowing
operators,Commerce; Costs; Experiments; Industry; Information science; Learning
systems; Regression analysis; Time series; Vectors; Machine learning techniques;
Model prediction; Regression model; Stock market; Stock market prices; Support
vector regression (SVR); Time-series data; Windowing function;
Forecasting,,,,,,,"Kim K.-J., Financial time series forecasting using support
vector machines, Neurocomputing, 55, pp. 307-319, (2003); Ince H., Trafalis T.B.,
Kernel Principal Component Analysis and Support Vector Machines for Stock Price
Prediction, pp. 2053-2058, (2004); Lucas, Lai K.C., James, Liu N.K., Stock
forecasting using support vector machine, Proceedings of the Ninth International
Conference on Machine Learning and Cybernetics, pp. 1607-1614, (2010); Lu C.-J.,
Chang C.-H., Chen C.-Y., Chiu C.-C., Lee T.-S., Stock index prediction: A
comparison of mars, bpn and svr in an emerging market, Proceedings of the IEEE
IEEM, pp. 2343-2347, (2009); Kannan K.S., Sekar P.S., Sathik M.M., Arumugam P.,
Financial stock market forecast using data mining techniques, Proceedings of the
International Multiconference of Engineers and Computer Scientists, pp. 555-559,
(2010); Hu Y., Pang J., Financial crisis early warning based on support vector
machine, International Joint Conference on Neural Networks, pp. 2435-2440, (2008);
Chen K.-Y., Ho C.-H., An improved support vector regression modeling for taiwan
stock exchange market weighted index forecasting, The IEEE International Conference
on Neural Networks and Brain, pp. 1633-1638, (2005); Xue-Shen S., Zhong-Ying Q.,
Da-Ren Yu., Hu. Hui Z.Q.-H., A novel feature selection approach using
classification complexity for svm of stock market trend prediction, 14th
International Conference on Management Science & Engineering, pp. 1654-1659,
(2007); Debasish B., Srimanta P., Dipak C.P., Support vector regression, Neural
Information Processing-Letters and Reviews, 11, 10, pp. 203-224, (2007); Hsu C.-W.,
Chang C.-C., Lin C.-J., A practical guide to support vector classification, Initial
Version: 2003, (2010); Thissena U., Van. Brakela R., De Weijerb A.P., Melssena
W.J., Buydensa L.M.C., Using support vector machines for time series prediction,
Chemometrics and Intelligent Laboratory Systems, 69, pp. 35-49, (2003); Cao L.,
Support vector machines experts for time series forecasting, Neurocomputing, 51,
pp. 321-339, (2003); Alex J.S., Bernhard S.L., A tutorial on support vector
regression, Statistics and Computing, 14, pp. 199-222, (2004); Kazema A., Sharifia
E., Hussainb F.K., Saberic M., Hussaind O.K., Support vector regression with chaos-
based firefly algorithm for stock market price frocasting, Applied Soft Computing,
13, pp. 947-958, (2013)",,,,,"2013 2nd International Conference on Informatics,
Electronics and Vision, ICIEV 2013",17 May 2013 through 18 May
2013,Dhaka,99051,,978-147990397-9,,,English,"Int. Conf. Informatics, Electron.
Vis., ICIEV",Conference paper,Final,,Scopus,2-s2.0-84883381673
Kia A.N.; Haratizadeh S.; Shouraki S.B.,"Kia, Arash Negahdari (57201458977);
Haratizadeh, Saman (6507905204); Shouraki, Saeed Bagheri (6506439989)",57201458977;
6507905204; 6506439989,A hybrid supervised semi-supervised graph-based model to
predict one-day ahead movement of global stock markets and commodity
prices,2018,Expert Systems with
Applications,105,,,159,173,14,35,10.1016/j.eswa.2018.03.037,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85044940299&doi=10.1016%2fj.eswa.2018.03.037&partnerID=40&md5=d6fa10bb5646fc8c8ca15
b1e1f2d5050,"University of Tehran, Faculty of New Sciences and Technologies, North
Kargar Street, Tehran, 1439957131, Iran; Sharif University of Technology,
Electrical Engineering Department, Azadi Ave., Tehran, 1136511155, Iran","Kia A.N.,
University of Tehran, Faculty of New Sciences and Technologies, North Kargar
Street, Tehran, 1439957131, Iran; Haratizadeh S., University of Tehran, Faculty of
New Sciences and Technologies, North Kargar Street, Tehran, 1439957131, Iran;
Shouraki S.B., Sharif University of Technology, Electrical Engineering Department,
Azadi Ave., Tehran, 1136511155, Iran","Market prediction has been an important
machine learning research topic in recent decades. A neglected issue in prediction
is having a model that can simultaneously pay attention to the interaction of
global markets along historical data of the target markets being predicted. As a
solution, we present a hybrid supervised semi-supervised model called HyS3 for
direction of movement prediction. The graph-based semi-supervised part of HyS3
models the markets global interactions through a network designed with a novel
continuous Kruskal-based graph construction algorithm called ConKruG. The
supervised part of the model injects results extracted from each market's
historical data to the network whenever the hybrid model allows with an innovative
conditional mechanism. The significance of higher prediction accuracy of HyS3 is
comparing to other models is proved statistically against other models including
supervised models and network-based semi-supervised predictions. © 2018 Elsevier
Ltd",Financial markets prediction; Graph algorithms; Hybrid machine learning
models; Semi-supervised learning,Artificial intelligence; Electronic trading;
Financial markets; Forecasting; Graphic methods; International trade; Learning
algorithms; Supervised learning; Direction of movements; Global stock markets;
Graph algorithms; Hybrid machine learning; Machine learning research; Prediction
accuracy; Semi- supervised learning; Semi-supervised graphs; Motion
estimation,,,,,,,"Anderson J.R., The architecture of cognition, (2013); Atsalakis
G.S., Valavanis K.P., Surveying stock market forecasting techniques – Part II: Soft
computing methods, Expert Systems with Applications, 36, 3, pp. 5932-5941, (2009);
Baghshah M.S., Afsari F., Shouraki S.B., Eslami E., Scalable semi-supervised
clustering by spectral kernel learning, Pattern Recognition Letters, 45, pp. 161-
171, (2014); Boyacioglu M.A., Avci D., An adaptive network-based fuzzy inference
system (ANFIS) for the prediction of stock market return: The case of the istanbul
stock exchange, Expert Systems with Applications, 37, 12, pp. 7908-7912, (2010);
Cawley G.C., Talbot N.L., On over-fitting in model selection and subsequent
selection bias in performance evaluation, Journal of Machine Learning Research, 11,
Jul, pp. 2079-2107, (2010); Chang C.-C., Lin C.-J., LIBSVM: A library for support
vector machines, ACM Transactions on Intelligent Systems and Technology (TIST), 2,
3, (2011); Chapelle O., Scholkopf B., Zien A., Semi-supervised learning (Chapelle,
O. et al., Eds.; 2006) [book reviews], IEEE Transactions on Neural Networks, 20, 3,
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Support vector machine, Machine Learning, 20, 3, pp. 273-297, (1995); Fathian M.,
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study of the behaviour of linguistic fuzzy rule based classification systems in the
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Mandziuk J., (2004); Kara Y., Boyacioglu M.A., Baykan O.K., Predicting direction of
stock price index movement using artificial neural networks and support vector
machines: The sample of the istanbul stock exchange, Expert Systems with
Applications, 38, 5, pp. 5311-5319, (2011); Kia A.; Kia A.N., Fathian M., Gholamian
M., Using MLP and RBF neural networks to improve the prediction of exchange rate
time series with ARIMA, International Journal of Information and Electronics
Engineering, 2, 4, (2012); Kia A.N., Haratizadeh S., Heshmati Z., Analysis and
prediction of fluctuations for sector price indices with cross correlation and
association based networks: Tehran stock exchange case, Bonfring International
Journal of Industrial Engineering and Management Science, 37, 4, (2016); Kia A.N.,
Haratizadeh S., Shouraki S.; Kim K.-J., Financial time series forecasting using
support vector machines, Neurocomputing, 55, 1, pp. 307-319, (2003); Kruskal J.B.,
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A case study, Physica A: Statistical Mechanics and its Applications, 482, pp. 65-
73, (2017); Park K., Shin H., Stock price prediction based on a complex
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Classifiers, 10, 3, pp. 61-74, (1999); Rather A.M., Sastry V., Agarwal A., Stock
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R.B., Sarkar U.K., A social network approach to change detection in the
interdependence structure of global stock markets, Social Network Analysis and
Mining, 3, 3, pp. 269-283, (2013); Sapankevych N.I., Sankar R., Time series
prediction using support vector machines: a survey, IEEE Computational Intelligence
Magazine, 4, 2, pp. 24-38, (2009); Shin H., Hou T., Park K., Park C.-K., Choi S.,
Prediction of movement direction in crude oil prices based on semi-supervised
learning, Decision Support Systems, 55, 1, pp. 348-358, (2013); Shin K.-S., Lee
T.S., Kim H.-J., An application of support vector machines in bankruptcy prediction
model, Expert Systems with Applications, 28, 1, pp. 127-135, (2005); Shrager J.,
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in stock market prediction: A survey, International Journal of Computer Science &
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Z., A hybrid method for forecasting stock market trend using soft-thresholding de-
noise model and SVM, International workshop on rough sets, fuzzy sets, data mining,
and granular-soft computing, pp. 387-394, (2007); Thawornwong S., Enke D., The
adaptive selection of financial and economic variables for use with artificial
neural networks, Neurocomputing, 56, pp. 205-232, (2004); Tsai C.-F., Hsiao Y.-C.,
Combining multiple feature selection methods for stock prediction: Union,
intersection, and multi-intersection approaches, Decision Support Systems, 50, 1,
pp. 258-269, (2010); Weng B., Ahmed M.A., Megahed F.M., Stock market one-day ahead
movement prediction using disparate data sources, Expert Systems with Applications,
79,
pp. 153-163, (2017); Yao J., Tan C.L., A case study on using neural networks to
perform technical forecasting of Forex, Neurocomputing, 34, 1, pp. 79-98, (2000);
Zhou D., Bousquet O., Lal T.N., Weston J., Scholkopf B., Learning with local and
global consistency, Proceedings of the advances in neural information processing
systems, pp. 321-328, (2004); Zhu X., (2005); Zhu X., Ghahramani Z., Lafferty J.D.,
Semi-supervised learning using gaussian fields and harmonic functions, Proceedings
of the twentieth international conference on machine learning (ICML-03), pp. 912-
919, (2003)","S. Haratizadeh; University of Tehran, Faculty of New Sciences and
Technologies, Tehran, North Kargar Street, 1439957131, Iran; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85044940299
Hu Z.; Zhu J.; Tse K.,"Hu, Zhen (56030046700); Zhu, Jie (55704684700); Tse, Ken
(56029085800)",56030046700; 55704684700; 56029085800,Stocks market prediction using
Support Vector Machine,2013,"Proceedings of 2013 6th International Conference on
Information Management, Innovation Management and Industrial Engineering, ICIII
2013",2,,6703096,115,118,3,48,10.1109/ICIII.2013.6703096,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84893701382&doi=10.1109%2fICIII.2013.6703096&partnerID=40&md5=f91dfeaf75dde5583e56c
b12460c5ae2,"Marketing Department of Business School, Sun Yat-sen University,
Guangzhou, China; College of Electronics and Information Engineering, Nanjing
University of Technology, Nanjing, China; Department of Computer Science,
University of California, Los Angeles, United States","Hu Z., Marketing Department
of Business School, Sun Yat-sen University, Guangzhou, China; Zhu J., College of
Electronics and Information Engineering, Nanjing University of Technology, Nanjing,
China; Tse K., Department of Computer Science, University of California, Los
Angeles, United States","A lot of studies provide strong evidence that traditional
predictive regression models face significant challenges in out-of sample
predictability tests due to model uncertainty and parameter instability. Recent
studies introduce particular strategies that overcome these problems. Support
Vector Machine (SVM) is a relatively new learning algorithm that has the desirable
characteristics of the control of the decision function, the use of the kernel
method, and the sparsity of the solution. In this paper, we present a theoretical
and empirical framework to apply the Support Vector Machines strategy to predict
the stock market. Firstly, four company-specific and six macroeconomic factors that
may influence the stock trend are selected for further stock multivariate analysis.
Secondly, Support Vector Machine is used in analyzing the relationship of these
factors and predicting the stock performance. Our results suggest that SVM is a
powerful predictive tool for stock predictions in the financial market. © 2013
IEEE.",data mining; forecasting; multivariate classification; stock classification;
support vector machine,Commerce; Data mining; Finance; Forecasting; Industrial
engineering; Information management; Innovation; Regression analysis; Uncertainty
analysis; Decision functions; Market prediction; Model uncertainties; Multi variate
analysis; Multivariate classification; Parameter instability; Stock classification;
Stock predictions; Support vector machines,,,,,,,"Huang W., Nakamori Y., Wang S.,
Forecasting stock market movement direction with support vector machine, Computers
& Operations Research, 32, 10, pp. 2513-2522, (2005); Burges C.J.C., A tutorial on
support vector machines for pattern recognition, Data Mining and Knowledge
Discovery, 2, pp. 1-43, (1998); Cortes C., Vapnik V., Support vector networks,
Machine Learning, 20, pp. 273-297, (1995); Pontil M., Verri A., Properties of
support vector machines, Technical Report, Massachusetts Institute of Technology,
(1997); Osuna E.E., Freund R., Girosi F., Support vector machines: Training and
applications, Technical Report, Massachusetts Institute of Technology, Artificial
Intelligence Laboratory, 1602, (1997); Ancona N., Classification properties of
support vector machines for regression, Technical Report; Xie J., Wu J., Qian Q.,
Feature selection algorithm based on association rules mining method, ACIS-ICIS,
pp. 357-362, (2009); Joachims T., Making large-scale SVM learning practical,
Technical Report, LS-8-24, Computer Science Department, (1998); Smola A.J.,
Scholkopf B., A tutorial on support vector regression, NEUROCOLT2 Technical Report
Series, NC2-TR- 1998-030, (1998)",,,,,"2013 6th International Conference on
Information Management, Innovation Management and Industrial Engineering, ICIII
2013",23 November 2013 through 24 November 2013,Xi'an,102493,,978-147993985-
5,,,English,"Proc. Int. Conf. Inf. Manage., Innov. Manage. Ind. Eng.,
ICIII",Conference paper,Final,,Scopus,2-s2.0-84893701382
Hussain W.; Merigó J.M.; Raza M.R.,"Hussain, Walayat (56412522700); Merigó, José M.
(23482135100); Raza, Muhammad Raheel (57217829116)",56412522700; 23482135100;
57217829116,Predictive intelligence using ANFIS-induced OWAWA for complex stock
market prediction,2022,International Journal of Intelligent
Systems,37,8,,4586,4611,25,34,10.1002/int.22732,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85118596180&doi=10.1002%2fint.22732&partnerID=40&md5=83e583d64f21162c03ac3eac32fae2
43,"Faculty of Engineering and Information Technology, University of Technology
Sydney, Ultimo, NSW, Australia; Department of Software Engineering, College of
Technology, Firat University, Elazig, Turkey","Hussain W., Faculty of Engineering
and Information Technology, University of Technology Sydney, Ultimo, NSW,
Australia; Merigó J.M., Faculty of Engineering and Information Technology,
University of Technology Sydney, Ultimo, NSW, Australia; Raza M.R., Department of
Software Engineering, College of Technology, Firat University, Elazig,
Turkey","Traditional time series prediction methods are unable to handle the
complex nonlinear relationship of a large data set. Most of the existing techniques
are unable to manage multiple dimensions of a data set, due to which the
computational complexity escalates with the increasing size of a data set. Many
machine learning (ML) methods are unable to handle known unknown predictions. This
paper presents a new forecasting method in the neural network structure based on
the induced ordered weighted average (IOWA) weighted average (WA) and fuzzy time
series. The proposed model is more efficient than existing complexity handling
fuzzy time series prediction methods and other traditional time series prediction
methods. The proposed model can accommodate the IOWA operator, weighted average,
and relevance degree of each concept in a particular problem for a fuzzy nonlinear
prediction. The contribution of this paper is twofold. First, it contributes to
theory by proposing a new IOWAWA layer in the neural network to handle complex
nonlinear prediction for a large data set. The second contribution is the
application of the approach to predict nonlinear stock market data. The robustness
of the approach is tested using Australian Securities Exchange (ASX) stock data by
considering a case study of the housing and property sector. We further compare the
prediction accuracy of the approach with sixteen existing methods. The experimental
results demonstrate that the proposed model outperforms existing methods. © 2021
Wiley Periodicals LLC.",ANFIS; complex nonlinear prediction; fuzzy C-means (FCM);
known unknown prediction; neural network; prediction intelligence; stock price
prediction; time series prediction,Commerce; Complex networks; Electronic trading;
Financial markets; Fuzzy inference; Fuzzy neural networks; Multilayer neural
networks; Network layers; Time series; Complex nonlinear prediction; Fuzzy C-mean;
Known unknown prediction; Large datasets; Neural-networks; Non-linear predictions;
Prediction intelligence; Prediction methods; Stock price prediction; Time series
prediction; Forecasting,,,,,,,"e Silva P., Junior C.A.S., Alves M.A., Silva R.,
Cohen M.W., Guimaraes F.G., Forecasting in non-stationary environments with fuzzy
time series, Appl Soft Comput, 97, (2020); Jankova Z., Jana D.K., Dostal P.,
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Hussain F.K., Saberi M., Hussain O.K., Chang E., Comparing time series with machine
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Gener Comput Syst, 89, pp. 464-477, (2018)","W. Hussain; Faculty of Engineering and
Information Technology, University of Technology Sydney, Ultimo, Australia; email:
[email protected]",,John Wiley and Sons
Ltd,,,,,,8848173,,IJISE,,English,Int J Intell Syst,Article,Final,All Open Access;
Gold Open Access,Scopus,2-s2.0-85118596180
Panwar B.; Dhuriya G.; Johri P.; Singh Yadav S.; Gaur N.,"Panwar, Bhawna
(57223139973); Dhuriya, Gaurav (57223140137); Johri, Prashant (55201637400); Singh
Yadav, Sudeept (57223130610); Gaur, Nitin (57223133778)",57223139973; 57223140137;
55201637400; 57223130610; 57223133778,Stock Market Prediction Using Linear
Regression and SVM,2021,"2021 International Conference on Advance Computing and
Innovative Technologies in Engineering, ICACITE
2021",,,9404733,629,631,2,37,10.1109/ICACITE51222.2021.9404733,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105004110&doi=10.1109%2fICACITE51222.2021.9404733&partnerID=40&md5=7940a4d9b9edde
cf2eab5cfe7131efd5,"Galgotias University, School of Computer Science and
Engineering, Greater Noida, India","Panwar B., Galgotias University, School of
Computer Science and Engineering, Greater Noida, India; Dhuriya G., Galgotias
University, School of Computer Science and Engineering, Greater Noida, India; Johri
P., Galgotias University, School of Computer Science and Engineering, Greater
Noida, India; Singh Yadav S., Galgotias University, School of Computer Science and
Engineering, Greater Noida, India; Gaur N., Galgotias University, School of
Computer Science and Engineering, Greater Noida, India","In Stock Market is the
financial epitome of financial business and trading since it came into existence it
has shown the impact of hits low and similarly when it is high. The stock market
crash in 2008 showed the world that the business hit the low when the Dow Jones
Industrial Average fell 777.68%. Several machine learning algorithms have shown
that these stock prices can be predicted and these algorithms can be implemented
using the approach of supervised learning. In Supervised Learning, we have test
data using this we train the models. Although the results obtained after training
the model may differ from the actual but it has been observed that in many cases
accuracy is satisfactory. In this paper, the first task is to use web scrapping to
collect datasets from stock data. Then we plot the data on the graph, from the
graph we can analyze the stock prices going high or low. After this, we will
predict stock prices using SVM and Linear Regression, that Linear Regression for
stock market analysis is better than the SVM for the same. © 2021 IEEE.",Linear
Regression(LR); SVM(State Vector Machine); SVR(State Vector Regression),Commerce;
Costs; Electronic trading; Learning algorithms; Learning systems; Linear
regression; Support vector machines; Dow Jones Industrial averages; Stock data;
Stock market analysis; Stock market crashes; Stock market prediction; Stock price;
Test data; Financial markets,,,,,,,"Yang H., Chan L., King I., Support Vector
Machine Regression for Volatile Stock Market Prediction; Chun Yuen M., Man Yiu L.,
Kai Man T., COMP 3211 Final Project Report Stock Market Forecasting Using Machine
Learning; Cortes C., Vapnik V., Support-Vector Networks; Singh T., Mohit E.,
Implementation of Stock Market Prediction; Kranthi V., Reddy S., Stock Market
Prediction Using Machine Learning; Zou K.H., Tuncali K., Silverman S.G.,
Correlation and Simple Linear Regression; Guo Y., Han S., An Adapive SVR for High
Frequency Stock Price For3ecasting; Ding Y., Cheng L., Pedrycz W., Hao K., Global
Nonlinear Kernel Prediction for Large Data Set with A Partial Swarm-Optimized
Internal Support Vector Regression; Baram Y., Partial Classification : The Benefit
of Deferred Decision; Nabipour M., Nayyeri P., Jabani H., Predicting Stock Market
Trends Using Machine Learning Deep Learning Algorithms Via Continuous and Binary
Data ; A Comparative Analysis on the Tehran Stock Exchange; Cao L.J., Francis E.H.,
Tay "" Support Vector Machine with Adaptive Parameters in Financial
Time",,,Institute of Electrical and Electronics Engineers Inc.,,"2021 International
Conference on Advance Computing and Innovative Technologies in Engineering, ICACITE
2021",4 March 2021 through 5 March 2021,Greater Noida,168481,,978-172817741-
0,,,English,"Int. Conf. Adv. Comput. Innov. Technol. Eng., ICACITE",Conference
paper,Final,,Scopus,2-s2.0-85105004110
Hájek P.,"Hájek, Petr (56894360000)",56894360000,Combining bag-of-words and
sentiment features of annual reports to predict abnormal stock returns,2018,Neural
Computing and Applications,29,7,,343,358,15,47,10.1007/s00521-017-3194-2,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85028574890&doi=10.1007%2fs00521-017-3194-
2&partnerID=40&md5=b9da641cef4583d536803d428fe12d2c,"Institute of System
Engineering and Informatics, Faculty of Economics and Administration, University of
Pardubice, Studentská 84, Pardubice, Czech Republic","Hájek P., Institute of System
Engineering and Informatics, Faculty of Economics and Administration, University of
Pardubice, Studentská 84, Pardubice, Czech Republic","Automated textual analysis of
firm-related documents has become an important decision support tool for stock
market investors. Previous studies tended to adopt either dictionary-based or
machine learning approach. Nevertheless, little is known about their concurrent
use. Here we use the combination of financial indicators, readability, sentiment
categories, and bag-of-words (BoW) to increase prediction accuracy. This paper aims
to extract both sentiment and BoW information from the annual reports of US firms.
The sentiment analysis is based on two commonly used dictionaries, namely a general
dictionary Diction 7.0 and a finance-specific dictionary proposed by Loughran and
McDonald (J Finance 66:35–65, 2011. doi:10.1111/j.1540-6261.2010.01625.x). The BoW
are selected according to their tf–idf. We combine these features with financial
indicators to predict abnormal stock returns using a multilayer perceptron neural
network with dropout regularization and rectified linear units. We show that this
method performs similarly as naïve Bayes and outperforms other machine learning
algorithms (support vector machine, C4.5 decision tree, and k-nearest neighbour
classifier) in predicting positive/negative abnormal stock returns in terms of ROC.
We also show that the quality of the prediction significantly increased when using
the correlation-based feature selection of BoW. This prediction performance is
robust to industry categorization and event window. © 2017, The Natural Computing
Applications Forum.",Neural network; Prediction; Sentiment; Stock return; Text
mining,Artificial intelligence; Data mining; Decision support systems; Decision
trees; Electronic trading; Finance; Financial markets; Forecasting; Learning
algorithms; Learning systems; Natural language processing systems; Nearest neighbor
search; Neural networks; Decision support tools; K-nearest neighbours; Machine
learning approaches; Multi-layer perceptron neural networks; Prediction
performance; Sentiment; Stock returns; Text mining; Investments,,,,,"scientific
research project of the Czech Sciences Foundation, (16-19590S)",Funding This study
was funded by the scientific research project of the Czech Sciences Foundation
(Grant No. 16-19590S).,"Loughran T., Mcdonald B., When is a liability not a
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just noise? The information content of Internet stock message boards, J Finance,
59, pp. 1259-1294, (2004); Tetlock P.C., Giving content to investor sentiment: the
role of media in the stock market, J Finance, 62, pp. 1139-1168, (2007); Bodnaruk
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Finance Quant Anal, 50, pp. 623-646, (2015); Myskova R., Hajek P., The effect of
managerial sentiment on market-to-book ratio, Transform Bus Econ, 15, pp. 80-96,
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methods, Knowl Based Syst, 128, pp. 139-152, (2017); Hajek P., Olej V., Evaluating
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transmission across global markets using support vector machines, Neural Comput
Appl, (2016)","P. Hájek; Institute of System Engineering and Informatics, Faculty
of Economics and Administration, University of Pardubice, Pardubice, Studentská 84,
Czech Republic; email: [email protected]",,Springer
London,,,,,,9410643,,,,English,Neural Comput. Appl.,Article,Final,,Scopus,2-s2.0-
85028574890
Leow E.K.W.; Nguyen B.P.; Chua M.C.H.,"Leow, Edmund Kwong Wei (57223242356);
Nguyen, Binh P. (16176109500); Chua, Matthew Chin Heng (55903385500)",57223242356;
16176109500; 55903385500,Robo-advisor using genetic algorithm and BERT sentiments
from tweets for hybrid portfolio optimisation,2021,Expert Systems with
Applications,179,,115060,,,,36,10.1016/j.eswa.2021.115060,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105305881&doi=10.1016%2fj.eswa.2021.115060&partnerID=40&md5=bee28683b1b993ead9741
cb0c3f200c5,"Institute of Systems Science, National University of Singapore, 29
Heng Mui Keng Terrace, 119620, Singapore; School of Mathematics and Statistics,
Victoria University of Wellington, Kelburn Parade, Wellington, 6140, New
Zealand","Leow E.K.W., Institute of Systems Science, National University of
Singapore, 29 Heng Mui Keng Terrace, 119620, Singapore; Nguyen B.P., School of
Mathematics and Statistics, Victoria University of Wellington, Kelburn Parade,
Wellington, 6140, New Zealand; Chua M.C.H., Institute of Systems Science, National
University of Singapore, 29 Heng Mui Keng Terrace, 119620, Singapore","Robo-
advisors are increasingly popular, with machine learning algorithms taking centre
stage for researchers. However, classical financial theories and techniques, such
as Constant Rebalancing (CRB) and Modern Portfolio Theory (MPT), can still be
relevant by combining them with social media sentiments. In this study, we propose
two novel models, namely Sentimental All-Weather (SAW) and Sentimental MPT (SMPT),
which capture the up-to-date market conditions through Twitter sentiments via
Google's Bidirectional Transformer (BERT) model. Genetic Algorithm was used to
optimise the models for different objectives including maximising cumulative
returns and minimising volatility. Trained on tweets and the United States stock
data from August 2018 to end December 2019, and tested on an out-of-sample period
from January 2020 to April 2020, our proposed models achieved superior performance
in terms of common measures of portfolio performance including Sharpe ratio,
cumulative returns, and value-at-risk, compared to the following benchmarks: buy-
and-hold SPY index, MPT model, and CRB model for an All-Weather Portfolio. © 2021
Elsevier Ltd",BERT; Genetic algorithm; Portfolio optimisation; Social media
sentiment analysis; Twitter,Benchmarking; Learning algorithms; Machine learning;
Risk assessment; Sentiment analysis; Social networking (online); Value engineering;
BERT; Google+; Machine learning algorithms; Market condition; Modern portfolio
theories; Performance; Portfolio optimization; Rebalancing; Social media; Social
medium sentiment analyse; Genetic algorithms,,,,,,,"Aboussalah A.M., Lee C.-G.,
Continuous control with stacked deep dynamic recurrent reinforcement learning for
portfolio optimization, Expert Systems with Applications, 140, (2020); Araci D.,
(2019); Back T., Fogel D.B., Michalewicz Z., Evolutionary computation 1: Basic
algorithms and operators, (2018); Black F., Litterman R.B., Asset allocation:
Combining investor views with market equilibrium, The Journal of Fixed Income, 1,
2, pp. 7-18, (1991); Bollen J., Mao H., Zeng X., Twitter mood predicts the stock
market, Journal of Computational Science, 2, 1, pp. 1-8, (2011); Brans H.,
Scholtens B., Under his thumb the effect of president Donald Trump's Twitter
messages on the US stock market, PLoS One, 15, 3, pp. 1-11, (2020); Brenner L.,
Meyll T., Robo-advisors: A substitute for human financial advice?, Journal of
Behavioral and Experimental Finance, 25, (2020); Chen K., Zhou Y., Dai F., (2018);
Deng Y., Bao F., Kong Y., Ren Z., Dai Q., Deep direct reinforcement learning for
financial signal representation and trading, IEEE Transactions on Neural Networks
and Learning Systems, 28, pp. 1-12, (2016); Fu X., Du J., Guo Y., Liu M., Dong T.,
Duan X., (2018); Gomes C.P., Selman B., Algorithm portfolios, Artificial
Intelligence, 126, 1, pp. 43-62, (2001); Hutto C.J., Gilbert E.V., (2014); Idzorek
T., (2007); Jiang Z., Xu D., Liang J., A deep reinforcement learning framework for
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of stock returns with an application to portfolio selection, Journal of Empirical
Finance, 10, pp. 603-621, (2001); Ledoit O., Wolf M., Honey, I shrunk the sample
covariance matrixi shrunk the sample covariance matrix, The Journal of Portfolio
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strategy for reducing investment risk, Economic Horizons, 20, 2, pp. 169-184,
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D., (2007); Lopez de Prado M., Building diversified portfolios that outperform out
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H.M., (2013); Pagolu V.S., Challa K.N.R., Panda G., Majhi B., Sentiment analysis of
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on sentiment: The power of minds over markets, (2016); Phoon K., Koh F., Robo-
Advisors and Wealth Management, The Journal of Alternative Investments, 20, 3, pp.
79-94, (2018); Poterba J., Shoven J.B., (2002); Rai A., Explainable AI: From black
box to glass box, Journal of the Academy of Marketing Science, 48, 1, pp. 137-141,
(2020); Ribeiro F.N., Araujo M., Goncalves P., Benevenuto F., Goncalves M., (2015);
Robbins A., (2014); Shen S., Jiang H., Zhang T., (2012); Sul H.K., Dennis A.R.,
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returns, Decision Sciences, 48, 3, pp. 454-488, (2017); Sun C., Huang L., Qiu X.,
Utilizing BERT for aspect-based sentiment analysis via, Constructing Auxiliary
Sentence, (2019); Vincent W.S., Django for beginners: Build websites with Python
and Django, Still River Press, (2020); Xu P., Chen A., Tsui P.W.E., Black-Litterman
Model, Tech. Rep., (2018); Xu H., Liu B., Shu L., Yu P., (2019); Yang J., Li Y.,
Chen X., Cao J., Jiang K., (2019); Zhang W., Skiena S., (2010)","B.P. Nguyen;
School of Mathematics and Statistics, Victoria University of Wellington,
Wellington, Kelburn Parade, 6140, New Zealand; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85105305881
Pröllochs N.; Feuerriegel S.; Neumann D.,"Pröllochs, Nicolas (56902630900);
Feuerriegel, Stefan (53881265200); Neumann, Dirk (7202067244)",56902630900;
53881265200; 7202067244,Enhancing sentiment analysis of financial news by detecting
negation scopes,2015,Proceedings of the Annual Hawaii International Conference on
System Sciences,2015-March,,7069923,959,968,9,35,10.1109/HICSS.2015.119,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84944222261&doi=10.1109%2fHICSS.2015.119&partnerID=40&md5=5abd5303596e27da31cdea518
0e9bf74,"University of Freiburg, Freiburg, Germany","Pröllochs N., University of
Freiburg, Freiburg, Germany; Feuerriegel S., University of Freiburg, Freiburg,
Germany; Neumann D., University of Freiburg, Freiburg, Germany","Sentiment analysis
refers to the extraction of the polarity of source materials, such as financial
news. However, measuring positive tone requires the correct classification of
sentences that are negated, i.e. The negation scopes. For example, around 4.74% of
all sentences in German ad hoc announcements contain negations. To predict the
corresponding negation scope, related literature commonly utilizes two approaches,
namely, rule-based algorithms and machine learning. Nevertheless, a thorough
comparison is missing, especially for the sentiment analysis of financial news. To
close this gap, this paper uses German ad hoc announcements as a common example of
financial news in order to pursue a two-sided evaluation. First, we compare the
predictive performance using a manually-labeled dataset. Second, we examine how
detecting negation scopes can improve the accuracy of sentiment analysis. In this
instance, rule-based algorithms produce superior results, resulting in an
improvement of up to 9.80% in the correlation between news sentiment and stock
market returns. © 2015 IEEE.",,Electronic trading; Finance; Machine learning;
Financial news; Labeled dataset; Market returns; Positive tone; Predictive
performance; Rule based algorithms; Source material; Sentiment
analysis,,,,,,,"Loughran T., McDonald B., When is a liability not a liability?
textual analysis, dictionaries, and 10-ks, The Journal of Finance, 66, 1, pp. 35-
65, (2011); Loughran T., McDonald B., IPO first-day returns, offer price revisions,
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326, (2013); Tetlock P.C., Giving content to investor sentiment: The role of media
in the stock market, The Journal of Finance, 62, 3, pp. 1139-1168, (2007); Rokach
L., Romano R., Maimon O., Negation recognition in medical narrative reports,
Information Retrieval, 11, 6, pp. 499-538, (2008); Wiegand M., Balahur A., Roth B.,
Klakow D., Montoyo A., A survey on the role of negation in sentiment analysis,
Proceedings of the Workshop on Negation and Speculation in Natural Language
Processing, pp. 60-68, (2010); Councill I.G., McDonald R., Velikovich L., What's
great and what's not: Learning to classify the scope of negation for improved
sentiment analysis, Proceedings of the Workshop on Negation and Speculation in
Natural Language Processing, pp. 51-59, (2010); Athar A., Sentiment analysis of
citations using sentence structure-based features, Proceedings of the ACL, pp. 81-
87, (2011); Jia L., Yu C., Meng W., The effect of negation on sentiment analysis
and retrieval effectiveness, Proceeding of the 18th ACM Conference on Information
and Knowledge Management(CIKM '09), pp. 1827-1830, (2009); Hogenboom A., Van
Iterson P., Heerschop B., Frasincar F., Kaymak U., Determining negation scope and
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F.D., Scope of negation detection in sentiment analysis, Proceedings of the Dutch-
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Markets, Institutions and Money, 17, 1, pp. 1-24, (2007); McDonald B., Loughran and
McDonald Financial Sentiment Dictionary, (2012)",,Bui T.X.; Sprague R.H.,IEEE
Computer Society,"AFOSR; et al.; ONR; Shidler College of Business, University of
Hawai'i at Manoa; University of Hawai'i, Department of EE; University of Hawai'i,
Information Sciences Program","48th Annual Hawaii International Conference on
System Sciences, HICSS 2015",5 January 2015 through 8 January
2015,Kauai,113651,15301605,978-147997367-5,,,English,Proc. Annu. Hawaii Int. Conf.
Syst. Sci.,Conference paper,Final,,Scopus,2-s2.0-84944222261
Shah J.; Vaidya D.; Shah M.,"Shah, Jaimin (58276641200); Vaidya, Darsh
(57861480500); Shah, Manan (57200131797)",58276641200; 57861480500; 57200131797,A
comprehensive review on multiple hybrid deep learning approaches for stock
prediction,2022,Intelligent Systems with
Applications,16,,200111,,,,43,10.1016/j.iswa.2022.200111,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85136645113&doi=10.1016%2fj.iswa.2022.200111&partnerID=40&md5=03546d270576876a5b174
368290d83e2,"Department of Electrical Engineering, Faculty of Technology and
Engineering, The Maharaja Sayajirao University of Baroda, Gujarat, Vadodara, India;
Department of Computer Engineering, Indus University, Gujarat, Ahmedabad, India;
Department of Chemical Engineering, School of Technology Pandit Deendayal Energy
University, Gujarat, Gandhinagar, India","Shah J., Department of Electrical
Engineering, Faculty of Technology and Engineering, The Maharaja Sayajirao
University of Baroda, Gujarat, Vadodara, India; Vaidya D., Department of Computer
Engineering, Indus University, Gujarat, Ahmedabad, India; Shah M., Department of
Chemical Engineering, School of Technology Pandit Deendayal Energy University,
Gujarat, Gandhinagar, India","Numerous recent studies have attempted to create
efficient mechanical trading systems through the use of machine learning approaches
for stock price estimation and portfolio management. Using the ability to foresee
the future trends of the stock performance, the return of investment can be
maximized for short-term trading. This paper will review various Artificial
Intelligence (AI) and Machine Learning (ML) strategies for stock price forecasting.
The aim of this review is to discuss various techniques for stock price prediction
that incorporate ARIMA, LSTM, Hybrid LSTM, CNN, and Hybrid CNN. Additionally, it
will also discuss the limitations and accuracy of the various models, including the
ARIMA model, the LSTM model, the MI-LSTM model, the Bi-LSTM model, the LSTM-DRNN
model, the CNN model, the GC-CNN model, the CNN-LSTM model, the CNN-TLSTM model,
and the CNN-BiLSTM model, in terms of percentage of accuracy or error calculation
in terms of standard accuracy measures like RMSE, MAPE, MAE. The models can be used
to forecast either the accurate stock rate, induced by the low MSE, RMSE and MAE of
LSTM models, or the general trend and deflection range of the stock the following
day, induced by the ability to dynamically capture swift changes in the system of
CNN models. These characteristics consequently illustrate the advantages of the
hybrid model at efficiently and accurately forecasting stock attributes. © 2022 The
Author(s)",Deep Learning; Machine Learning; Stock Market,Commerce; Electronic
trading; Forecasting; Investments; Learning systems; Long short-term memory; CNN
models; Deep learning; Learning approach; Machine learning approaches; Machine-
learning; Mechanical trading; Price estimation; Stock predictions; Stock price;
Trading systems; Financial markets,,,,,"Department of Chemical Engineering, School
of Technology Pandit Deendayal Energy University","The authors are grateful to
Department of Chemical Engineering, School of Technology Pandit Deendayal Energy
University for the permission to publish this research.","Abreu R.J., Souza R.M.,
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(2021)","M. Shah; Department of Chemical Engineering, School of Technology Pandit
Deendayal Energy University, Gandhinagar, Gujarat, India; email:
[email protected]",,Elsevier B.V.,,,,,,26673053,,,,English,Intell. Syst.
Applications.,Review,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85136645113
Alcazar J.; Leyton-Ortega V.; Perdomo-Ortiz A.,"Alcazar, Javier (57219622144);
Leyton-Ortega, Vicente (57210936992); Perdomo-Ortiz, Alejandro
(35747037700)",57219622144; 57210936992; 35747037700,Classical versus quantum
models in machine learning: Insights from a finance application,2020,Machine
Learning: Science and Technology,1,3,,,,,40,10.1088/2632-2153/AB9009,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85112669433&doi=10.1088%2f2632-
2153%2fAB9009&partnerID=40&md5=cc9573ea581b4949f9aadb9b25b92bdf,"Zapata Computing
Canada Inc., 1 Yonge Street, Suite 900, Toronto, M5E 1E5, ON, Canada; National
Australia Bank, 88 Wood St, Barbican, London, EC2V 7QQ, United Kingdom; Computer
Science and Engineering Division, Oak Ridge National Laboratory, One Bethel Valley
Road, Oak Ridge, 37831, TN, United States; Rigetti Computing, 2919 Seventh Street,
Berkeley, 94710-2704, CA, United States; Department of Computer Science, University
College London, London, WC1E 6BT, United Kingdom","Alcazar J., Zapata Computing
Canada Inc., 1 Yonge Street, Suite 900, Toronto, M5E 1E5, ON, Canada, National
Australia Bank, 88 Wood St, Barbican, London, EC2V 7QQ, United Kingdom; Leyton-
Ortega V., Computer Science and Engineering Division, Oak Ridge National
Laboratory, One Bethel Valley Road, Oak Ridge, 37831, TN, United States, Rigetti
Computing, 2919 Seventh Street, Berkeley, 94710-2704, CA, United States; Perdomo-
Ortiz A., Zapata Computing Canada Inc., 1 Yonge Street, Suite 900, Toronto, M5E
1E5, ON, Canada, Rigetti Computing, 2919 Seventh Street, Berkeley, 94710-2704, CA,
United States, Department of Computer Science, University College London, London,
WC1E 6BT, United Kingdom","Although several models have been proposed towards
assisting machine learning (ML) tasks with quantum computers, a direct comparison
of the expressive power and efficiency of classical versus quantum models for
datasets originating from real-world applications is one of the key milestones
towards a quantum ready era. Here, we take a first step towards addressing this
challenge by performing a comparison of the widely used classical ML models known
as restricted Boltzmann machines (RBMs), against a recently proposed quantum model,
now known as quantum circuit Born machines (QCBMs). Both models address the same
hard tasks in unsupervised generative modeling, with QCBMs exploiting the
probabilistic nature of quantum mechanics and a candidate for near-term quantum
computers, as experimentally demonstrated in three different quantum hardware
architectures to date. To address the question of the performance of the quantum
model on real-world classical data sets, we construct scenarios from a
probabilistic version out of the well-known portfolio optimization problem in
finance, by using time-series pricing data from asset subsets of the S&P500 stock
market index. It is remarkable to find that, under the same number of resources in
terms of parameters for both classical and quantum models, the quantum models seem
to have superior performance on typical instances when compared with the canonical
training of the RBMs. Our simulations are grounded on a hardware efficient
realization of the QCBMs on ion-trap quantum computers, by using their native gate
sets, and therefore readily implementable in near-term quantum devices. © 2020 The
Author(s). Published by IOP Publishing Ltd",Generative models; Quantum finance;
Quantum machine learning; Unsupervised machine learning,Computer hardware;
Financial data processing; Machine learning; Quantum theory; Qubits; Expressive
power; Generative model; Hardware architecture; Ion trap quantum computer;
Portfolio optimization; Quantum modeling; Restricted boltzmann machine; Stock
market index; Quantum efficiency,,,,,"Advanced Scientific Computing Research, ASCR;
Oak Ridge National Laboratory, ORNL, (FWP #ERKJ332)","The authors would like to
acknowledge Marcello Benedetti, Dax Koh, and Yudong Cao for useful feedback on an
early version of this manuscript. V.L-O was supported by ASCR Quantum Testbed
Pathfinder Program at Oak Ridge National Laboratory under FWP #ERKJ332.","Perdomo-
Ortiz A, Benedetti M, Realpe-Gomez J, Biswas R, Opportunities and challenges for
quantum-assisted machine learning in near-term quantum computers, Quantum Sci.
Technol, 3, (2018); Benedetti M, Garcia-Pintos D, Perdomo O, Leyton-Ortega V, Nam
Y, Perdomo-Ortiz A, A generative modeling approach for benchmarking and training
shallow quantum circuits npj, Quantum Inf, 5, (2019); Han Z-Y, Wang J, Fan H, Wang
L, Zhang P, Unsupervised generative modeling using matrix product states, Phys.
Rev. X, 8, (2018); Liu J-G, Wang L, Differentiable learning of quantum circuit born
machines, Phys. Rev. A, 98, (2018); Coyle B, Mills D, Danos V, Kashefi E, The Born
Supremacy: Quantum Advantage and Training of an Ising Born Machine, (2019); Zhu D,
Et al., Training of Quantum Circuits on a Hybrid Quantum Computer, Sci. Adv, 5,
(2019); Hamilton K E, Dumitrescu E F, Pooser R C, Generative Model Benchmarks for
Superconducting Qubits, Phys. Rev. A, 99, (2019); Leyton-Ortega V, Perdomo-Ortiz A,
Perdomo O, Robust Implementation of Generative Modeling With Parametrized Quantum
Circuits, (2019); Zoufal C, Lucchi A, Woerner S, Quantum Generative Adversarial
Networks for Learning and Loading Random Distributions npj, Quantum Inf, 5, (2019);
Amin M H, Andriyash E, Rolfe J, Kulchytskyy B, Melko R, Quantum Boltzmann machine,
Phys. Rev. X, 8, (2016); Cao Y, Guerreschi G G, Aspuru-Guzik A, Quantum neuron: an
elementary building block for machine learning on quantum computers, (2017);
Anschuetz E R, Cao Y, Realizing quantum Boltzmann machines through eigenstate
thermalization, (2019); Rosenberg G, Haghnegahdar P, Goddard P, Carr P, Wu K, de
Prado M L, Solving the optimal trading trajectory problem using a quantum annealer,
IEEE J. Sel. Top. Signal Process, 10, (2016); Marzec M, Portfolio Optimization:
Applications in Quantum Computing, pp. 73-106, (2016); Rebentrost P, Gupt B,
Bromley T R, Quantum computational finance: Monte Carlo pricing of financial
derivatives, Phys. Rev. A, 98, (2018); Orus R, Mugel S, Lizaso E, Forecasting
financial crashes with quantum computing, Phys. Rev. A, 99, (2018); Woerner S,
Egger D J, npj Quantum Information, 5, (2019); Orus R, Mugel S, Lizaso E, Quantum
computing for finance: Overview and prospects, Rev. Phys, 4, (2019); Stamatopoulos
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d-wave quantum computer, (2019); Martin A, Candelas B, Angel Rodriguez-Rozas J D,
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with an IBM quantum computer, (2019); Venturelli D, Kondratyev A, Reverse quantum
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(2010); Computing R, Forest S D K; Hinton G E, Osindero S, Teh Y-W, A fast learning
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25th Int. Conf. on Machine Learning, (2008); Team T D, Restricted Boltzmann
machines (RBM), (2016); Hansen N, Akimoto Y, Baudis P, CMA-ES/pycma on Github,
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evolution strategies, Evol. Computat, 9, (2001); Le Roux N, Bengio Y,
Representational power of restricted Boltzmann machines and deep belief networks,
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algorithm based on generative models, Sci. Adv, 4, (2018); Glasser I, Sweke R,
Pancotti N, Eisert J, Cirac J I, Expressive Power of Tensor-Network Factorizations
for Probabilistic Modeling, With Applications From Hidden Markov Models to Quantum
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Sequences With Quantum States: A Look Under the Hood, (2019); Perdomo-Ortiz A, Et
al., Readiness of quantum optimization machines for industrial applications, Phys.
Rev. Appl, 12, (2019)","A. Perdomo-Ortiz; Zapata Computing Canada Inc., Toronto, 1
Yonge Street, Suite 900, M5E 1E5, Canada; email:
[email protected]",,IOP Publishing Ltd,,,,,,26322153,,,,English,Mach.
Learn.: Sci. Technol.,Article,Final,All Open Access; Gold Open Access; Green Open
Access,Scopus,2-s2.0-85112669433
Mankar T.; Hotchandani T.; Madhwani M.; Chidrawar A.; Lifna C.S.,"Mankar, Tejas
(57205284065); Hotchandani, Tushar (57205282218); Madhwani, Manish (57205293621);
Chidrawar, Akshay (57205284030); Lifna, C.S. (56267488000)",57205284065;
57205282218; 57205293621; 57205284030; 56267488000,Stock Market Prediction based on
Social Sentiments using Machine Learning,2018,"2018 International Conference on
Smart City and Emerging Technology, ICSCET
2018",,,8537242,,,,38,10.1109/ICSCET.2018.8537242,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85059387425&doi=10.1109%2fICSCET.2018.8537242&partnerID=40&md5=8b74010ee26fff4d83f2
556657687f62,"Department of Computer Engineering, India; Department of Computer
Engineering, VES Institute of Technology, Chembur, Mumbai, India","Mankar T.,
Department of Computer Engineering, India; Hotchandani T., Department of Computer
Engineering, India; Madhwani M., Department of Computer Engineering, India;
Chidrawar A., Department of Computer Engineering, India; Lifna C.S., Department of
Computer Engineering, VES Institute of Technology, Chembur, Mumbai, India","Machine
learning and artificial intelligence techniques are being used in conjunction with
data mining to solve a plethora of real world problems. These techniques have
proven to be highly effective, yielding maximum accuracy with minimal monetary
investment and also saving huge amounts of time. To add to their annual income,
nowadays, people have started looking at stock investments as a lucrative option.
With expert guidance and intelligent planning, we can almost double our annual
revenue through stock returns. That said, stock investment still remains a risky
proposition for the uninitiated. Exorbitant wages of the investment experts coupled
with a general ignorance pertaining to the financial matters among the public,
deters many from trading in stocks. The fear of losses also acts as a deterrent to
many. These facts propelled us to harness the power of machine learning to predict
the movement of stocks. Using sentiment analysis on the tweets collected using the
Twitter API and also the closing values of various stocks, we seek to build a
system that forecasts the stock price movement of various companies. Such a
prediction would greatly help a potential stock investor in taking informed
decisions which would directly contribute to his profits. © 2018 IEEE.",machine
learning; sentiment analysis; stock market prediction; Twitter API,Artificial
intelligence; Commerce; Data mining; Electronic trading; Financial markets;
Forecasting; Learning systems; Sentiment analysis; Smart city; Social networking
(online); Artificial intelligence techniques; Intelligent planning; Maximum
accuracies; Real-world problem; Social sentiments; Stock market prediction; Stock
price movements; Twitter api; Investments,,,,,,,"Oliveira N., Cortez P., Nelson A.,
The impact of microblogging data for stock market prediction: Using Twitter to
predict returns, volatility, trading volume and survey sentiment indices, Expert
Systems with Applications, 73, pp. 125-144, (2017); Bohn T.A., Improving Long Term
Stock Market Prediction with Text Analysis, (2017); Li X., Et al., Empirical
analysis: Stock market prediction via extreme learning machine, Neural Computing
and Applications, 27, 1, pp. 67-78, (2016); Sorto M., Aasheim C., Wimmer H.,
Feeling the Stock Market: A Study in the Prediction of Financial Markets Based on
News Sentiment, (2017)",,,Institute of Electrical and Electronics Engineers
Inc.,,"2018 International Conference on Smart City and Emerging Technology, ICSCET
2018",05-Jan-18,Mumbai,142746,,978-153861185-2,,,English,"Int. Conf. Smart City
Emerg. Technol., ICSCET",Conference paper,Final,,Scopus,2-s2.0-85059387425
Khattak M.A.; Ali M.; Rizvi S.A.R.,"Khattak, Mudeer Ahmed (57205265675); Ali,
Mohsin (57191858658); Rizvi, Syed Aun R. (55916668800)",57205265675; 57191858658;
55916668800,Predicting the European stock market during COVID-19: A machine
learning approach,2021,MethodsX,8,,101198,,,,50,10.1016/j.mex.2020.101198,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85098130907&doi=10.1016%2fj.mex.2020.101198&partnerID=40&md5=b1b20dc24965f594396e63
c694b4ab23,"Lahore University of Management Sciences, Pakistan; Iqra University,
Islamabad Campus, Pakistan; Taylor's University, Malaysia","Khattak M.A., Iqra
University, Islamabad Campus, Pakistan; Ali M., Taylor's University, Malaysia;
Rizvi S.A.R., Lahore University of Management Sciences, Pakistan","This research
attempts to explore the total of 21 potential internal and external shocks to the
European market during the Covid-19 Crisis. Using the time series of 1 Jan 2020 to
26 June 2020, I employ a machine learning technique, i.e. Least Absolute Shrinkage
and Selection Operator (LASSO) to examine the research question for its benefits
over the traditional regression methods. This further allows me to cater to the
issue of limited data during the crisis and at the same time, allows both variable
selection and regularization in the analysis. Additionally, LASSO is not
susceptible to and sensitive to outliers and multi-collinearity. The European
market is mostly affected by indices belonging to Singapore, Switzerland, Spain,
France, Germany, and the S&P500 index. There is a significant difference in the
predictors before and after the pandemic announcement by WHO. Before the Pandemic
period announcement by WHO, Europe was hit by the gold market, EUR/USD exchange
rate, Dow Jones index, Switzerland, Spain, France, Italy, Germany, and Turkey and
after the announcement by WHO, only France and Germany were selected by the lasso
approach. It is found that Germany and France are the most predictors in the
European market. • A LASSO approach is used to predict the European stock market
index during COVID-19 • European market is mostly affected by the indices belonging
to Singapore, Switzerland, Spain, France, Germany, and the S&P500 index. • There is
a significant difference in the predictors before and after the pandemic
announcement by WHO. © 2020",Coronavirus; Europe; Least Absolute Shrinkage and
Selection Operator (LASSO); Least Absolute Shrinkage and Selection Operator (LASSO)
Regression; Stock markets,Article; coronavirus disease 2019; Europe; France;
Germany; human; Italy; machine learning; market; pandemic; priority journal;
Singapore; Spain; Switzerland; Turkey (republic); World Health
Organization,,,,,,,"Haroon O., Rizvi S.A.R., Flatten the curve and stock market
liquidity—an inquiry into emerging economies, Emerg. Markets Financ. Trade, 56, 10,
pp. 2151-2161, (2020); Haroon O., Rizvi S.A.R., COVID-19: Media coverage and
financial markets behavior—a sectoral inquiry, J. Behav. Exp. Financ., (2020);
Narayan P.K., Oil price news and COVID-19—is there any connection?, Energy Res.
Lett., 1, 1, (2020); He P., Niu H., Sun Z., Li T., Accounting index of COVID-19
impact on Chinese industries: a case study using big data portrait analysis, Emerg.
Markets Financ. Trade, 56, 10, pp. 2332-2349, (2020); Chen C., Liu L., Zhao N.,
Fear sentiment, uncertainty, and bitcoin price dynamics: the case of COVID-19,
Emerg. Markets Financ. Trade, 56, 10, pp. 2298-2309, (2020); Phan D.H.B., Narayan
P.K., Country responses and the reaction of the stock market to COVID-19—a
preliminary exposition, Emerg. Markets Financ. Trade, 56, 10, pp. 2138-2150,
(2020); Narayan P.K., Did bubble activity intensify during COVID-19?, Asian Econ.
Lett., (2020); Narayan P.K., Has COVID-19 changed exchange rate resistance to
shocks, Asian Econ. Lett., 1, 1, (2020); Sharma S.S., A note on the Asian market
volatility during the COVID-19 pandemic, Asian Econ. Lett., 1, 2, (2020); Iyke
B.N., COVID-19: the reaction of US oil and gas producers to the pandemic, Energy
Res. Lett., 2, (2020); Iyke B.N., The disease outbreak channel of exchange rate
return predictability: evidence from COVID-19, Emerg. Markets Financ. Trade, 56,
10, pp. 2277-2297, (2020); Iyke B.N., Economic policy uncertainty in times of
COVID-19 pandemic, Asian Econ. Lett., 1, 2, (2020); Ali M., Alam N., Rizvi S.A.R.,
Coronavirus (COVID-19) – an epidemic or pandemic for financial markets, J. Behav.
Exp. Financ., (2020); Apergis E., Apergis N., Can the COVID-19 pandemic and oil
prices drive the US Partisan Conflict Index?, Energy Res. Lett., 1, 1, (2020);
Devpura N., Narayan P.K., Hourly oil price volatility: The role of COVID-19, Energy
Res. Lett., 1, 2, (2020); Gil-Alana L.A., Monge M., Crude oil prices and COVID-19:
persistence of the shock, Energy Res. Lett., 1, 1, (2020); Colak G., Fu M., Hasan
I., Why are some Chinese firms failing in the US capital markets? A Machine
Learning Approach, Pac.-Basin Financ. J., 61, (2020); Huang W., Zheng Y., COVID-19:
structural changes in the relationship between investor sentiment and crude oil
futures price, Energy Res. Lett., 2, (2020); Liu L., Wang E.Z., Lee C.C., Impact of
the COVID-19 pandemic on the crude oil and stock markets in the US: a time-varying
analysis, Energy Res. Lett., 1, 1, (2020); Hastie T., Tibshirani R., Friedman J.,
Springer Series in Statistics the Elements of Statistical Learning – Data Mining,
Inference, and Prediction, (2009); Hastie T., Tibshirani R., Wainwright M.,
Statistical Learning with Sparsity: the Lasso and Generalizations. Statistical
Learning with Sparsity: The Lasso and Generalizations, (2015); Tibshirani R.,
Regression shrinkage and selection via the Lasso, J. R. Stat. Soc., (1996); Mensi
W., Sensoy A., Vo X.V., Kang S.H., Impact of COVID-19 outbreak on asymmetric
multifractality of gold and oil prices, Resour. Policy, 69, (2020); Prabheesh K.P.,
Padhan R., Garg B., COVID-19 and the oil price–stock market nexus: evidence from
net oil-importing countries, Energy Res. Lett., 1, 2, (2020)","S.A.R. Rizvi; Lahore
University of Management Sciences, Pakistan; email: [email protected]",,Elsevier
B.V.,,,,,,22150161,,,,English,MethodsX,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85098130907
Chakriswaran P.; Vincent D.R.; Srinivasan K.; Sharma V.; Chang C.-Y.; Reina
D.G.,"Chakriswaran, Priya (57211184303); Vincent, Durai Raj (55808710700);
Srinivasan, Kathiravan (57192191217); Sharma, Vishal (55682655583); Chang, Chuan-Yu
(8076196000); Reina, Daniel Gutiérrez (36186039200)",57211184303; 55808710700;
57192191217; 55682655583; 8076196000; 36186039200,"Emotion AI-driven sentiment
analysis: A survey, future research directions, and open issues",2019,Applied
Sciences (Switzerland),9,24,5462,,,,47,10.3390/app9245462,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85077367711&doi=10.3390%2fapp9245462&partnerID=40&md5=2b78def2c78872d3ea52b9521ff58
454,"School of Information Technology and Engineering, Vellore Institute of
Technology (VIT), Vellore, Tamil Nadu, 632 014, India; Department of Information
Security Engineering, Soonchunhyang University, Asan, 31538, South Korea;
Department of Computer Science and Information Engineering, National Yunlin
University of Science and Technology, Yunlin, 64002, Taiwan; Department of
Electronic Engineering, University of Seville, Sevilla, 41092, Spain","Chakriswaran
P., School of Information Technology and Engineering, Vellore Institute of
Technology (VIT), Vellore, Tamil Nadu, 632 014, India; Vincent D.R., School of
Information Technology and Engineering, Vellore Institute of Technology (VIT),
Vellore, Tamil Nadu, 632 014, India; Srinivasan K., School of Information
Technology and Engineering, Vellore Institute of Technology (VIT), Vellore, Tamil
Nadu, 632 014, India; Sharma V., Department of Information Security Engineering,
Soonchunhyang University, Asan, 31538, South Korea; Chang C.-Y., Department of
Computer Science and Information Engineering, National Yunlin University of Science
and Technology, Yunlin, 64002, Taiwan; Reina D.G., Department of Electronic
Engineering, University of Seville, Sevilla, 41092, Spain","The essential use of
natural language processing is to analyze the sentiment of the author via the
context. This sentiment analysis (SA) is said to determine the exactness of the
underlying emotion in the context. It has been used in several subject areas such
as stock market prediction, social media data on product reviews, psychology,
judiciary, forecasting, disease prediction, agriculture, etc. Many researchers have
worked on these areas and have produced significant results. These outcomes are
beneficial in their respective fields, as they help to understand the overall
summary in a short time. Furthermore, SA helps in understanding actual feedback
shared across different platforms such as Amazon, TripAdvisor, etc. The main
objective of this thorough survey was to analyze some of the essential studies done
so far and to provide an overview of SA models in the area of emotion AI-driven SA.
In addition, this paper offers a review of ontology-based SA and lexicon-based SA
along with machine learning models that are used to analyze the sentiment of the
given context. Furthermore, this work also discusses different neural network-based
approaches for analyzing sentiment. Finally, these different approaches were also
analyzed with sample data collected from Twitter. Among the four approaches
considered in each domain, the aspect-based ontology method produced 83% accuracy
among the ontology-based SAs, the term frequency approach produced 85% accuracy in
the lexicon-based analysis, and the support vector machine-based approach achieved
90% accuracy among the other machine learning-based approaches. © 2019 by the
authors.",Emotion AI; Lexicon; Machine-learning; Multi-lingual sentiment analysis;
Neural networks; Ontology; Sentiment analysis,,,,,,"Ministry of Education,
MOE","This research was partially funded by ""Intelligent Recognition Industry
Service Research Center"" from The Featured Areas Research Center Program within
the framework of the Higher Education Sprout Project by the Ministry of Education
(MOE) in Taiwan. Grant number: N/A and the APC was funded by the aforementioned
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Content analysis of e-commerce companies on Twitter. Rev. Espac., 38, (2017)","D.R.
Vincent; School of Information Technology and Engineering, Vellore Institute of
Technology (VIT), Vellore, Tamil Nadu, 632 014, India; email:
[email protected]",,MDPI AG,,,,,,20763417,,,,English,Appl. Sci.,Review,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85077367711
Mintarya L.N.; Halim J.N.M.; Angie C.; Achmad S.; Kurniawan A.,"Mintarya, Latrisha
N. (58417186300); Halim, Jeta N.M. (58419871100); Angie, Callista (58419871200);
Achmad, Said (57338945600); Kurniawan, Aditya (57224145876)",58417186300;
58419871100; 58419871200; 57338945600; 57224145876,Machine learning approaches in
stock market prediction: A systematic literature review,2022,Procedia Computer
Science,216,,,96,102,6,45,10.1016/j.procs.2022.12.115,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85162872386&doi=10.1016%2fj.procs.2022.12.115&partnerID=40&md5=17030441d43d0e46b8b3
bcfbd04a79dc,"Computer Science Department, School of Computer Science, Bina
Nusantara University, Jakarta, 11480, Indonesia","Mintarya L.N., Computer Science
Department, School of Computer Science, Bina Nusantara University, Jakarta, 11480,
Indonesia; Halim J.N.M., Computer Science Department, School of Computer Science,
Bina Nusantara University, Jakarta, 11480, Indonesia; Angie C., Computer Science
Department, School of Computer Science, Bina Nusantara University, Jakarta, 11480,
Indonesia; Achmad S., Computer Science Department, School of Computer Science, Bina
Nusantara University, Jakarta, 11480, Indonesia; Kurniawan A., Computer Science
Department, School of Computer Science, Bina Nusantara University, Jakarta, 11480,
Indonesia","Predicting the stock market has been done for a long time using
traditional methods by analyzing fundamental and technical aspects. With machine
learning, stock market predictions are made more accessible and more accurate.
Various machine learn-ing approaches have been applied in stock market prediction.
This study aims to review relevant works about machine learning approaches in stock
market prediction. To achieve this aim, we did a systematic literature review. This
study review 30 studies regarding machine learning approaches/models in stock
market prediction. Approaches that were used included neural networks and support
vector machines. The result of this study is that neural networks are the most used
model for stock market prediction. However, this does not mean that other models
cannot be used for predicting the stock market. © 2022 Elsevier B.V.. All rights
reserved.",Machine Learning; Machine Learning Approach; Machine Learning Model;
Stock Market; Stock Market Prediction,Commerce; Forecasting; Learning systems;
Support vector machines; Learn+; Machine learning approaches; Machine learning
models; Machine-learning; Neural network and support vector machines; Neural-
networks; Stock market prediction; Systematic literature review; Technical aspects;
Financial markets,,,,,,,"Patel J., Shah S., Thakkar P., Kotecha K., Predicting
stock and stock price index movement using trend deterministic data preparation and
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movement prediction with LSTM neural networks, 2017 International Joint Conference
on Neural Networks (IJCNN), pp. 1419-1426, (2017); Hiransha M., Gopalakrishnan
E.A., Menon V.K., Soman K., NSE stock market prediction using deep-learning models,
Procedia Computer Science, 132, pp. 1351-1362, (2018); Vargas M.R., De Lima B.S.,
Evsukoff A.G., Deep learning for stock market prediction from financial news
articles, 2017 IEEE International Conference on Computational Intelligence and
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(2017); Ding X., Zhang Y., Liu T., Duan J., Deep learning for event-driven stock
prediction, Twenty-fourth International Joint Conference on Artificial
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index movement using an optimized artificial neural network model, PloS One, 11, 5,
(2016); Ticknor J.L., A Bayesian regularized artificial neural network for stock
market forecasting, Expert Systems with Applications, 40, 14, pp. 5501-5506,
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network, Procedia Computer Science, 170, pp. 1168-1173, (2020); Roondiwala M.,
Patel H., Varma S., Predicting stock prices using LSTM, International Journal of
Science and Research (IJSR), 6, 4, pp. 1754-1756, (2017); Zhang K., Zhong G., Dong
J., Wang S., Wang Y., Stock market prediction based on generative adversarial
network, Procedia Computer Science, 147, pp. 400-406, (2019); Akita R., Yoshihara
A., Matsubara T., Uehara K., Deep learning for stock prediction using numerical and
textual information, 2016 IEEE/ACIS 15th International Conference on Computer and
Information Science (ICIS), pp. 1-6, (2016); De Oliveira F.A., Nobre C.N., Zarate
L.E., Applying Artificial Neural Networks to prediction of stock price and
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Brazil, Expert Systems with Applications, 40, 18, pp. 7596-7606, (2013); Li X., Xie
H., Wang R., Cai Y., Cao J., Wang F., Et al., Empirical analysis: Stock market
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predict stock price movement: An empirical investigation, Proceedings of the 2014
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1425, (2014); Hegazy O., Soliman O., Salam M.A., Machine Learning Model for Stock
Market, ArXiv Prepr, 7351, pp. 17-23, (1402); Lin Y., Guo H., Hu J., An SVM-based
approach for stock market trend prediction, The 2013 International Joint Conference
on Neural Networks (IJCNN), pp. 1-7, (2013); Ren R., Wu D.D., Liu T., Forecasting
stock market movement direction using sentiment analysis and support vector
machine, IEEE Systems Journal, 13, 1, pp. 760-770, (2018); Sharma A., Bhuriya D.,
Singh U., Survey of stock market prediction using machine learning approach, 2017
International Conference of Electronics, Communication and Aerospace Technology
(ICECA), 2, pp. 506-509, (2017); Kazem A., Sharifi E., Hussain F.K., Saberi M.,
Hussain O.K., Support vector regression with chaos-based firefly algorithm for
stock market price forecasting, Applied Soft Computing, 13, 2, pp. 947-958, (2013);
Alkhatib K., Najadat H., Hmeidi I., Shatnawi MKA., Stock price prediction using k-
nearest neighbor (kNN) algorithm, International Journal of Business, Humanities and
Technology., 3, 3, pp. 32-44, (2013); Chang P.C., Et al., A novel model by evolving
partially connected neural network for stock price trend forecasting, Expert
Systems with Applications, 39, 1, pp. 611-620, (2012); Ballings M., Van Den Poel
D., Hespeels N., Gryp R., Evaluating multiple classifiers for stock price direction
prediction. Expert systems with, Applications, 42, 20, pp. 7046-7056, (2015); Nayak
A., Pai M.M., Pai R.M., Prediction models for Indian stock market, Procedia
Computer Science, 89, pp. 441-449, (2016); Di Persio L., Honchar O., Artificial
neural networks architectures for stock price prediction: Comparisons and
applications, International Journal of Circuits, Systems and Signal Processing, 10,
2016, pp. 403-413, (2016)","S. Achmad; Computer Science Department, School of
Computer Science, Bina Nusantara University, Jakarta, 11480, Indonesia; email:
[email protected]; A. Kurniawan; Computer Science Department, School of
Computer Science, Bina Nusantara University, Jakarta, 11480, Indonesia; email:
[email protected]",Santoso Gunawan A.A.,Elsevier B.V.,,"7th International
Conference on Computer Science and Computational Intelligence, CSCI 2022",19
November 2022 through 21 November 2022,Hong
Kong,188147,18770509,,,,English,Procedia Comput. Sci.,Conference paper,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85162872386
Pan J.; Zhuang Y.; Fong S.,"Pan, Jiaqi (57191374769); Zhuang, Yan (55046552300);
Fong, Simon (7102256353)",57191374769; 55046552300; 7102256353,The impact of data
normalization on stock market prediction: Using SVM and technical
indicators,2016,Communications in Computer and Information
Science,652,,,72,88,16,47,10.1007/978-981-10-2777-2_7,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84989339525&doi=10.1007%2f978-981-10-2777-
2_7&partnerID=40&md5=36631441bc64b6720954c36d320523e0,"Department of Computer
Information Science, University of Macau, Taipa, Macao","Pan J., Department of
Computer Information Science, University of Macau, Taipa, Macao; Zhuang Y.,
Department of Computer Information Science, University of Macau, Taipa, Macao; Fong
S., Department of Computer Information Science, University of Macau, Taipa,
Macao","Predicting stock index and its movement has never been lack of attention
among traders and professional analysts, because of the attractive financial gains.
For the last two decades, extensive researches combined technical indicators with
machine learning techniques to construct effective prediction models. This study is
to investigate the impact of various data normalization methods on using support
vector machine (SVM) and technical indicators to predict the price movement of
stock index. The experimental results suggested that, the prediction system based
on SVM and technical indicators, should carefully choose an appropriate data
normalization method so as to avoid its negative influence on prediction accuracy
and the processing time on training. © Springer Nature Singapore Pte Ltd.
2016.",Data normalization; Stock market prediction; Support vector machine (SVM);
Technical indicator,Artificial intelligence; Commerce; Finance; Financial markets;
Forecasting; Learning systems; Soft computing; Data normalization; Data
normalization methods; Machine learning techniques; Prediction accuracy; Prediction
model; Prediction systems; Stock market prediction; Technical indicator; Support
vector machines,,,,,"Universidade de Macau, UM, (MYRG2015-00024-FST)","The authors
of this paper would like to thank Research and Development Administrative Office of
the University of Macau, for the funding support of this project which is called
“Building Sustainable Knowledge Networks through Online Communities” with the
project code MYRG2015-00024-FST.","Jacinta C., Financial Times Guide to Technical
Analysis: How to Trade like a Professional, (2012); Atsalakis G.S., Valavanis K.P.,
Surveying stock market forecasting techniques-Part II: Soft computing methods,
Expert Syst. Appl, 36, 3, pp. 5932-5941, (2009); Chen W.-H., Shih J.-Y., Wu S.,
Comparison of support-vector machines and back propagation neural networks in
forecasting the six major Asian stock markets, Int. J. Electron. Finan, 1, 1, pp.
49-67, (2006); Kara Y., Boyacioglu M.A., Baykan O.K., Predicting direction of stock
price index movement using artificial neural networks and support vector machines:
The sample of the Istanbul Stock Exchange, Expert Syst. Appl, 38, 5, pp. 5311-5319,
(2011); Vladimir V.N., Vapnik V., The Nature of Statistical Learning Theory,
(1995); Kotsiantis S.B., Kanellopoulos D., Pintelas P.E., Data preprocessing for
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Capital Markets 9Th Capital Markets Conference Paper, (2006); Huang W., Nakamori
Y., Wang S.-Y., Forecasting stock market movement direction with support vector
machine, Comput. Oper. Res, 32, 10, pp. 2513-2522, (2005); Al Shalabi L., Shaaban
Z., Normalization as a preprocessing engine for data mining and the approach of
preference matrix, 2006 International Conference on Dependability of Computer
Systems, (2006); Mustaffa Z., Yusof Y., A comparison of normalization techniques in
predicting dengue outbreak, International Conference on Business and Economics
Research, 1, (2011); Jayalakshmi T., Santhakumaran A., Statistical normalization
and back propagation for classification, Int. J. Comput. Theor. Eng, 3, 1, (2011);
Nayak S.C., Misra B.B., Behera H.S., Impact of data normalization on stock index
forecasting, Int. J. Comp. Inf. Syst. Ind. Manag. Appl, 6, pp. 357-369, (2014);
Singh B.K., Verma K., Thoke A.S., Investigations on impact of feature normalization
techniques on classifier’s performance in breast tumor classification, Int. J.
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and Techniques, (2011); Achelis S.B., Technical Analysis from a to Z, (2001); Guyon
I., Elisseeff A., An introduction to variable and feature selection, J. Mach.
Learn. Res, 3, pp. 1157-1182, (2003); Furey T.S., Et al., Support vector machine
classification and validation of cancer tissue samples using microarray expression
data, Bioinformatics, 16, 10, pp. 906-914, (2000); Hsu C.-W., Chang C.-C., Lin C.-
J., A Practical Guide to Support Vector Classification, pp. 1-16, (2003); Hall M.,
Frank E., Holmes G., Pfahringer B., Reutemann P., Witten I.H., The WEKA data mining
software: An update, ACM SIGKDD Explor. Newsl, 11, 1, pp. 10-18, (2009); Chang C.-
C., Lin C.J., LIBSVM. A Library for Support Vector Machines, (2012)","J. Pan;
Department of Computer Information Science, University of Macau, Taipa, Macao;
email: [email protected]",Yap B.W.; Mohamed A.H.; Berry M.W.,Springer Verlag,Bank
Islam; Etal; Fusionex; IBM; MDEC; Microsft,"2nd International Conference on Soft
Computing in Data Science, SCDS 2016",21 September 2016 through 22 September
2016,Kuala Lumpur,184259,18650929,978-981102776-5,,,English,Commun. Comput. Info.
Sci.,Conference paper,Final,,Scopus,2-s2.0-84989339525
Nti I.K.; Adekoya A.F.; Weyori B.A.,"Nti, Isaac Kofi (57210637914); Adekoya,
Adebayo Felix (37088311400); Weyori, Benjamin Asubam (34973460500)",57210637914;
37088311400; 34973460500,Efficient Stock-Market Prediction Using Ensemble Support
Vector Machine,2020,Open Computer Science,10,1,,153,163,10,47,10.1515/comp-2020-
0199,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-
s2.0-85090298408&doi=10.1515%2fcomp-2020-
0199&partnerID=40&md5=b4c5cd668308a24af87825e653921daa,"Department of Computer
Science and Informatics, University of Energy and Natural Re-Sources, Sunyani,
Ghana; Department of Computer Science, Sunyani Technical University, Sunyani,
Ghana; Department of Computer Science and Informatics, University of Energy and
Natural Resources, Sunyani, Ghana; Department of Computer Science and Informatics,
University of Energy and Natural Resources, Sunyani, Ghana","Nti I.K., Department
of Computer Science and Informatics, University of Energy and Natural Re-Sources,
Sunyani, Ghana, Department of Computer Science, Sunyani Technical University,
Sunyani, Ghana; Adekoya A.F., Department of Computer Science and Informatics,
University of Energy and Natural Resources, Sunyani, Ghana; Weyori B.A., Department
of Computer Science and Informatics, University of Energy and Natural Resources,
Sunyani, Ghana","Predicting stock-price remains an important subject of discussion
among financial analysts and researchers. However, the advancement in technologies
such as artificial intelligence and machine learning techniques has paved the way
for better and accurate prediction of stock-price in recent years. Of late, Support
Vector Machines (SVM) have earned popularity among Machine Learning (ML) algorithms
used for predicting stock price. However, a high percentage of studies in
algorithmic investments based on SVM overlooked the overfitting nature of SVM when
the input dataset is of high-noise and high-dimension. Therefore, this study
proposes a novel homogeneous ensemble classifier called GASVM based on support
vector machine enhanced with Genetic Algorithm (GA) for feature-selection and SVM
kernel parameter optimisation for predicting the stock market. The GA was
introduced in this study to achieve a simultaneous optimal of the diverse design
factors of the SVM. Experiments carried out with over eleven (11) years' stock data
from the Ghana Stock Exchange (GSE) yielded compelling results. The outcome shows
that the proposed model (named GASVM) outperformed other classical ML algorithms
(Decision Tree (DT), Random Forest (RF) and Neural Network (NN)) in predicting a
10-day-ahead stock price movement. The proposed (GASVM) showed a better prediction
accuracy of 93.7% compared with 82.3% (RF), 75.3% (DT), and 80.1% (NN). It can,
therefore, be deduced from the fallouts that the proposed (GASVM) technique puts-up
a practical approach feature-selection and parameter optimisation of the different
design features of the SVM and thus remove the need for the labour-intensive
parameter optimisation. © 2020 Isaac Kofi Nti et al., published by De Gruyter
2020.",Decision Trees; Ensemble Methods; Genetic Algorithm; Ghana-Stock-Exchange;
Neural Networks; Random Forest; Stock Market; Stock Market Prediction; Support
Vector Machine; Trading Strategies,Commerce; Decision trees; Electronic trading;
Feature extraction; Financial markets; Forecasting; Genetic algorithms;
Investments; Learning systems; Accurate prediction; Ensemble classifiers; Machine
learning techniques; Neural network (nn); Parameter optimisation; Prediction
accuracy; Stock market prediction; Stock price movements; Support vector
machines,,,,,,,"Oussous A., Et al., Big data technologies: A survey, Journal of
King Saud University-Computer and Information Sciences, (2017); Dosdogru A.T., Et
al., Assessment of hybrid artificial neural networks and metaheuristics for stock
market forecasting, Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 24, pp. 63-78, (2018);
Nti I.K., Adekoya A.F., Weyori B.A., A systematic review of fundamental and
technical analysis of stock market predictions, Artificial Intelligence Review,
(2019); Zhou X., Et al., Stock market prediction on high-frequency data using
generative adversarial nets, Mathematical Problems in Engineering, (2018); Thanh
D.V., Minh H.N., Hieu D.D., Building unconditional forecast model of Stock Market
Indexes using combined leading indicators and principal components: Application to
Vietnamese Stock Market, Indian Journal of Science and Technology, 11, (2018); Lin
Z., Modelling and forecasting the stock market volatility of SSE Composite Index
using GARCH models, Future Generation Computer Systems, 79, pp. 960-972, (2018);
Bousono-Calzon C., Et al., On the economic significance of stock market prediction
and the no free lunch theorem, IEEE Access, 7, pp. 75177-75188, (2019); Pawar K.,
Jalem R.S., Tiwari V., Stock market price prediction using LSTM RNN, Emerging
Trends in Expert Applications and Security, 841, pp. 493-503, (2019); Zenkova M.,
Slepaczuk R., Robustness of support vector machines in algorithmic trading on
cryptocurrency market, Central European Economic Journal, 5, pp. 186-205, (2019);
Usmani M., Et al., Predicting Market Performance with Hybrid Model, 2018 3rd
International Conference on Emerging Trends in Engineering, Sciences and Technology
(ICEEST), (2018); Usmani M., Et al., Stock market prediction using machine learning
techniques, 2016 3rd International Conference on Computer and Information Sciences
(ICCOINS), pp. 322-327, (2016); Chen Y., Hao Y., A feature weighted support
vectormachine and Knearest neighbor algorithm for stock market indices prediction,
Expert Systems with Applications, 80, pp. 340-355, (2017); Kumar I., Et al., A
Comparative Study of SupervisedMachine Learning Algorithms for Stock Market Trend
Prediction, 2018 Second International Conference on Inventive Communication and
Computational Technologies (ICICCT), pp. 1003-1007, (2018); Devi K.N., Bhaskaran
V.M., Kumar G.P., Cuckoo optimized SVM for stock market prediction, 2015
International Conference on Innovations in Information, Embedded and Communication
Systems (ICIIECS), (2015); Nayak R.K., Mishra D., Rath A.K., A Naïve SVM-KNN based
stock market trend reversal analysis for Indian benchmark indices, Applied Soft
Computing Journal, 35, pp. 670-680, (2015); Pimprikar R., Ramachadran S.,
Senthilkumar K., Use of machine learning algorithms and twitter sentiment analysis
for stock market prediction, International Journal of Pure and Applied Mathematics,
115, pp. 521-526, (2017); Stankovic J., Markovic I., Stojanovic M., Investment
strategy optimization using technical analysis and predictive modeling in emerging
markets, Procedia Economics and Finance, 19, pp. 51-62, (2015); Kim K.J., Lee K.,
Ahn H., Sustainability, 11, (2018); Lin Y., Guo H., Hu J., An SVM-based approach
for stock market trend prediction, Proceedings of the International Joint
Conference on Neural Networks, (2013); Gonzalez T.R., Padilha A.C., Couto A.D.,
Ensemble system based on genetic algorithm for stock market forecasting, 2015 IEEE
Congress on Evolutionary Computation (CEC), pp. 3102-3108, (2015); Gurav U., Sidnal
N., Predict stock market behavior: Role of machine learning algorithms, Advances in
Intelligent Systems and Computing, 673, pp. 383-394, (2018); Zhang X., Et al., A
causal feature selection algorithm for stock prediction modeling, Neurocomputing,
142, pp. 48-59, (2014); Gocken M., Et al., Integrating metaheuristics and
Artificial Neural Networks for improved stock price prediction, Expert Systems with
Applications, 44, pp. 320-331, (2016); Inthachot M., Boonjing V., Intakosum S.,
Artificial neural network and genetic algorithm hybrid intelligence for predicting
Thai stock price index trend, Computational Intelligence and Neuroscience, (2016);
Ballings M., Et al., Evaluating multiple classifiers for stock price direction
prediction, Expert Systems with Applications, 42, pp. 7046-7056, (2015); Zhao Y.,
Li J., Yu L., A deep learning ensemble approach for crude oil price forecasting,
Energy Economics, 66, pp. 9-16, (2017); Priya P., Muthaiah U., Balamurugan M.,
Predicting yield of the crop using machine learning algorithm, International
Journal of Engineering Sciences & Research Technology, 7, (2018); Bergquist S.L.,
Et al., Classifying lung cancer severity with ensemble machine learning in health
care claims data, The 2nd Machine Learning for Healthcare Conference, pp. 25-38,
(2017); Khairalla M.A., Et al., Short-term forecasting for energy consumption
through stacking heterogeneous ensemble learning model, Energies, 11, (2018); Nti
I.K., Adekoya A.F., Weyori B.A., Random forest based feature selection of
macroeconomic variables for stock market prediction, American Journal of Applied
Sciences, 16, pp. 200-212, (2019); Vaghela C., Bhatt N., Patel P.U., A survey on
various classification techniques for clinical decision support system,
International Journal of Computer Applications, 116, pp. 975-8887, (2015); Nuwan
I.S., Genetic Algorithms: The Crossover-Mutation Debate, (2005); Rodriguez-Galiano
V., Et al., Machine learning predictive models for mineral prospectivity: An
evaluation of neural networks, random forest, regression trees and support vector
machines, Ore Geology Reviews, 71, pp. 804-818, (2015); Pedregosa F., Et al.,
Scikit-learn, Journal of Machine Learning Research, 12, pp. 2825-2830, (2011);
Update on Banking Sector Reforms, pp. 3-19, (2019); Creamer G., Freund Y.,
Predicting Performance and Quantifying Corporate Governance Risk for Latin American
ADRs and Banks, Financial Engineering and Applications, (2004); Raza K., Prediction
of Stock Market performance by using machine learning techniques, 2017
International Conference on Innovations in Electrical Engineering and Computational
Technologies (ICIEECT), (2017); Patel J., Et al., Predicting
stock and stock price index movement using Trend Deterministic Data Preparation
and machine learning techniques, Expert Systems with Applications, 42, pp. 259-268,
(2015)",,,Walter de Gruyter GmbH,,,,,,22991093,,,,English,Open Comput.
Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85090298408
Skuza M.; Romanowski A.,"Skuza, Michał (57115390500); Romanowski, Andrzej
(55998201600)",57115390500; 55998201600,Sentiment analysis of Twitter data within
big data distributed environment for stock prediction,2015,"Proceedings of the 2015
Federated Conference on Computer Science and Information Systems, FedCSIS
2015",,,2015F230,1349,1354,5,53,10.15439/2015F230,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84958064059&doi=10.15439%2f2015F230&partnerID=40&md5=3ff86be18e60f4dd5b71b34a2d0791
d0,"Lodz University of Technology, Institute of Applied Computer Science,
Poland","Skuza M., Lodz University of Technology, Institute of Applied Computer
Science, Poland; Romanowski A., Lodz University of Technology, Institute of Applied
Computer Science, Poland","This paper covers design, implementation and evaluation
of a system that may be used to predict future stock prices basing on analysis of
data from social media services. The authors took advantage of large datasets
available from Twitter micro blogging platform and widely available stock market
records. Data was collected during three months and processed for further analysis.
Machine learning was employed to conduct sentiment classification of data coming
from social networks in order to estimate future stock prices. Calculations were
performed in distributed environment according to Map Reduce programming model.
Evaluation and discussion of results of predictions for different time intervals
and input datasets proved efficiency of chosen approach is discussed here. © 2015,
IEEE.",Big data processing; Sentiment analysis; Social networks analysis; Stock
market prediction,Artificial intelligence; Commerce; Data handling; Data mining;
Finance; Financial markets; Forecasting; Information systems; Learning systems;
Social networking (online); Social sciences computing; Distributed environments;
Map-reduce programming; Micro-blogging platforms; Sentiment analysis; Sentiment
classification; Social media services; Social Networks Analysis; Stock market
prediction; Big data,,,,,,,"Da Z., Engelberg J., Gao P., In search of attention,
The Journal of Finance, 66, 5, pp. 1461-1499, (2011); Manyika J., Chui M., Brown
B., Bughin J., Dobbs R., Roxburgh C., Byers A.H., Big Data: The Next Frontier for
Innovation, Competition, and Productivity, (2011); Dumbill E., What is Big Data?:
An Introduction to the Big Data Landscape, (2012); Zikopoulos P., Eaton C., DeRoos
D., Deutch T., Lapis G., Understanding Big Data: Analytics for Enterprise Class
Hadoop and Streaming Data, (2011); Zajicek M., Web 2.0: Hype or happiness?,
Proceedings of the 2007 International Cross-disciplinary Conference on Web
Accessibility (W4A), W4A'07, pp. 35-39, (2007); Ahlqvist T., Tutkimuskeskus V.T.,
Social Media Roadmaps: Exploring the Futures Triggered by Social Media, (2008);
Twitter Statistics, (2013); Pang B., Lee L., Opinion mining and sentiment analysis,
Found. Trends Inf. Retr., 2, 1-2, pp. 1-135, (2008); Seo Y.-W., Giampapa J.A.,
Sycara K., Text Classification for Intelligent Portfolio Management, (2002); Esuli
A., Sebastiani F., Sentiwordnet: A publicly available lexical resource for opinion
mining, Proceedings of the 5th Conference on Language Resources and Evaluation
(LREC'06, pp. 417-422, (2006); Proceedings of the 5th Conference on Language
Resources and Evaluation (LREC'06, pp. 417-422, (2006); Taleb N.N., Common Errors
in the Interpretation of the Ideas of the Black Swan and Associated Papers, (2009);
Paluch M., Jackowska-Strumillo L., Jackowska-Strumillo: The influence of using
fractal analysis in hybrid MLP model for short-term forecast of closing prices on
Warsaw Stock Exchange, Proceedings of the 2014 Federated Conference on Computer
Science and Information Systems, 2, pp. 111-118, (2014); Marcellino M., Stock J.H.,
Watson M.W., A comparison of direct and iterated multistep AR methods for
forecasting macroeconomic time series, Journal of Econometrics, 135, 1-2, pp. 499-
526, (2006); Asur S., Huberman B.A., Predicting the Future with Social Media
IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent
Technology, pp. 492-499, (2010); Kim K.-J., Han I., Genetic algorithms approach to
feature discretization in artificial neural networks for the prediction of stock
price index, Expert Systems with Applications, 19, 2, pp. 125-132, (2000); Ruiz
E.J., Hristidis V., Castillo C., Gionis A., Correlating financial time series with
micro-blogging activity, WSDM, (2012)",,Paprzycki M.; Maciaszek L.; Ganzha M.;
Maciaszek L.,Institute of Electrical and Electronics Engineers Inc.,Intel; Ministry
of Science and Higher Education; Samsung,"Federated Conference on Computer Science
and Information Systems, FedCSIS 2015",13 September 2015 through 16 September
2015,Lodz,117625,,978-836081065-1,,,English,"Proc. Fed. Conf. Comput. Sci. Inf.
Syst., FedCSIS",Conference paper,Final,All Open Access; Gold Open Access,Scopus,2-
s2.0-84958064059
Olorunnimbe K.; Viktor H.,"Olorunnimbe, Kenniy (57772834000); Viktor, Herna
(6601941021)",57772834000; 6601941021,"Deep learning in the stock market—a
systematic survey of practice, backtesting, and applications",2023,Artificial
Intelligence Review,56,3,,2057,2109,52,38,10.1007/s10462-022-10226-0,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85133185775&doi=10.1007%2fs10462-022-10226-
0&partnerID=40&md5=f39db927faae682d4f2a92f8e1cadc26,"School of Electrical
Engineering and Computer Science, University of Ottawa, Ottawa, ON,
Canada","Olorunnimbe K., School of Electrical Engineering and Computer Science,
University of Ottawa, Ottawa, ON, Canada; Viktor H., School of Electrical
Engineering and Computer Science, University of Ottawa, Ottawa, ON, Canada","The
widespread usage of machine learning in different mainstream contexts has made deep
learning the technique of choice in various domains, including finance. This
systematic survey explores various scenarios employing deep learning in financial
markets, especially the stock market. A key requirement for our methodology is its
focus on research papers involving backtesting. That is, we consider whether the
experimentation mode is sufficient for market practitioners to consider the work in
a real-world use case. Works meeting this requirement are distributed across seven
distinct specializations. Most studies focus on trade strategy, price prediction,
and portfolio management, with a limited number considering market simulation,
stock selection, hedging strategy, and risk management. We also recognize that
domain-specific metrics such as “returns” and “volatility” appear most important
for accurately representing model performance across specializations. Our study
demonstrates that, although there have been some improvements in reproducibility,
substantial work remains to be done regarding model explainability. Accordingly, we
suggest several future directions, such as improving trust by creating
reproducible, explainable, and accountable models and emphasizing prediction of
longer-term horizons—potentially via the utilization of supplementary data—which
continues to represent a significant unresolved challenge. © 2022, The
Author(s).",Backtesting; Deep learning; Financial market; Machine learning; Neural
network; Practice and application; Quantitative analysis; Stock market,Commerce;
Deep learning; Financial data processing; Investments; Learning systems; Risk
management; Surveys; Backtesting; Deep learning; Machine-learning; Neural-networks;
Practice and application; Price prediction; Real-world; Research papers;
Specialisation; Trade strategies; Financial markets,,,,,,,"Abadi M., Barham P.,
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Engineering and Computer Science, University of Ottawa, Ottawa, Canada; email:
[email protected]",,Springer Nature,,,,,,2692821,,AIRVE,,English,Artif Intell
Rev,Article,Final,All Open Access; Green Open Access; Hybrid Gold Open
Access,Scopus,2-s2.0-85133185775
Sun J.; Xiao K.; Liu C.; Zhou W.; Xiong H.,"Sun, Jinwen (57193167927); Xiao, Keli
(56355334100); Liu, Chuanren (50161977300); Zhou, Wenjun (55475954300); Xiong, Hui
(7201935465)",57193167927; 56355334100; 50161977300; 55475954300;
7201935465,Exploiting intra-day patterns for market shock prediction: A machine
learning approach,2019,Expert Systems with
Applications,127,,,272,281,9,36,10.1016/j.eswa.2019.03.006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062951358&doi=10.1016%2fj.eswa.2019.03.006&partnerID=40&md5=61e8374971b26c074a4b0
4ddf8f27fc5,"Stony Brook University, Stony Brook, 11794, NY, United States; Drexel
University, Philadelphia, 19104, PA, United States; University of Tennessee,
Knoxville, 37996, TN, United States; Rutgers University, Newark, 07102, NJ, United
States","Sun J., Stony Brook University, Stony Brook, 11794, NY, United States;
Xiao K., Stony Brook University, Stony Brook, 11794, NY, United States; Liu C.,
Drexel University, Philadelphia, 19104, PA, United States; Zhou W., University of
Tennessee, Knoxville, 37996, TN, United States; Xiong H., Rutgers University,
Newark, 07102, NJ, United States","Discovering hidden patterns under unexpected
market shocks is a significant and challenging problem, which continually attracts
attention from research communities of mathematics, economics, and data science.
Classic financial pricing models present unsatisfactory prediction accuracy when
applied to real-world data due to limited capacity in depicting complex market
movements. In this paper, we develop a machine learning approach, called ARMA-
GARCH-NN, to capture intra-day patterns for stock market shock forecasting.
Specifically, we integrate classical financial pricing models with artificial
neural networks, with explicitly designed feature selection and cross-validation
methods. We conduct empirical studies on high-frequency data of the U.S. stock
market for evaluation. Our results provide initial evidence of the predictability
of market shocks. Additionally, we confirm the effectiveness of ARMA-GARCH-NN by
recognizing patterns in massive stock data without strong assumptions on
distribution. Our method can serve as a portable methodology that integrates the
advantages of traditional financial models and data-driven methods to reveal hidden
patterns in large-scale financial data. © 2019 Elsevier Ltd",Financial forecasting;
High-frequency data; Neural networks; Time series model,Costs; Electronic trading;
Financial markets; Forecasting; Machine learning; Neural networks; Cross-validation
methods; Data-driven methods; Financial forecasting; High frequency data; Machine
learning approaches; Prediction accuracy; Research communities; Time series
modeling; Commerce,,,,,"Social Science Planning Project of Jiangxi Province,
(17FX13, JXJZXTCX-003); National Natural Science Foundation of China, NSFC,
(91746301); National Office for Philosophy and Social Sciences, NPOPSS,
(18BFX096)","This work was partially supported by the National Social Science
Foundation of China (No. 18BFX096 ), the National Natural Science Foundation of
China (No. 91746301 ), the Social Science Planning Project of Jiangxi Province (No.
17FX13 ), and the Collaborative Innovation Center for Economics Crime Investigation
and Prevention Technology, Jiangxi, China (No. JXJZXTCX-003). ","Agarwal A., Leung
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convolutional neural networks, Business informatics (CBI), 2017 IEEE 19th
conference on, 1, pp. 7-12, (2017); Tsantekidis A., Passalis N., Tefas A.,
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Xiong H., Price shock detection with an influence-based model of social attention,
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G.P., Time series forecasting using a hybrid arima and neural network model,
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Y., Modeling social attention for stock analysis: An influence propagation
perspective, 2015 IEEE international conference on data mining, pp. 609-618,
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Liu Q., Forecasting price shocks with social attention and sentiment analysis, 2016
IEEE/ACM international conference on advances in social networks analysis and
mining (ASONAM), pp. 559-566, (2016)","K. Xiao; Stony Brook University, Stony
Brook, 11794, United States; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85062951358
Paluszek M.; Thomas S.,"Paluszek, Michael (57205000010); Thomas, Stephanie
(8421636100)",57205000010; 8421636100,Practical MATLAB deep learning: A project-
based approach,2020,Practical MATLAB Deep Learning: A Project-Based
Approach,,,,1,252,251,53,10.1007/978-1-4842-5124-9,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85087976277&doi=10.1007%2f978-1-4842-5124-
9&partnerID=40&md5=6774e6c59f3ca44ab34edd6583ecb12c,"Princeton Satellite Systems,
Inc. (PSS), Princeton Plasma Physics Laboratory, Plainsboro, NJ, United States;
Princeton Plasma Physics Laboratory, United States","Paluszek M., Princeton
Satellite Systems, Inc. (PSS), Princeton Plasma Physics Laboratory, Plainsboro, NJ,
United States, Princeton Plasma Physics Laboratory, United States; Thomas S.,
Princeton Satellite Systems, Inc. (PSS), Princeton Plasma Physics Laboratory,
Plainsboro, NJ, United States","Introduction Harness the power of MATLAB for deep-
learning challenges. This book provides an introduction to deep learning and using
MATLAB’s deep-learning toolboxes. You’ll see how these toolboxes provide the
complete set of functions needed to implement all aspects of deep learning. Along
the way, you’ll learn to model complex systems, including the stock market, natural
language, and angles-only orbit determination. You’ll cover dynamics and control,
and integrate deep-learning algorithms and approaches using MATLAB. You’ll also
apply deep learning to aircraft navigation using images. Finally, you’ll carry out
classification of ballet pirouettes using an inertial measurement unit to
experiment with MATLAB’s hardware capabilities. You will: Explore deep learning
using MATLAB and compare it to algorithms Write a deep learning function in MATLAB
and train it with examples Use MATLAB toolboxes related to deep learning Implement
tokamak disruption prediction. © 2020 by Michael Paluszek and Stephanie
Thomas.",AI; Artificial; Code; Deep learning; Hardware; Intel; Machine learning;
Maker; MATLAB; Programming; Quadcopter; Robotics; Software; Source,,,,,,,,"Imagenet
classification with deep convolutional neural networks; Al-Husari M.M.M., Hendel
B., Jaimoukha I.M., Kasenally E.M., Limebeer D.J.N., Portone A., Vertical
stabilisation of Tokamak Plasmas, Proceedings of the 30th Conference on Decision
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of Global Optimization, 25, 3, (2003); Bishop C.M., Pattern Recognition and Machine
Learning, (2006); Bottou L., Curtis F.E., Nocedal J., Optimization methods for
large-scale machine learning, SIAM Review, 60, (2016); Bryson A., Ho Y., Applied
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(2019); Goldberg D.E., Genetic Algorithms in Search, Optimization, and Machine
Learning; Haykin S., Neural Networks, (1999); Huang G.-B., Zhu Q.-Y., Siew C.-K.,
Extreme learning machine:Theory and applications, Neurocomputing, 70, 1, (2006);
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J.L., ADAM: A METHOD FOR STOCHASTIC OPTIMIZATION, (2015); Liang Y., Overview of
Edge Localized Modes Control in Tokamak Palsama; Lockett A.J., Miikkulainen R.,
Temporal convolutional machines for sequence learning; sentence-completion, (2019);
Paluszek M., Razin Y., Pajer G., Mueller J., Thomas S., Spacecraft Attitude and
Orbit Control: Third Edition, (2019); Ratta G.A., Vega J., Murari A., AUGJET cross-
tokamak disruption predictor, 2nd IAEA TM, (2017); Rasdi Rere L.M., Fanany M.I.,
Arymurthy A.M., Simulated annealing algorithm for deep learning, Procedia Computer
Science, 72, (2015); Russell S., Norvig P., Artificial Intelligence A Modern
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Machine Learning, (2017); Thomas S., Paluszek M., MATLAB Machine Learning Recipes:
A Problem-Solution Approach, (2019); Zweig G., Burges C.J.C., The microsoft
research sentence completion challenge, (2011)",,,Apress Media LLC,,,,,,,978-
148425124-9; 978-148425123-2,,,English,Practical MATLAB Deep Learning: A Project-
Based Approach,Book,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
85087976277
Uras N.; Marchesi L.; Marchesi M.; Tonelli R.,"Uras, Nicola (57218249645);
Marchesi, Lodovica (57202705397); Marchesi, Michele (7005947166); Tonelli, Roberto
(7004058057)",57218249645; 57202705397; 7005947166; 7004058057,Forecasting Bitcoin
closing price series using linear regression and neural networks models,2020,PeerJ
Computer Science,6,,,1,25,24,42,10.7717/peerj-cs.279,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85120303219&doi=10.7717%2fpeerj-
cs.279&partnerID=40&md5=a30b8eb5f464f02e2afffa87487e9eec,"Department of Mathematics
and Computer Science, University of Cagliari, Cagliari, Italy","Uras N., Department
of Mathematics and Computer Science, University of Cagliari, Cagliari, Italy;
Marchesi L., Department of Mathematics and Computer Science, University of
Cagliari, Cagliari, Italy; Marchesi M., Department of Mathematics and Computer
Science, University of Cagliari, Cagliari, Italy; Tonelli R., Department of
Mathematics and Computer Science, University of Cagliari, Cagliari, Italy","In this
article we forecast daily closing price series of Bitcoin, Litecoin and Ethereum
cryptocurrencies, using data on prices and volumes of prior days. Cryptocurrencies
price behaviour is still largely unexplored, presenting new opportunities for
researchers and economists to highlight similarities and differences with standard
financial prices. We compared our results with various benchmarks: one recent work
on Bitcoin prices forecasting that follows different approaches, a well-known paper
that uses Intel, National Bank shares and Microsoft daily NASDAQ closing prices
spanning a 3-year interval and another, more recent paper which gives quantitative
results on stock market index predictions. We followed different approaches in
parallel, implementing both statistical techniques and machine learning algorithms:
the Simple Linear Regression (SLR) model for uni-variate series forecast using only
closing prices, and the Multiple Linear Regression (MLR) model for multivariate
series using both price and volume data. We used two artificial neural networks as
well: Multilayer Perceptron (MLP) and Long short-term memory (LSTM). While the
entire time series resulted to be indistinguishable from a random walk, the
partitioning of datasets into shorter sequences, representing different price
""regimes"", allows to obtain precise forecast as evaluated in terms of Mean
Absolute Percentage Error(MAPE) and relative Root Mean Square Error (relativeRMSE).
In this case the best results are obtained using more than one previous price, thus
confirming the existence of time regimes different from random walks. Our models
perform well also in terms of time complexity, and provide overall results better
than those obtained in the benchmark studies, improving the state-of-the-art ©
2020. Uras et al",Bitcoin; Blockchain; Cryptocurrency; Forecasting; Machine
Learning; Neural Networks; Regression; Time Series,Blockchain; Costs; Forecasting;
Learning algorithms; Linear regression; Long short-term memory; Mean square error;
Multilayer neural networks; Random processes; Time series; Block-chain; Machine-
learning; MicroSoft; Neural network model; Neural-networks; Price forecasting;
Quantitative result; Random Walk; Stock market index; Times series;
Bitcoin,,,,,,,"Agrawal J, Chourasia V, Mittra A., State-of-the-art in stock
prediction techniques, International Journal of Advanced Research in Electrical,
Electronics and Instrumentation Engineering, 2, 4, pp. 1360-1366, (2013); Akcora C,
Dey AK, Gel YR, Kantarcioglu M., Forecasting Bitcoin price with graph chainlets,
Pacific-Asia conference on knowledge discovery and data mining, (2018); Armano G,
Marchesi M, Murru A., A hybrid genetic-neural architecture for stock indexes
forecasting, Information Sciences, 170, 1, pp. 3-33, (2015); Bakar N, Rosbi S.,
Autoregressive Integrated Moving Average (ARIMA) model for forecasting
cryptocurrency exchange rate in high volatility environment: a new insight of
Bitcoin transaction, International Journal of Advanced Engineering Research and
Science, 4, 11, pp. 130-137, (2017); Banerjee A, Dolado J, Galbraith J, Hendry D.,
Cointegration, error correction, and the econometric analysis of non-stationary
data Chapter 4, (1993); Box GEP, Jenkins G., Time series analysis: forecasting and
control, Holden-Day, 1, pp. 21-43, (1976); Briere M, Oosterlinck K, Szafarz A.,
Virtual currency, tangible return: portfolio diversification with bitcoins, (2013);
Catania L, Grassi S, Ravazzolo F., Forecasting cryptocurrencies financial time
series, Centre for Applied Macro and Petroleum Economics (CAMP), (2018); Chollet
F., Keras, (2015); Cocco L, Tonelli R, Marchesi M., An agent-based artificial
market model for studying the bitcoin trading, IEEE Access, 7, pp. 42908-42920,
(2019); Cocco L, Tonelli R, Marchesi M., An agent based model to analyze the
bitcoin mining activity and a comparison with the gold mining industry, Future
Internet, 11, 1, (2019); Enke D, Mehdiyev N., Stock market prediction using a
combination of stepwise regression analysis, differential evolution-based fuzzy
clustering, and a fuzzy inference neural network, Intelligent Automation and Soft
Computing, 19, 4, pp. 636-648, (2013); Greave A, Au B., Using the bitcoin
transaction graph to predict the price of bitcoin, Computer Science, 4, 3, pp. 22-
27, (2015); Hochreiter S, Schmidhuber J., Long short-term memory, Neural
Computation, 9, 8, pp. 1735-1780, (1997); Hyndman R, Athanasopoulos G.,
Forecasting: principles and practice, pp. 157-182, (2014); Jones E, Oliphant T,
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computing, 13, 2, pp. 947-958, (2013); Mallqui D, Fernandes R., Predicting the
direction, maximum, minimum and closing prices of daily Bitcoin exchange rate using
machine learning techniques, Applied Soft Computing, 75, pp. 596-606, (2018);
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Finance, 3, pp. 136-147, (2016); Mckinney W., Pandas: a foundational python library
for data analysis and statistics, Python High Performance Science Computer, (2011);
McNally S, Roche J, Caton S., Predicting the price of bitcoin using machine
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the Bitcoin volatility using GARCH models, International Journal of Mathematical
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a peer-to-peer electronic cash system, (2008); Patel J, Shah S, Thakkar P, Kotecha
K., Predicting stock market index using fusion of machine learning techniques,
Expert Systems with Applications, 42, pp. 2162-2172, (2015); Pedregosa F, Varoquaux
G, Gramfort A, Michel V, Thirion B, Grisel O, Blondel M, Mller A, Nothman J, Louppe
G, Prettenhofer P, Weiss R, Dubourg V, Vanderplas J, Passos A, Cournapeau D,
Brucher M, Perrot M, Duchesnay E., Scikit-learn: machine learning in python,
Journal of Machine Learning Research, 12, pp. 2825-2830, (2012); Skipper S,
Perktold, Statsmodels: econometric and statistical modeling with python,
Proceedings of the 9th python in science conference, (2010); Stocchi M, Marchesi
M., Fast wavelet transform assisted predictors of streaming time series, Digital
Signal Processing, 77, pp. 5-12, (2018); Sutiksno DU, Ahmar AS, Kurniasih N,
Susanto E, Leiwakabessy A., Forecasting historical data of Bitcoin using ARIMA and
α-Sutte indicator, Journal of Physics: Conference Series 1028: conference 1,
(2018); Vo N, Xu G., The volatility of Bitcoin returns and its correlation to
financial markets, International Conference on Behavioral, Economic, Socio-cultural
Computing (BESC), pp. 1-6, (2017); Yang SY, Kim J., Bitcoin market return and
volatility forecasting using transaction network flow properties, IEEE Symposium
Series on Computational Intelligence (SSCI), Cape Town, South Africa, pp. 1778-
1785, (2016)","N. Uras; Department of Mathematics and Computer Science, University
of Cagliari, Cagliari, Italy; email: [email protected]; L. Marchesi; Department
of Mathematics and Computer Science, University of Cagliari, Cagliari, Italy;
email: [email protected]",,PeerJ Inc.,,,,,,23765992,,,,English,PeerJ
Comput. Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85120303219
Pröllochs N.; Feuerriegel S.; Neumann D.,"Pröllochs, Nicolas (56902630900);
Feuerriegel, Stefan (53881265200); Neumann, Dirk (7202067244)",56902630900;
53881265200; 7202067244,Negation scope detection in sentiment analysis: Decision
support for news-driven trading,2016,Decision Support
Systems,88,,,67,75,8,45,10.1016/j.dss.2016.05.009,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84978808835&doi=10.1016%2fj.dss.2016.05.009&partnerID=40&md5=ee31c2cc1c8cee3ff33aa7
45c91d605f,"Chair for Information Systems Research, University of Freiburg, Platz
der Alten Synagoge, Freiburg, 79098, Germany","Pröllochs N., Chair for Information
Systems Research, University of Freiburg, Platz der Alten Synagoge, Freiburg,
79098, Germany; Feuerriegel S., Chair for Information Systems Research, University
of Freiburg, Platz der Alten Synagoge, Freiburg, 79098, Germany; Neumann D., Chair
for Information Systems Research, University of Freiburg, Platz der Alten Synagoge,
Freiburg, 79098, Germany","Decision support for financial news using natural
language processing requires robust methods that process all sentences correctly,
including those that are negated. To predict the corresponding negation scope,
related literature commonly utilizes rule-based algorithms and generative
probabilistic models. In contrast, we propose the use of a tailored reinforcement
learning method, since it can conquer learning task of arbitrary length. We then
perform a thorough comparison with a two-pronged evaluation. First, we compare the
predictive performance using a manually-labeled dataset. Here, reinforcement
learning outperforms common approaches from the related literature, leading to a
balanced classification accuracy of up to 70.17%. Second, we examine how detecting
negation scopes can improve the accuracy of sentiment analysis for financial news,
leading to an improvement of up to 10.63% in the correlation between news sentiment
and stock market returns. This reveals negation scope detection as a crucial
leverage in decision support from sentiment. © 2016 Elsevier B.V.",Decision
support; Financial news; Machine learning; Negation scope detection; Sentiment
analysis,Artificial intelligence; Commerce; Data mining; Finance; Learning
algorithms; Learning systems; Natural language processing systems; Reinforcement
learning; Classification accuracy; Decision supports; Financial news; NAtural
language processing; Predictive performance; Reinforcement learning method; Rule
based algorithms; Sentiment analysis; Decision support systems,,,,,,,"Tetlock P.C.,
Giving content to investor sentiment: the role of media in the stock market,
Journal of Finance, 62, pp. 1139-1168, (2007); Henry E., Are investors influenced
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on sentiment analysis, Journal of Information Science, 38, pp. 127-139, (2012)","N.
Pröllochs; Chair for Information Systems Research, University of Freiburg,
Freiburg, Platz der Alten Synagoge, 79098, Germany; email:
[email protected]",,Elsevier
B.V.,,,,,,1679236,,DSSYD,,English,Decis Support Syst,Article,Final,,Scopus,2-s2.0-
84978808835
Kamble R.A.,"Kamble, Rupesh A. (57215316405)",57215316405,Short and long term stock
trend prediction using decision tree,2017,"Proceedings of the 2017 International
Conference on Intelligent Computing and Control Systems, ICICCS 2017",2018-
January,,,1371,1375,4,43,10.1109/ICCONS.2017.8250694,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85047489828&doi=10.1109%2fICCONS.2017.8250694&partnerID=40&md5=8e85cb68c127fca1538b
7b4bc8c25f67,"Computer Science and Engineering, Government College of Engineering,
Aurangabad, India","Kamble R.A., Computer Science and Engineering, Government
College of Engineering, Aurangabad, India","This paper presents the results of
method designed to predict price trends in the stock market. First objective of
this research is to optimize the stock price trend prediction for short term using
some oscillators and indicators: Moving Average Convergence Divergence (MACD), the
Relative Strength Index (RSI), the Stochastic Oscillator (KDJ) and Bollinger Band
(BB). It is observed that using appropriate pre-processing technique and Machine
learning model, it is possible to improve accuracy rate of short-term trend
prediction. Applying Preprocessing and then using combination of data can yield a
better Accuracy rate in Short term Trades, while predicting for Long-term Trend of
Stock this Technical indicators are not sufficient. Along with some of this
Technical data and Fundamental Data of the company, it is possible to predict Long
term stock movement. For Long term Prediction its Debt to Equity, Net profit of
pervious 3 year, Promoters holding, Dividend yield and PE ratio is used along with
Technical Factors. It is observed that using Fundamental and Technical Data, Long
term Stock Prediction is Possible. © 2017 IEEE.",Bagging; Fundamental data; J48
Decision tree; KDJ; MACD; Random Forest; RSI,Commerce; Control systems; Decision
trees; Financial markets; Intelligent computing; Stochastic systems; Bagging;
Fundamental data; MACD; Machine learning models; Moving average convergence
divergence (MACD); Random forests; Relative strength index; Stock trend prediction;
Forecasting,,,,,,,"Mingyuan W.U., Diao X., Technical Analysis of Three Stock
Oscillators Testing MACD, RSI and KDJ Rules in SH & SZ Stock Markets, 2015 4th
International Conference on Computer Science and Network Technology, (2015);
Boonpeng S., Jeatrakul P., Decision support system for investing in stock market by
using oaa-neural network, 8th International Conference on Advanced Computational
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Support System Model for Stock Investment Strategy, (2009); Hidayah I., Adhistya
Erna P., Agustami Kristy M., Application of j48 and bagging for classification of
vertebral column pathologies, 2014 International Conference on Information
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Technical & Fundamental Analysis Improve Stock Choice? : A Data Mining Approach
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Methods and Applications, (1999); Pradeep K.R., Na N.C., Pradeep K.R., Naveen Veen
N.C., Predictive analysis of diabetes using J48 algorithm of classification
techniques, 2016 2nd International Conference on Contemporary Computing and
Informatics (IC3I)","R.A. Kamble; Computer Science and Engineering, Government
College of Engineering, Aurangabad, India; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,"2017 International Conference on Intelligent Computing and Control Systems,
ICICCS 2017",15 June 2017 through 16 June 2017,Madurai,134184,,978-153862745-
7,,,English,"Proc. Int. Conf. Intell. Comput. Control Syst., ICICCS",Conference
paper,Final,,Scopus,2-s2.0-85047489828
D’Amato V.; D’Ecclesia R.; Levantesi S.,"D’Amato, Valeria (35239814700);
D’Ecclesia, Rita (6506791520); Levantesi, Susanna (55115681900)",35239814700;
6506791520; 55115681900,ESG score prediction through random forest
algorithm,2022,Computational Management Science,19,2,,347,373,26,43,10.1007/s10287-
021-00419-3,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?
eid=2-s2.0-85120746808&doi=10.1007%2fs10287-021-00419-
3&partnerID=40&md5=a5c23ad6910f7b34554c1881cd9868d8,"Department of Pharmacy,
University of Salerno, Fisciano, Italy; Department of Statistics, Sapienza
University of Rome, Rome, Italy","D’Amato V., Department of Pharmacy, University of
Salerno, Fisciano, Italy; D’Ecclesia R., Department of Statistics, Sapienza
University of Rome, Rome, Italy; Levantesi S., Department of Statistics, Sapienza
University of Rome, Rome, Italy","Environment-related risks affect assets in
various sectors of the global economy, as well as social and governance aspects,
giving birth to what is known as ESG investments. Sustainable and responsible
finance has become a major aim for asset managers who are regularly dealing with
the measurement and management of ESG risks. To this purpose, Financial
Institutions and Rating Agencies have created an ESG score aimed to provide
disclosure on the environment, social, and governance (corporate social
responsibilities) metrics. CSR/ESG ratings are becoming quite popular even if
highly questioned in terms of reliability. Asset managers do not always believe
that markets consistently and correctly price climate risks into company
valuations, in these cases ESG ratings, when available, provide an important tool
in the company’s fundraising process or on the shares’ return. Assuming we can
choose a reliable set of CSR/ESG ratings, we aim to assess how structural data-
balance sheet items- may affect ESG scores assigned to regularly traded stocks.
Using a Random Forest algorithm, we investigate how structural data affect the
Thomson Reuters Refinitiv ESG scores for the companies which constitute the STOXX
600 Index. We find that balance sheet data provide a crucial element to explain ESG
scores. © 2021, The Author(s), under exclusive licence to Springer-Verlag GmbH
Germany, part of Springer Nature.",ESG risks; Firm performance; Machine
Learning,,,,,,,,"Aas K., Jullum M., Loland A., Explaining Individual Predictions
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(2017)","V. D’Amato; Department of Pharmacy, University of Salerno, Fisciano,
Italy; email: [email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,1619697X,,,,English,Comput. Manage. Sci.,Article,Final,,Scopus,2-s2.0-
85120746808
Basti E.; Kuzey C.; Delen D.,"Basti, Eyup (56486028400); Kuzey, Cemil
(55479549300); Delen, Dursun (55887961100)",56486028400; 55479549300;
55887961100,Analyzing initial public offerings' short-term performance using
decision trees and SVMs,2015,Decision Support
Systems,73,,,15,27,12,52,10.1016/j.dss.2015.02.011,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84924565978&doi=10.1016%2fj.dss.2015.02.011&partnerID=40&md5=9654263319f246b1e57bc6
7f6c579932,"Department of Banking and Finance, Faculty of Economics and
Administrative Sciences, Fatih University, Buyukcekmece, Istanbul, 34500, Turkey;
Department of Management, Faculty of Economics and Administrative Sciences, Fatih
University, Buyukcekmece, Istanbul, 34500, Turkey; Management Science and
Information Systems, Spears School of Business, Oklahoma State University, 700 N.
Greenwood Ave. #NH341, Tulsa, 74106, OK, United States","Basti E., Department of
Banking and Finance, Faculty of Economics and Administrative Sciences, Fatih
University, Buyukcekmece, Istanbul, 34500, Turkey; Kuzey C., Department of
Management, Faculty of Economics and Administrative Sciences, Fatih University,
Buyukcekmece, Istanbul, 34500, Turkey; Delen D., Management Science and Information
Systems, Spears School of Business, Oklahoma State University, 700 N. Greenwood
Ave. #NH341, Tulsa, 74106, OK, United States","In this study, we investigated
underpricing of Turkish companies in the initial public offerings (IPOs) issued and
traded on Borsa Istanbul between 2005 and 2013. The underpricing of stocks in IPOs,
or essentially leaving money on the table, is considered as an important,
challenging and worthy research topic in literature. Within the proposed framework,
the IPO performance in the short run and the factors that affect this short run
performance were analyzed. Popular machine learning methods - several decision tree
models and support vector machines - were developed to investigate the major
factors affecting the short-term performance of initial IPOs. A k-fold cross
validation methodology was used to assess and contrast the performance of the
predictive models. An information fusion-based sensitivity analysis was performed
to combine the values of individual variable importance results into a common
representation. The results showed that there was underpricing in the initial
public offerings of Turkish companies, although it was not as high as the
underpricing determined in developed markets. The market sentiment, the annual
sales amounts, the total assets turnover rates, IPO stocks sales methods, the
underwriting methods, the offer prices, debt ratio, and number of shares sold were
among the most influential factors affecting the short term performance of initial
public offerings of Turkish companies. © 2015 Elsevier B.V. All rights
reserved.",Decision tree algorithms; Initial public offering; Short-term stock
performance; Turkey; Underpricing,Artificial intelligence; Commerce; Data mining;
Learning systems; Sales; Sensitivity analysis; Support vector machines; Decision-
tree algorithm; Initial public offerings; Stock performance; Turkey; Underpricing;
Decision trees,,,,,,,"Allen F., Faulhaber G., Signaling by underpricing in the IPO
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(2007)",,,Elsevier,,,,,,1679236,,DSSYD,,English,Decis Support
Syst,Article,Final,,Scopus,2-s2.0-84924565978
Das S.R.; Mishra D.; Rout M.,"Das, Smruti Rekha (57213459530); Mishra, Debahuti
(35070028500); Rout, Minakhi (35753489700)",57213459530; 35070028500;
35753489700,Stock market prediction using Firefly algorithm with evolutionary
framework optimized feature reduction for OSELM method,2019,Expert Systems with
Applications: X,4,,100016,,,,53,10.1016/j.eswax.2019.100016,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071945544&doi=10.1016%2fj.eswax.2019.100016&partnerID=40&md5=c1fe1e3886b834ed9235
bae0fcc13b1c,"Department of Computer Science and Engineering, Siksha ‘O'Anusandhan
Deemed to be University, Bhubaneswar, Odisha, India; School of Computer
Engineering, KIIT Deemed to be University, Bhuabaneswar, Odisha, India","Das S.R.,
Department of Computer Science and Engineering, Siksha ‘O'Anusandhan Deemed to be
University, Bhubaneswar, Odisha, India; Mishra D., Department of Computer Science
and Engineering, Siksha ‘O'Anusandhan Deemed to be University, Bhubaneswar, Odisha,
India; Rout M., School of Computer Engineering, KIIT Deemed to be University,
Bhuabaneswar, Odisha, India","Forecasting future trends of the stock market using
the historical data is the exigent demand in the field of academia as well as
business. This work has explored the feature optimization capacity of firefly with
an evolutionary framework considering the biochemical and social aspects of Firefly
algorithm, along with the selection procedure of objective value in evolutionary
notion. The performance of the proposed model is evaluated using four different
stock market datasets, such as BSE Sensex, NSE Sensex, S&P 500 index and FTSE
index. The datasets are regenerated using the proper mathematical formulation of
the fundamental part belonging to technical analysis, such as technical indicators
and statistical measures. The feature reduction through transformation is carried
out on the enhanced dataset before employing the experimented dataset to the
prediction models such as Extreme Learning Machine (ELM), Online Sequential Extreme
Learning Machine (OSELM) and Recurrent Back Propagation Neural Network (RBPNN). For
feature reduction, both statistical and optimized based feature reduction
strategies are considered, where Principal Component Analysis (PCA) and Factor
Analysis (FA) are examined for statistical based feature reduction and Firefly
Optimization (FO), Genetic Algorithm (GA) and Firefly algorithm with evolutionary
framework are well thought out for optimized feature reduction techniques. An
empirical comparison is established among the experimented prediction models
considering all the feature reduction techniques for the time horizon of 1 day, 3
days, 5 days, 7 days, 5 days and 30 days in advance, applying on all the datasets
used in this study. From the simulation result, it can be clearly figured out that
firefly with evolutionary framework optimized feature reduction applying to OSELM
prediction model outperformed over the rest experimented models. © 2019",Extreme
Learning Machine; Factor analysis; Firefly Optimization; Firefly with evolutionary
framework; Online Sequential Extreme Learning Machine; Stock market
prediction,Bioluminescence; Commerce; Data reduction; E-learning; Electronic
trading; Factor analysis; Financial markets; Forecasting; Genetic algorithms;
Knowledge acquisition; Machine learning; Multivariant analysis; Principal component
analysis; Recurrent neural networks; Social aspects; Back propagation neural
networks; Empirical - comparisons; Evolutionary framework; Extreme learning
machine; Feature optimizations; Mathematical formulation; Online sequential extreme
learning machine; Stock market prediction; Backpropagation,,,,,,,"Abu-Mostafa Y.S.,
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5, pp. 8849-8854, (2009)","S.R. Das; Department of Computer Science and
Engineering, Siksha ‘O'Anusandhan Deemed to be University, Bhubaneswar, India;
email: [email protected]",,Elsevier Ltd,,,,,,25901885,,,,English,Expert
Systems with Applications: X,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85071945544
Nousi P.; Tsantekidis A.; Passalis N.; Ntakaris A.; Kanniainen J.; Tefas A.;
Gabbouj M.; Iosifidis A.,"Nousi, Paraskevi (57194324703); Tsantekidis, Avraam
(57195636516); Passalis, Nikolaos (56897101400); Ntakaris, Adamantios
(57203684567); Kanniainen, Juho (23394868200); Tefas, Anastasios (6701672908);
Gabbouj, Moncef (7005332419); Iosifidis, Alexandros (36720841400)",57194324703;
57195636516; 56897101400; 57203684567; 23394868200; 6701672908; 7005332419;
36720841400,Machine learning for forecasting mid-price movements using limit order
book data,2019,IEEE
Access,7,,8713851,64722,64736,14,40,10.1109/ACCESS.2019.2916793,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85066617537&doi=10.1109%2fACCESS.2019.2916793&partnerID=40&md5=8a64dde5d6cc27063f38
3fa267c9cafc,"Department of Informatics, Aristotle University of Thessaloniki,
Thessaloniki, 541 24, Greece; Faculty of Information Technology and Communication
Sciences, Tampere University, Tampere, 33720, Finland; Department of Engineering,
Electrical and Computer Engineering, Aarhus University, Aarhus, 8000,
Denmark","Nousi P., Department of Informatics, Aristotle University of
Thessaloniki, Thessaloniki, 541 24, Greece; Tsantekidis A., Department of
Informatics, Aristotle University of Thessaloniki, Thessaloniki, 541 24, Greece;
Passalis N., Department of Informatics, Aristotle University of Thessaloniki,
Thessaloniki, 541 24, Greece, Faculty of Information Technology and Communication
Sciences, Tampere University, Tampere, 33720, Finland; Ntakaris A., Faculty of
Information Technology and Communication Sciences, Tampere University, Tampere,
33720, Finland; Kanniainen J., Faculty of Information Technology and Communication
Sciences, Tampere University, Tampere, 33720, Finland; Tefas A., Department of
Informatics, Aristotle University of Thessaloniki, Thessaloniki, 541 24, Greece;
Gabbouj M., Faculty of Information Technology and Communication Sciences, Tampere
University, Tampere, 33720, Finland; Iosifidis A., Department of Engineering,
Electrical and Computer Engineering, Aarhus University, Aarhus, 8000,
Denmark","Forecasting the movements of stock prices is one of the most challenging
problems in financial markets analysis. In this paper, we use machine learning (ML)
algorithms for the prediction of future price movements using limit order book
data. Two different sets of features are combined and evaluated: handcrafted
features based on the raw order book data and features extracted by the ML
algorithms, resulting in feature vectors with highly variant dimensionalities.
Three classifiers are evaluated using combinations of these sets of features on two
different evaluation setups and three prediction scenarios. Even though the large
scale and high frequency nature of the limit order book poses several challenges,
the scope of the conducted experiments and the significance of the experimental
results indicate that the ML highly befits this task carving the path towards
future research in this field. © 2013 IEEE.",feature extraction; Limit order book;
mid price forecasting,Correlation theory; Electronic trading; Feature extraction;
Financial markets; Forecasting; Feature vectors; High frequency HF; Limit order
book; Ml algorithms; Price forecasting; Price movement; Sets of features; Stock
price; Machine learning,,,,,"Horizon 2020 Framework Programme, H2020,
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(2013)","A. Tsantekidis; Department of Informatics, Aristotle University of
Thessaloniki, Thessaloniki, 541 24, Greece; email: [email protected]",,Institute
of Electrical and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85066617537
Sonkavde G.; Dharrao D.S.; Bongale A.M.; Deokate S.T.; Doreswamy D.; Bhat
S.K.,"Sonkavde, Gaurang (58626326900); Dharrao, Deepak Sudhakar (57204938608);
Bongale, Anupkumar M. (55578983400); Deokate, Sarika T. (56656447600); Doreswamy,
Deepak (57191243567); Bhat, Subraya Krishna (57220551816)",58626326900;
57204938608; 55578983400; 56656447600; 57191243567; 57220551816,"Forecasting Stock
Market Prices Using Machine Learning and Deep Learning Models: A Systematic Review,
Performance Analysis and Discussion of Implications",2023,International Journal of
Financial Studies,11,3,94,,,,35,10.3390/ijfs11030094,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85172808665&doi=10.3390%2fijfs11030094&partnerID=40&md5=fe3351e414f8619a5f99560ee51
f4979,"Department of Artificial Intelligence and Machine Learning, Symbiosis
Institute of Technology, Symbiosis International Deemed University, Maharashtra,
Pune, 412115, India; Department of Computer Science & Engineering, Symbiosis
Institute of Technology, Symbiosis International Deemed University, Maharashtra,
Pune, 412115, India; Department of Computer Engineering, Pimpri Chinchwad College
of Engineering, Maharashtra, Pune, 411044, India; Department of Mechatronics,
Manipal Institute of Technology, Manipal Academy of Higher Education, Karnataka,
Manipal, 576104, India; Department of Mechanical and Industrial Engineering,
Manipal Institute of Technology, Manipal Academy of Higher Education, Karnataka,
Manipal, 576104, India","Sonkavde G., Department of Artificial Intelligence and
Machine Learning, Symbiosis Institute of Technology, Symbiosis International Deemed
University, Maharashtra, Pune, 412115, India; Dharrao D.S., Department of Computer
Science & Engineering, Symbiosis Institute of Technology, Symbiosis International
Deemed University, Maharashtra, Pune, 412115, India; Bongale A.M., Department of
Artificial Intelligence and Machine Learning, Symbiosis Institute of Technology,
Symbiosis International Deemed University, Maharashtra, Pune, 412115, India;
Deokate S.T., Department of Computer Engineering, Pimpri Chinchwad College of
Engineering, Maharashtra, Pune, 411044, India; Doreswamy D., Department of
Mechatronics, Manipal Institute of Technology, Manipal Academy of Higher Education,
Karnataka, Manipal, 576104, India; Bhat S.K., Department of Mechanical and
Industrial Engineering, Manipal Institute of Technology, Manipal Academy of Higher
Education, Karnataka, Manipal, 576104, India","The financial sector has greatly
impacted the monetary well-being of consumers, traders, and financial institutions.
In the current era, artificial intelligence is redefining the limits of the
financial markets based on state-of-the-art machine learning and deep learning
algorithms. There is extensive use of these techniques in financial instrument
price prediction, market trend analysis, establishing investment opportunities,
portfolio optimization, etc. Investors and traders are using machine learning and
deep learning models for forecasting financial instrument movements. With the
widespread adoption of AI in finance, it is imperative to summarize the recent
machine learning and deep learning models, which motivated us to present this
comprehensive review of the practical applications of machine learning in the
financial industry. This article examines algorithms such as supervised and
unsupervised machine learning algorithms, ensemble algorithms, time series analysis
algorithms, and deep learning algorithms for stock price prediction and solving
classification problems. The contributions of this review article are as follows:
(a) it provides a description of machine learning and deep learning models used in
the financial sector; (b) it provides a generic framework for stock price
prediction and classification; and (c) it implements an ensemble model—“Random
Forest + XG-Boost + LSTM”—for forecasting TAINIWALCHM and AGROPHOS stock prices and
performs a comparative analysis with popular machine learning and deep learning
models. © 2023 by the authors.",blending ensemble; ensemble learning; FB Prophet;
finance; linear regression; LSTM; random forest; stock market; XG-
Boost,,,,,,,,"Agrawal M., Shukla P.K., Nair R., Nayyar A., Masud M., Stock
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Risks, 9, (2021)","A.M. Bongale; Department of Artificial Intelligence and Machine
Learning, Symbiosis Institute of Technology, Symbiosis International Deemed
University, Pune, Maharashtra, 412115, India; email:
[email protected]; D.S. Dharrao; Department of Computer Science &
Engineering, Symbiosis Institute of Technology, Symbiosis International Deemed
University, Pune, Maharashtra, 412115, India; email:
[email protected]",,Multidisciplinary Digital Publishing Institute
(MDPI),,,,,,22277072,,,,English,Intern. J. Financial Stud.,Review,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85172808665
Zhang J.; Li L.; Chen W.,"Zhang, Jun (59251519000); Li, Lan (57218382520); Chen,
Wei (57212625483)",59251519000; 57218382520; 57212625483,Predicting Stock Price
Using Two-Stage Machine Learning Techniques,2021,Computational
Economics,57,4,,1237,1261,24,36,10.1007/s10614-020-10013-5,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85088953606&doi=10.1007%2fs10614-020-10013-
5&partnerID=40&md5=066a320ea8acf257008aadd9109afd04,"School of Management and
Engineering, Capital University of Economics and Business, Beijing, China","Zhang
J., School of Management and Engineering, Capital University of Economics and
Business, Beijing, China; Li L., School of Management and Engineering, Capital
University of Economics and Business, Beijing, China; Chen W., School of Management
and Engineering, Capital University of Economics and Business, Beijing,
China","Stock market forecasting is considered to be a challenging topic among time
series forecasting. This study proposes a novel two-stage ensemble machine learning
model named SVR-ENANFIS for stock price prediction by combining features of support
vector regression (SVR) and ensemble adaptive neuro fuzzy inference system
(ENANFIS). In the first stage, the future values of technical indicators are
forecasted by SVR. In the second stage, ENANFIS is utilized to forecast the closing
price based on prediction results of first stage. Finally, the proposed model SVR-
ENANFIS is tested on 4 securities randomly selected from the Shanghai and Shenzhen
Stock Exchanges with data collected from 2012 to 2017, and the predictions are
completed 1–10, 15 and 30 days in advance. The experimental results show that the
proposed model SVR-ENANFIS has superior prediction performance than single-stage
model ENANFIS and several two-stage models such as SVR-Linear, SVR-SVR, and SVR-
ANN. © 2020, Springer Science+Business Media, LLC, part of Springer
Nature.",Adaptive neuro fuzzy inference system (ANFIS); Fusion models; Stock
market; Support vector regression (SVR),,,,,,"Beijing Municipal Universities in the
Period of 13th Five-year Plan; National Natural Science Foundation of China, NSFC,
(71720107002); National Natural Science Foundation of China, NSFC","This research
was supported by the National Natural Science Foundation of China (No.71720107002),
the Project of High-level Teachers in Beijing Municipal Universities in the Period
of 13th Five-year Plan (CIT&TCD20190338), and the Humanity and Social Science
Foundation of Ministry of Education of China (No. 19YJAZH005), and the Young
Academic Innovation Team of Capital University of Economics and Business of China
(No. QNTD202002). ","Ali M., Deo R.C., Downs N.J., Maraseni T., An ensemble-anfis
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learning ensemble approach for crude oil price forecasting, Energy Economics, 66,
pp. 9-16, (2017)","W. Chen; School of Management and Engineering, Capital
University of Economics and Business, Beijing, China; email:
[email protected]",,Springer,,,,,,9277099,,,,English,Comput.
Econ.,Article,Final,,Scopus,2-s2.0-85088953606
Hoque K.E.; Aljamaan H.,"Hoque, Kazi Ekramul (57375570100); Aljamaan, Hamoud
(57220207494)",57375570100; 57220207494,Impact of hyperparameter tuning on machine
learning models in stock price forecasting,2021,IEEE
Access,9,,,163815,163830,15,39,10.1109/ACCESS.2021.3134138,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85121360956&doi=10.1109%2fACCESS.2021.3134138&partnerID=40&md5=29cb767b8e4beb5dd155
9cecda56cd58,"Information and Computer Science Department, King Fahd University of
Petroleum and Minerals, Dhahran, 31261, Saudi Arabia","Hoque K.E., Information and
Computer Science Department, King Fahd University of Petroleum and Minerals,
Dhahran, 31261, Saudi Arabia; Aljamaan H., Information and Computer Science
Department, King Fahd University of Petroleum and Minerals, Dhahran, 31261, Saudi
Arabia","Stock price forecasting has been reported as a challenging task in the
scientific and financial communities due to stock prices’ nonlinear and dynamic
nature. Machine learning models exhibit capabilities that allow them to handle
nonlinear data and be candidate tools for stock price forecasting. In this study,
an empirical evaluation of eight conventional machine learning models’ is conducted
to forecast the stock price of eleven companies belonging to the Saudi Stock
Exchange. Moreover, the optimal configuration of hyperparameters in each machine
learning model is identified. Forecasting performance is evaluated by two well-
known error metrics: Root Mean Square Error (RMSE) and Mean Absolute Percentage
Error (MAPE). Wilcoxson effect size is utilized to determine the impact of
hyperparameter tuning by comparing tuned and un-tuned machine learning models’
forecasting performance. Empirical results indicate there are varying impacts of
hyperparameter tuning of machine learning models in forecasting stock price. After
tuning the hyperparameters, Support Vector Regression outperforms other forecasting
models with a significant statistical difference. In contrast, Kernel Ridge
Regression shows noteworthy forecasting performance without hyperparameter tuning
with respect to other un-tuned forecasting models. However, Decision Tree and K-
Nearest Neighbour are the poor-performing models which demonstrate inadequate
forecasting performance even after hyperparameter tuning. © 2021 Institute of
Electrical and Electronics Engineers Inc.. All rights reserved.",Gaussian process
regression; Hyperparameter tuning; Kernel ridge regression; LASSO; Machine
learning; Stock price forecasting; Support vector regression; Time series
analysis,Biological systems; Decision trees; Errors; Financial markets; Harmonic
analysis; Machine learning; Mean square error; Nearest neighbor search; Regression
analysis; Time series analysis; Biological system modeling; Gaussian process
regression; Hyper-parameter; Hyperparameter tuning; Kernel ridge regressions;
LASSO; Machine-learning; Predictive models; Stock price forecasting; Support vector
regressions; Time-series analysis; Tuning; Forecasting,,,,,,,"Teweles R.J., Bradley
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Hoque; Information and Computer Science Department, King Fahd University of
Petroleum and Minerals, Dhahran, 31261, Saudi Arabia; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85121360956
Yang B.; Gong Z.-J.; Yang W.,"Yang, Bing (55712709000); Gong, Zi-Jia (57196187511);
Yang, Wenqi (57196192486)",55712709000; 57196187511; 57196192486,Stock market index
prediction using deep neural network ensemble,2017,"Chinese Control Conference,
CCC",,,8027964,3882,3887,5,44,10.23919/ChiCC.2017.8027964,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85032186889&doi=10.23919%2fChiCC.2017.8027964&partnerID=40&md5=f1e63d9c395cb959a6ee
ef43f9643675,"School of Mathematics and Statistics, Shandong University, Weihai,
Weihai, 264209, China; School of Mathematics, Shandong University, Jinan, 250001,
China","Yang B., School of Mathematics and Statistics, Shandong University, Weihai,
Weihai, 264209, China; Gong Z.-J., School of Mathematics and Statistics, Shandong
University, Weihai, Weihai, 264209, China; Yang W., School of Mathematics, Shandong
University, Jinan, 250001, China","In this paper, we put forward deep neural
network ensemble to model and predict Chinese stock market index (including
Shanghai composite index and SZSE component index), based on the input indices of
recent days. A set of component networks are trained by historical data for this
task, where Backpropagation and Adam algorithm are used to train each network
efficiently. Bagging approach combines these component networks to generate
ensemble, which reduces the generalization error. Indices of test examples are
predicted with the model, and the trend predictions is calculated based on the
predicted indices. Finally, relative errors between actual indices and predicted
indices, as well as accuracy of trend predictions are computed to measure the
performance of predictions. It turns out that the model proposed in this paper can
partially model and predict the Chinese stock market. The accuracy of trend
predictions of the daily barycenter, high, low are 71.34%, 74.15%, 74.15%
respectively for Shanghai composite index and 75.95%, 73.95%, 72.34% respectively
for SZSE component index. But the predictions on close are unsatisfactory. © 2017
Technical Committee on Control Theory, CAA.",ensemble learning; machine learning;
neural network; stock index; time series forecasting,,,,,,,,"De Gooijer J.G.,
Hyndman R.J., 25 years of time series forecasting, International Journal of
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Proceedings of the IEEE International Conference on Computer Vision, pp. 1026-1034,
(2015)","Z.-J. Gong; School of Mathematics and Statistics, Shandong University,
Weihai, Weihai, 264209, China; email: [email protected]",Liu T.; Zhao Q.,IEEE
Computer Society,"Dalian University of Technology; Systems Engineering Society of
China (SESC); Technical Committee on Control Theory (TCCT), Chinese Association of
Automation (CAA)","36th Chinese Control Conference, CCC 2017",26 July 2017 through
28 July 2017,Dalian,130846,19341768,978-988156393-4,,,English,"Chinese Control
Conf., CCC",Conference paper,Final,,Scopus,2-s2.0-85032186889
Göçken M.; Özçalıcı M.; Boru A.; Dosdoğru A.T.,"Göçken, Mustafa (22955148900);
Özçalıcı, Mehmet (56901374800); Boru, Aslı (57188773744); Dosdoğru, Ayşe Tuğba
(55891543800)",22955148900; 56901374800; 57188773744; 55891543800,Stock price
prediction using hybrid soft computing models incorporating parameter tuning and
input variable selection,2019,Neural Computing and
Applications,31,2,,577,592,15,40,10.1007/s00521-017-3089-2,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85021824862&doi=10.1007%2fs00521-017-3089-
2&partnerID=40&md5=a39afca8888b03df58b37aa15251d31d,"Industrial Engineering
Department, Adana Science and Technology University, Yeşiloba Yerleşkesi, Yeşiloba
mah., Ögretmenler Bulvarı, 46278 sok., No: 3, Seyhan, 01180, Adana, Turkey;
International Trade and Logistics Department, Kilis 7 Aralık University, Kilis,
Turkey","Göçken M., Industrial Engineering Department, Adana Science and Technology
University, Yeşiloba Yerleşkesi, Yeşiloba mah., Ögretmenler Bulvarı, 46278 sok.,
No: 3, Seyhan, 01180, Adana, Turkey; Özçalıcı M., International Trade and Logistics
Department, Kilis 7 Aralık University, Kilis, Turkey; Boru A., Industrial
Engineering Department, Adana Science and Technology University, Yeşiloba
Yerleşkesi, Yeşiloba mah., Ögretmenler Bulvarı, 46278 sok., No: 3, Seyhan, 01180,
Adana, Turkey; Dosdoğru A.T., Industrial Engineering Department, Adana Science and
Technology University, Yeşiloba Yerleşkesi, Yeşiloba mah., Ögretmenler Bulvarı,
46278 sok., No: 3, Seyhan, 01180, Adana, Turkey","Over the years, high-dimensional,
noisy, and time-varying natures of the stock markets are analyzed to carry out
accurate prediction. Particularly, speculators and investors are understandably
eager to accurately predict stock price since millions of dollars flow through the
stock markets. At this point, soft computing models have empowered them to capture
the data patterns and characteristics of stock markets. However, one of the open
problems in soft computing models is how to systematically determine architecture
of models for given applications. In this study, Harmony Search is utilized to
optimize the architecture of Neural Network, Jordan Recurrent Neural Network,
Extreme Learning Machine, Recurrent Extreme Learning Machine, Generalized Linear
Model, Regression Tree, and Gaussian Process Regression for 1-, 2-, 3-, 5-, 7-, and
10-day-ahead stock price prediction. The experimental results show worthy findings
of stock market behavior over different prediction terms and stocks. This study
also helps researchers understand which prediction model performed the best and how
different conditions affect the prediction accuracy of the models. Proposed hybrid
models can be successfully used by speculators and investors to make the investment
or to hedge against potential risk in stock markets. © 2017, The Natural Computing
Applications Forum.",Gaussian Process Regression; Generalized Linear Model; Jordan
Recurrent Neural Network; Recurrent Extreme Learning Machine; Regression Tree;
Stock price prediction,Commerce; Costs; Electronic trading; Forecasting; Forestry;
Gaussian distribution; Gaussian noise (electronic); Investments; Knowledge
acquisition; Learning systems; Network architecture; Recurrent neural networks;
Regression analysis; Soft computing; Extreme learning machine; Gaussian process
regression; Generalized linear model; Regression trees; Stock price prediction;
Financial markets,,,,,,,"Agrawal S., Murarka P.D., Stock price forecasting:
comparison of short term and long term stock price forecasting using various
techniques of artificial neural networks, Int J Adv Res Comput Sci Softw Eng, 3, 6,
pp. 154-170, (2013); Park K., Shin H., Stock price prediction based on a complex
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based on daily high prices, Quant Financ, 16, 5, pp. 793-826, (2016); Guyon I.,
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3, pp. 1157-1182, (2003); Huang S.H., Supervised feature selection: a tutorial,
Artif Intel Res, 4, 2, pp. 22-37, (2015); Zhu Q.-Y., Qin A.K., Suganthan P.N.,
Huang G.-B., Evolutionary extreme learning machine, Pattern Recogn, 38, 10, pp.
1759-1763, (2005); Suresh S., Saraswathi S., Sundararajan N., Performance
enhancement of extreme learning machine for multi-category sparse data
classification problems, Eng Appl Artif Intell, 23, 7, pp. 1149-1157, (2010); Lan
Y., Soh Y.C., Huang G.-B., Constructive hidden nodes selection of extreme learning
machine for regression, Neurocomputing, 73, pp. 3191-3199, (2010); Saraswathi S.,
Sundaram S., Sundararajan N., Zimmermann M., Nilsen-Hamilton M., ICGA-PSO-ELM
approach for accurate multiclass cancer classification resulting in reduced gene
sets in which genes encoding secreted proteins are highly represented, IEEE ACM T
Comput Bi, 8, 2, pp. 452-463, (2011); Lahoz D., Lacruz B., Mateo P.M., A bi-
objective micro genetic extreme learning machine, 2011 IEEE Workshop on Hybrid
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(2013); Bazi Y., Alajlan N., Melgani F., AlHichri H., Malek S., Yager R.R.,
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hyperspectral images, IEEE Geosci Remote Sens Lett, 11, 6, pp. 1066-1070, (2014);
Hegazy O., Soliman O.S., Salam M.A., FPA-ELM model for stock market prediction, Int
J Adv Res Comput Sci Softw Eng, 5, 2, pp. 1050-1063, (2015); Yang Z., Zhang T.,
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for extreme learning machine training, Cogn Neurodyn, 10, pp. 73-83, (2016);
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gasoline HCCI engine using extreme learning machines, In: Review, Special Issue on
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approach, Int J Electr Power Energy Syst, 78, pp. 429-435, (2016); Ruxanda G.,
Badea L.M., Configuring artificial neural networks for stock market predictions,
Technol Econ Dev Econ, 20, 1, pp. 116-132, (2014); Guresen E., Kayakutlu G., Daim
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Expert Syst Appl, 38, 8, pp. 10389-10397, (2011); Hsieh T.-J., Hsiao H.-F., Yeh W.-
C., Forecasting stock markets using wavelet transforms and recurrent neural
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Comput, 11, pp. 2510-2525, (2011); Wei L.-Y., Cheng C.-H., A hybrid recurrent
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in music-inspired harmony search algorithm: theory and applications, Studies in
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(2008); Diao R., Shen Q., Feature selection with harmony search, IEEE Trans Syst
Man Cybern B Cybern, 42, 6, pp. 1509-1523, (2012); Chakraborty P., Roy G.G., Das
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network weights and active nodes using metaheuristics, 14Th International
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Study on gesture recognition system using posture classifier and Jordan recurrent
neural network, Proceedings of International Joint Conference on Neural Networks,
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(2006); Dudek G., Extreme learning machine as a function approximator:
Initialization of input weights and biases, Proceedings of the 9th international
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A., Edwards T.C., Hastie T., Generalized
linear and generalized additive models in studies of species distributions:
setting the scene, Ecol Model, 157, pp. 89-100, (2002); Yang J., Stenzel J., Short-
term load forecasting with increment regression tree, Electr Power Syst Res, 76,
pp. 880-888, (2006); Seo S., Wallat M., Graepel T., Obermayer K., Gaussian process
regression: Active data selection and test point rejection, Proceedings of the
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(1995); Lu C.-J., Hybridizing nonlinear independent component analysis and support
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Incorporating feature selection method into support vector regression for stock
index forecasting, Neural Comput Appl, 23, pp. 1551-1561, (2013); Thenmozhi M.,
Chand G.S., Forecasting stock returns based on information transmission across
global markets using support vector machines, Neural Comput Appl, 27, pp. 805-824,
(2016); Dematos G., Boyd M.S., Kermanshahi B., Kohzadi N., Kaastra I., Feedforward
versus recurrent neural networks for forecasting monthly Japanese yen exchange
rates, Financ Eng Jpn Mark, 3, pp. 59-75, (1996)","M. Göçken; Industrial
Engineering Department, Adana Science and Technology University, Seyhan, Yeşiloba
Yerleşkesi, Yeşiloba mah., Ögretmenler Bulvarı, 46278 sok., No: 3, 01180, Turkey;
email: [email protected]",,Springer London,,,,,,9410643,,,,English,Neural
Comput. Appl.,Article,Final,,Scopus,2-s2.0-85021824862
Chen J.,"Chen, Junwei (58071005700)",58071005700,Analysis of Bitcoin Price
Prediction Using Machine Learning,2023,Journal of Risk and Financial
Management,16,1,51,,,,41,10.3390/jrfm16010051,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85146516206&doi=10.3390%2fjrfm16010051&partnerID=40&md5=a7b259ecd509a11b0baffc6c809
4180e,"Graduate School of Economics, Kobe University, Kobe, 657-8501, Japan","Chen
J., Graduate School of Economics, Kobe University, Kobe, 657-8501, Japan","The
research purpose of this paper is to obtain an algorithm model with high prediction
accuracy for the price of Bitcoin on the next day through random forest regression
and LSTM, and to explain which variables have influence on the price of Bitcoin.
There is much prior literature on Bitcoin price prediction research, and the
research methods mainly revolve around the ARMA model of time series and the LSTM
algorithm of deep learning. Although it cannot be proved by the Diebold–Mariano
test that the prediction accuracy of random forest regression is significantly
better than that of LSTM, the prediction errors RMSE and MAPE of random forest
regression are better than those of LSTM. The changes in the variables that
determine the price of Bitcoin in each period are also obtained through random
forest regression. From 2015 to 2018, three US stock market indexes, NASDAQ, DJI,
and S&P500 and oil price, and ETH price have impact on Bitcoin prices. Since 2018,
the important variables have become ETH price and Japanese stock market index
JP225. The relationship between accuracy and the number of periods of explanatory
variables brought into the model shows that for predicting the price of Bitcoin for
the next day, the model with only one lag of the explanatory variables has the best
prediction accuracy. © 2023 by the author.",Bitcoin; LSTM; machine learning; random
forest regression,,,,,,,,"Aggarwal A., Gupta I., Garg N., Goel A., Deep Learning
Approach to Determine the Impact of Socio Economic Factors on Bitcoin Price
Prediction, Paper presented at 2019 Twelfth International Conference on
Contemporary Computing (IC3), (2019); Akyildirim E., Cepni O., Corbet S., Uddin
G.S., Forecasting mid-price movement of Bitcoin futures using machine learning,
Annals of Operations Research, pp. 1-32, (2021); Awoke T., Rout M., Mohanty L.,
Satapathy S.C., Bitcoin Price Prediction and Analysis Using Deep Learning Models,
Communication Software and Networks, pp. 631-640, (2021); Basak S., Kar S., Saha
S., Khaidem L., Dey S.R., Predicting the direction of stock market prices using
tree-based classifiers, The North American Journal of Economics and Finance, 47,
pp. 552-567, (2019); Baur D.G., Hoang L., The Bitcoin gold correlation puzzle,
Journal of Behavioral and Experimental Finance, 32, (2021); Baur D.G., Dimpfl T.,
The volatility of Bitcoin and its role as a medium of exchange and a store of
value, Empirical Economics, 61, pp. 2663-2683, (2021); Blake R., An Econometric
Analysis of the Relationship between Bitcoin & Gold, (2019); Carbo J.M., Gorjon S.,
Application of Machine Learning Models and Interpretability Techniques to Identify
the Determinants of the Price of Bitcoin, (2022); Chen W., Xu H., Jia L., Gao Y.,
Machine learning model for Bitcoin exchange rate prediction using economic and
technology determinants, International Journal of Forecasting, 37, pp. 28-43,
(2020); Chen Y., Xie X., Zhang T., Bai J., Hou M., A deep residual compensation
extreme learning machine and applications, Journal of Forecasting, 39, pp. 986-999,
(2020); Derbentsev V., Datsenko N., Babenko V., Pushko O., Pursky O., Forecasting
Cryptocurrency Prices Using Ensembles-Based Machine Learning Approach, Paper
presented at 2020 IEEE International Conference on Problems of Infocommunications.
Science and Technology (PIC S&T), pp. 707-712, (2020); Erdas M.L., Caglar A.E.,
Analysis of the relationships between Bitcoin and exchange rate, commodities and
global indexes by asymmetric causality test, Eastern Journal of European Studies,
9, pp. 27-45, (2018); Fan L., Pan S., Li Z., Li H., An ica-based support vector
regression scheme for forecasting crude oil prices, Technological Forecasting and
Social Change, 112, pp. 245-253, (2016); Garcia-Medina A., Duc Huynh T.L., What
Drives Bitcoin? An Approach from Continuous Local Transfer Entropy and Deep
Learning Classification Models, Entropy, 23, (2021); Guarino A., Grilli L., Santoro
D., Messina F., Zaccagnino R., To learn or not to learn? Evaluating autonomous,
adaptive, automated traders in cryptocurrencies financial bubbles, Neural Comput &
Applic, 34, pp. 20715-20756, (2022); Huang J.-Y., Liu J.-H., Using social media
mining technology to improve stock price forecast accuracy, Journal of Forecasting,
39, pp. 104-116, (2020); Jagannath N., Barbulescu T., Sallam K.M., Elgendi I., Okon
A.A., McGrath B., Jamalipour A., Munasinghe K., A Self-Adaptive Deep Learning-Based
Algorithm for Predictive Analysis of Bitcoin Price, IEEE Access, 9, pp. 34054-
34066, (2021); Jaquart P., Dann D., Weinhardt C., Short-term bitcoin market
prediction via machine learning, The Journal of Finance and Data Science, 7, pp.
45-66, (2021); Khan W., Ghazanfar M.A., Azam M.A., Karami A., Alyoubi K.H.,
Alfakeeh A.S., Stock market prediction using machine learning classifiers and
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pp. 3433-3456, (2020); Kim A., Yang Y., Lessmann S., Ma T., Sung M.-C., Johnson
J.E.V., Can deep learning predict risky retail investors? A case study in financial
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234, (2020); Kim J.-M., Kim S.-T., Kim S., On the Relationship of Cryptocurrency
Price with US Stock and Gold Price Using Copula Models, Mathematics, 8, (2020);
Lamothe-Fernandez P., Alaminos D., Lamothe-Lopez P., Fernandez-Gamez M.A., Deep
Learning Methods for Modeling Bitcoin Price, Mathematics, 8, (2020); Liu M., Li G.,
Li J., Zhu X., Yao Y., Forecasting the price of Bitcoin using deep learning,
Finance Research Letters, 40, (2021); Livieris I.E., Kiriakidou N., Stavroyiannis
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Electronics, 10, (2021); Livieris I.E., Stavroyiannis S., Pintelas E., Pintelas P.,
A novel validation framework to enhance deep learning models intime-series
forecasting, Neural Computing and Applications, 32, pp. 17149-17167, (2020);
McNally S., Roche J., Caton S., Predicting the Price of Bitcoin Using Machine
Learning, Paper presented at 26th Euromicro International Conference on Parallel,
Distributed and Network-Based Processing (PDP), pp. 339-343, (2018); Mudassir M.,
Bennbaia S., Unal D., Hammoudeh M., Time-series forecasting of Bitcoin prices using
high-dimensional features: A machine learning approach, Neural Computing and
Applications, pp. 1-15, (2020); Nakamoto S., Bitcoin: A Peer-to-Peer Electronic
Cash System, (2008); Parvez S.J., Bitcoin price prediction using Random Forest
Regression, Journal of Positive School Psychology, 6, pp. 4352-4358, (2022);
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price prediction, Paper presented at 2018 10th International Conference on
Information Technology and Electrical Engineering (ICITEE), pp. 506-511, (2018);
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Econometrics, 215, pp. 414-449, (2020); Politis A., Doka K., Koziris N., Ether
price prediction using advanced deep learning models, Paper presented at 2021 IEEE
International Conference on Blockchain and Cryptocurrency (ICBC), pp. 1-3, (2021);
Rizwan M., Narejo S., Javed M., Bitcoin Price Prediction Using Deep Learning
Algorithm, Paper presented at 2019 13th International Conference on Mathematics,
Actuarial Science, Computer Science and Statistics (MACS), pp. 56-60, (2019);
Saadah S., Whafa A.A.A., Monitoring Financial Stability Based on Prediction of
Cryptocurrencies Price Using Intelligent Algorithm, Paper presented at 2020
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(2020); Sebastiao H., Godinho P., Forecasting and trading cryptocurrencies with
machine learning under changing market conditions, Financial Innovation, 7, pp. 1-
30, (2021); Selmi R., Mensi W., Hammoudeh S., Bouoiyour J., Is Bitcoin a hedge, a
safe haven or a diversifier for oil price movements? A comparison with gold, Energy
Economics, 74, pp. 787-801, (2018); Shin M., Mohaisen D., Kim J., Bitcoin Price
Forecasting via Ensemble-based LSTM Deep Learning Networks, Paper presented at 2021
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Tandon S., Tripathi S., Saraswat P., Dabas C., Bitcoin Price Forecasting using LSTM
and 10-Fold Cross validation, Paper presented at 2019 International Conference on
Signal Processing and Communication (ICSC), pp. 323-328, (2019)","J. Chen; Graduate
School of Economics, Kobe University, Kobe, 657-8501, Japan; email:
[email protected]",,MDPI,,,,,,19118074,,,,English,J. Risk. Financ.
Manag.,Article,Final,All Open Access; Gold Open Access; Green Open Access,Scopus,2-
s2.0-85146516206
Lin Y.; Liu S.; Yang H.; Wu H.,"Lin, Yaohu (55903027500); Liu, Shancun
(14219356400); Yang, Haijun (55731065200); Wu, Harris (36761643800)",55903027500;
14219356400; 55731065200; 36761643800,Stock Trend Prediction Using Candlestick
Charting and Ensemble Machine Learning Techniques with a Novelty Feature
Engineering Scheme,2021,IEEE
Access,9,,9481924,101433,101446,13,43,10.1109/ACCESS.2021.3096825,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85110910017&doi=10.1109%2fACCESS.2021.3096825&partnerID=40&md5=25e583db9eedd7737642
8325f9d23c2b,"School of Economics and Management, Beihang University, Beijing,
100191, China; Key Laboratory of Complex System Analysis, Management and Decision,
Ministry of Education, Beihang University, Beijing, 100191, China; Beijing Advanced
Innovation Center for Big Data and Brain Computing, Beihang University, Beijing,
100191, China; Strome College of Business, Old Dominion University, Norfolk, 23529,
VA, United States","Lin Y., School of Economics and Management, Beihang University,
Beijing, 100191, China; Liu S., School of Economics and Management, Beihang
University, Beijing, 100191, China, Key Laboratory of Complex System Analysis,
Management and Decision, Ministry of Education, Beihang University, Beijing,
100191, China; Yang H., School of Economics and Management, Beihang University,
Beijing, 100191, China, Beijing Advanced Innovation Center for Big Data and Brain
Computing, Beihang University, Beijing, 100191, China; Wu H., Strome College of
Business, Old Dominion University, Norfolk, 23529, VA, United States","Stock market
forecasting is a knotty challenging task due to the highly noisy, nonparametric,
complex and chaotic nature of the stock price time series. With a simple eight-
trigram feature engineering scheme of the inter-day candlestick patterns, we
construct a novel ensemble machine learning framework for daily stock pattern
prediction, combining traditional candlestick charting with the latest artificial
intelligence methods. Several machine learning techniques, including deep learning
methods, are applied to stock data to predict the direction of the closing price.
This framework can give a suitable machine learning prediction method for each
pattern based on the trained results. The investment strategy is constructed
according to the ensemble machine learning techniques. Empirical results from 2000
to 2017 of China's stock market confirm that our feature engineering has effective
predictive power, with a prediction accuracy of more than 60% for some trend
patterns. Various measures such as big data, feature standardization, and
elimination of abnormal data can effectively solve data noise. An investment
strategy based on our forecasting framework excels in both individual stock and
portfolio performance theoretically. However, transaction costs have a significant
impact on investment. Additional technical indicators can improve the forecast
accuracy to varying degrees. Technical indicators, especially momentum indicators,
can improve forecasting accuracy in most cases. © 2013 IEEE.",eight-trigram;
ensemble strategy; K-line patterns; machine learning; stock forecasting,Commerce;
Costs; Deep learning; Financial markets; Forecasting; Investments; Predictive
analytics; Strategic planning; Artificial intelligence methods; Candlestick
charting; Feature engineerings; Forecasting accuracy; Machine learning techniques;
Prediction accuracy; Stock market forecasting; Stock trend prediction; Learning
systems,,,,,"National Natural Science Foundation of China, NSFC, (71771006,
71771008)",This work was supported by the National Natural Science Foundation of
China under Grant 71771006 and Grant 71771008.,"Kumar M., Thenmozhi M., Forecasting
stock index returns using ARIMA-SVM, ARIMA-ANN, and ARIMA-random forest hybrid
models, Int. J. Banking, Account. Financ., 5, 3, pp. 284-308, (2014); Bezerra
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Jam P.A., New efficient hybrid candlestick technical analysis model for stock
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Zhu Y., Zhou G., Technical analysis: An asset allocation perspective on the use of
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Chan K., Market efficiency and the returns to technical analysis, Financial
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market, Phys. A, Stat. Mech. Appl., 457, pp. 148-165, (2016); Zhu M., Atri S.,
Yegen E., Are candlestick trading strategies effective in certain stocks with
distinct features?, Pacific-Basin Finance J., 37, pp. 116-127, (2016); Lu T.-H.,
The profitability of candlestick charting in the taiwan stock market, Pacific-Basin
Finance J., 26, pp. 65-78, (2014); Tao L., Hao Y., Yijie H., Chunfeng S., K-line
patterns' predictive power analysis using the methods of similarity match and
clustering, Math. Probl. Eng., 2017, (2017); Lo A.W., Mamaysky H., Wang J.,
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Management, Beihang University, Beijing, 100191, China; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85110910017
Dezhkam A.; Manzuri M.T.,"Dezhkam, Arsalan (54897977700); Manzuri, Mohammad Taghi
(6506067964)",54897977700; 6506067964,Forecasting stock market for an efficient
portfolio by combining XGBoost and Hilbert–Huang transform,2023,Engineering
Applications of Artificial
Intelligence,118,,105626,,,,37,10.1016/j.engappai.2022.105626,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85143491865&doi=10.1016%2fj.engappai.2022.105626&partnerID=40&md5=8639d61d4d36da8d0
eab170c7baa14a0,"Computer Engineering Department, Sharif University of Technology,
Azadi Ave., Tehran, Iran","Dezhkam A., Computer Engineering Department, Sharif
University of Technology, Azadi Ave., Tehran, Iran; Manzuri M.T., Computer
Engineering Department, Sharif University of Technology, Azadi Ave., Tehran,
Iran","Portfolio formation in financial markets is the task of not taking non-
necessary risks. Quantitative investment powered by machine learning has opened
many new opportunities for more insight generation from financial data resulting in
the explosion of ideas to enhance the performance of investments in the stock
markets. In this research, we propose a first-introduced model called HHT-XGB to
predict the changing trends in the next close price of stocks under the study. The
proposed model combines Hilbert–Huang Transform (HHT) as the feature engineering
part and the extreme gradient boost (XGBoost) as the Close price trend classifier.
The classification output is a sequence of ups and downs used to optimize the
stocks’ portfolio weights with the best trading performance The performance of the
portfolios optimized under this study proves that our novel combination of HHT with
classification performs 99.8% better than forming the portfolio using raw financial
data. The back-testing process suggests that the HHT-XGB strategy outperforms the
benchmark strategies even with the poor-performing markets. © 2022 Elsevier
Ltd",Algorithmic trading; Hilbert–Huang transform; Machine learning; Portfolio
formation; Trend prediction; XGBoost,Commerce; Electronic trading; Financial
markets; Forecasting; Investments; Machine learning; Algorithmic trading; Changing
trends; Efficient portfolio; Financial data; Hilbert Huang transforms; Machine-
learning; Performance; Portfolio formation; Trend prediction; Xgboost; Hilbert-
Huang transform,,,,,,,"Arevalo A., Nino J., Leon D., Hernandez G., Sandoval J.,
Deep learning and wavelets for high-frequency price forecasting, Computational
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University of Technology, Tehran, Azadi Ave., Iran; email:
[email protected]",,Elsevier Ltd,,,,,,9521976,,EAAIE,,English,Eng Appl Artif
Intell,Article,Final,,Scopus,2-s2.0-85143491865
Hajli N.; Saeed U.; Tajvidi M.; Shirazi F.,"Hajli, Nick (55672739800); Saeed, Usman
(57210375956); Tajvidi, Mina (54956159900); Shirazi, Farid
(24768095300)",55672739800; 57210375956; 54956159900; 24768095300,Social Bots and
the Spread of Disinformation in Social Media: The Challenges of Artificial
Intelligence,2022,British Journal of Management,33,3,,1238,1253,15,45,10.1111/1467-
8551.12554,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?
eid=2-s2.0-85118416460&doi=10.1111%2f1467-
8551.12554&partnerID=40&md5=20fe2d73c5450b2aaa6d3380fb1baf19,"School of Management,
Swansea University, Swansea, SA2 8PP, United Kingdom; Data Science Lab, Ryerson
University, Toronto, M5B 2K3, Canada; Department of Marketing, Queen Mary
University of London, London, E1 4NS, United Kingdom; Ted Rogers School of
Information Management, Ryerson University, Toronto, M5B 2K3, Canada","Hajli N.,
School of Management, Swansea University, Swansea, SA2 8PP, United Kingdom; Saeed
U., Data Science Lab, Ryerson University, Toronto, M5B 2K3, Canada; Tajvidi M.,
Department of Marketing, Queen Mary University of London, London, E1 4NS, United
Kingdom; Shirazi F., Ted Rogers School of Information Management, Ryerson
University, Toronto, M5B 2K3, Canada","Artificial intelligence (AI) is creating a
revolution in business and society at large, as well as challenges for
organizations. AI-powered social bots can sense, think and act on social media
platforms in ways similar to humans. The challenge is that social bots can perform
many harmful actions, such as providing wrong information to people, escalating
arguments, perpetrating scams and exploiting the stock market. As such, an
understanding of different kinds of social bots and their authors’ intentions is
vital from the management perspective. Drawing from the actor-network theory (ANT),
this study investigates human and non-human actors’ roles in social media,
particularly Twitter. We use text mining and machine learning techniques, and after
applying different pre-processing techniques, we applied the bag of words model to
a dataset of 30,000 English-language tweets. The present research is among the few
studies to use a theory-based focus to look, through experimental research, at the
role of social bots and the spread of disinformation in social media. Firms can use
our tool for the early detection of harmful social bots before they can spread
misinformation on social media about their organizations. © 2021 British Academy of
Management and Wiley Periodicals LLC.",,,,,,,,,"Abokhodair N., Yoo D., McDonald
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59, (1981)","F. Shirazi; Ted Rogers School of Information Management, Ryerson
University, Toronto, M5B 2K3, Canada; email: [email protected]",,John Wiley and
Sons Inc,,,,,,10453172,,,,English,Br. J. Manage.,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85118416460
Sattarov O.; Muminov A.; Lee C.W.; Kang H.K.; Oh R.; Ahn J.; Oh H.J.; Jeon
H.S.,"Sattarov, Otabek (57210554392); Muminov, Azamjon (56556424200); Lee, Cheol
Won (57193080396); Kang, Hyun Kyu (35113164100); Oh, Ryumduck (24344847200); Ahn,
Junho (15922414200); Oh, Hyung Jun (57210440552); Jeon, Heung Seok
(8833913200)",57210554392; 56556424200; 57193080396; 35113164100; 24344847200;
15922414200; 57210440552; 8833913200,Recommending cryptocurrency trading points
with deep reinforcement learning approach,2020,Applied Sciences
(Switzerland),10,4,1506,,,,39,10.3390/app10041506,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85080959517&doi=10.3390%2fapp10041506&partnerID=40&md5=cdc50ddcd29a88e67cea89fc54be
6350,"Department of Software Technology, Konkuk University, Chungju, 27478, South
Korea; Department of Software and IT convergence, Korea National University of
Transportation, Chungju, 27469, South Korea; Department of Computer Information,
Yeungnam University College, Gyeongsan, 38541, South Korea","Sattarov O.,
Department of Software Technology, Konkuk University, Chungju, 27478, South Korea;
Muminov A., Department of Software Technology, Konkuk University, Chungju, 27478,
South Korea; Lee C.W., Department of Software Technology, Konkuk University,
Chungju, 27478, South Korea; Kang H.K., Department of Software Technology, Konkuk
University, Chungju, 27478, South Korea; Oh R., Department of Software and IT
convergence, Korea National University of Transportation, Chungju, 27469, South
Korea; Ahn J., Department of Software and IT convergence, Korea National University
of Transportation, Chungju, 27469, South Korea; Oh H.J., Department of Computer
Information, Yeungnam University College, Gyeongsan, 38541, South Korea; Jeon H.S.,
Department of Software Technology, Konkuk University, Chungju, 27478, South
Korea","The net profit of investors can rapidly increase if they correctly decide
to take one of these three actions: buying, selling, or holding the stocks. The
right action is related to massive stock market measurements. Therefore, defining
the right action requires specific knowledge from investors. The economy
scientists, following their research, have suggested several strategies and
indicating factors that serve to find the best option for trading in a stock
market. However, several investors' capital decreased when they tried to trade the
basis of the recommendation of these strategies. That means the stock market needs
more satisfactory research, which can give more guarantee of success for investors.
To address this challenge, we tried to apply one of the machine learning
algorithms, which is called deep reinforcement learning (DRL) on the stock market.
As a result, we developed an application that observes historical price movements
and takes action on real-time prices. We tested our proposal algorithm with three-
Bitcoin (BTC), Litecoin (LTC), and Ethereum (ETH)-crypto coins' historical data.
The experiment on Bitcoin via DRL application shows that the investor got 14.4% net
profits within one month. Similarly, tests on Litecoin and Ethereum also finished
with 74% and 41% profit, respectively. © 2020 by the authors.",Day trading; Deep
reinforcement learning; Double cross strategy; Machine learning; Moving average;
Position trading; Scalping; Swing trading; Trading,,,,,,"Ministry of Education,
MOE, (2018R1D1A1B07043417); National Research Foundation of Korea, NRF",This
research was supported by Basic Science Research Program through the National
Research Foundation of Korea (NRF) funded by the Ministry of Education
(2018R1D1A1B07043417).,"Osborne M.F., Brownian motion in the stock market, Oper.
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Trader, (2020); Otterlo M., Wiering M., Reinforcement Learning and Markov Decision
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Arulkumaran K., Deisenroth M.P., Brundage M., Bharath A.A., Deep Reinforcement
Learning: A Brief Survey, IEEE Signal Process. Mag., 34, pp. 26-38, (2017)","H.S.
Jeon; Department of Software Technology, Konkuk University, Chungju, 27478, South
Korea; email: [email protected]",,MDPI AG,,,,,,20763417,,,,English,Appl.
Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85080959517
Kantepe M.; Gañiz M.C.,"Kantepe, Mücahit (57200282436); Gañiz, Murat Can
(22034124700)",57200282436; 22034124700,Preprocessing framework for Twitter bot
detection,2017,"2nd International Conference on Computer Science and Engineering,
UBMK 2017",,,8093483,630,634,4,46,10.1109/UBMK.2017.8093483,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85040578001&doi=10.1109%2fUBMK.2017.8093483&partnerID=40&md5=5b342a7b85862ea90f3053
078023ca3f,"Department of Computer Engineering, Marmara University, Istanbul,
Turkey","Kantepe M., Department of Computer Engineering, Marmara University,
Istanbul, Turkey; Gañiz M.C., Department of Computer Engineering, Marmara
University, Istanbul, Turkey","One of the important problems in social media
platforms like Twitter is the large number of social bots or sybil accounts which
are controlled by automated agents, generally used for malicious activities. These
include directing more visitors to certain websites which can be considered as
spam, influence a community on a specific topic, spread misinformation, recruit
people to illegal organizations, manipulating people for stock market actions, and
blackmailing people to spread their private information by the power of these
accounts. Consequently, social bot detection is of great importance to keep people
safe from these harmful effects. In this study, we approach the social bot
detection on Twitter as a supervised classification problem and use machine
learning algorithms after extensive data preprocessing and feature extraction
operations. Large number of features are extracted by analysis of Twitter user
accounts for posted tweets, profile information and temporal behaviors. In order to
obtain labeled data, we use accounts that are suspended by Twitter with the
assumption that majority of these are social bot accounts. Our results demonstrate
that our framework can distinguish between bot and normal accounts with reasonable
accuracy. © 2017 IEEE.",Bot detection; Component; Feature engineering; Machine
learning; Model construction; Social bot; Sybil account,Artificial intelligence;
Data mining; Engineering education; Learning algorithms; Learning systems; Social
networking (online); Supervised learning; Bot detections; Component; Feature
engineerings; Model construction; Social bots; Sybil account; Feature
extraction,,,,,,,"Ferrara E., Et al., The rise of social bots, Communications of
the ACM59, 1, pp. 96-104, (2016); Danezis G., Mittal P., Sybillnfer: Detecting
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automation of twitter accounts: Are you a human, bot, or cyborg?, IEEE Transactions
on Dependable and Secure Computing, 9, 6, pp. 811-824, (2012); Lee K., David Eoff
B., Caverlee J., Seven months with the devils: A long-term study of content
polluters on twitter, ICWSM, (2011); Dickerson J.P., Kagan V., Subrahmanian V.S.,
Using sentiment to detect bots on twitter: Are humans more opinionated than bots?,
Advances in Social Networks Analysis and Mining (ASONAM), 2014 IEEE/ACM
International Conference on, (2014)",,,Institute of Electrical and Electronics
Engineers Inc.,,"2nd International Conference on Computer Science and Engineering,
UBMK 2017",5 October 2017 through 8 October 2017,Antalya,132116,,978-153860930-
9,,,English,"Int. Conf. Comput. Sci. Eng., UBMK",Conference paper,Final,,Scopus,2-
s2.0-85040578001
Gao W.; Su C.,"Gao, Wenyou (57213619775); Su, Chang (58160216500)",57213619775;
58160216500,Analysis on block chain financial transaction under artificial neural
network of deep learning,2020,Journal of Computational and Applied
Mathematics,380,,112991,,,,50,10.1016/j.cam.2020.112991,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085257139&doi=10.1016%2fj.cam.2020.112991&partnerID=40&md5=6d60ab2e547218be16f71c
7728140915,"School of Economics and Management, Changchun University of Science and
Technology, Changchun, 130022, China; School of Foreign Language, Harbin Institute
of Technology, Harbin, 150000, China","Gao W., School of Economics and Management,
Changchun University of Science and Technology, Changchun, 130022, China; Su C.,
School of Foreign Language, Harbin Institute of Technology, Harbin, 150000,
China","In order to conduct an in-depth study on financial transactions of block
chain, the classical back propagation (BP) neural network based on the artificial
neural network (ANN) model is selected, and its propagation mode, weight change,
and learning process are analyzed. For the problem of slow convergence speed and
local minimum value of BP neural network, based on the idea of deep learning, the
initial value and training step are changed by auto-encoder and restricted
Boltzmann machine, and the theory is analyzed. Taking the stock index futures
trading in the block chain financial trading as an example, the stock price trading
of stock index futures is studied using the two deep learning neural network models
to predict the price changes. The results show that the auto-encoder, as an
unsupervised learning system, performs better than the restricted Boltzmann machine
in setting the initial weights and thresholds, with fewer iterations, faster
convergence rate, and smaller convergence error. The results obtained by the auto-
encoder can be used as initialization settings and data analysis. The prediction
accuracy of the whole model is around 59%. When the transaction cost is not
considered, the transaction can be conducted based on the prediction signal of the
deep learning model. Therefore, deep learning neural network model can be applied
to block chain financial transactions as a reference for financial transactions,
which has a good practical significance for the development of this field. © 2020
Elsevier B.V.",Auto-encoder; BP neural network; Deep learning; Restricted Boltzmann
machine,Backpropagation; Blockchain; Commerce; Deep neural networks; Electronic
trading; Financial markets; Forecasting; Learning systems; Neural networks; Signal
encoding; Artificial neural network models; BP neural networks; Classical back-
propagation; Financial transactions; Learning neural networks; Prediction accuracy;
Restricted boltzmann machine; Stock index futures; Deep learning,,,,,,,"Ehigiamusoe
K.U., Lean H.H., Effects of energy consumption, economic growth, and financial
development on carbon emissions: evidence from heterogeneous income groups,
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L., The economic restructuring under new industry: A model for leapfrogging
development and the shift of leadership, Int. J. Mod. Phys. C, 30, 7, pp. 1-15,
(2019); Detzel A., Schaberl P., Strauss J., Expected versus ex post profitability
in the cross-section of industry returns, Financ. Manag., 48, 2, pp. 505-536,
(2019); Antonucci F., Figorilli S., Costa C., Et al., A review on block chain
applications in the agri-food sector, J. Sci. Food Agric., 99, 14, pp. 6129-6138,
(2019); Dai Y., Xu D., Maharjan S., Et al., Block chain and deep reinforcement
learning empowered intelligent 5G beyond, IEEE Netw., 33, 3, pp. 10-17, (2019);
Dixon M.F., Akcora C.G., Gel Y.R., Et al., Block chain analytics for intraday
financial risk modeling, Digit. Finance, 1, 1-4, pp. 67-89, (2019); Dorri A., Luo
F., Kanhere S.S., Et al., SPB: A secure private block chain-based solution for
distributed energy trading, IEEE Commun. Mag., 57, 7, pp. 120-126, (2019); Jeffrey
N., Lanusse F., Lahav O., Et al., Deep learning dark matter map reconstructions
from DES SV weak lensing data, Mon. Not. R. Astron. Soc., 492, 4, pp. 5023-5029,
(2020); Yasir M., Afzal S., Latif K., Et al., An efficient deep learning based
model to predict interest rate using twitter sentiment, Sustainability, 12, 4, pp.
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management: Improved attention-based gated recurrent unit model for accurate
tourist flow forecasting, Sustainability, 12, 4, (2020); Martinez Ramirez M.A.,
Benetos E., Reiss J.D., Deep learning for black-box modeling of audio effects,
Appl. Sci., 10, 2, (2020); Shih P.C., Chiu C.Y., Chou C.H., Using dynamic adjusting
NGHS-ANN for predicting the recidivism rate of commuted prisoners, Mathematics, 7,
12, (2019); Chen S., Wu N., Xiao J., Et al., Expulsion identification in resistance
spot welding by electrode force sensing based on wavelet decomposition with multi-
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al., External stimuli predict financial
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Manag., (2019)","C. Su; School of Foreign Language, Harbin Institute of Technology,
Harbin, 150000, China; email: [email protected]",,Elsevier
B.V.,,,,,,3770427,,,,English,J. Comput. Appl. Math.,Article,Final,,Scopus,2-s2.0-
85085257139
Ali M.; Khan D.M.; Alshanbari H.M.; El-Bagoury A.A.-A.H.,"Ali, Muhammad
(59275600600); Khan, Dost Muhammad (27667668900); Alshanbari, Huda M.
(57242579300); El-Bagoury, Abd Al-Aziz Hosni (57434650100)",59275600600;
27667668900; 57242579300; 57434650100,Prediction of Complex Stock Market Data Using
an Improved Hybrid EMD-LSTM Model,2023,Applied Sciences
(Switzerland),13,3,1429,,,,42,10.3390/app13031429,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85147988723&doi=10.3390%2fapp13031429&partnerID=40&md5=79eb731c7fd0001ba2f31c59af52
5b72,"Department of Statistics, Abdul Wali Khan University Mardan, Mardan, 23200,
Pakistan; Department of Mathematical Sciences, College of Science, Princess Nourah
bint Abdulrahman University, P.O. Box 84428, Riyadh, 11671, Saudi Arabia; Higher
Institute of Engineering and Technology, El-Mahala El-Kobra, 31951, Egypt","Ali M.,
Department of Statistics, Abdul Wali Khan University Mardan, Mardan, 23200,
Pakistan; Khan D.M., Department of Statistics, Abdul Wali Khan University Mardan,
Mardan, 23200, Pakistan; Alshanbari H.M., Department of Mathematical Sciences,
College of Science, Princess Nourah bint Abdulrahman University, P.O. Box 84428,
Riyadh, 11671, Saudi Arabia; El-Bagoury A.A.-A.H., Higher Institute of Engineering
and Technology, El-Mahala El-Kobra, 31951, Egypt","Because of the complexity,
nonlinearity, and volatility, stock market forecasting is either highly difficult
or yields very unsatisfactory outcomes when utilizing traditional time series or
machine learning techniques. To cope with this problem and improve the complex
stock market’s prediction accuracy, we propose a new hybrid novel method that is
based on a new version of EMD and a deep learning technique known as long-short
memory (LSTM) network. The forecasting precision of the proposed hybrid ensemble
method is evaluated using the KSE-100 index of the Pakistan Stock Exchange. Using a
new version of EMD that uses the Akima spline interpolation technique instead of
cubic spline interpolation, the noisy stock data are first divided into multiple
components technically known as intrinsic mode functions (IMFs) varying from high
to low frequency and a single monotone residue. The highly correlated sub-
components are then used to build the LSTM network. By comparing the proposed
hybrid model with a single LSTM and other ensemble models such as the support
vector machine (SVM), Random Forest, and Decision Tree, its prediction performance
is thoroughly evaluated. Three alternative statistical metrics, namely root means
square error (RMSE), mean absolute error (MAE) and mean absolute percentage error
(MAPE), are used to compare the aforementioned techniques. The empirical results
show that the suggested hybrid Akima-EMD-LSTM model beats all other models taken
into consideration for this study and is therefore recommended as an effective
model for the prediction of non-stationary and nonlinear complex financial time
series data. © 2023 by the authors.",ARIMA; data processing; decision tree;
empirical mode decomposition; LSTM; nonlinear complex data; random forest;
recurrent neural network; support vector machine,,,,,,"Abdulrahman University,
(PNURSP2023R 299); Princess Nourah Bint Abdulrahman University, PNU","Princess
Nourah bint Abdulrahman University Researchers Supporting Project number
(PNURSP2023R 299), Princess Nourah bint Abdulrahman University, Riyadh, Saudi
Arabia.","Petram L.O., The World’s First Stock Exchange: How the Amsterdam Market
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Forecasting COVID-19 in Pakistan, PLoS ONE, 15, (2020); Khan D.M., Ali M., Iqbal
N., Khalil U., Aljohani H.M., Alharthi A.S., Afify A.Z., Short-Term Prediction of
COVID-19 Using Novel Hybrid Ensemble Empirical Mode Decomposition and Error Trend
Seasonal Model, Front. Public Health, (2022); Ali M., Khan D.M., Aamir M., Ali A.,
Ahmad Z., Predicting the direction movement of financial time series using
artificial neural network and support vector machine, Complexity, 2021, pp. 1-13,
(2021)","D.M. Khan; Department of Statistics, Abdul Wali Khan University Mardan,
Mardan, 23200, Pakistan; email: [email protected]; H.M. Alshanbari;
Department of Mathematical Sciences, College of Science, Princess Nourah bint
Abdulrahman University, Riyadh, P.O. Box 84428, 11671, Saudi Arabia; email:
[email protected]",,MDPI,,,,,,20763417,,,,English,Appl.
Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85147988723
Yin T.; Liu C.; Ding F.; Feng Z.; Yuan B.; Zhang N.,"Yin, Tao (57231204000); Liu,
Chenzhengyi (57216358138); Ding, Fangyu (57231906700); Feng, Ziming (57231670700);
Yuan, Bo (7203056397); Zhang, Ning (55187579700)",57231204000; 57216358138;
57231906700; 57231670700; 7203056397; 55187579700,Graph-based stock correlation and
prediction for high-frequency trading systems,2022,Pattern
Recognition,122,,108209,,,,36,10.1016/j.patcog.2021.108209,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85113573353&doi=10.1016%2fj.patcog.2021.108209&partnerID=40&md5=e0b6845634a4b08bb48
e4102c7754fb2,"Department of Computer Science and Engineering, Shanghai Jiao Tong
University, No. 800, Dongchuan Road, Shanghai, China; Department of Computer
Science and Engineering, and MOE Key Lab of Artificial Intelligence, AI Institute,
Shanghai Jiao Tong University, No. 800, Dongchuan Road, Shanghai, China; China
Merchants Bank Credit Card Center, No. 385, Ruichang Road, Shanghai, China","Yin
T., Department of Computer Science and Engineering, Shanghai Jiao Tong University,
No. 800, Dongchuan Road, Shanghai, China; Liu C., Department of Computer Science
and Engineering, and MOE Key Lab of Artificial Intelligence, AI Institute, Shanghai
Jiao Tong University, No. 800, Dongchuan Road, Shanghai, China; Ding F., Department
of Computer Science and Engineering, and MOE Key Lab of Artificial Intelligence, AI
Institute, Shanghai Jiao Tong University, No. 800, Dongchuan Road, Shanghai, China;
Feng Z., China Merchants Bank Credit Card Center, No. 385, Ruichang Road, Shanghai,
China; Yuan B., Department of Computer Science and Engineering, Shanghai Jiao Tong
University, No. 800, Dongchuan Road, Shanghai, China; Zhang N., Department of
Computer Science and Engineering, and MOE Key Lab of Artificial Intelligence, AI
Institute, Shanghai Jiao Tong University, No. 800, Dongchuan Road, Shanghai,
China","In this paper, we have implemented a high-frequency quantitative system
that can obtain stable returns for the Chinese A-share market, which has been
running for more than 3 months (from March 27, 2020 to June 30, 2020) with the
expected results. A number of rules and barriers exist in the Chinese A-share
market such as trading restrictions and high fees, as well as scarce and expensive
hedging tools. It is difficult to achieve stable absolute returns in such a market.
Stock correlation analysis and price prediction play an important role to achieve
any profitable trading. The portfolio management and subsequent trading decisions
highly depend on the results of stock correlation analysis and price prediction.
However, it is nontrivial to analyze and predict any stocks, being time-varying and
affected by unlimited factors in a given market. Traditional methods only take some
certain factors into consideration but ignore others that may be changed
dynamically. In this paper, we propose a novel machine learning model named Graph
Attention Long Short-Term Memory (GALSTM) to learn the correlations between stocks
and predict their future prices automatically. First, a multi-Hawkes Process is
used to initial a correlation graph between stocks. This procedure provides a good
training start as the multi-Hawkes Processes will be studied on the most saint
feature fluctuations with any correlations being statistically significant. Then an
attention-based LSTM is built to learn the weighting matrix underlying the dynamic
graph. In addition, we also build matching data process plus portfolio management
modules to form a complete system. The proposed GALSTM enables us to expand the
scope of stock selection under the premise of controlling risks with limited
hedging tools in the A-share market, thereby effectively increasing high-frequency
excess returns. We then construct a long and short positions combination, select
long positions in the A shares of the entire market, and use stock index futures to
short. With GALSTM model, the products managed by our fully automatic quantitative
trading system achieved an absolute annual return rate of 44.71% and the standard
deviation of daily returns is only 0.42% in three months of operation. Only 1 week
loss in 13 weeks of running time. © 2021",Graph attention long short-term memory
(GALSTM); Hawkes processes; High-frequency trading; Portfolio management,Brain;
Commerce; Correlation methods; Electronic trading; Financial markets; Forecasting;
Graphic methods; Information management; Investments; Correlation analysis; Graph
attention long short-term memory; Hawkes process; Hedging tools; High-frequency;
High-frequency trading; Portfolio managements; Share market; Short term memory;
Trading systems; Long short-term memory,,,,,"China Merchants Bank Credit Card
Center; Science and Technology Commission of Shanghai Municipality, STCSM,
(2021SHZDZX0102); Science and Technology Commission of Shanghai Municipality,
STCSM; National Key Research and Development Program of China, NKRDPC,
(2018AAA0100704); National Key Research and Development Program of China,
NKRDPC","This work was partially supported by the National Key Research and
Development Program of China , no. 2018AAA0100704 , Shanghai Municipal Science and
Technology Major Project (2021SHZDZX0102), and the fund from China Merchants Bank
Credit Card Center. ","Xiao X., (2009); Hawkes A., Point spectra of some mutually
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the low frequency component of the exchange rate, J. Bank. Finance, 33, 9, pp.
1575-1585, (2009); Bianchi R.J., Drew M.E., Polichronis J., A test of momentum
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Econ. Rev., 7, 2-3, pp. 155-179, (2005); Platanakis E., Urquhart A., Portfolio
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on Artificial Intelligence, (2015); Lu J., Wang H., Zhou J., Chen Y., Lai Z., Hu
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representation learning with neighborhood aggregation and interaction, Pattern
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marked
temporal point processes, KDD, (2018); Wu Z., Pan S., Chen F., Long G., Zhang C.,
Yu P.S., A Comprehensive Survey on Graph Neural Networks, IEEE Transactions on
Neural Networks and Learning Systems, 32, 1, pp. 4-24, (2021); Zhou K., Zha H.,
Song L., Learning social infectivity in sparse low-rank networks using multi-
dimensional Hawkes processes, AISTATS, (2013); Li L., Zha H., Learning parametric
models for social infectivity in multi-dimensional Hawkes processes, AAAI, (2014);
Liu Y., Yan T., Chen H., Exploiting graph regularized multi-dimensional Hawkes
processes for modeling events with spatio-temporal characteristics, IJCAI, (2018);
Shang J., Sun M., Geometric Hawkes processes with graph convolutional recurrent
neural networks, AAAI, (2019); Hochreiter S., Schmidhuber J., Long short-term
memory, Neural Comput., 9, 8, pp. 1735-1780, (1997); Gers F., Schraudolph N.N.,
Schmidhuber J., Learning precise timing with LSTM recurrent networks, J. Mach.
Learn. Res., 3, pp. 115-143, (2002); Velickovic P., Cucurull G., Casanova A.,
Romero A., Lio' P., Bengio Y.; Xu H.","N. Zhang; Department of Computer Science and
Engineering, and MOE Key Lab of Artificial Intelligence, AI Institute, Shanghai
Jiao Tong University, Shanghai, No. 800, Dongchuan Road, China; email:
[email protected]",,Elsevier Ltd,,,,,,313203,,PTNRA,,English,Pattern
Recogn.,Article,Final,,Scopus,2-s2.0-85113573353
Sun T.; Wang J.; Zhang P.; Cao Y.; Liu B.; Wang D.,"Sun, Tong (57190818048); Wang,
Jia (57200261067); Zhang, Pengfei (57201932593); Cao, Yu (59157697500); Liu,
Benyuan (7408693142); Wang, Degang (57200255560)",57190818048; 57200261067;
57201932593; 59157697500; 7408693142; 57200255560,Predicting Stock Price Returns
Using Microblog Sentiment for Chinese Stock Market,2017,"Proceedings - 2017 3rd
International Conference on Big Data Computing and Communications, BigCom
2017",,,8113051,87,96,9,41,10.1109/BIGCOM.2017.59,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85040522200&doi=10.1109%2fBIGCOM.2017.59&partnerID=40&md5=c5f0a8aaa2e8f119880b48e8d
1f816cc,"University of Massachusetts Lowell, United States; GRC Capital LLC, United
States","Sun T., University of Massachusetts Lowell, United States; Wang J.,
University of Massachusetts Lowell, United States; Zhang P., University of
Massachusetts Lowell, United States; Cao Y., University of Massachusetts Lowell,
United States; Liu B., University of Massachusetts Lowell, United States; Wang D.,
GRC Capital LLC, United States","Recently there have been many efforts to study the
predictability of stock market trend using post sentiments on social media sites.
These studies have mainly focused on US stock market. In this paper we investigate
the relationship between stock price movement and social media sentiment in China,
which has a large stock capitalization and a unique social media landscape. We
collect data from several different types of social media sites (microblogs, chat
rooms, web forums), and find that data from these sites exhibit distinct
characteristics in activity level, post length, and correlation with stock market
behavior. Users in stock market related chat rooms tend to post more but much
shorter blogs. The activity level is much more highly correlated with market
trading hours and stock trading volumes. We then investigated several machine
learning models to classify post sentiment in chat rooms, and achieved a
performance similar to the state-of-the-art sentiment analysis result for short
posts. We find that there is strong correlation and Granger causality between chat
room post sentiment and stock price movement, indicating that post sentiments can
be used to improve the prediction of stock price return over using the historic
stock trading information alone. We further propose a prediction model that uses
chat room sentiment to forecast the market direction, and develop a trading
strategy that utilizes the prediction as trading indicators. Backtest using our
strategy achieves promising portfolio returns. A total return of 19.54% is obtained
at the end of the seven-month period when taking into account of slippage and
commissions, compared to a loss of -25.26% by a passive buy-and-hold baseline
strategy. © 2017 IEEE.",Microblog; Sentiment Analysis; Stock Market Prediction,Big
data; Commerce; Costs; Data mining; Finance; Forecasting; Learning systems; Social
networking (online); Chinese stock market; Machine learning models; Micro-blog;
Relationship between stocks; Sentiment analysis; Stock market prediction; Stock
price movements; Trading strategies; Financial markets,,,,,,,"Bollen J., Mao H.,
Zeng X., Twitter mood predicts the stock market, CoRR, (2010); Mao Y., Wei W., Wang
B., Liu B., Correlating s&p 500 stocks with twitter data, Proceedings of the First
ACM International Workshop on Hot Topics on Interdisciplinary Social Networks
Research, pp. 69-72, (2012); Rechenthin M., Street W.N., Srinivasan P., Stock
chatter: Using stock sentiment to predict price direction, Algorithmic Finance, 2,
3-4, pp. 169-196, (2013); Si J., Mukherjee A., Liu B., Pan S.J., Li Q., Li H.,
Exploiting social relations and sentiment for stock prediction, EMNLP, 14, pp.
1139-1145, (2014); Ranco G., Bordino I., Bormetti G., Caldarelli G., Lillo F.,
Treccani M., Coupling news sentiment with web browsing data improves prediction of
intra-day price dynamics, PLoS ONE, (2016); Antweiler W., Frank M.Z., Is all that
talk just noise? the information content of internet stock message boards, Journal
of Finance, 59, 3, pp. 1259-1294, (2004); Zhang W., Skiena S., Trading strategies
to exploit blog and news sentiment, Fourth Int. Conf. on Weblogs and Social Media
(ICWSM) 2010, 186, (2010); Sun X.-Q., Shen H.-W., Cheng X.-Q., Trading network
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H.E., Quantifying Trading Behavior in Financial Markets Using Google Trends,
(2013); Zhou Z., Zhao J., Xu K., Can online emotions predict the stock market in
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Salakhutdinov R., Dropout: A simple way to prevent neural networks from
overfitting, J. Mach. Learn. Res., (2014); Chung J., Gulcehre C., Cho K., Bengio
Y., Empirical evaluation of gated recurrent neural networks on sequence modeling,
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SemEval-2016 task 4: Sentiment analysis in Twitter, Proceedings of the 10th
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C.W.J., Investigating causal relations by econometric models and cross-spectral
methods, Econometrica, pp. 424-438, (1969); Toda H.Y., Yamamoto T., Statistical
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3, pp. 477-491, (2000)",,,Institute of Electrical and Electronics Engineers
Inc.,,"3rd International Conference on Big Data Computing and Communications,
BigCom 2017",10 August 2017 through 11 August 2017,"Chengdu, Sichuan",132551,,978-
153863349-6,,,English,"Proc. - Int. Conf. Big Data Comput. Commun.,
BigCom",Conference paper,Final,,Scopus,2-s2.0-85040522200
Zhao Y.; Yang G.,"Zhao, Yanli (57221133617); Yang, Guang
(57198741534)",57221133617; 57198741534,Deep Learning-based Integrated Framework
for stock price movement prediction,2023,Applied Soft
Computing,133,,109921,,,,50,10.1016/j.asoc.2022.109921,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85144434992&doi=10.1016%2fj.asoc.2022.109921&partnerID=40&md5=4fe564cc40893eb139f3c
bf0cd2f7f13,"School of Business Administration, Wuhan Business University, Wuhan,
China; School of Information and Safety Engineering, Zhongnan University of
Economics and Law, Wuhan, China","Zhao Y., School of Business Administration, Wuhan
Business University, Wuhan, China; Yang G., School of Information and Safety
Engineering, Zhongnan University of Economics and Law, Wuhan, China","Stock market
prediction is a very important problem in the economics field. With the development
of machine learning, more and more algorithms are applied in the stock market to
predict the stock price movement. However, stock market prediction is regarded as a
challenging task for the noise and volatility of stock market data. Therefore, in
this paper, a novel hybrid model SA-DLSTM is proposed to predict stock market and
simulation trading by combine a emotion enhanced convolutional neural network
(ECNN), the denoising autoencoder (DAE) models, and long short-term memory model
(LSTM). Firstly, user-generated comments on Internet were used as a complement to
stock market data, and ECNN was applied to extract the sentiment representation.
Secondly, we extract the key features of stock market data by DAE, which can
improve the prediction accuracy. Thirdly, we take the timeliness of emotion on
stock market into consideration and construct more reliable and realistic sentiment
indexes. Finally, the key features of stock data and sentiment indexes are fed into
LSTM to make stock market prediction. Experiment results show that the prediction
accuracy of SA-DLSTM are superior to other compared models. Meanwhile, SA-DLSTM has
a good performance both in return and risk. It can help investors make wise
decisions. © 2022 Elsevier B.V.",Denoising autoencoder; Long short-term memory;
Sentiment analysis; Stock market prediction,Brain; Commerce; Convolutional neural
networks; Data mining; Electronic trading; Financial markets; Forecasting;
Investments; Learning systems; Motion estimation; Sentiment analysis; Auto
encoders; Convolutional neural network; De-noising; Denoising autoencoder; Key
feature; Market data; Memory modeling; Prediction accuracy; Sentiment analysis;
Stock market prediction; Long short-term memory,,,,,"University-Industry
Collaborative Education Program of Ministry of Education of China,
(220506642161857)",This research work was supported by the University-Industry
Collaborative Education Program of Ministry of Education of China (No.
220506642161857 ).,"Zhou L., Lu D., Fujita H., The performance of corporate
financial distress prediction models with features selection guided by domain
knowledge and data mining approaches, Knowl.-Based Syst., 85, pp. 52-61, (2015);
Zhou L., Si Y.W., Fujita H., Predicting the listing statuses of Chinese-listed
companies using decision trees combined with an improved filter feature selection
method, Knowl.-Based Syst., 128, pp. 93-101, (2017); Geva T., Zahavi J., Empirical
evaluation of an automated intraday stock recommendation system incorporating both
market data and textual news, Decis. Support Syst., 57, pp. 212-223, (2014); Li Q.,
Wang T., Li P., Liu L., Gong Q., Chen Y., The effect of news and public mood on
stock movements, Inform. Sci., 278, pp. 826-840, (2014); Chen N.-F., Roll R., Ross
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Mahata A., Nurujjaman M.D., Majhi S., Debnath K., A sentiment-based modeling and
analysis of stock price during the COVID-19: U- and Swoosh-shaped recovery, Physica
A, 592, (2022); Ruan Y., Durresi A., Alfantoukh L., Using Twitter trust network for
stock market analysis, Knowl.-Based Syst., 145, pp. 207-218, (2018); Yang S., A
novel study on deep learning framework to predict and analyze the financial time
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Shynkevich Y., McGinnity T., Coleman S., Belatreche A., Li Y., Forecasting price
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window length, Neurocomputing, 264, pp. 71-88, (2017); Zhang D., Lou S., The
application research of neural network and BP algorithm in stock price pattern
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optimization using machine learning-based stock price prediction, Appl. Soft
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integrated framework of deep learning and knowledge graph for prediction of stock
price trend: An application in Chinese stock exchange market, Appl. Soft Comput.,
91, (2020); Bileki Guilherme A., Flavio B., Silva Luiz Henrique C., Vanderlei B.,
Order book mid-price movement inference by CatBoost classifier from convolutional
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Emotion-semantic-enhanced neural network, IEEE Trans. Audio Speech Lang. Process.,
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message board activity and market efficiency: A case study of the internet service
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online stock forum sentiment analysis, IEEE Trans. Syst. Man Cybern.: Syst., 44,
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direction using sentiment analysis and support vector machine, IEEE Syst. J., 13,
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Predicting short-term stock prices using ensemble methods and online data sources,
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the web, J. Econ. Surv., 30, 2, pp. 356-369, (2016); Tetlock P.C., Giving content
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super-high dimensional time-series data using convLSTM, trend sampling, and
specialized data augmentation, Exp. Syst. Appl., (2020); Barberis N., Greenwood R.,
Jin L.J., Shleifer A., X-CAPM: An extrapolative capital asset pricing model, J.
Financ. Econ., 115, 1, pp. 1-24, (2015); Vincent P., Larochelle H., Bengio Y.,
Manzagol P., Extracting and composing robust features with denoising autoencoders,
pp. 1096-1103, (2008); Hochreiter S., Schmidhuber J., Long short-term memory,
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Networks and Wavelet de-Noising for Stock Trading and Prediction, Time Series
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pp. 1168-1173, (2020); pp. 1199-1202, (2017); Li M.-W., Xu D.-Y., Geng J., Hong
W.-C., A hybrid approach for forecasting ship motion using CNN-GRU-AM and GCWOA,
Appl. Soft Comput., 114, (2022); Ledoit O., Wolf M., Robust performance hypothesis
testing with the Sharpe ratio, J. Empir. Financ., 15, 5, pp. 850-859, (2008)","G.
Yang; School of Information and Safety Engineering, Zhongnan University of
Economics and Law, Wuhan, China; email: [email protected]",,Elsevier
Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.,Article,Final,,Scopus,2-s2.0-
85144434992
Cheng L.-C.; Huang Y.-H.; Wu M.-E.,"Cheng, Li-Chen (27169815300); Huang, Yu-Hsiang
(57214325062); Wu, Mu-En (18635615600)",27169815300; 57214325062;
18635615600,Applied attention-based LSTM neural networks in stock
prediction,2018,"Proceedings - 2018 IEEE International Conference on Big Data, Big
Data 2018",,,8622541,4716,4718,2,54,10.1109/BigData.2018.8622541,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062625469&doi=10.1109%2fBigData.2018.8622541&partnerID=40&md5=aaca558f0b3f1927e8b
86220f9ab4ed0,"Department of Computer Science and Information Management, Soochow
University, Taipei, Taiwan; Department of Information and Finance Management,
National Taipei University of Technology, Taipei, Taiwan","Cheng L.-C., Department
of Computer Science and Information Management, Soochow University, Taipei, Taiwan;
Huang Y.-H., Department of Computer Science and Information Management, Soochow
University, Taipei, Taiwan; Wu M.-E., Department of Information and Finance
Management, National Taipei University of Technology, Taipei, Taiwan","Prediction
of stocks is complicated by the dynamic, complex, and chaotic environment of the
stock market. Many studies predict stock price movements using deep learning
models. Although the attention mechanism has gained popularity recently in neural
machine translation, little focus has been devoted to attention-based deep learning
models for stock prediction. This paper proposes an attention-based long short-term
memory model to predict stock price movement and make trading strategies. © 2018
IEEE.",attention mechanism; deep learning; stock prediction,Commerce; Electronic
trading; Forecasting; Long short-term memory; Attention mechanisms; Chaotics; Deep
learning; Learning models; Memory modeling; Neural-networks; Stock predictions;
Stock price movements; Trading strategies; Financial markets,,,,,"Ministry of
Science and Technology, Taiwan, MOST, (105-2410-H-031 -035 -MY3, 107-2218-E-007-
045)","ACKNOWLEDGMENT This study was supported in part by the Ministry of Science
and Technology of Taiwan under grant number： MOST 105-2410-H-031 -035 -MY3 and MOST
107-2218-E-007-045. MOST 107-2221-E-027 -104 -MY2. MOST 107-2218-E-001 -009 - VI.
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Conference on Big Data, Big Data 2018",10 December 2018 through 13 December
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Big Data",Conference paper,Final,,Scopus,2-s2.0-85062625469
Chen S.; Zhou C.,"Chen, Shile (57221307917); Zhou, Changjun
(23977023500)",57221307917; 23977023500,Stock Prediction Based on Genetic Algorithm
Feature Selection and Long Short-Term Memory Neural Network,2021,IEEE
Access,9,,9306838,9066,9072,6,54,10.1109/ACCESS.2020.3047109,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85098784029&doi=10.1109%2fACCESS.2020.3047109&partnerID=40&md5=572116ea7876eb18da8c
ae37dab9f0d2,"College of Mathematics and Computer Science, Zhejiang Normal
University, Jinhua, 321004, China","Chen S., College of Mathematics and Computer
Science, Zhejiang Normal University, Jinhua, 321004, China; Zhou C., College of
Mathematics and Computer Science, Zhejiang Normal University, Jinhua, 321004,
China","In the financial market, there are a large number of indicators used to
describe the change of stock price, which provides a good data basis for our stock
price forecast. Different stocks are affected by different factors due to their
different industry types and regions. Therefore, it is very important to find a
multi factor combination suitable for a particular stock to predict the price of
the stock. This paper proposes to use Genetic Algorithm(GA) for feature selection
and develop an optimized Long Short-Term Memory(LSTM) neural network stock
prediction model. Firstly, we use the GA to obtain a factors importance ranking.
Then, the optimal combination of factors is obtained from this ranking with the
method of trial and error. Finally, we use the combination of optimal factors and
LSTM model for stock prediction. Thorough empirical studies based upon the China
construction bank dataset and the CSI 300 stock dataset demonstrate that the GA-
LSTM model can outperform all baseline models for time series prediction. © 2013
IEEE.",Deep learning; feature selection; forecasting; genetic algorithm; machine
learning; optimization methods,Brain; Electronic trading; Feature extraction;
Financial markets; Forecasting; Genetic algorithms; Predictive analytics; Baseline
models; China construction banks; Empirical studies; Optimal combination; Stock
predictions; Stock price forecasts; Time series prediction; Trial and error; Long
short-term memory,,,,,"National Natural Science Foundation of China, NSFC,
(61672121, 61702070, 61751203, 61772100, 61802040)","This work was supported by the
National Natural Science Foundation of China under Grant 61672121, Grant 61702070,
Grant 61751203, Grant 61772100, and Grant 61802040.","Fama E.F., French K.R.,
Common risk factors in the returns on stocks and bonds, J. Financial Econ., 33, 1,
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3186-3197, (2008); Nair B.B., Mohandas V.P., Sakthivel N.R., A decision tree-rough
set hybrid system for stock market trend prediction, Int. J. Comput. Appl., 6, 9,
pp. 1-6, (2010); Penman H., Application study of BP neural network and logistic
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Introduction to the special issue on deep learning approaches for machine
translation, Comput. Speech Lang., 46, pp. 367-373, (2017); Fayek H.M., Lech M.,
Cavedon L., Evaluating deep learning architectures for speech emotion recognition,
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Diagnosing deep learning models for high accuracy age estimation from a single
image, Pattern Recognit., 66, 1, pp. 106-116, (2017); Lv D., Wang D., Li M., Xiang
Y., DNN models based on dimensionality reduction for stock trading, Intell. Data
Anal., 24, 1, pp. 19-45, (2020); Tsantekidis A., Passalis N., Tefas A., Kanniainen
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Siddiqi U.F., Sait S.M., Kaynak O., Genetic algorithm for the mutual information-
based feature selection in univariate time series data, IEEE Access, 8, pp. 9597-
9609, (2020); Yu H., Chen R., Zhang G., A SVM stock selection model within PCA,
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W., Jiang G., Cottrell G.W., A dualstage attention-based recurrent neural network
for time series prediction, Proc. 26th Int. Joint Conf. Artif. Intell., pp. 2627-
2633, (2017); Hu J., Zheng W., Multistage attention network for multivariate time
series prediction, Neurocomputing, 18, 383, pp. 122-137, (2020); Li G., Liu P., Le
C., Zhou B., A novel hybrid meta-heuristic algorithm based on the cross-entropy
method and firefly algorithm for global optimization, Entropy, 21, 5, (2019); Li
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LSTM, Complexity, 15, 2, pp. 15-20, (2018); Kim Y., Roh J.-H., Kim H., Early
forecasting of rice blast disease using long short-term memory recurrent neural
networks, Sustainability, 10, 2, (2017); Hochreiter S., Schmidhuber J., Long short-
term memory, Neural Comput., 9, 8, pp. 1735-1780, (1997); JoinQuant Quantitative
Platform, (2020)","C. Zhou; College of Mathematics and Computer Science, Zhejiang
Normal University, Jinhua, 321004, China; email: [email protected]",,Institute
of Electrical and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85098784029
Parekh R.; Patel N.P.; Thakkar N.; Gupta R.; Tanwar S.; Sharma G.; Davidson I.E.;
Sharma R.,"Parekh, Raj (58343924800); Patel, Nisarg P. (57216572868); Thakkar,
Nihar (57205685975); Gupta, Rajesh (57201584761); Tanwar, Sudeep (56576145100);
Sharma, Gulshan (57216326306); Davidson, Innocent E. (7103403083); Sharma, Ravi
(57431604600)",58343924800; 57216572868; 57205685975; 57201584761; 56576145100;
57216326306; 7103403083; 57431604600,DL-GuesS: Deep Learning and Sentiment
Analysis-Based Cryptocurrency Price Prediction,2022,IEEE
Access,10,,,35398,35409,11,49,10.1109/ACCESS.2022.3163305,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85127503858&doi=10.1109%2fACCESS.2022.3163305&partnerID=40&md5=89d2ec26c60ad190d95a
d3b5703b5e90,"Department of Computer Science and Engineering, Institute of
Technology, Nirma University, Gujarat, Ahmedabad, 382481, India; Department of
Electrical Engineering Technology, University of Johannesburg, Johannesburg, 2092,
South Africa; Department of Electrical Power Engineering, Durban University of
Technology, Steve Biko Campus, Durban, 4001, South Africa; Centre for Inter-
Disciplinary Research and Innovation, University of Petroleum and Energy Studies,
Dehradun, 248001, India","Parekh R., Department of Computer Science and
Engineering, Institute of Technology, Nirma University, Gujarat, Ahmedabad, 382481,
India; Patel N.P., Department of Computer Science and Engineering, Institute of
Technology, Nirma University, Gujarat, Ahmedabad, 382481, India; Thakkar N.,
Department of Computer Science and Engineering, Institute of Technology, Nirma
University, Gujarat, Ahmedabad, 382481, India; Gupta R., Department of Computer
Science and Engineering, Institute of Technology, Nirma University, Gujarat,
Ahmedabad, 382481, India; Tanwar S., Department of Computer Science and
Engineering, Institute of Technology, Nirma University, Gujarat, Ahmedabad, 382481,
India; Sharma G., Department of Electrical Engineering Technology, University of
Johannesburg, Johannesburg, 2092, South Africa; Davidson I.E., Department of
Electrical Power Engineering, Durban University of Technology, Steve Biko Campus,
Durban, 4001, South Africa; Sharma R., Centre for Inter-Disciplinary Research and
Innovation, University of Petroleum and Energy Studies, Dehradun, 248001,
India","Cryptocurrencies are peer-to-peer-based transaction systems where the data
exchanges are secured using the secure hash algorithm (SHA)-256 and message digest
(MD)-5 algorithms. The prices of cryptocurrencies are highly volatile and follow
stochastic moments and have reached their unpredictable limits. They are commonly
used for investment and have become a substitute for other types of investment like
metals, estates, and the stock market. Their importance in the market raises the
strict requirement for a sturdy forecasting model. However, cryptocurrency price
prediction is quite challenging due to its dependency on other cryptocurrencies.
Many researchers have used machine learning and deep learning models, and other
market sentiment-based models to predict the price of cryptocurrencies. As all the
cryptocurrencies belong to a specific class, we can infer that the increase in the
price of one cryptocurrency can lead to a price change for other cryptocurrencies.
Researchers had also utilized the sentiments from tweets and other social media
platforms to increase the performance of their proposed system. Motivated by these,
in this paper, we propose a hybrid and robust framework, DL-Gues, for
cryptocurrency price prediction, that considers its interdependency on other
cryptocurrencies and also on market sentiments. We have considered price prediction
of Dash carried out using price history and tweets of Dash, Litecoin, and Bitcoin
for various loss functions for validation. Further, to check the usability of DL-
GuesS on other cryptocurrencies, we have also inferred results for price prediction
of Bitcoin-Cash with the price history and tweets of Bitcoin-Cash, Litecoin, and
Bitcoin. © 2013 IEEE.",complex systems; Cryptocurrency; deep learning; fusion of
cryptocurrency; price prediction; sentiment analysis; systems of systems;
VADER,Bitcoin; Costs; Data mining; Deep learning; Financial markets; Forecasting;
Hash functions; Hidden Markov models; Network security; Online systems; Peer to
peer networks; Social networking (online); Stochastic systems; Deep learning;
Fusion of cryptocurrency; Hidden-Markov models; Predictive models; Price
prediction; Sentiment analysis; Social networking (online); System-of-systems;
VADER; Investments,,,,,,,"Nakamoto S., Bitcoin: A Peer-to-Peer Electronic Cash
System. Cryptography Mailing List, (2009); Today's Cryptocurrency Prices by Market
Cap, (2021); Jay P., Kalariya V., Parmar P., Tanwar S., Kumar N., Alazab M.,
Stochastic neural networks for cryptocurrency price prediction, IEEE Access, 8, pp.
82804-82818, (2020); Do Bitcoin Mining Energy Costs Influence its Price?, (2019);
Tran V.L., Leirvik T., Efficiency in the markets of crypto-currencies, Finance Res.
Lett., 35, (2020); Lamon C., Nielsen E., Redondo E., Cryptocurrency price
prediction using news and social media sentiment, SMU Data Sci. Rev., 1, 3, pp. 1-
22, (2017); Radityo A., Munajat Q., Budi I., Prediction of Bitcoin exchange rate to
American dollar using artificial neural network methods, Proc. Int. Conf. Adv.
Comput. Sci. Inf. Syst. (ICACSIS), pp. 433-438, (2017); Phaladisailoed T., Numnonda
T., Machine learning models comparison for bitcoin price prediction, Proc. 10th
Int. Conf. Inf. Technol. Electr. Eng. (ICITEE), pp. 506-511, (2018);
Wimalagunaratne M., Poravi G., A predictive model for the global cryptocurrency
market: A holistic approach to predicting cryptocurrency prices, Proc. 8th Int.
Conf. Intell. Syst., Modelling Simulation (ISMS), pp. 78-83, (2018); Hashish I.A.,
Forni F., Andreotti G., Facchinetti T., Darjani S., A hybrid model for bitcoin
prices prediction using hidden Markov models and optimized LSTM networks, Proc.
24th IEEE Int. Conf. Emerg. Technol. Factory Autom. (ETFA), pp. 721-728, (2019);
Valencia F., Gomez-Espinosa A., Valdes-Aguirre B., Price movement prediction of
cryptocurrencies using sentiment analysis and machine learning, Entropy, 21, 6,
(2019); Mohapatra S., Ahmed N., Alencar P., KryptoOracle: A realtime cryptocurrency
price prediction platform using Twitter sentiments, Proc. IEEE Int. Conf. Big Data
(Big Data), pp. 5544-5551, (2020); Patel M.M., Tanwar S., Gupta R., Kumar N., A
deep learning-based cryptocurrency price prediction scheme for financial
institutions, J. Inf. Secur. Appl., 55, (2020); Serafini G., Yi P., Zhang Q.,
Brambilla M., Wang J., Hu Y., Li B., Sentiment-driven price prediction of the
bitcoin based on statistical and deep learning approaches, Proc. Int. Joint Conf.
Neural Netw. (IJCNN), pp. 1-8, (2020); Li Y., Dai W., Bitcoin price forecasting
method based on CNN-LSTM hybrid neural network model, J. Eng., 2020, 13, pp. 344-
347, (2020); Tanwar S., Patel N.P., Patel S.N., Patel J.R., Sharma G., Davidson
I.E., Deep learning-based cryptocurrency price prediction scheme with inter-
dependent relations, IEEE Access, 9, pp. 138633-138646, (2021); Politis A., Doka
K., Koziris N., Ether price prediction using advanced deep learning models, Proc.
IEEE Int. Conf. Blockchain Cryptocur-rency (ICBC), pp. 1-3, (2021); Kim J., Kim S.,
Wimmer H., Liu H., A cryptocurrency prediction model using LSTM and GRU algorithms,
Proc. IEEE/ACIS 6th Int. Conf. Big Data, Cloud Comput., Data Sci. (BCD), pp. 37-44,
(2021); Khuntia S., Pattanayak J.K., Adaptive market hypothesis and evolving
predictability of bitcoin, Econ. Lett., 167, pp. 26-28, (2018); Fernando J.,
Bitcoin vs. Litecoin: What's the Difference?, (2021); A Brief History of Zcash
Forks, (2019); Dash, (2021); Sureshbhai P.N., Bhattacharya P., Tanwar S.,
KaRuNa:Ablockchainbased sentiment analysis framework for fraud cryptocurrency
schemes, Proc. IEEE Int. Conf. Commun. Workshops (ICC Workshops), pp. 1-6, (2020);
Sheth K., Patel K., Shah H., Tanwar S., Gupta R., Kumar N., A taxonomy of AI
techniques for 6G communication networks, Comput. Com-mun., 161, pp. 279-303,
(2020); Investing; Hutto C., Gilbert E., VADER: A parsimonious rule-based model for
sentiment analysis of social media text, Proc. Int. AAAI Conf. Web Social Media, 8,
1, pp. 216-225, (2014); Tweepy; TensorFlow; Hutto C.J.; Botchkarev A., Anewtypology
design of performance metrics to measure errors in machine learning regression
algorithms, Interdiscipl. J. Inf., Knowl., Manage., 14, pp. 45-76, (2019); De
Myttenaere A., Golden B., Le Grand B., Rossi F., Mean absolute percentage error for
regression models, Neurocomputing, 192, pp. 38-48, (2016)","S. Tanwar; Department
of Computer Science and Engineering, Institute of Technology, Nirma University,
Ahmedabad, Gujarat, 382481, India; email: [email protected]",,Institute
of Electrical and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85127503858
Wu D.; Wang X.; Su J.; Tang B.; Wu S.,"Wu, Dingming (57219466907); Wang, Xiaolong
(57204318567); Su, Jingyong (36471090500); Tang, Buzhou (35115621400); Wu, Shaocong
(57219469275)",57219466907; 57204318567; 36471090500; 35115621400; 57219469275,A
labeling method for financial time series prediction based on
trends,2020,Entropy,22,10,1162,1,25,24,49,10.3390/e22101162,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85092898862&doi=10.3390%2fe22101162&partnerID=40&md5=a293686698a4779866288ad4b886fe
78,"The College of Computer Science and Technology, Harbin Institute of Technology,
Shenzhen, 518055, China","Wu D., The College of Computer Science and Technology,
Harbin Institute of Technology, Shenzhen, 518055, China; Wang X., The College of
Computer Science and Technology, Harbin Institute of Technology, Shenzhen, 518055,
China; Su J., The College of Computer Science and Technology, Harbin Institute of
Technology, Shenzhen, 518055, China; Tang B., The College of Computer Science and
Technology, Harbin Institute of Technology, Shenzhen, 518055, China; Wu S., The
College of Computer Science and Technology, Harbin Institute of Technology,
Shenzhen, 518055, China","Time series prediction has been widely applied to the
finance industry in applications such as stock market price and commodity price
forecasting. Machine learning methods have been widely used in financial time
series prediction in recent years. How to label financial time series data to
determine the prediction accuracy of machine learning models and subsequently
determine final investment returns is a hot topic. Existing labeling methods of
financial time series mainly label data by comparing the current data with those of
a short time period in the future. However, financial time series data are
typically non-linear with obvious short-term randomness. Therefore, these labeling
methods have not captured the continuous trend features of financial time series
data, leading to a difference between their labeling results and real market
trends. In this paper, a new labeling method called “continuous trend labeling” is
proposed to address the above problem. In the feature preprocessing stage, this
paper proposed a new method that can avoid the problem of look-ahead bias in
traditional data standardization or normalization processes. Then, a detailed
logical explanation given, a definition of continuous trend labeling was proposed
and also an automatic labeling algorithm was given to extract the continuous trend
features of financial time series data. Experiments on the Shanghai Composite Index
and Shenzhen Component Index and some stocks of China showed that our labeling
method is a much better state-of-the-art labeling method in terms of classification
accuracy and some other classification evaluation metrics. The results of the paper
also proved that deep learning models such as LSTM and GRU are more suitable for
dealing with the prediction of financial time series data. © 2020 by the authors.
Licensee MDPI, Basel, Switzerland.",Deep learning; Financial time series; Labeling
method; Machine learning; Stock prediction,,,,,,"National Natural Science
Foundation of China, NSFC, (61573118); Science, Technology and Innovation
Commission of Shenzhen Municipality, (JCYJ20190806112210067)","Funding: This work
was supported by the National Natural Science Foundation of China (Grant number,
61573118) and Science, Technology and Innovation Commission of Shenzhen
Municipality (Grant number, JCYJ20190806112210067).","Li J., Shang P., Zhang X.,
Financial Time Series Analysis Based on Fractional and Multiscale Permutation
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Prediction, Knowl.-Based Syst, 203, pp. 106081-106093, (2020); Yang R., Yu L., Zhao
Y., Yu H., Xu G., Wu Y., Liu Z., Big Data Analytics for Financial Market Volatility
Forecast Based on Support Vector Machine, Int. J. Inf. Manag, 50, pp. 452-462,
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W.,
Lejeune M.A., A Distributionally Robust Area under Curve Maximization Model, Oper.
Res. Lett, 48, pp. 460-466, (2020)","X. Wang; The College of Computer Science and
Technology, Harbin Institute of Technology, Shenzhen, 518055, China; email:
[email protected]",,MDPI AG,,,,,,10994300,,,,English,Entropy,Article,Final,All
Open Access; Gold Open Access; Green Open Access,Scopus,2-s2.0-85092898862
Carta S.M.; Consoli S.; Piras L.; Podda A.S.; Recupero D.R.,"Carta, Salvatore M.
(7004254388); Consoli, Sergio (24168054400); Piras, Luca (57521864800); Podda,
Alessandro Sebastian (56875324700); Recupero, Diego Reforgiato
(57206674454)",7004254388; 24168054400; 57521864800; 56875324700;
57206674454,Explainable Machine Learning Exploiting News and Domain-Specific
Lexicon for Stock Market Forecasting,2021,IEEE
Access,9,,9355141,30193,30205,12,51,10.1109/ACCESS.2021.3059960,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85100931006&doi=10.1109%2fACCESS.2021.3059960&partnerID=40&md5=5c2562962bbfd350364e
cac107a0d89c,"Department of Mathematics and Computer Science, University of
Cagliari, Cagliari, Italy; European Commission, Joint Research Centre (DG-JRC),
Ispra, Italy","Carta S.M., Department of Mathematics and Computer Science,
University of Cagliari, Cagliari, Italy; Consoli S., European Commission, Joint
Research Centre (DG-JRC), Ispra, Italy; Piras L., Department of Mathematics and
Computer Science, University of Cagliari, Cagliari, Italy; Podda A.S., Department
of Mathematics and Computer Science, University of Cagliari, Cagliari, Italy;
Recupero D.R., Department of Mathematics and Computer Science, University of
Cagliari, Cagliari, Italy","In this manuscript, we propose a Machine Learning
approach to tackle a binary classification problem whose goal is to predict the
magnitude (high or low) of future stock price variations for individual companies
of the SP 500 index. Sets of lexicons are generated from globally published
articles with the goal of identifying the most impactful words on the market in a
specific time interval and within a certain business sector. A feature engineering
process is then performed out of the generated lexicons, and the obtained features
are fed to a Decision Tree classifier. The predicted label (high or low) represents
the underlying company's stock price variation on the next day, being either higher
or lower than a certain threshold. The performance evaluation we have carried out
through a walk-forward strategy, and against a set of solid baselines, shows that
our approach clearly outperforms the competitors. Moreover, the devised Artificial
Intelligence (AI) approach is explainable, in the sense that we analyze the white-
box behind the classifier and provide a set of explanations on the obtained
results. © 2013 IEEE.",explainable artificial intelligence; financial technology;
machine learning; natural language processing; Stock market forecasting,Commerce;
Decision trees; Machine learning; Turing machines; Binary classification problems;
Business sector; Decision tree classifiers; Domain specific; Feature engineerings;
Machine learning approaches; Specific time; Stock market forecasting; Financial
markets,,,,,"Centre for Advanced Studies; European Commission, EC",We would like to
thank the Centre for Advanced Studies at the Joint Research Centre of the European
Commission for guidance and support during the development of this research work.
This work was also partially supported by the POR FESR 2014-2020 project:
''AlmostAnOracle - AI and Big Data Algorithms for Financial Time Series
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Consoli; European Commission, Joint Research Centre (DG-JRC), Ispra, Italy; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85100931006
Ghosh I.; Jana R.K.; Sanyal M.K.,"Ghosh, Indranil (57215412709); Jana, Rabin K.
(9639932600); Sanyal, Manas K. (55940949900)",57215412709; 9639932600;
55940949900,"Analysis of temporal pattern, causal interaction and predictive
modeling of financial markets using nonlinear dynamics, econometric models and
machine learning algorithms",2019,Applied Soft Computing
Journal,82,,105553,,,,41,10.1016/j.asoc.2019.105553,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85066943786&doi=10.1016%2fj.asoc.2019.105553&partnerID=40&md5=d47d9957d4f49a11b8202
9a6b5923a89,"Department of Operations Management & IT, Calcutta Business School,
743503, WB, India; Operations & Quantitative Methods Area, Indian Institute of
Management Raipur, CG, 493661, India; Department of Business Administration,
University of Kalyani, 741235, WB, India","Ghosh I., Department of Operations
Management & IT, Calcutta Business School, 743503, WB, India; Jana R.K., Operations
& Quantitative Methods Area, Indian Institute of Management Raipur, CG, 493661,
India; Sanyal M.K., Department of Business Administration, University of Kalyani,
741235, WB, India","This paper presents a novel predictive modeling framework for
forecasting the future returns of financial markets. The task is very challenging
as the movements of the financial markets are volatile, chaotic, and nonlinear in
nature. For accomplishing this arduous task, a three-stage approach is proposed. In
the first stage, fractal modeling and recurrence analysis are used, and the
efficient market hypothesis is tested to comprehend the temporal behavior in order
to investigate autoregressive properties. In the second stage, Granger causality
tests are applied in a vector auto regression environment to explore the causal
interaction structures among the indexes and identify the explanatory variables for
predictive analytics. In the final stage, the maximal overlap discrete wavelet
transformation is carried out to decompose the stock indexes into linear and
nonlinear subcomponents. Seven machine and deep learning algorithms are then
applied on the decomposed components to learn the inherent patterns and predicting
future movements. For numerical testing, the daily closing prices of four major
Asian emerging stock indexes, exhibiting non-stationary behavior, during the period
January 2012 to January 2017 are considered. Statistical analyses are performed to
ascertain the comparative performance assessment. The obtained results prove the
effectiveness of the proposed framework. © 2019",Econometric models; Financial
market; Machine learning; Nonlinear dynamics; Predictive modeling,Commerce; Deep
learning; Discrete wavelet transforms; Dynamics; Electronic trading; Financial
markets; Learning systems; Linear transformations; Machine components; Machine
learning; Predictive analytics; Comparative performance assessment; Discrete
wavelet transformation; Econometric model; Efficient market hypothesis; Granger
causality test; Interaction structures; Non-stationary behaviors; Predictive
modeling; Learning algorithms,,,,,,,"Zhang J., Cui S., Xu Y., Li Q., Li T., A novel
data-driven stock price trend prediction system, Expert Syst. Appl., 97, pp. 60-69,
(2018); Jammazi R., Ferrer R., Jareno F., Shahzad S.J.H., Time-varying causality
between crude oil and stock markets: What can we learn from a multiscale
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series stock returns using ARMA model, Physica A, (2016); Narendra Babu C., Eswara
Reddy B., Prediction of selected Indian stock using a partitioning–interpolation
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Pacific Financ. Mark., (2009); Zhang J.-L., Zhang Y.-J., Zhang L., A novel hybrid
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Area, Indian Institute of Management Raipur, CG, 493661, India; email:
[email protected]",,Elsevier
Ltd,,,,,,15684946,,,,English,Appl. Soft Comput. J.,Conference
paper,Final,,Scopus,2-s2.0-85066943786
Yao S.; Luo L.; Peng H.,"Yao, Siyu (57204428087); Luo, Linkai (17345995600); Peng,
Hong (57225832354)",57204428087; 17345995600; 57225832354,High-frequency stock
trend forecast using LSTM model,2018,"13th International Conference on Computer
Science and Education, ICCSE
2018",,,8468703,293,296,3,36,10.1109/ICCSE.2018.8468703,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85055483678&doi=10.1109%2fICCSE.2018.8468703&partnerID=40&md5=87c36e4d47cef3084769c
d98b1514304,"Xiamen University, Department of Automation, Xiamen, China","Yao S.,
Xiamen University, Department of Automation, Xiamen, China; Luo L., Xiamen
University, Department of Automation, Xiamen, China; Peng H., Xiamen University,
Department of Automation, Xiamen, China","The prediction of price trend in stock
market is a challenging task due to the inherent complexity and dynamics in price
movement. Many machine learning algorithms, such as Support Vector Machine,
Artificial Neural Network, and Hidden Markov Model, have been applied to it and
achieved positive results. Long Short-Term Memory (LSTM), as a variant of RNN, can
obtain hidden dependencies in data and has shown a significant performance in
processing time series data. In this paper, we apply LSTM networks to predict the
price movement of a short-term and test it by an experiment on some stocks randomly
selected from CSI 300 constituent stocks. The experiment shows that the precision,
recall rate and critical error of LSTM are all better than that of the random
prediction. It indicates that LSTM can be used in the trend prediction of stock
price. We also notice that many improvements need to be done in future. © 2018
IEEE.",Financial time series; Long Short-Term Memory; Trend prediction,Brain; Data
handling; Education computing; Electronic trading; Financial markets; Forecasting;
Hidden Markov models; Learning algorithms; Learning systems; Time series; Financial
time series; High frequency HF; Inherent complexity; Price movement; Price trends;
Processing time; Trend forecast; Trend prediction; Long short-term
memory,,,,,"National Natural Science Foundation of China, NSFC, (61271337,
61503313); Nanjing University of Science and Technology, NUST, (30916014107); Key
Laboratory of Image and Video Understanding for Social Safety","The work was
partially supported by the National Natural Science Foundation of China under Grant
No. 61271337, 61503313, and the Jiangsu Key Laboratory of Image and Video
Understanding for Social Safety (Nanjing University of Science and Technology)
under Grant No. 30916014107.","Graham B., Dodd D.L., Security Analysis: Principles
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IEEE, pp. 192-196, (2005); Kazem A., Sharifi E., Hussain F.K., Et al., Support
vector regression with chaos-based firefly algorithm for stock market price
forecasting, Applied Soft Computing, 13, 2, pp. 947-958, (2013); Rather A.M.,
Agarwal A., Sastry V.N., Recurrent neural network and a hybrid model for prediction
of stock returns, Expert Systems with Applications, 42, 6, pp. 3234-3241, (2015);
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(1999)","H. Peng; Xiamen University, Department of Automation, Xiamen, China;
email: [email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,"13th International Conference on Computer Science and Education, ICCSE
2018",8 August 2018 through 11 August 2018,Colombo,139984,,978-153865495-
8,,,English,"Int. Conf. Comput. Sci. Educ., ICCSE",Conference
paper,Final,,Scopus,2-s2.0-85055483678
Gupta U.; Bhattacharjee V.; Bishnu P.S.,"Gupta, Umang (57223210179); Bhattacharjee,
Vandana (8568745600); Bishnu, Partha Sarathi (55203272200)",57223210179;
8568745600; 55203272200,StockNet—GRU based stock index prediction,2022,Expert
Systems with Applications,207,,117986,,,,54,10.1016/j.eswa.2022.117986,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85134814652&doi=10.1016%2fj.eswa.2022.117986&partnerID=40&md5=69b4bd80eaeb1ecb30648
bef49269cc7,"Department of Computer Science and Engineering, Birla Institute of
Technology, Mesra, Ranchi, 835125, India","Gupta U., Department of Computer Science
and Engineering, Birla Institute of Technology, Mesra, Ranchi, 835125, India;
Bhattacharjee V., Department of Computer Science and Engineering, Birla Institute
of Technology, Mesra, Ranchi, 835125, India; Bishnu P.S., Department of Computer
Science and Engineering, Birla Institute of Technology, Mesra, Ranchi, 835125,
India","Predicting financial trends of stock indexes is important for investors to
reduce risk on investment and efficient decision making if the prediction is made
accurately. Researchers, in recent times have applied deep learning approaches in
this field which have essentially beaten conventional machine learning approaches.
To overcome the issue of overfitting we presented a new data augmentation approach
in our GRU based StockNet model consisting of two modules. Injection module to
prohibit overfitting and Investigation module for stock index forecasting. The
proposed approach has been validated on Indian stock market (CNX-Nifty). Proposed
StockNet-c model produces 65.59%, 27.30% and 14.89 % less test loss in terms of
RMSE, MAE and MAPE respectively, in comparison to TargetNet model where overfitting
prohibition injection module is missing. © 2022 Elsevier Ltd",Gated recurrent unit;
Overfitting; Stock market index,Commerce; Decision making; Deep learning; Financial
markets; Forecasting; Conventional machines; Decisions makings; Financial Trend;
Gated recurrent unit; Learning approach; Machine learning approaches; Overfitting;
Stock index predictions; Stock indices; Stock market index; Investments,,,,,,,"Baek
Y., Kim H.Y., ModAugNet: A new forecasting framework for stock market index value
with an overfitting prevention LSTM module and a prediction LSTM module, Expert
Systems with Applications, 113, pp. 457-480, (2018); Bao W., Yue J., Rao Y., A deep
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method, Complexity, 2020,
(2020); Vargas M.R., De Lima B.S., Evsukoff A.G., Deep learning for stock market
prediction from financial news articles, 2017 IEEE international conference on
computational intelligence and virtual environments for measurement systems and
applications, pp. 60-65, (2017); Wang W., Li W., Zhang N., Liu K., Portfolio
formation with preselection using deep learning from long-term financial data,
Expert Systems with Applications, 143, (2020); Wang X., Xu J., Shi W., Liu J.,
OGRU: An optimized gated recurrent unit neural network, Journal of Physics:
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Systems, 176, pp. 68-76, (2019); Xu Y., Noy A., Lin M., Qian Q., Li H., Jin R.,
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mining and big data, pp. 614-623, (2018); Zivot E., Wang J., Rolling analysis of
time series, Modeling Financial Time Series with S-Plus®, pp. 299-346, (2003)","U.
Gupta; Department of Computer Science and Engineering, Birla Institute of
Technology, Ranchi, Mesra, 835125, India; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85134814652
Liu G.; Wang X.,"Liu, Guang (57194598547); Wang, Xiaojie
(35235644100)",57194598547; 35235644100,A Numerical-Based Attention Method for
Stock Market Prediction with Dual Information,2019,IEEE
Access,7,,8573780,7357,7367,10,50,10.1109/ACCESS.2018.2886367,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85058649825&doi=10.1109%2fACCESS.2018.2886367&partnerID=40&md5=2f008cd6122db449fcbb
8ec7c4dfbf9c,"Center for Intelligence of Science and Technology, Beijing University
of Posts and Telecommunications, Beijing, 100876, China","Liu G., Center for
Intelligence of Science and Technology, Beijing University of Posts and
Telecommunications, Beijing, 100876, China; Wang X., Center for Intelligence of
Science and Technology, Beijing University of Posts and Telecommunications,
Beijing, 100876, China","Stock market prediction is of great importance for
financial analysis. Traditionally, many studies only use the news or numerical data
for the stock market prediction. In the recent years, in order to explore their
complementary, some studies have been conducted to equally treat dual sources of
information. However, numerical data often play a much more important role compared
with the news. In addition, the existing simple combination cannot exploit their
complementarity. In this paper, we propose a numerical-based attention (NBA) method
for dual sources stock market prediction. Our major contributions are summarized as
follows. First, we propose an attention-based method to effectively exploit the
complementarity between news and numerical data in predicting the stock prices. The
stock trend information hidden in the news is transformed into the importance
distribution of numerical data. Consequently, the news is encoded to guide the
selection of numerical data. Our method can effectively filter the noise and make
full use of the trend information in news. Then, in order to evaluate our NBA
model, we collect news corpus and numerical data to build three datasets from two
sources: the China Security Index 300 (CSI300) and the Standard Poor's 500 (SP500).
Extensive experiments are conducted, showing that our NBA is superior to previous
models in dual sources stock price prediction. © 2013 IEEE.",Deep learning; machine
learning; natural language processing; prediction methods; stock markets,Commerce;
Decoding; Deep learning; Financial markets; Forecasting; Learning algorithms;
Learning systems; Natural language processing systems; Numerical models; Financial
analysis; Indexes; Market researches; Prediction methods; Predictive models;
Security indices; Stock market prediction; Stock price prediction; Numerical
methods,,,,,"National Natural Science Foundation of China, NSFC, (61273365);
National Office for Philosophy and Social Sciences, NSSFC, (2016ZDA055); Higher
Education Discipline Innovation Project","This paper is supported by NSFC (No.
61273365), NSSFC (2016ZDA055), 111 Project (No. B08004), Beijing Advanced
Innovation Center for Imaging Technology, Engineering Research Center of
Information Networks of MOE, China. The authors would like to thank the anonymous
reviewers for their valuable comments.","Akita R., Yoshihara A., Matsubara T.,
Uehara K., Deep learning for stock prediction using numerical and textual
information, Proc. IEEE/ACIS 15th Int. Conf. Comput. Inf. Sci. (ICIS), pp. 1-6,
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artificial intelligence algorithm better predicts the Chinese stock market?, IEEE
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based sentiment analysis model to predict stock market price movement using Weibo
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D., Bengio Y., On the properties of neural machine translation: Encoder-decoder
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Methodology, data representations, and case studies, Expert Syst. Appl., 83, pp.
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Wang; Center for Intelligence of Science and Technology, Beijing University of
Posts and Telecommunications, Beijing, 100876, China; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85058649825
Rowan N.J.,"Rowan, Neil J. (7003359895)",7003359895,The role of digital
technologies in supporting and improving fishery and aquaculture across the supply
chain – Quo Vadis?,2023,Aquaculture and
Fisheries,8,4,,365,374,9,52,10.1016/j.aaf.2022.06.003,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85134165257&doi=10.1016%2fj.aaf.2022.06.003&partnerID=40&md5=26ccbe049415e4743e5e7d
c792d4ae12,"Bioscience Research Institute, Technological University of the Shannon,
Midlands Midwest (TUS), Athlone, N37 HD68, Ireland; Empower Eco™ Innovation Hub,
TUS, Athlone, N37 HD68, Ireland; CURAM Research Centre, NUI, Galway, H91 TK33,
Ireland","Rowan N.J., Bioscience Research Institute, Technological University of
the Shannon, Midlands Midwest (TUS), Athlone, N37 HD68, Ireland, Empower Eco™
Innovation Hub, TUS, Athlone, N37 HD68, Ireland, CURAM Research Centre, NUI,
Galway, H91 TK33, Ireland","Fish constitute important high protein products to meet
the demands of an increasing global population. However, the continued depletion of
wild fish stocks is leading to increased strain on the aquaculture sector in terms
of sustaining the supply of fish and seafood to global markets. Despite the fact
that aquaculture is more diversified than other agriculture sectors, there are
significant pressures on the industry to continue innovating in order to enable
sustainability including increased fish production, improved appropriate selection
of species, disease mitigation, reduced wastage, preventing environmental pollution
and generating more employment globally. This viewpoint article addresses how
digital transformation can help support and meet expansion needs of the
fisheries/aquaculture industries that includes exploiting and harnessing ICT, IoT,
Cloud-edge computing, AI, machine learning, immersive technologies and blockchain.
Digital technologies are bringing significant operational benefits for global food
chain, improving efficiencies and productivity, reducing waste, contamination and
food fraud. The focus on digital technologies has recently evolved to Industry 5.0
where AI and robotics are coupled with the human mind in order to advance human-
centric solutions. This viewpoint describes the role of Quadruple helix Hub
(academic-industry-government and society) in delivering a convergent holistic
approach to meeting the diversity of fishery industry needs by connecting and
placing fisheries centrally in a defined ecosystem of stakeholders. This includes
specialist training, testing technologies, providing access to finance and
fostering disruption through aquaculture accelerator initiatives such as that
provided by Hatch Blue. Connecting digital Innovation Hubs trans-regionally,
nationally and internationally will also help mitigate against significant risks
for the fisheries and aquaculture industry including climate change, global
pandemics and conflicts that can jeopardize fish and seafood production and supply
chains. There is also a commensurate need to avail of digital technologies in order
to increase awareness of key industry issues across the value chain, such as
through social marketing. Thus, addressing key challenges by way of the global
digital transformation of fishery and aquaculture industry will meet several
sustainable development goals of the United Nations catered around the application
of disruptive technology. © 2022 Shanghai Ocean University.",Digital
transformation; Disruptive innovation; End-to-end monitoring; Food processing;
Sustainability,,,,,,"Bord Iascaigh Mhara, (2019 BIM-KGS-008); Interreg Atlantic
Area Neptunus, (EAPA_576/2018); RUN-EU; Regional University Network European
University; H2020 Marie Skłodowska-Curie Actions, MSCA, (872217)","The author would
like to thank Interreg Atlantic Area Neptunus (Project EAPA_576/2018 ), MSCA RISE
(ICHTHYS Project Number 872217 ); Regional University Network European University
(RUN-EU Project), and Bord Iascaigh Mhara (Project 2019 BIM-KGS-008 ) for funding
support.","Ab Rahman A., Hamid U.Z.A., Chin T.A., Emerging technologies with
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state of the climate – 18 May 2022, (2022); Usuldin S.R.A., Wan-Mohtar W.A.A.Q.I.,
IIham Z., Jamaludin A.A., Abdullahn N.R., Rowan N., In vivo toxicity of bioreactor-
grown biomass and exopolysaccharides from Malaysian tiger milk mushroom mycelium
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Mohtar Q.A.A.Q.I., Iiham Z., Jamaludin A.A., Rowan N., Use of Zebrafish embryo
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(2022); Xing Q., Et al., Monitoring seaweed aquaculture in the Yellow Sea with
multiple sensors for managing the disease of macroalgae blooms, Remote Sensing of
Environment, 231, (2019); Yang X., Zhang S., Liu J., Gao Q., Dong S., Zhou C., Deep
learning for smart fish farming: Applications, opportunities and challenges,
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E.K., Design and development of underwater drone for fish farm growth environment
managment, The Journal of the Korea Institute of Electronic Communicaiton Sciences,
15, pp. 959-966, (2020); Yue K., Shen Y., An overview of disruptive technologies
for aquaculture, Aquaculture and Fisheries, 7, pp. 111-120, (2022); Yu W., Liang
F., He X., Hatcher W.G., Lu C., Lin J., Yang X., A survey on the edge computing for
the internet of things, IEEE Access, 6, pp. 6900-6919, (2017); Yue K., Shen Y., An
overview of disruptive technologies for aquaculture, Aquaculture and Fisheries, 7,
(2022); Zhou C., Et al., Evaluation of fish feeding intensity in aquaculture using
a convolutional neural network and machine vision, Aquaculture, 507, (2019)","N.J.
Rowan; Bioscience Research Institute, Technological University of the Shannon,
Midlands Midwest (TUS), Athlone, N37 HD68, Ireland; email: [email protected]",,KeAi
Communications Co.,,,,,,20961758,,,,English,Aquac. Fish.,Review,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85134165257
Rundo F.; Trenta F.; Di Stallo A.L.; Battiato S.,"Rundo, Francesco (55336120800);
Trenta, Francesca (57208901701); Di Stallo, Agatino Luigi (57208898208); Battiato,
Sebastiano (6603989025)",55336120800; 57208901701; 57208898208; 6603989025,Advanced
Markov-based machine learning framework for making adaptive trading
system,2019,Computation,7,1,4,,,,36,10.3390/computation7010004,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85066070683&doi=10.3390%2fcomputation7010004&partnerID=40&md5=081308b4c3c00072e7e67
71a8479f9db,"STMicroelectronics ADG-Central R and D, Catania, 95121, Italy; IPLAB-
Department of Mathematics and Computer Science, University of Catania, Catania,
95121, Italy; GIURIMATICA Lab, Department of Applied Mathematics and LawTech,
Ragusa, 97100, Italy","Rundo F., STMicroelectronics ADG-Central R and D, Catania,
95121, Italy; Trenta F., IPLAB-Department of Mathematics and Computer Science,
University of Catania, Catania, 95121, Italy; Di Stallo A.L., GIURIMATICA Lab,
Department of Applied Mathematics and LawTech, Ragusa, 97100, Italy; Battiato S.,
IPLAB-Department of Mathematics and Computer Science, University of Catania,
Catania, 95121, Italy","Stock market prediction and trading has attracted the
effort of many researchers in several scientific areas because it is a challenging
task due to the high complexity of the market. More investors put their effort to
the development of a systematic approach, i.e., the so called ""Trading System
(TS)"" for stocks pricing and trend prediction. The introduction of the Trading On-
Line (TOL) has significantly improved the overall number of daily transactions on
the stock market with the consequent increasing of the market complexity and
liquidity. One of the most main consequence of the TOL is the ""automatic
trading"", i.e., an ad-hoc algorithmic robot able to automatically analyze a lot of
financial data with target to open/close several trading operations in such reduced
time for increasing the profitability of the trading system. When the number of
such automatic operations increase significantly, the trading approach is known as
High Frequency Trading (HFT). In this context, recently, the usage of machine
learning has improved the robustness of the trading systems including HFT sector.
The authors propose an innovative approach based on usage of ad-hoc machine
learning approach, starting from historical data analysis, is able to perform
careful stock price prediction. The stock price prediction accuracy is further
improved by using adaptive correction based on the hypothesis that stock price
formation is regulated by Markov stochastic propriety. The validation results
applied to such shares and financial instruments confirms the robustness and
effectiveness of the proposed automatic trading algorithm. © 2019 by the
authors.",LSTM; Machine learning; Stock price,,,,,,,,"Kim K., Han I., Genetic
Algorithms Approach to Feature Discretization in Artificial Neural Networks for the
prediction of Stock Price Index, Expert Syst. Appl, 19, pp. 125-132, (2000); Kimoto
T., Asakawa K., Yoda M., Stock Market Prediction System with Modular Neural
Networks, Proceedings of the 1990 IJCNN International Joint Conference on Neural
Networks, (1990); Wang J.-H., Leu J.-Y., Stock market trend prediction using ARIMA-
based neural networks, Proceedings of the International Conference on Neural
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500 index using artificial neural networks and design of experiments, J. Ind. Eng.
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price movement prediction with LSTM neural networks, Proceedings of the 2017
International Joint Conference on Neural Networks (IJCNN), (2017); Zhang Z., Shen
Y., Zhang G., Song Y., Zhu Y., Short-term Prediction for Opening Price of Stock
Market Based on Self-adapting Variant PSO-Elman Neural Network, Proceedings of the
2017 8th IEEE International Conference on Software Engineering and Service Science
(ICSESS), (2017); Kumar I., Dogra K., Utreja C., Yadav P., A Comparative study of
supervised machine learning algorithms for stock market trend prediction,
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J., LSTM Recurrent Neural Networks Learn Simple Context Free and Context Sensitive
Languages, IEEE Trans. Neural Netw, 12, pp. 1333-1340, (2001); Diebold F.X.,
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Transformed Series, J. R. Stat. Soc, 38, pp. 189-203, (2001); Gers F.A.,
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Mylonas P., Sioutas S., LSTM Accelerator for Convolutional Object Identification,
Algorithms, 11, (2018); Somani P., Talele S., Sawant S., Stock Market Prediction
Using Hidden Markov Model, Proceedings of the 7th Joint International Information
Technology and Artificial Intelligence Conference, (2014); Pang X., Zhou Y., Wang
P., Lin W., Chang V., An innovative neural network approach for stock market
prediction, J. Supercomput, pp. 1-21, (2018); Reid D., Hussain A.J., Tawfik H.,
Spiking Neural Networks for Financial Data Prediction, Proceedings of the 2013
International Joint Conference on Neural Networks (IJCNN), (2013); Artificial
Intelligence (AI)-STMicroelectronics; Rundo F., Conoci S., Ortis A., Battiato S.,
An Advanced Bio-Inspired PhotoPlethysmoGraphy (PPG) and ECG Pattern Recognition
System for Medical Assessment, Sensors, 18, (2018); Rundo F., Ortis A., Battiato
S., Conoci S., Advanced Bio-Inspired System for Noninvasive Cuff-Less Blood
Pressure Estimation from Physiological Signal Analysis, Computation, 6, (2018);
Rundo F., Conoci S., Banna G.L., Ortis A., Stanco F., Battiato S., Evaluation of
Levenberg-Marquardt neural networks and stacked autoencoders clustering for skin
lesion analysis, screening and follow-up, IET Comput. Vis, 12, pp. 957-996, (2018);
Ortis A., Farinella G.M., Torrisi G., Battiato S., Visual Sentiment Analysis Based
on Objective Text Description of Images, Proceedings of the International
Conference on Content-Based Multimedia Indexing (CBMI), (2018)","F. Rundo;
STMicroelectronics ADG-Central R and D, Catania, 95121, Italy; email:
[email protected]",,MDPI Multidisciplinary Digital Publishing
Institute,,,,,,20793197,,,,English,Computation,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85066070683
Ananthi M.; Vijayakumar K.,"Ananthi, M. (55786878500); Vijayakumar, K.
(57217192716)",55786878500; 57217192716,Stock market analysis using candlestick
regression and market trend prediction (CKRM),2020,Journal of Ambient Intelligence
and Humanized Computing,,,,,,,45,10.1007/s12652-020-01892-5,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084124623&doi=10.1007%2fs12652-020-01892-
5&partnerID=40&md5=18e7231a2b0d6fe68ef44a1881f88f4e,"Department of Information
Technology, Sri Sairam Engineering College, Chennai, India; Department of Computer
Science and Engineering, St. Joseph’s Institute of Technology, Chennai,
India","Ananthi M., Department of Information Technology, Sri Sairam Engineering
College, Chennai, India; Vijayakumar K., Department of Computer Science and
Engineering, St. Joseph’s Institute of Technology, Chennai, India","Stock market
data is a time-series data in which stock value varies depends on time. Prediction
of the stock market is an endeavor to assess the future value of a company’s stock
rate which will increase the investor’s profit. The accurate prediction of stock
market analysis is still a challenging task. The proposed system predicts stock
price of any company mentioned by the user for the next few days. Using the
predicted stock price and datasets collected from various sources regarding a
certain equity, the overall sentiment of the stock is predicted. The prediction of
stock price is done by regression and candlestick pattern detection. The proposed
system generates signals on the candlestick graph which allows to predict market
movement to a sufficient level of accuracy so that the user is able to judge
whether a stock is a ‘Buy/Sell’ and whether to short the stock or go long by
delivery. The prediction accuracy of the stock exchange has analyzed and improved
to 85% using machine learning algorithms. © 2020, Springer-Verlag GmbH Germany,
part of Springer Nature.",Candle-stick pattern; Machine learning; Regression
analysis; Stock price; Time-series data,Commerce; Electronic trading; Financial
markets; Forecasting; Investments; Learning algorithms; Pattern recognition;
Regression analysis; Time series; Time series analysis; Accurate prediction;
Candle-stick pattern; Machine-learning; Market data; Market trends; Stock market
analysis; Stock price; Stock rates; Time-series data; Trend prediction; Machine
learning,,,,,,,"Ahmed S.T., A study on multi objective optimal clustering
techniques for medical datasets, 2017 International Conference on Intelligent
Computing and Control Systems (ICICCS), pp. 174-177, (2017); Ahmed S.S.T., Thanuja
K., Guptha N.S., Narasimha S., Telemedicine approach for remote patient monitoring
system using smart phones with an economical hardware kit, In: 2016 International
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(2016); Ahmed S.T., Sandhya M., Sankar S., A dynamic MooM dataset processing under
TelMED protocol design for QoS improvisation of telemedicine environment, J Med
Syst, 43, 8, (2019); Ahmed S.T., Sandhya M., Sankar S., TelMED: dynamic user
clustering resource allocation technique for moom datasets under optimizing
telemedicine network, Wirel Pers Commun, (2020); Fusion model of wavelet transform
and adaptive neuro fuzzy inference system for stock market prediction, J Ambient
Intell Humaniz Comput, pp. 1-9, (2019); Chouhan L., Agarwal N., Ishita P., Saxena S
(2018) Stock market prediction using machine learning, First International
Conference on Secure Cyber Puttinging and Communications, National Institute of
Technology, JALANDHAR, (2018); Erdogan Z., Namli E., A living environment
prediction model using ensemble machine learning techniques based on the quality of
life index, J Ambient Intell Humaniz Comput, (2019); Hiransha M., Gopalakrishnan
E.A., Menon V.K., Soman K.P., NSE stock market prediction using deep-learning
models, Elsevier Procedia Comput Sci, 132, 2018, pp. 1351-1362, (2018); Kadam V.J.,
Jadhav S.M., Vijayakumar K., Breast cancer diagnosis using feature ensemble
learning based on stacked sparse autoencoders and softmax regression, J Med Syst,
43, (2019); Kalra S., Prasad J.S., Efficacy of news sentiment for stock market
prediction, 2019 International Conference on Machine Learning, Big Data, Cloud and
Parallel Computing (Com-It-Con), 2019, pp. 491-496, (2019); Martinsson F.,
Liljeqvis I., Short-Term Stock Market Prediction Based on Candlestick Pattern
Analysis, (2017); Nakov P., Ritter A., Rosenthal S., Stoyanov V., Sebastiani F.,
SemEval-2016 task 4: Sentiment analysis in Twitter, Proceedings of the 10Th
International Workshop on Semantic Evaluation, (2016); Peng Z., Et al., Stock
analysis and prediction using big data analytics, 2019 International Conference on
Intelligent Transportation, Big Data & Smart City (ICITBS), pp. 309-312, (2019);
Sadia K.H., Sharma A., Paul A., Padhi S., Sanyal S., Stock market prediction using
machine learning algorithms, Int J Eng Adv Technol (IJEAT), 8, 4, (2019); Somani
P., Talele S., Sawant S., Stock market prediction using hidden markov model, 2014
IEEE 7Th Joint International Information Technology and Artificial Intelligence
Conference, 2014, pp. 89-92, (2014); Sun T., Wang J., Zhang P., Cao Y., Liu B.,
Wang D., Predicting stock price returns using microblog sentiment for Chinese stock
market, 2017 3Rd International Conference on Big Data Computing and Communications
(BIGCOM, (2017); Usmani M., Adil S.H., Raja K., Ali S.S.A., Stock market prediction
using machine learning techniques, 2016 3Rd International Conference on Computer
and Information Sciences (ICCOINS), pp. 322-327, (2016); Vijayakumar K., Arun C.,
Automated risk identification using NLP in cloud based development environments, J
Ambient Intell Humaniz Comput, (2017); Vijayakumar K., Arun C., Continuous security
assessment of cloud based applications using distributed hashing algorithm in SDLC,
Cluster Comput, (2019); Wen M., Li P., Et al., Stock market trend prediction using
high-order information of time series, IEEE Trans Big Data Learn Discov, 7, 2019,
pp. 28299-28308, (2019); Zhao J., Sun N., Cheng W., Logistics Forum Based
Prediction on Stock Index Using Intelligent Data Analysis and Processing of Online
Web Posts, (2019)","M. Ananthi; Department of Information Technology, Sri Sairam
Engineering College, Chennai, India; email: [email protected]",,Springer
Science and Business Media Deutschland GmbH,,,,,,18685137,,,,English,J. Ambient
Intell. Humanized Comput.,Retracted,Article in press,,Scopus,2-s2.0-85084124623
García F.; Guijarro F.; Oliver J.; Tamošiūnienė R.,"García, Fernando (57201603362);
Guijarro, Francisco (55962246300); Oliver, Javier (57214847617); Tamošiūnienė, Rima
(55893748600)",57201603362; 55962246300; 57214847617; 55893748600,Hybrid fuzzy
neural network to predict price direction in the German DAX-30
index,2018,Technological and Economic Development of
Economy,24,6,,2161,2178,17,42,10.3846/tede.2018.6394,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85059630614&doi=10.3846%2ftede.2018.6394&partnerID=40&md5=1a7071744c7bc08787560e1f7
e568766,"Department of Economics and Social Sciences, Faculty of Business
Administration, Universitat Politècnica de València, Cami de Vera, s/n, València,
46022, Spain; Insititut de Matemàtica Pura i Aplicada, Universitat Politècnica de
València, Cami de Vera, s/n, València, 46022, Spain; Department of Financial
Engineering, Faculty of Business Management, Vilnius Gediminas Technical
University, Saulėtekio al. 11, Vilnius, LT-10223, Lithuania","García F., Department
of Economics and Social Sciences, Faculty of Business Administration, Universitat
Politècnica de València, Cami de Vera, s/n, València, 46022, Spain; Guijarro F.,
Insititut de Matemàtica Pura i Aplicada, Universitat Politècnica de València, Cami
de Vera, s/n, València, 46022, Spain; Oliver J., Department of Economics and Social
Sciences, Faculty of Business Administration, Universitat Politècnica de València,
Cami de Vera, s/n, València, 46022, Spain; Tamošiūnienė R., Department of Financial
Engineering, Faculty of Business Management, Vilnius Gediminas Technical
University, Saulėtekio al. 11, Vilnius, LT-10223, Lithuania","Intraday trading
rules require accurate information about the future short term market evolution.
For that reason, next-day market trend prediction has attracted the attention of
both academics and practitioners. This interest has increased in recent years, as
different methodologies have been applied to this end. Usually, machine learning
techniques are used such as artificial neural networks, support vector machines and
decision trees. The input variables of most of the studies are traditional
technical indicators which are used by professional traders to implement investment
strategies. We analyse if these indicators have predictive power on the German DAX-
30 stock index by applying a hybrid fuzzy neural network to predict the one-day
ahead direction of index. We implement different models depending on whether all
the indicators and oscillators are used as inputs, or if a linear combination of
them obtained through a factor analysis is used instead. In order to guarantee for
the robustness of the results, we train and apply the HyFIS models on randomly
selected subsamples 10,000 times. The results show that the reduction of the
dimension through the factorial analysis generates more profitable and less risky
strategies. © 2018 The Author(s).",Artificial neural networks; Fuzzy rule-based
systems; HyFIS; Stock exchange index; Technical indicators; Trend
forecasting,,,,,,,,"Ansari V.A., Khan S., Momentum anomaly: Evidence from India,
Managerial Finance, 38, 2, pp. 206-223, (2012); Arevalo R., Garcia J., Guijarro F.,
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F., Michniuk K., Stock market trading rule based on pattern recognition and
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evolutionary hybrid fuzzy computationally efficient EGARCH modfor volatility
prediction, Applied Soft Computing, 45, pp. 40-60, (2016); Dixit G., Roy D.,
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353, (1965)","F. García; Department of Economics and Social Sciences, Faculty of
Business Administration, Universitat Politècnica de València, València, Cami de
Vera, s/n, 46022, Spain; email: [email protected]",,Vilnius Gediminas Technical
University,,,,,,20294913,,,,English,Technol. Econ. Develop. Econ.,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85059630614
Chiong R.; Adam M.T.P.; Fan Z.; Lutz B.; Hu Z.; Neumann D.,"Chiong, Raymond
(23395951300); Adam, Marc T.P. (44061092000); Fan, Zongwen (57007544300); Lutz,
Bernhard (57190262132); Hu, Zhongyi (55838947300); Neumann, Dirk
(7202067244)",23395951300; 44061092000; 57007544300; 57190262132; 55838947300;
7202067244,A sentiment analysis-based machine learning approach for financial
market prediction via news disclosures,2018,GECCO 2018 Companion - Proceedings of
the 2018 Genetic and Evolutionary Computation Conference
Companion,,,,278,279,1,53,10.1145/3205651.3205682,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85051531626&doi=10.1145%2f3205651.3205682&partnerID=40&md5=38ee7592b16b573853e0bd33
9fd22130,"University of Newcastle, Callaghan, 2308, NSW, Australia; University of
Freiburg, Freiburg, 79085, Germany; Wuhan University, Wuhan, 430072, China","Chiong
R., University of Newcastle, Callaghan, 2308, NSW, Australia; Adam M.T.P.,
University of Newcastle, Callaghan, 2308, NSW, Australia; Fan Z., University of
Newcastle, Callaghan, 2308, NSW, Australia; Lutz B., University of Freiburg,
Freiburg, 79085, Germany; Hu Z., Wuhan University, Wuhan, 430072, China; Neumann
D., University of Freiburg, Freiburg, 79085, Germany","Stock market prediction
plays an important role in financial decision-making for investors. Many of them
rely on news disclosures to make their decisions in buying or selling stocks.
However, accurate modelling of stock market trends via news disclosures is a
challenging task, considering the complexity and ambiguity of natural languages
used. Unlike previous work along this line of research, which typically applies
bag-of-words to extract tens of thousands of features to build a prediction model,
we propose a sentiment analysis-based approach for financial market prediction
using news disclosures. Specifically, sentiment analysis is carried out in the pre-
processing phase to extract sentiment-related features from financial news.
Historical stock market data from the perspective of time series analysis is also
included as an input feature. With the extracted features, we use a support vector
machine (SVM) to build the prediction model, with its parameters optimised through
particle swarm optimisation (PSO). Experimental results show that our proposed SVM
and PSO-based model is able to obtain better results than a deep learning model in
terms of time and accuracy. The results presented here are to date the best in the
literature based on the financial news dataset tested. This excellent performance
is attributed to the sentiment analysis done during the pre-processing stage, as it
reduces the feature dimensions significantly. © 2018 Copyright held by the
owner/author(s).",Financial market prediction; Particle swarm optimisation;
Sentiment analysis; Support vector machine,Commerce; Data mining; Decision making;
Deep learning; Financial markets; Forecasting; Information retrieval; Modeling
languages; Particle swarm optimization (PSO); Sentiment analysis; Support vector
machines; Time series analysis; Analysis-based approaches; Feature dimensions;
Financial decisions; Machine learning approaches; Market prediction; Particle swarm
optimisation; Pre-processing stages; Stock market prediction;
Investments,,,,,"Australian Seafood Cooperative Research Centre, (G1600912);
Stichting voor Fundamenteel Onderzoek der Materie, FOM, (104-413000017)",This work
was supported through the Australia-Germany Joint Research Cooperation Scheme
(G1600912) and Fundamental Research Funds for the Central Universities (Grant No.
104-413000017).,"Clerc M., Particle Swarm Optimization, 93, (2010); Devitt A.,
Ahmad K., Sentiment polarity identification in financial news: A cohesion-based
approach, ACL, 7, pp. 984-991, (2007); Hagenau M., Liebmann M., Neumann D.,
Automated news reading: Stock price prediction based on financial news using
context-capturing features, Decision Support Systems, 55, 3, pp. 685-697, (2013);
Hu Z., Bao Y., Chiong R., Xiong T., Profit guided or statistical error guided? a
study of stock index forecasting using support vector regression, Journal of
Systems Science and Complexity, 30, 6, pp. 1425-1442, (2017); Kraus M., Feuerriegel
S., Decision support from financial disclosures with deep neural networks and
transfer learning, Decision Support Systems, 104, pp. 38-48, (2017); Manning C.D.,
Schutze H., Foundations of Statistical Natural Language Processing, (1999); Vapnik
V., The Nature of Statistical Learning Theory, (2013)",,,"Association for Computing
Machinery, Inc",et al.; Nature Research; Sentient; SparkCognition; Springer; Uber
AI Labs,"2018 Genetic and Evolutionary Computation Conference, GECCO 2018",15 July
2018 through 19 July 2018,Kyoto,137917,,978-145035764-7,,,English,GECCO Companion -
Proc. Genet. Evol. Comput. Conf. Companion,Conference paper,Final,,Scopus,2-s2.0-
85051531626
Khan M.A.; Khan A.; Khan M.N.; Anwar S.,"Khan, Muhammad Aamir (58597191800); Khan,
Aunsia (57217462188); Khan, Muhammad Nasir (56132262500); Anwar, Sajid
(59138451900)",58597191800; 57217462188; 56132262500; 59138451900,A novel learning
method to classify data streams in the internet of things,2014,"National Software
Engineering Conference, NSEC
2014",,,6998242,61,66,5,35,10.1109/NSEC.2014.6998242,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84921676967&doi=10.1109%2fNSEC.2014.6998242&partnerID=40&md5=a3a30a3a1a2d7b495a6c76
d0627826d9,"Department of Information Technology, University of Haripur, KPK,
Pakistan; Department of Electrical Engineering, LUMS, Pakistan; Department of
Computer Sceince, IMSciences, Peshawar, Pakistan","Khan M.A., Department of
Information Technology, University of Haripur, KPK, Pakistan; Khan A., Department
of Information Technology, University of Haripur, KPK, Pakistan; Khan M.N.,
Department of Electrical Engineering, LUMS, Pakistan; Anwar S., Department of
Computer Sceince, IMSciences, Peshawar, Pakistan","Data streams are high volume of
multi-dimensional unlabeled data generated in environments such as stock market,
astronomical data, Weblogs, Click streams, Flood, Fire and Crops monitoring.
Knowledge discovery in data streams is valuable task for research, business and
community. The fundamental step of knowledge discovery in data stream is the
classification of the data streams in target classes. In this paper we have
proposed classification mechanism for the data streams, conventional classification
algorithm are of little significance in data streams due to the complex nature,
unbounded memory requirements and concept drifting problem in data streams. The
proposed method takes a novel approach towards the classification of the data
streams through applying unsupervised classification techniques such as clustering
followed by supervised classifier such as Support Vector Machine. The high volume
data is sampled and reduced with Simple Aggregation and Approximation (SAX) Density
based clustering algorithm DB Scan is applied on the data stream to reveal the
number of classes present and subsequently label the data. Support vector Machine
(SVM) is a well-known and proven supervised classification algorithm, SVM are
applied to classify the label data. We tested our proposed method on the Intel Lab
Data set, a data set of four environmental variables (Temperature, Voltage,
Humidity, light) collected through 54 Mica2Dot sensors over 36 Days at per second
rate. We have sampled the data stream in days and window of certain size n is
trained on the SVM classifier. The algorithm is evaluated on different test size
and average accuracy of 80% is obtained. © 2014 IEEE.",Density based Clustering;
Machine Learning; Supervised Learning; Unsupervised learning,Approximation
algorithms; Classification (of information); Clustering algorithms; Electronic
trading; Internet of things; Learning systems; Software engineering; Supervised
learning; Support vector machines; Unsupervised learning; Classification algorithm;
Classification mechanism; Density-based Clustering; Density-based clustering
algorithms; Environmental variables; Knowledge discovery in data; Supervised
classification; Unsupervised classification; Data streams,,,,,,,"Aggarwal, Han,
Wang, Yu, A framework for projected clustering of high dimensional data streams,
VLDB: International Conference on Very Large Data Bases, (2004); Aggarwal C.C., A
framework for diagnosing changes in evolving data streams, Proceedings of the 2003
ACM SIGMOD International Coriference on Management of Data 2003, pp. 575-586,
(2003); Aggarwal C.C., An introduction to data streams, Data Streams - Models and
Algorithms, Volume 31 of Advances in Database Systems, pp. 1-8, (2007); Aggarwal
C.C., Mining sensor data streams, Managing and Mining Sensor Data, pp. 143-171,
(2013); Bifet A., Gavalda R., Adaptive Learning from Evolving Data Streams, (2009);
Bollen J., Van De-Sompel H., Hagberg A., Bettencourt L., Chute R., Rodriguez M.A.,
Balakireva L., Clickstream data yields high-resolution maps of science, PLoS One,
4, 3, (2009); Cortes C., Vapnik V., Support-vector networks, Machine Learning, 20,
(1995); Forestiero A., Pizzuti C., Spezzano G., Flockstream: A bio-inspired
algorithm for clustering evolving data streams, ICTAl, pp. 1-8, (2009); Forestiero
A., Pizzuti C., Spezzano G., A single pass algorithm for clustering evolving data
streams based on swarm intelligence, Data Min. Knowl. Discov, 26, 1, pp. 1-26,
(2013); Gao J., Fan W., Han J., On appropriate assumptions to mine data streams:
Analysis and practice, ICDM, pp. 143-152, (2007); Guestrin C., Bodik P., Thibaux
R., Paskin M., Madden S., Copyright 2004, (2004); Hastie T., Tibshirani R.,
Friedman J.H., The Elements of Statistical Learning, (2001); Havens T.C., Bezdek
J.C., Leckie C., Hall L.O., Palaniswami M., Fuzzy C-means for Very Large Data,
(2012); Hayat M.Z., Hashemi M.R., A dct based approach for detecting novelty and
concept drift in data streams, Soft Computing and Pattern Recognition (SoCPaR),
2010 International Coriference of, pp. 373-378, (2010); Hulten G., Spencer L.,
Domingos P., Mining timechanging data streams, Proceedings of the Seventh ACM
SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD-01),
pp. 97-106, (2001); Hunter J., Colley M., Feature extraction from sensor data
streams for real-time human behaviour recognition, PKDD, 4702, pp. 115-126, (2007);
Keogh E.J., Lin J., Fu A.W.-C., Van Herle H., Finding unusual medical time-series
subsequences: Algorithms and applications, IEEE Transactions on Lriformation
Technology in Biomedicine, 10, 3, pp. 429-439, (2006); Khan M.A., Jan Z., Mirza
A.M., Performance analysis of classifier fusion model with minimum feature subset
and rotation of the dataset, Fuzzy Systems and Knowledge Discovery, 2009. FSKD'09.
Sixth International Coriference on, 1, pp. 251-255, (2009); Lin J., Keogh E.J., Wei
L., Lonardi S., Experiencing SAX: A novel symbolic representation of time series,
Data Min. Knowl. Discov, 15, 2, pp. 107-144, (2007); Lkhagva B., Suzuki Y., Kawagoe
K., New time series data representation ESAX for financial applications, ICDE
Workshops, (2006); Mahmood A., Shi K., Khatoon S., Xiao M., Data mining techniques
for wireless sensor networks: A survey, International Journal of Distributed Sensor
Networks, 2013, (2013); Miao Y.Q., Qiu L., Chen H., Zhang J., Wen Y., Novel class
detection within classification for data streams, ISNN, 7952, 2, pp. 413-420,
(2013); Minku L.L., Yao X., DDD: A new ensemble approach for dealing with concept
drift, IEEE Trans. Knowl. Data Eng, 24, 4, pp. 619-633, (2012); Rutkowski L.,
Pietruczuk L., Duda P., Jaworski M., Decision trees for mining data streams based
on the mcdiarmid's bound, IEEE Trans. Knowl. Data Eng, 25, 6, pp. 1272-1279,
(2013); Sander J., Ester M., Kriegel H.-P., Xu X., Density-based clustering in
spatial databases: The algorithm GDBSCAN and its applications, Data Mining and
Knowledge Discovery, 2, 2, pp. 169-194, (1998); Stiefmeier T., Roggen D., G.:
Gestures are strings: Efficient online gesture spotting and classification using
string matching, Proceedings of 2nd International Coriference on Body Area
Networks, (2007); Xi X., Keogh E.J., Wei L., Mafra-Neto A., Finding motifs in a
database of shapes, SDM, (2007)",,,Institute of Electrical and Electronics
Engineers Inc.,,"2014 National Software Engineering Conference, NSEC 2014",11
November 2014 through 12 November 2014,Rawalpindi,109760,,978-147996162-
7,,,English,"Natl. Softw. Eng. Conf., NSEC",Conference paper,Final,,Scopus,2-s2.0-
84921676967
Chen L.; Pelger M.; Zhu J.,"Chen, Luyang (57219507108); Pelger, Markus
(55606060900); Zhu, Jason (57222037292)",57219507108; 55606060900; 57222037292,Deep
Learning in Asset Pricing,2024,Management
Science,70,2,,714,750,36,38,10.1287/mnsc.2023.4695,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85185721688&doi=10.1287%2fmnsc.2023.4695&partnerID=40&md5=cd29ec1497d588ed5af37f5ed
e97933f,"Institute for Computational and Mathematical Engineering, Stanford
University, Stanford, 94305, CA, United States; Department of Management Science &
Engineering, Stanford University, Stanford, 94305, CA, United States","Chen L.,
Institute for Computational and Mathematical Engineering, Stanford University,
Stanford, 94305, CA, United States; Pelger M., Department of Management Science &
Engineering, Stanford University, Stanford, 94305, CA, United States; Zhu J.,
Department of Management Science & Engineering, Stanford University, Stanford,
94305, CA, United States","We use deep neural networks to estimate an asset pricing
model for individual stock returns that takes advantage of the vast amount of
conditioning information, keeps a fully flexible form, and accounts for time
variation. The key innovations are to use the fundamental no-arbitrage condition as
criterion function to construct the most informative test assets with an
adversarial approach and to extract the states of the economy from many
macroeconomic time series. Our asset pricing model outperforms out-of-sample all
benchmark approaches in terms of Sharpe ratio, explained variation, and pricing
errors and identifies the key factors that drive asset prices. © 2024 INFORMS
Inst.for Operations Res.and the Management Sciences. All rights reserved.",big
data; conditional asset pricing model; cross-section of expected returns; deep
learning; GMM; hidden states; machine learning; no arbitrage; nonlinear factor
model; stock returns,Costs; Deep neural networks; Digital storage; Economics;
Financial markets; Investments; Learning systems; Asset pricing model; Conditional
asset pricing model; Cross-section of expected return; Deep learning; Expected
return; Factor model; GMM; Hidden state; Machine-learning; No arbitrage; Nonlinear
factor model; Nonlinear factors; Stock returns; Big data,,,,,,,"Arjosvky M,
Chintala S, Leon B, Wasserstein GAN, Proc. 34th Internat. Conf. Machine Learn,
(2017); Avramov D, Cheng S, Metzker L, Machine learning versus economic
restrictions: Evidence from stock return predictability, Management Sci, (2022);
Back K, Asset Pricing and Portfolio Choice, (2010); Bakshi GS, Chen Z, The spirit
of capitalism and stock market prices, Amer. Econom. Rev, 86, 1, pp. 133-157,
(1997); Bansal R, Viswanathan S, No arbitrage and arbitrage pricing: A new
approach, J. Finance, 48, 4, pp. 1231-1262, (1993); Bansal R, Hsieh DA, Viswanathan
S, A new approach to international arbitrage pricing, J. Finance, 48, 5, pp. 1719-
1747, (1993); Bianchi D, Tamoni A, Buchner M, Bond risk premiums with machine
learning, Rev. Financial Stud, 34, 2, pp. 1046-1089, (2021); Blanchet J, Kang Y,
Murthy K, Robust Wasserstein profile inference and applications to machine
learning, J. Appl. Probab, 56, 3, pp. 830-857, (2019); Bryzgalova S, Pelger M, Zhu
J, Forest through the trees: Building cross-sections of stock returns, (2019);
Chamberlain G, Asymptotic efficiency in estimation with conditional moment
restrictions, J. Econometrics, 34, 3, pp. 305-334, (1987); Chamberlain G,
Rothschild M, Arbitrage, factor structure, and mean-variance analysis on large
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Land of addicts? An empirical investigation of habit-based asset pricing models, J.
Appl. Econometrics, 24, 7, pp. 1057-1093, (2009); Chen Z, Knez PJ, Measurement of
market integration and arbitrage, Rev. Financial Stud, 8, 2, pp. 287-325, (1995);
Cochrane J, Asset Pricing, (2003); Cong LW, Tang K, Wang J, Zhang Y, AlphaPortfolio
for investment and economically interpretable AI, (2020); Cong LW, Tang K, Wang J,
Zhang Y, Deep sequence modeling: Development and applications in asset pricing, J.
Financial Data Sci, 3, 1, pp. 28-42, (2021); Fama EF, French KR, The cross-section
of expected stock returns, J. Finance, 47, 2, pp. 427-465, (1992); Fama EF, French
KR, Common risk factors in the returns on stocks and bonds, J. Financial Econom,
33, 1, pp. 3-56, (1993); Fama EF, French KR, A five-factor asset pricing model, J.
Financial Econom, 116, 1, pp. 1-22, (2015); Feng G, He J, Polson NG, Deep learning
for predicting asset returns, (2018); Feng G, Polson NG, Xu J, Deep learning in
characteristics-sorted factor models, (2019); Freyberger J, Neuhierl A, Weber M,
Dissecting characteristics nonparametrically, Rev. Financial Stud, 33, 5, pp. 2326-
2377, (2020); Goodfellow I, Bengio Y, Courville A, Deep Learning, (2016);
Goodfellow I, Pouget-Abadie J, Mirza M, Xu B, Warde-Farley D, Ozair S, Courville A,
Bengio Y, Generative adversarial nets, Adv. Neural Inform. Processing Systems, 27,
pp. 2672-2680, (2014); Gu S, Kelly BT, Xiu D, Empirical asset pricing via machine
learning, Rev. Financial Stud, 33, 5, pp. 2223-2273, (2020); Gu S, Kelly B, Xiu D,
Autoencoder asset pricing models, J. Econometrics, 222, 1, pp. 429-450, (2021);
Guijarro-Ordonez J, Pelger M, Zanotti G, Deep learning statistical arbitrage,
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pp. 1735-1780, (1997); Horel E, Giesecke K, Towards explainable AI: Significance
tests for neural networks, J. Machine Learn. Res, 21, 1, pp. 9291-9319, (2020);
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and return, J. Financial Econom, 134, 3, pp. 501-524, (2019); Kingma DP, Ba J,
Adam: A method for stochastic optimization, (2014); Kozak S, Nagel S, Santosh S,
Shrinking the cross section, J. Financial Econom, 135, 2, pp. 271-292, (2020);
Krizhevsky A, Sutskever I, Hinton GE, ImageNet classification with deep
convolutional neural networks, Proc. Adv. Neural Inform. Processing Systems,
(2012); Lettau M, Pelger M, Factors that fit the time-series and cross-section of
stock returns, Rev. Financial Stud, 33, 5, pp. 2274-2325, (2020); Lewis G,
Syrgkanis V, Adversarial generalized method of moments, (2018); Ludvigson S, Ng S,
The empirical risk return relation: A factor analysis approach, J. Financial
Econom, 83, 1, pp. 171-222, (2007); Ludvigson S, Ng S, Macro factors in bond risk
premia, Rev. Financial Stud, 22, 12, pp. 5027-5067, (2009); Martin I, Nagel S,
Market efficiency in the age of big data, J. Financial Econom, 145, 1, pp. 154-177,
(2022); McCracken MW, Ng S, FRED-MD: A monthly database for macroeconomic research,
J. Bus. Econom. Statist, 34, 4, pp. 574-589, (2016); Messmer M, Deep learning and
the cross-section of expected returns, (2017); Moritz B, Zimmerman T, Tree-based
conditional portfolio sorts: The relation between past and future stock returns,
(2016); Nagel S, Singleton KJ, Estimation and evaluation of conditional asset
pricing models, J. Finance, 66, 3, pp. 873-909, (2011); Pelger M, Understanding
systematic risk: A high-frequency approach, J. Finance, 75, 4, pp. 2179-2220,
(2020); Pelger M, Xiong R, Interpretable sparse proximate factors for large
dimensions, J. Bus. Econom. Statist, 40, 4, pp. 1642-1664, (2021); Pelger M, Xiong
R, State-varying factor models of large dimensions, J. Bus. Econom. Statist, 40, 3,
pp. 1315-1333, (2021); Pesaran HM, Timmermann A, Predictability of stock returns:
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Econom, 19, 2, pp. 313-368, (2021); Srivastava N, Hinton G, Krizhevsky A, Sutskever
I, Salakhutdinov R, Dropout: A simple way to prevent neural networks from
overfitting, J. Machine Learn. Res, 15, 56, pp. 1929-1958, (2014); Wager S, Wang S,
Liang PS, Dropout training as adaptive regularization, Adv. Neural Inform.
Processing Systems, 26, pp. 351-359, (2013); Welch I, Goyal A, A comprehensive look
at the empirical performance of equity premium prediction, Rev. Financial Stud, 21,
4, pp. 1455-1508, (2007)","M. Pelger; Department of Management Science &
Engineering, Stanford University, Stanford, 94305, United States; email:
[email protected]",,INFORMS Inst.for Operations Res.and the Management
Sciences,,,,,,251909,,MSCIA,,English,Manage Sci,Article,Final,All Open Access;
Green Open Access,Scopus,2-s2.0-85185721688
Akhtar M.M.; Zamani A.S.; Khan S.; Shatat A.S.A.; Dilshad S.; Samdani F.,"Akhtar,
Md. Mobin (57212488239); Zamani, Abu Sarwar (57295189700); Khan, Shakir
(57218376390); Shatat, Abdallah Saleh Ali (55672869200); Dilshad, Sara
(57226682715); Samdani, Faizan (57559742200)",57212488239; 57295189700;
57218376390; 55672869200; 57226682715; 57559742200,Stock market prediction based on
statistical data using machine learning algorithms,2022,Journal of King Saud
University - Science,34,4,101940,,,,38,10.1016/j.jksus.2022.101940,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85127481917&doi=10.1016%2fj.jksus.2022.101940&partnerID=40&md5=6599ee9d2bd0377efe23
a1ab8a3801e1,"Department of Basic Sciences, Riyadh Elm University (REU), Riyadh,
Saudi Arabia; Department of Computer and Self Development, Preparatory Year
Deanship, Prince Sattam bin Abdulaziz University Al Kharj, 11942, Saudi Arabia;
College of Computer and Information Sciences, Imam Mohammad Ibn Saud Islamic
University (IMSIU), Riyadh, Saudi Arabia; Department of Management Information
Systems College of Administrative Sciences, Applied Science University, Bahrain;
Department of Statistics and Operations Research, Aligarh Muslim University, Uttar
Pradesh, Aligarh, India; Department of Computer Engineering, Asia Pacific
University, Bukit Jalil, Kuala Lumpur, Malaysia","Akhtar M.M., Department of Basic
Sciences, Riyadh Elm University (REU), Riyadh, Saudi Arabia; Zamani A.S.,
Department of Computer and Self Development, Preparatory Year Deanship, Prince
Sattam bin Abdulaziz University Al Kharj, 11942, Saudi Arabia; Khan S., College of
Computer and Information Sciences, Imam Mohammad Ibn Saud Islamic University
(IMSIU), Riyadh, Saudi Arabia; Shatat A.S.A., Department of Management Information
Systems College of Administrative Sciences, Applied Science University, Bahrain;
Dilshad S., Department of Statistics and Operations Research, Aligarh Muslim
University, Uttar Pradesh, Aligarh, India; Samdani F., Department of Computer
Engineering, Asia Pacific University, Bukit Jalil, Kuala Lumpur, Malaysia","The
main perfect of this composition is to discover the stylish version to
prognosticate the cost of the inventory request. During the procedure of analyzing
the colorful ways and variables to remember, we plant that approaches similar as
Random woodland, machine help Vector were not absolutely exploited. On this
composition, we will introduce and assessment a in addition practicable gadget to
prognosticate the motion of shares with lesser delicacy. The first issue we looked
at turned into the previous time's stock price dataset. The dataset has been
preprocessed and refined for actual analysis. For this reason, our composition can
even focus on preprocessing the raw data of the dataset. 2nd, after preprocessing
the facts, we are able to observe the use of the arbitrary wood, we can aid the
vector machine on the dataset and the results it generates. Similarly, the proposed
composition examines the use of the soothsaying device in actual surrounds and the
problems related to the delicacy of the overall values handed. The composition
additionally provides a system literacy version for prognosticating the lifestyles
of shares in a aggressive request. Predicting the success of shares might be a main
asset for stock request institutions and could give actual effects to the troubles
facing equity investors. By Using Stock Prediction algorithm overall accuracy is
80.3%. © 2022 The Author(s)",Machine learning data pre-processing; Statistics;
SVM,,,,,,,,"Ali Khan J., Predicting Trend in Stock Market Exchange Using Machine
Learning Classifiers, Sci. Int., 28, pp. 1363-1367, (2016); pp. 25-28; Fama E.F.,
Random walks in stock market prices, Financ. Anal. J., 51, 1, pp. 75-80, (1995);
pp. 635-639; Hakob G., (2016); Inthachot M., Boonjing V., Intakosum S., Artificial
neural network and genetic algorithm hybrid intelligence for predicting thai stock
price index trend, Comput. Intell. Neurosci., 2016, pp. 1-8, (2016); (2017);
(2017); Venkatesh C.K., Tyagi M., Fundamental analysis as a method of share
valuation in comparison with technical analysis, Bangladesh Res. Publ. J., 1, pp.
167-174, (2011)","M.M. Akhtar; Department of Basic Sciences Riyadh ELM University,
Riyadh, P.O. Box 84891 - Riyadh 11681, Saudi Arabia; email:
[email protected]",,Elsevier B.V.,,,,,,10183647,,,,English,J. King Saud
Univ. Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85127481917
Jiang F.; Tang G.; Zhou G.,"Jiang, Fuwei (55467524500); Tang, Guohao (57196746387);
Zhou, Guofu (35319117000)",55467524500; 57196746387; 35319117000,Firm
Characteristics and Chinese Stocks,2018,Journal of Management Science and
Engineering,3,4,,259,283,24,41,10.3724/SP.J.1383.304014,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85080871004&doi=10.3724%2fSP.J.1383.304014&partnerID=40&md5=01fe17461fb02a0af4a566d
9b3fdf47f,"School of Finance, Central University of Finance and Economics, Beijing,
100081, China; College of Finance and Statistics, Hunan University, Changsha,
410006, China; Olin Business School, Washington University in St. Louis, St. Louis,
MO 63130, United States; China Academy of Financial Research, Shanghai Advanced
Institute of Finance, Shanghai, 200000, China","Jiang F., School of Finance,
Central University of Finance and Economics, Beijing, 100081, China; Tang G.,
College of Finance and Statistics, Hunan University, Changsha, 410006, China; Zhou
G., Olin Business School, Washington University in St. Louis, St. Louis, MO 63130,
United States, China Academy of Financial Research, Shanghai Advanced Institute of
Finance, Shanghai, 200000, China","This paper presents a comprehensive study on
predicting the cross section of Chinese stock market returns with a large panel of
75 individual firm characteristics. We use not only the traditional Fama-MacBeth
regression, but also the “big-data” econometric methods: principal component
analysis (PCA), partial least squares (PLS), and forecast combination to extract
information from all the 75 firm characteristics. These characteristics are
important return predictors, with statistical and economic significance.
Furthermore, firm characteristics that are related to trading frictions, momentum,
and profitability are the most effective predictors of future stock returns in the
Chinese stock market. © 2019 Elsevier B.V.",Chinese stock market; Firm
characteristics; Machine learning; Partial least squares; Return
predictability,,,,,,"National Natural Science Foundation of China, NSFC, (71602198,
71872195); Natural Science Foundation of Hunan Province, (2019JJ50058); Natural
Science Foundation of Beijing Municipality, (9174045); Fundamental Research Funds
for the Central Universities","We are grateful to seminar participants at Beijing
University, Central University of Finance and Economics, Georgia State University,
Hunan University, Indiana University, Renmin University, Shanghai University of
Finance and Economics, Washington University in St. Louis, and conference
participants at the 2018 Conference on Financial Predictability and Big Data for
insightful comments. We are also grateful to the editors of the special issue, and
especially to two anonymous referees for their very thoughtful and helpful comments
that have helped improve the paper substantially. We acknowledge the financial
support from National Natural Science Foundation of China (No. 71872195, 71602198),
Beijing Natural Science Foundation (No. 9174045), Hunan Natural Science Foundation
(No. 2019JJ50058) and the Fundamental Research Funds for the Central Universities.
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College of Finance and Statistics, Hunan University, Changsha, 410006, China;
email: [email protected]",,KeAi Communications Co.,,,,,,20962320,,,,English,J.
Manag. Sci. Eng.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85080871004
Wang H.; Lu S.; Zhao J.,"Wang, Huiwen (54394567400); Lu, Shan (57197014488); Zhao,
Jichang (35216920600)",54394567400; 57197014488; 35216920600,Aggregating multiple
types of complex data in stock market prediction: A model-independent
framework,2019,Knowledge-Based
Systems,164,,,193,204,11,46,10.1016/j.knosys.2018.10.035,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85056394240&doi=10.1016%2fj.knosys.2018.10.035&partnerID=40&md5=75b4d4b937a7fc607d9
1c0186a66c2b1,"School of Economics and Management, Beihang University, China;
Beijing Advanced Innovation Center for Big Data and Brain Computing, China; Beijing
Key Laboratory of Emergency Support Simulation Technologies for City Operations,
China","Wang H., School of Economics and Management, Beihang University, China,
Beijing Advanced Innovation Center for Big Data and Brain Computing, China; Lu S.,
School of Economics and Management, Beihang University, China, Beijing Key
Laboratory of Emergency Support Simulation Technologies for City Operations, China;
Zhao J., School of Economics and Management, Beihang University, China, Beijing
Advanced Innovation Center for Big Data and Brain Computing, China","The increasing
richness in the volume and types of data in the financial domain provides
unprecedented opportunities for understanding the stock market more comprehensively
and makes price predictions more accurate than before. However, this situation also
brings challenges to classic statistical approaches since these models might be
constrained to a certain type of data. Aiming to aggregate information from
different sources and to offer type-free capability to existing models, a framework
for predicting the stock market in scenarios with mixed data, including scalar
data, compositional data (pie-like) and functional data (curve-like), is
established. The presented framework is model-independent because it serves as an
interface to multiple types of data and can be combined with various prediction
models. Moreover, the framework is proven to be effective through numerical
simulations. For price prediction, we incorporate the trading volume (scalar data),
intraday return series (functional data), and investors’ emotions from social media
(compositional data) through the framework to competently forecast the market trend
at opening on the next day. The strong explanatory power of the framework is
further demonstrated. Specifically, the intraday returns are found to impact the
following opening prices differently between a bearish market and a bullish market.
Additionally, it is not at the beginning of the bearish market but rather the
subsequent period in which the investors’ “fear” becomes indicative. This framework
would help to easily extend existing prediction models to scenarios with multiple
types of data and to provide a more systemic understanding of the stock market. ©
2018 Elsevier B.V.",Complex data; Data aggregation; Heterogeneous data; Machine
learning; Sentiment analysis; Stock market,Commerce; Financial markets;
Forecasting; Learning systems; Sentiment analysis; Complex data; Compositional
data; Data aggregation; Financial domains; Heterogeneous data; Model independent;
Statistical approach; Stock market prediction; Investments,,,,,"National Natural
Science Foundation of China, NSFC, (71420107025, 71871006)",This research was
financially supported by the National Natural Science Foundation of China (Grant
No. 71420107025 and 71871006 ).,"Harris L., A transaction data study of weekly and
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10, 2, pp. 1637-1646, (2014); Behbood V., Lu J., Zhang G., Pedrycz W., Multistep
fuzzy bridged refinement domain adaptation algorithm and its application to bank
failure prediction, IEEE Trans. Fuzzy Syst., 23, 6, pp. 1917-1935, (2015); Chang
S.-C., Chen S.-S., Chou R.K., Lin Y.-H., Weather and intraday patterns in stock
returns and trading activity, J. Bank. Finance, 32, 9, pp. 1754-1766, (2008)","J.
Zhao; School of Economics and Management, Beihang University, China; email:
[email protected]",,Elsevier B.V.,,,,,,9507051,,KNSYE,,English,Knowl Based
Syst,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85056394240
Ojo S.O.; Owolawi P.A.; Mphahlele M.; Adisa J.A.,"Ojo, Samuel Olusegun
(23089206100); Owolawi, Pius Adewale (35095525200); Mphahlele, Maredi
(36452281200); Adisa, Juliana Adeola (57215817117)",23089206100; 35095525200;
36452281200; 57215817117,Stock Market Behaviour Prediction using Stacked LSTM
Networks∗,2019,"Proceedings - 2019 International Multidisciplinary Information
Technology and Engineering Conference, IMITEC
2019",,,9015840,,,,42,10.1109/IMITEC45504.2019.9015840,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85081948923&doi=10.1109%2fIMITEC45504.2019.9015840&partnerID=40&md5=43018469b99c144
b34a2731d78ff2718,"Tshwane University of Technology, Department of Computer Systems
Engineering, Pretoria, South Africa","Ojo S.O., Tshwane University of Technology,
Department of Computer Systems Engineering, Pretoria, South Africa; Owolawi P.A.,
Tshwane University of Technology, Department of Computer Systems Engineering,
Pretoria, South Africa; Mphahlele M., Tshwane University of Technology, Department
of Computer Systems Engineering, Pretoria, South Africa; Adisa J.A., Tshwane
University of Technology, Department of Computer Systems Engineering, Pretoria,
South Africa","Predicting the behavior of the stock market has been an area that
has attracted the interest of many researchers particularly in the field of Machine
Learning and time series analysis. The ability to analyse an entity such as the
stock market that appears to lack synchronicity yet seemingly influenced by
historic events remains an open issue in research. This study adopts a stacked Long
Short Term Memory network model for predicting stock market behabiour. The data
used is composed of historic stock market data from the American Stock Exchange,
NASDAQ Composite (IXIC). Results obtained show that by making use of a stacked Long
Stort Term Memory network model, future stock market behavior can be predicted. ©
2019 IEEE.",LSTM; stock market prediction; time series,Commerce; Financial markets;
Forecasting; Time series; Time series analysis; LSTM; Market behavior; Market
behaviours; Memory network; Short term memory; Stock exchange; Stock market
prediction; Long short-term memory,,,,,,,"Atanasov V., Pirinsky C., Wang Q., The
Efficient Market Hypothesis and Investor Behavior, (2018); Rehman S., Chhapra I.U.,
Kashif M., Rehan R., Are stock prices a random walk? An empirical evidence of asian
stock markets, ETIKONOMI, 17, 2, pp. 237-252, (2018); Agrawal S., Thakkar D., Soni
D., Bhimani K., Patel C., Stock market prediction using machine learning
techniques, International Journal of Scientific Research in Computer Science,
Engineering and Information Technology, 4, pp. 1099-1103, (2019); Afeef M., Ihsan
A., Zada H., Forecasting Stock Prices through Univariate Arima Modeling, (2018);
Pai R.-F., Lin C.-S., A hybrid arima and support vector machines model in stock
price forecasting, Omega, 33, 6, pp. 497-505, (2005); Karmiani D., Kazi R.,
Nambisan A., Shah A., Kamble V., Comparison of predictive algorithms:
Backpropagation, svm, lstm and kalman filter for stock market, 2019 Amity
International Conference on Artificial Intelligence (AICAI, pp. 228-234, (2019);
Ahmadi E., Jasemi M., Monplaisir L., Nabavi M.A., Mahmoodi A., Jam P.A., New
efficient hybrid candlestick technical analysis model for stock market timing on
the basis of the support vector machine and heuristic algorithms of imperialist
competition and genetic, Expert Systems with Applications, 94, pp. 21-31, (2018);
Sharma S., Kaushik B., Quantitative analysis of stock market prediction for
accurate investment decisions in future, Journal of Artificial Intelligence, 11,
pp. 48-54, (2018); Jain S., Kain M., Singh N., Prediction for Stock Marketing Using
Machine Learning, (2018); Heidari A.A., Faris H., Aljarah I., Mirjalili S., An
efficient hybrid multilayer perceptron neural network with grasshopper
optimization, Soft Computing, pp. 1-18, (2018); De Mulder W., Bethard S., Moens M.-
F., A survey on the application of recurrent neural networks to statistical
language modeling, Computer Speech & Language, 30, 1, pp. 61-98, (2015); Xie Q.,
Cheng G., Xu X., Zhao Z., Research based on stock predicting model of neural
networks ensemble learning, MATEC Web of Conferences, 232, (2018); Fischer T.,
Krauss C., Deep learning with long short-term memory networks for financial market
predictions, European Journal of Operational Research, 270, 2, pp. 654-669, (2018);
Selvin S., Vinayakumar R., Gopalakrishnan E., Menon V.K., Soman K., Stock price
prediction using lstm, rnn and cnn-sliding window model, 2017 International
Conference on Advances in Computing, Communications and Informatics ICACCI, pp.
1643-1647, (2017); Gu J., Wang Z., Kuen J., Ma L., Shahroudy A., Shuai B., Liu T.,
Wang X., Wang G., Cai Et Ah J., Recent advances in convolutional neural networks,
Pattern Recognition, 77, pp. 354-377, (2018); Kim T., Kim H.Y., Forecasting stock
prices with a feature fusion lstm-cnn model using different representations of the
same data, PloS One, 14, 2, (2019); Kusuma R.M.I., Ho T.-T., Kao W.-C., Ou Y.-Y.,
Hua K.-L., Using Deep Learning Neural Networks and Candlestick Chart Representation
to Predict Stock Market, (2019); Peng M., Wang C., Chen T., Liu G., Nirfacenet: A
convolutional neural network for near-infrared face identification, Information, 7,
4, (2016); Guresen E., Kayakutlu G., Daim T.U., Using artificial neural network
models in stock market index prediction, Expert Systems with Applications, 38, 8,
pp. 10389-10397, (2011); Singh U., Chauhan S., Krishnamachari A., Vig L., Ensemble
of deep long short term memory networks for labelling origin of replication
sequences, 2015 IEEE International Conference on Data Science and Advanced
Analytics DSAA, pp. 1-7, (2015); Kingma D.P., Ba J., Adam: A Method for Stochastic
Optimization, (2014)",,,Institute of Electrical and Electronics Engineers
Inc.,,"2019 International Multidisciplinary Information Technology and Engineering
Conference, IMITEC 2019",21 November 2019 through 22 November
2019,Vanderbijlpark,158151,,978-172810040-1,,,English,"Proc. - Int. Multidiscip.
Inf. Technol. Eng. Conf., IMITEC",Conference paper,Final,,Scopus,2-s2.0-85081948923
Zhang W.; Gong X.; Wang C.; Ye X.,"Zhang, Weiguo (57216572396); Gong, Xue
(57215097427); Wang, Chao (57192689278); Ye, Xin (57223156717)",57216572396;
57215097427; 57192689278; 57223156717,Predicting stock market volatility based on
textual sentiment: A nonlinear analysis,2021,Journal of
Forecasting,40,8,,1479,1500,21,35,10.1002/for.2777,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105092444&doi=10.1002%2ffor.2777&partnerID=40&md5=355642989fca1ad4d86aac2420a4a72
9,"School of Business Administration, South China University of Technology,
Guangzhou, China; School of Mathematics and Statistics, Wuhan University, Wuhan,
China","Zhang W., School of Business Administration, South China University of
Technology, Guangzhou, China; Gong X., School of Business Administration, South
China University of Technology, Guangzhou, China; Wang C., School of Business
Administration, South China University of Technology, Guangzhou, China; Ye X.,
School of Mathematics and Statistics, Wuhan University, Wuhan, China","This paper
investigates whether and how investor sentiment affects stock market volatility
forecasting from a nonlinear theory perspective. With the use of a novel dataset
that contains massive articles about stock market analysis obtained from a Chinese
investors' community, we construct four sentiment indices to measure investor
sentiment by applying textual analysis techniques. Differing from the developed
market, we find that the investor sentiment from an emerging market causes stock
volatility by a nonlinear pattern rather than a linear style. Furthermore, we show
that the investor sentiment improves stock volatility prediction based on the long
short-term memory model. And the predictability is still significant after
considering another sentiment proxy variable. Finally, we demonstrate that this
improvement of predictive performance is meaningful from an economic point of view.
© 2021 John Wiley & Sons, Ltd.",investors' community; machine learning; textual
(investor) sentiment; volatility prediction,Commerce; Financial markets;
Forecasting; Nonlinear analysis; Chinese investors; Investor sentiments; Nonlinear
pattern; Predictive performance; Sentiment proxies; Short term memory; Stock market
analysis; Stock market volatility; Investments,,,,,"Derek W. Bunn; Financial
Service Innovation and Risk Management Research Base of Guangzhou; Sharmane T.
Armintia; National Natural Science Foundation of China, NSFC, (71720107002,
71771091); National Natural Science Foundation of China, NSFC; Ministry of Science
and Technology of the People's Republic of China, MOST, (2020AAA0108404); Ministry
of Science and Technology of the People's Republic of China, MOST","Funding text 1:
We would like to thank Derek W. Bunn (the editor), Murali, Sowmya (the
administrator), Sharmane T. Armintia (the production editor), and two anonymous
reviewers for improving the quality of this paper a lot. And of course, the authors
are responsible for the consequences of this article. This work was supported by
the National Natural Science Foundation of China (Grant Nos. 71720107002 and
71771091), the Foundation for Key Program of Ministry of Science and Technology of
China (Grant No. 2020AAA0108404), and the Financial Service Innovation and Risk
Management Research Base of Guangzhou. ; Funding text 2: We would like to thank
Derek W. Bunn (the editor), Murali, Sowmya (the administrator), Sharmane T.
Armintia (the production editor), and two anonymous reviewers for improving the
quality of this paper a lot. And of course, the authors are responsible for the
consequences of this article. This work was supported by the National Natural
Science Foundation of China (Grant Nos. 71720107002 and 71771091), the Foundation
for Key Program of Ministry of Science and Technology of China (Grant No.
2020AAA0108404), and the Financial Service Innovation and Risk Management Research
Base of Guangzhou.","Alizadeh S., Brandt M.W., Diebold F.X., Range-based estimation
of stochastic volatility models, The Journal of Finance, 57, 3, pp. 1047-1091,
(2002); Andersen T.G., Bollerslev T., Answering the skeptics: Yes, standard
volatility models do provide accurate forecasts, International Economic Review, 39,
4, pp. 885-905, (1998); Antweiler W., Frank M.Z., Is all that talk just noise? The
information content of internet stock message boards, The Journal of Finance, 59,
3, pp. 1259-1294, (2004); Audrino F., Sigrist F., Ballinari D., The impact of
sentiment and attention measures on stock market volatility, International Journal
of Forecasting, 36, pp. 334-357, (2020); Baker M., Wurgler J., Investor sentiment
and the cross-section of stock returns, The Journal of Finance, 61, 4, pp. 1645-
1680, (2006); Behrendt S., Schmidt A., The twitter myth revisited: Intraday
investor sentiment, twitter activity and individual-level stock return volatility,
Journal of Banking and Finance, 96, pp. 355-367, (2018); Bollen J., Mao H., Zeng
X., Twitter mood predicts the stock market, Journal of Computational Science, 2, 1,
pp. 1-8, (2011); Bollerslev T., Generalized autoregressive conditional
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Persand G., Volatility forecasting for risk management, Journal of Forecasting, 22,
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Cholesky–ann models for predicting multivariate realized volatility, Journal of
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(2019); Huang D., Jiang F., Tu J., Zhou G., Investor sentiment aligned: A powerful
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(2015); Huang J.-Y., Liu J.-H., Using social media mining technology to improve
stock price forecast accuracy, Journal of Forecasting, 39, 1, pp. 104-116, (2020);
Jiang F., Lee J., Martin X., Zhou G., Manager sentiment and stock returns, Journal
of Financial Economics, 132, 1, pp. 126-149, (2019); Johnman M., Vanstone B.J.,
Gepp A., Predicting FTSE 100 returns and volatility using sentiment analysis,
Accounting and Finance, 58, pp. 253-274, (2018); Kearney C., Liu S., Textual
sentiment in finance: A survey of methods and models, International Review of
Financial Analysis, 33, pp. 171-185, (2014); Kingma D., Ba J., Adam: A method for
stochastic optimization, arXiv preprint, (2014); Lee W.Y., Jiang C.X., Indro D.C.,
Stock market volatility, excess returns, and the role of investor sentiment,
Journal of Banking and Finance, 26, 12, pp. 2277-2299, (2002); Liu Y., Novel
volatility forecasting using deep learning–long short term memory recurrent neural
networks, Expert Systems with Applications, 132, pp. 99-109, (2019); Loughran T.,
McDonald B., When is a liability not a liability? Textual analysis, dictionaries,
and 10-ks, The Journal of Finance, 66, 1, pp. 35-65, (2011); Loughran T., McDonald
B., Textual analysis in accounting and finance: A survey, Journal of Accounting
Research, 54, 4, pp. 1187-1230, (2016); Nguyen T.H., Shirai K., Velcin J.,
Sentiment analysis on social media for stock movement prediction, Expert Systems
with Applications, 42, 24, pp. 9603-9611, (2015); Olah C., Understanding lstm
networks, (2015); Ren R., Wu D.D., Liu T., Forecasting stock market movement
direction using sentiment analysis and support vector machine, IEEE Systems
Journal, 13, 1, pp. 760-770, (2018); Stambaugh R.F., Yu J., Yuan Y., The short of
it: Investor sentiment and anomalies, Journal of Financial Economics, 104, 2, pp.
288-302, (2012); Uygur U., Tas O., The impacts of investor sentiment on returns and
conditional volatility of international stock markets, Quality and Quantity, 48, 3,
pp. 1165-1179, (2014); Wang W., The mean–variance relation and the role of
institutional investor sentiment, Economics Letters, 168, pp. 61-64, (2018); Wang
Y., Ma F., Wei Y., Wu C., Forecasting realized volatility in a changing world: A
dynamic model averaging approach, Journal of Banking and Finance, 64, pp. 136-149,
(2016); Wang Y.-H., Keswani A., Taylor S.J., The relationships between sentiment,
returns and volatility, International Journal of Forecasting, 22, 1, pp. 109-123,
(2006); Xu L., Lin H., Pan Y., Ren H., Chen J., Constructing the affective lexicon
ontology, Journal of the China Society for Scientific and Technical Information,
27, 2, (2008); Yu J., Yuan Y., Investor sentiment and the mean–variance relation,
Journal of Financial Economics, 100, 2, pp. 367-381, (2011); Yu Y., Duan W., Cao
Q., The impact of social and conventional media on firm equity value: A sentiment
analysis approach, Decision Support Systems, 55, 4, pp. 919-926, (2013); Zhang S.,
Wei Z., Wang Y., Liao T., Sentiment analysis of chinese micro-blog text based on
extended sentiment dictionary, Future Generation Computer Systems, 81, pp. 395-403,
(2018); Zhang X., Shi J., Wang D., Fang B., Exploiting investors social network for
stock prediction in china's market, Journal of Computational Science, 28, pp. 294-
303, (2018); Zhou G., Measuring investor sentiment, Annual Review of Financial
Economics, 10, pp. 239-259, (2018); Zoen Git Hiew J., Huang X., Mou H., Li D., Wu
Q., Xu Y., Bert-based financial sentiment index and LSTM-based stock return
predictability, (2019)","X. Gong; School of Business Administration, South China
University of Technology, Guangzhou, China; email: [email protected]",,John Wiley
and Sons Ltd,,,,,,2776693,,JOFOD,,English,J Forecast,Article,Final,,Scopus,2-s2.0-
85105092444
Somani P.; Talele S.; Sawant S.,"Somani, Poonam (57220362313); Talele, Shreyas
(56705218300); Sawant, Suraj (55481114600)",57220362313; 56705218300;
55481114600,Stock market prediction using Hidden Markov Model,2014,"2014 IEEE 7th
Joint International Information Technology and Artificial Intelligence Conference,
ITAIC 2014",,,7065011,89,92,3,35,10.1109/ITAIC.2014.7065011,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84949928588&doi=10.1109%2fITAIC.2014.7065011&partnerID=40&md5=f013ae9cb0d8e0e9bbf96
b240683e1ec,"Department of Computer Engineering and Information Technology, College
of Engineering Pune, Maharashtra, India","Somani P., Department of Computer
Engineering and Information Technology, College of Engineering Pune, Maharashtra,
India; Talele S., Department of Computer Engineering and Information Technology,
College of Engineering Pune, Maharashtra, India; Sawant S., Department of Computer
Engineering and Information Technology, College of Engineering Pune, Maharashtra,
India","Stock market is the most popular investment scheme promising high returns
albeit some risks. An intelligent stock prediction model would thus be desirable.
So, this paper aims at surveying recent literature in the area of Neural Network,
Hidden Markov Model and Support Vector Machine used to predict the stock market
fluctuation. Neural networks and SVM are identified to be the leading machine
learning techniques in stock market prediction area. Also, a model for predicting
stock market using HMM is presented. Traditional techniques lack in covering stock
price fluctuations and so new approaches have been developed for analysis of stock
price variations. Markov Model is one such recent approach promising better
results. In this paper a predicting method using Hidden Markov Model is proposed to
provide better accuracy and a comparison of the existing techniques is also done. ©
2014 IEEE.",Hidden Markov Model; Mean Absolute Percentage Error; Mean Squared
Error; Neural networks; Stock market prediction; Support Vector Machine,Artificial
intelligence; Commerce; Finance; Financial markets; Forecasting; Hidden Markov
models; Learning algorithms; Learning systems; Markov processes; Mean square error;
Neural networks; Support vector machines; Investment schemes; Machine learning
techniques; Mean absolute percentage error; Mean squared error; Stock market
prediction; Stock predictions; Stock price fluctuation; Traditional techniques;
Investments,,,,,,,"Gupta A., Dhingra B., Stock market prediction using hidden
markov models, IEEE, (2012); Abhishek K., Khairwa A., Pratap T., Prakash S., A
stock market prediction model using artificial neural network, ICCCNT12, (2012);
Luo F., Wu J., Yan K., A novel nonlinear combination model based on support vector
machine for stock market prediction, Proc. of the 8 Th World Congress on
Intelligent Control and Automation, (2010); Wang J.H., Leu J.Y., Stock market trend
prediction using ARIMAbased neural network, Proc. of IEEE C Onference on Neural
Networks, A, pp. 2160-2165, (1996); Akinwale Adio T., Arogundade O.T., Adekoya
Adebayo F., Translated Nigeria stock market price using artificial neural network
for effective prediction, Journal of Theoretical and Applied Information
Technology, (2009); Wang F., Liu L., Dou C., Stock market volatility prediction: A
service-oriented multi-kernel learning approach, IEEE 9th International Conference
on Services Computing, (2012); Naeini M., Taremian H., Hashemi H., Stock market
value prediction using neural networks, International Conference on Computer
Information Systems and Industrial Management Applications (CISIM), (2010); Li F.,
Liu C., Application study of bp neural network on stock market prediction, 9th
International Conference on Hybrid Intelligent Systems, (2009); Schierholt K.,
Dagli C., Stock market prediction using different neural network classification
architecure, Computational Intelligence for Financial Engineering, (1996); Hassan
R., Nath B., Stock market forecasting using hidden markov model: A th new approach,
Proceeding of the 2005 5 International Conference on Intelligent Systems Design and
Application 0-7695-2286-06/05, IEEE, (2005); Xiang C., Fu W.M., Predicting the
stock market using multiple models, ICARCV, (2006); Murphy K., HMM Toolbox for
MATLAB",,,Institute of Electrical and Electronics Engineers Inc.,,"2014 7th IEEE
Joint International Information Technology and Artificial Intelligence Conference,
ITAIC 2014",20 December 2014 through 21 December 2014,Chongqing,112457,,978-
147994420-0,,,English,"IEEE Jt. Int. Inf. Technol. Artif. Intell. Conf.,
ITAIC",Conference paper,Final,,Scopus,2-s2.0-84949928588
Han Y.; Kim J.; Enke D.,"Han, Yechan (57872016700); Kim, Jaeyun (57219911133);
Enke, David (54945335700)",57872016700; 57219911133; 54945335700,A machine learning
trading system for the stock market based on N-period Min-Max labeling using
XGBoost,2023,Expert Systems with
Applications,211,,118581,,,,42,10.1016/j.eswa.2022.118581,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85137163196&doi=10.1016%2fj.eswa.2022.118581&partnerID=40&md5=48d195f75cd9807c755e7
69d66f9cdf5,"Department of Future Convergence Technology, Soonchunhyang University,
22 Soonchunhyang-ro, Asan-si, Chungcheongnam-do, 31538, South Korea; Department of
Big Data Engineering, Soonchunhyang University, 22 Soonchunhyang-ro, Asan-si,
Chungcheongnam-do, 31538, South Korea; Laboratory for Investment and Financial
Engineering, Department of Engineering Management and Systems Engineering, Missouri
University of Science and Technology, 221 Engineering Management, 600 W. 14th
Street, Rolla, 65409-0370, MO, United States","Han Y., Department of Future
Convergence Technology, Soonchunhyang University, 22 Soonchunhyang-ro, Asan-si,
Chungcheongnam-do, 31538, South Korea; Kim J., Department of Big Data Engineering,
Soonchunhyang University, 22 Soonchunhyang-ro, Asan-si, Chungcheongnam-do, 31538,
South Korea; Enke D., Laboratory for Investment and Financial Engineering,
Department of Engineering Management and Systems Engineering, Missouri University
of Science and Technology, 221 Engineering Management, 600 W. 14th Street, Rolla,
65409-0370, MO, United States","Many researchers attempt to accurately predict
stock price trends using technologies such as machine learning and deep learning to
achieve high returns in the stock market. However, it is difficult to predict the
exact trend since stock prices are nonlinear and often appear random. To improve
accuracy, the focus of modelers usually lies in improving the performance of the
prediction model. However, examining the data used in training the model is
imperative. Most studies of stock price trend prediction use an up-down labeling
that labels data at all time points. The drawback of this labeling method is that
it is sensitive to small price changes, causing inefficient model training.
Therefore, this study proposes an N-Period Min-Max (NPMM) labeling that labels data
only at definite time points to help overcome small price change sensitivity. The
proposed model also develops a trading system using XGBoost to automate trading and
verify the proposed labeling method. The proposed trading system is evaluated
through an empirical analysis of 92 companies listed on the NASDAQ. Moreover, the
trading performance of the proposed labeling method is compared against other
prominent labeling methods. In this study, NPMM labeling was found to be an
efficient labeling method for stock price trend prediction, in addition to
generating trading outperformance compared to other labeling methods. © 2022
Elsevier Ltd",Data labeling; Machine learning; N-period Min-Max labeling; Trading
system; XGBoost,Commerce; Deep learning; Forecasting; Learning systems; Data
labelling; Labeling methods; Labelings; Machine-learning; Min-max; N-period min-max
labeling; Price trends; Stock price; Trading systems; Xgboost; Financial
markets,,,,,"Soonchunhyang University Research Fund, (20180402); Ministry of
Science, ICT and Future Planning, MSIP, (2018R1C1B5085049); National Research
Foundation of Korea, NRF","This work was supported by the National Research
Foundation of Korea (NRF) grant funded by the Korea government(MSIT) (No.
2018R1C1B5085049), and this work was supported by the Soonchunhyang University
Research Fund (No. 20180402).","Basak S., Kar S., Saha S., Khaidem L., Dey S.R.,
Predicting the direction of stock market prices using tree-based classifiers, North
American Journal of Economics and Finance, 47, pp. 552-567, (2019); Breiman L.,
Friedman J.H., Olshen R.A., Stone C.J., Classification and regression trees,
(2017); Bruni R., Stock market index data and indicators for day trading as a
binary classification problem, Data in Brief, 10, pp. 569-575, (2017); Chen T.,
Guestrin C., Xgboost: A scalable tree boosting system, Proceedings of the 22nd ACM
SIGKDD International Conference on Knowledge Discovery and Data Mining, pp. 785-
794, (2016); Chen Y., Hao Y., A feature weighted support vector machine and k-
nearest neighbor algorithm for stock market indices prediction, Expert Systems with
Applications, 80, pp. 340-355, (2017); Chen Y.-F., Huang S.-H., Sentiment-
influenced trading system based on multimodal deep reinforcement learning, Applied
Soft Computing, 112, (2021); Das S., Behera R.K., Kumar M., Rath S.K., Real-time
sentiment analysis of twitter streaming data for stock prediction, Procedia
Computer Science, 132, pp. 956-964, (2018); Dash R., Dash P.K., A hybrid stock
trading framework integrating technical analysis with machine learning techniques,
Journal of Finance and Data Science, 2, 1, pp. 42-57, (2016); Deng S., Zhang N.,
Zhang W., Chen J., Pan J. Z., Chen H., (2019); Guo X., Li J., A novel twitter
sentiment analysis model with baseline correlation for financial market prediction
with improved efficiency, Proceedings of the 2019 Sixth International Conference on
Social Networks Analysis, Management and Security, pp. 472-477, (2019); Han Y., Kim
J., Developing a xgboost trading system based on n-period volatility labeling in
the stock market, Journal of the Korean Data and Information Science Society, 32,
5, pp. 1049-1070, (2021); Harris M., Profitability and Systematic Trading: A
Quantitative Approach to Profitability, Risk, and Money Management, (2008);
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EMD2FNN: A strategy combining empirical mode decomposition and factorization
machine based neural network for stock market trend prediction, Expert Systems with
Applications, 115, pp. 136-151, (2019)","J. Kim; Department of Big Data
Engineering, Soonchunhyang University, Chungcheongnam-do, 22 Soonchunhyang-ro,
Asan-si, 31538, South
Korea; email: [email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert
Sys Appl,Article,Final,,Scopus,2-s2.0-85137163196
Parray I.R.; Khurana S.S.; Kumar M.; Altalbe A.A.,"Parray, Irfan Ramzan
(57216612774); Khurana, Surinder Singh (56405193800); Kumar, Munish (26633172500);
Altalbe, Ali A. (55786841100)",57216612774; 56405193800; 26633172500;
55786841100,Time series data analysis of stock price movement using machine
learning techniques,2020,Soft Computing,24,21,,16509,16517,8,54,10.1007/s00500-020-
04957-x,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-
s2.0-85084043921&doi=10.1007%2fs00500-020-04957-
x&partnerID=40&md5=f1c6ae3f645f65ce1ed698d2be06a5fb,"Department of Computer Science
and Technology, Central University of Punjab, Bathinda, India; Department of
Computational Sciences, Maharaja Ranjit Singh Punjab Technical University,
Bathinda, India; Faculty of Computing and Information Technology, King Abdulaziz
University, Jeddah, Saudi Arabia","Parray I.R., Department of Computer Science and
Technology, Central University of Punjab, Bathinda, India; Khurana S.S., Department
of Computer Science and Technology, Central University of Punjab, Bathinda, India;
Kumar M., Department of Computational Sciences, Maharaja Ranjit Singh Punjab
Technical University, Bathinda, India; Altalbe A.A., Faculty of Computing and
Information Technology, King Abdulaziz University, Jeddah, Saudi Arabia","Stock
market also called as equity market is the aggregation of the sellers and buyers.
It is concerned with the domain where the shares of various public listed companies
are traded. For predicting the growth of economy, stock market acts as an index.
Due to the nonlinear nature, the prediction of the stock market becomes a difficult
task. But the application of various machine learning techniques has been becoming
a powerful source for the prediction. These techniques employ historical data of
the stocks for the training of machine learning algorithms and help in predicting
their future behavior. The three machine learning algorithms used in this paper are
support vector machine, perceptron, and logistic regression, for predicting the
next day trend of the stocks. For the experiment, dataset from about fifty stocks
of Indian National Stock Exchange’s NIFTY 50 index was taken, by collecting stock
data from January 1, 2013, to December 31, 2018, and lastly by the calculation of
some technical indicators. It is reported that the average accuracy for the
prediction of the trend of fifty stocks obtained by support vector machine is
87.35%, perceptron is 75.88%, and logistic regression is 86.98%. Since the stock
data are time series data, another dataset is prepared by reorganizing previous
dataset into the supervised learning format which improves the accuracy of the
prediction process which reported the results with support vector machine of
89.93%, perceptron of 76.68%, and logistic regression of 89.93%, respectively. ©
2020, Springer-Verlag GmbH Germany, part of Springer Nature.",Artificial neural
network; Logistic regression; Machine learning; Stock market; Support vector
machine; Technical indicators,Commerce; Electronic trading; Financial markets;
Forecasting; Learning systems; Logistic regression; Support vector machines;
Support vector regression; Time series; Time series analysis; Historical data;
Machine learning techniques; Nonlinear nature; Prediction process; Stock price
movements; Technical indicator; Time series data analysis; Time-series data;
Learning algorithms,,,,,,,"Balaji A.J., Ram D.S.H., Nair B.B., Applicability of
deep learning models for stock price forecasting an empirical study on BANKEX data,
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H., An improved ant colony optimization algorithm based on hybrid strategies for
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extreme learning machine, IEEE Trans Instrum Meas, (2019); Zhao H., Zheng J., Deng
W., Song Y., Semi-supervised broad learning system based on manifold regularization
and broad network, IEEE Trans Circuits Syst, (2020)","M. Kumar; Department of
Computational Sciences, Maharaja Ranjit Singh Punjab Technical University,
Bathinda, India; email: [email protected]",,Springer Science and Business Media
Deutschland GmbH,,,,,,14327643,,,,English,Soft Comput.,Article,Final,,Scopus,2-
s2.0-85084043921
Behera J.; Pasayat A.K.; Behera H.; Kumar P.,"Behera, Jyotirmayee (57224546452);
Pasayat, Ajit Kumar (56418600700); Behera, Harekrushna (57190963013); Kumar, Pankaj
(7403961345)",57224546452; 56418600700; 57190963013; 7403961345,Prediction based
mean-value-at-risk portfolio optimization using machine learning regression
algorithms for multi-national stock markets,2023,Engineering Applications of
Artificial Intelligence,120,,105843,,,,47,10.1016/j.engappai.2023.105843,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85146874760&doi=10.1016%2fj.engappai.2023.105843&partnerID=40&md5=e8423bbf13dd9d74c
3338d3b07bdd60a,"Department of Mathematics, SRM Institute of Science and
Technology, Kattankulathur, 603203, India; School of Computer Engineering, KIIT
University, Odisha, Bhubaneswar, 751024, India","Behera J., Department of
Mathematics, SRM Institute of Science and Technology, Kattankulathur, 603203,
India; Pasayat A.K., School of Computer Engineering, KIIT University, Odisha,
Bhubaneswar, 751024, India; Behera H., Department of Mathematics, SRM Institute of
Science and Technology, Kattankulathur, 603203, India; Kumar P., Department of
Mathematics, SRM Institute of Science and Technology, Kattankulathur, 603203,
India","The future performance of stock markets is the most crucial factor in
portfolio creation. As machine learning technique is advancing, new possibilities
have opened up for incorporating prediction concepts into portfolio selection. A
hybrid approach that constitutes machine learning algorithms for stock return
prediction and a mean–VaR (value-at-risk) model for portfolio selection is
illustrated in this paper as a unique portfolio construction technique. Machine
learning regression models such as Random Forest, Extreme Gradient Boosting
(XGBoost), Adaptive Boosting (AdaBoost), Support Vector Machine Regression (SVR),
k-Nearest Neighbors (KNN), and Artificial Neural Network (ANN) are adopted to
forecast stock values for the next period. The stocks with greater prospective
returns are chosen in the first stage of this affection. Further, the mean–VaR
portfolio optimization model is employed for portfolio selection in the second
stage. The monthly datasets of the Bombay Stock Exchange (BSE), India, Tokyo Stock
Exchange, Japan, and Shanghai Stock Exchange, China, are used as the research
sample, and the findings show that the mean–VaR model with AdaBoost prediction
outperforms other models. © 2023 Elsevier Ltd",Machine learning; Portfolio
optimization; Regression technique; Stock prediction; Value-at-risk,Commerce;
Electronic trading; Financial markets; Forecasting; Investments; Learning systems;
Nearest neighbor search; Neural networks; Regression analysis; Support vector
machines; Value engineering; Machine-learning; Mean values; Multi-nationals;
Portfolio optimization; Portfolio selection; Prediction-based; Regression
algorithms; Regression techniques; Stock predictions; Value at Risk; Adaptive
boosting,,,,,,,"Ahmadi-Javid A., Fallah-Tafti M., Portfolio optimization with
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Acta Geotech., 17, 4, pp. 1343-1366, (2022)","P. Kumar; Department of Mathematics,
SRM Institute of Science and Technology, Kattankulathur, 603203, India; email:
[email protected]",,Elsevier Ltd,,,,,,9521976,,EAAIE,,English,Eng Appl Artif
Intell,Article,Final,,Scopus,2-s2.0-85146874760
Han S.; Hao X.; Huang H.,"Han, Songqiao (14833985300); Hao, Xiaoling (36615546600);
Huang, Hailiang (7405613383)",14833985300; 36615546600; 7405613383,An event-
extraction approach for business analysis from online Chinese news,2018,Electronic
Commerce Research and
Applications,28,,,244,260,16,38,10.1016/j.elerap.2018.02.006,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85042940607&doi=10.1016%2fj.elerap.2018.02.006&partnerID=40&md5=ac1e9c60765e2b96996
4ea9808d71cc0,"School of Information Management and Engineering, Shanghai
University of Finance and Economics, Shanghai, China; Shanghai Key Laboratory of
Financial Information Technology, Shanghai, China","Han S., School of Information
Management and Engineering, Shanghai University of Finance and Economics, Shanghai,
China; Shanghai Key Laboratory of Financial Information Technology, Shanghai,
China; Hao X., School of Information Management and Engineering, Shanghai
University of Finance and Economics, Shanghai, China; Shanghai Key Laboratory of
Financial Information Technology, Shanghai, China; Huang H., School of Information
Management and Engineering, Shanghai University of Finance and Economics, Shanghai,
China; Shanghai Key Laboratory of Financial Information Technology, Shanghai,
China","Extracting events from business news aids users to perceive market trends,
be aware of competitors’ strategies, and to make valuable investment decisions.
Prior research lacks event extraction in the area of business and event based
business analysis, especially in Chinese language. We propose a novel business
event-extraction approach integrating patterns, machine learning models and word
embedding technology in deep learning, which is applied to extract events from
online Chinese news. Word embedding and a semantic lexicon are utilized to extend
an event trigger dictionary with high accuracy. Then the trigger features in the
dictionary are introduced into a machine learning classification algorithm to
implement more refined event-type recognition. Based on a scalable pattern tree,
the event type that is discovered is used to find the best-suited pattern for
extracting event elements from online news. Experimental results show the
effectiveness of the proposed approach. In addition, empirical studies demonstrate
the practical value of extracted events, especially in finding the relationships
between news events and excess returns for stock, and analyzing industry trends
based on events in China. © 2018 Elsevier B.V.",Business events; Business
intelligence; Chinese text analytics; Event extraction; Explanatory econometrics;
Machine learning models; Natural language processing; Online news; Patterns; Word
embedding,Artificial intelligence; Competitive intelligence; Data mining;
Economics; Extraction; Information analysis; Investments; Learning algorithms;
Learning systems; Natural language processing systems; Semantics; Statistics;
Chinese text; Event extraction; Explanatory econometrics; Machine learning models;
Online news; Patterns; Word embedding; Deep learning,,,,,"State Language Commission
of China, (ZDI135-18); National Natural Science Foundation of China, NSFC,
(71401096); National Natural Science Foundation of China, NSFC; Shenzhen Science
and Technology Innovation Program, (16511102900); Shenzhen Science and Technology
Innovation Program; Humanities and Social Sciences Youth Foundation, Ministry of
Education of the People's Republic of China, (17YJA630029); Humanities and Social
Sciences Youth Foundation, Ministry of Education of the People's Republic of
China","This research was supported by the National Natural Science Foundation of
China (Grant No 71401096) , Shanghai Science and Technology Innovation Project,
China, (Grant No. 16511102900 ), Humanity and Social Science Foundation of Ministry
of Education of China (Grant No. 17YJA630029), and Key Program Grant of State
Language Commission of China (Grant No. ZDI135-18). We would like to thank the
reviewers for valuable comments and advice.","Ahn D., The stages of event
extraction, Proceedings of the Workshop on Annotating and Reasoning about Time and
Events, Association for Computational Linguistics, (2006); Ananiadou S., Kell D.B.,
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Biotechnol., 24, 12, pp. 571-579, (2006); Ananiadou S., Pyysalo S., Tsujii J.I.,
Kell D.B., Event extraction for systems biology by text mining the literature,
Trends Biotechnol., 28, 7, pp. 381-390, (2010); Arendarenko E., Kakkonen T.,
Ontology-based information and event extraction for business intelligence,
Proceedings of the 15th Annual Conference on Artificial Intelligence: Methodology,
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Unusual news events and the cross-section of stock returns, Soc. Sci. Electr.
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event and relation detection with seeds of varying complexity, Proceedings of the
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Movie review mining and summarization, pp. 43-50, (2006)","X. Hao; School of
Information Management and Engineering, Shanghai University of Finance and
Economics, Shanghai, China; email: [email protected]",,Elsevier
B.V.,,,,,,15674223,,,,English,Elect. Commer. Res. Appl.,Article,Final,,Scopus,2-
s2.0-85042940607
Qasem M.; Thulasiram R.; Thulasiram P.,"Qasem, Mohammed (57210729507); Thulasiram,
Ruppa (6602683636); Thulasiram, Parimala (6602330042)",57210729507; 6602683636;
6602330042,Twitter sentiment classification using machine learning techniques for
stock markets,2015,"2015 International Conference on Advances in Computing,
Communications and Informatics, ICACCI
2015",,,7275714,834,840,6,36,10.1109/ICACCI.2015.7275714,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84946212433&doi=10.1109%2fICACCI.2015.7275714&partnerID=40&md5=79d311e477ecfa35bec1
7edb2edcca10,"Department of Computer Science, University of Manitoba, Winnipeg,
Canada","Qasem M., Department of Computer Science, University of Manitoba,
Winnipeg, Canada; Thulasiram R., Department of Computer Science, University of
Manitoba, Winnipeg, Canada; Thulasiram P., Department of Computer Science,
University of Manitoba, Winnipeg, Canada","Sentiment classification of Twitter data
has been successfully applied in finding predictions in a variety of domains.
However, using sentiment classification to predict stock market variables is still
challenging and ongoing research. The main objective of this study is to compare
the overall accuracy of two machine learning techniques (logistic regression and
neural network) with respect to providing a positive, negative and neutral
sentiment for stock-related tweets. Both classifiers are compared using Bigram term
frequency (TF) and Unigram term frequency - inverse document term frequency (TF-
IDF) weighting schemes. Classifiers are trained using a dataset that contains
42,000 automatically annotated tweets. The training dataset forms positive,
negative and neutral tweets covering four technology-related stocks (Twitter,
Google, Facebook, and Tesla) collected using Twitter Search API. Classifiers give
the same results in terms of overall accuracy (58%). However, empirical experiments
show that using Unigram TF-IDF outperforms TF. © 2015 IEEE.",Inverse Document Term
Frequency; Logistic Regression; Neural Networks; Predictive Modeling; Sentiment;
Stock Market; Term Frequency; Twitter,Classification (of information); Commerce;
Electronic trading; Financial markets; Inverse problems; Logistic regression;
Machine learning; Neural networks; Predictive analytics; Social networking
(online); Text processing; Empirical experiments; Machine learning techniques;
Overall accuracies; Predictive modeling; Sentiment; Sentiment classification; Term
Frequency; Twitter; Fintech,,,,,,,"Pang B., Lee L., Opinion mining and sentiment
analysis, Foundations and Trends in Information Retrieval, 2, pp. 8-10, (2008);
Malkiel B.G., A Random Walk Down Wall Street: Including A Life-Cycle Guide to
Personal Investing, (1999); Fama E.F., The behavior of stock-market prices, Journal
of Business, pp. 34-105, (1965); Bollen J., Mao H., Zeng X., Twitter mood predicts
the stock market, Journal of Computational Science, 2, pp. 1-8, (2011); Russell
M.A., Mining the Social Web: Data Mining Facebook, Twitter, LinkedIn, Google+,
GitHub, and More, (2013); Bing L., Chan K.C., Ou C., Public sentiment analysis in
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Engineering (ICEBE), 2014 IEEE 11th International Conference on, pp. 232-239,
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techniques, System Sciences, 2004. Proceedings of the 37th Annual Hawaii
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compositionality over a sentiment treebank, Proceedings of the Conference on
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Oh C., Sheng O., Investigating Predictive Power of Stock Micro Blog Sentiment in
Forecasting Future Stock Price Directional Movement, (2011); Tayal D., Komaragiri
S., Comparative analysis of the impact of blogging and micro-blogging on market
performance, International Journal, 1, pp. 176-182, (2009); Sokolova M., Lapalme
G., A systematic analysis of performance measures for classification tasks,
Information Processing &Management, 45, pp. 427-437, (2009); Dreiseitl S., Ohno-
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50-58, (2010); Mell P., Grance T., The NIST Definition of Cloud Computing, (2011);
Sosinsky B., Cloud Computing Bible, (2010)",,Mauri J.L.; Thampi S.M.; Wozniak M.;
Marques O.; Krishnaswamy D.; Sahni S.; Callegari C.; Takagi H.; Bojkovic Z.S.;
Vinod M.; Prasad N.R.; Alcaraz Calero J.M.; Rodrigues J.; Rodrigues J.; Que X.;
Meghanathan N.; Sandhu R.; Au E.,Institute of Electrical and Electronics Engineers
Inc.,IRPS,"International Conference on Advances in Computing, Communications and
Informatics, ICACCI 2015",10 August 2015 through 13 August 2015,Kerala,115835,,978-
147998791-7,,,English,"Int. Conf. Adv. Comput., Commun. Informatics,
ICACCI",Conference paper,Final,,Scopus,2-s2.0-84946212433
Lin H.; Zhou D.; Liu W.; Bian J.,"Lin, Hengxu (57226001544); Zhou, Dong
(57221144169); Liu, Weiqing (54407167900); Bian, Jiang (57203105806)",57226001544;
57221144169; 54407167900; 57203105806,Learning Multiple Stock Trading Patterns with
Temporal Routing Adaptor and Optimal Transport,2021,Proceedings of the ACM SIGKDD
International Conference on Knowledge Discovery and Data
Mining,,,,1017,1026,9,39,10.1145/3447548.3467358,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85110991231&doi=10.1145%2f3447548.3467358&partnerID=40&md5=e083d62be0fba4cbb8c655e4
624eb9e2,"Sun Yat-sen University, Guangdong, China; Microsoft Research, Beijing,
China, China","Lin H., Sun Yat-sen University, Guangdong, China; Zhou D., Microsoft
Research, Beijing, China, China; Liu W., Microsoft Research, Beijing, China, China;
Bian J., Microsoft Research, Beijing, China, China","Successful quantitative
investment usually relies on precise predictions of the future movement of the
stock price. Recently, machine learning based solutions have shown their capacity
to give more accurate stock prediction and become indispensable components in
modern quantitative investment systems. However, the i.i.d. assumption behind
existing methods is inconsistent with the existence of diverse trading patterns in
the stock market, which inevitably limits their ability to achieve better stock
prediction performance. In this paper, we propose a novel architecture, Temporal
Routing Adaptor (TRA), to empower existing stock prediction models with the ability
to model multiple stock trading patterns. Essentially, TRA is a lightweight module
that consists of a set of independent predictors for learning multiple patterns as
well as a router to dispatch samples to different predictors. Nevertheless, the
lack of explicit pattern identifiers makes it quite challenging to train an
effective TRA-based model. To tackle this challenge, we further design a learning
algorithm based on Optimal Transport (OT) to obtain the optimal sample to predictor
assignment and effectively optimize the router with such assignment through an
auxiliary loss term. Experiments on the real-world stock ranking task show that
compared to the state-of-the-art baselines, e.g., Attention LSTM and Transformer,
the proposed method can improve information coefficient (IC) from 0.053 to 0.059
and 0.051 to 0.056 respectively. Our dataset and code used in this work are
publicly available2: https://github.com/microsoft/qlib. © 2021 ACM.",computational
finance; conditional computing; gated network; multi-domain learning; optimal
transport; stock prediction,Commerce; Data mining; Electronic trading; Financial
markets; Forecasting; Investments; Long short-term memory; Predictive analytics;
Independent predictors; Information coefficient; Multiple patterns; Novel
architecture; Optimal transport; Pattern identifier; Stock predictions; Trading
patterns; Learning algorithms,,,,,,,"Abati D., Tomczak J., Blankevoort T.,
Calderara S., Cucchiara R., Ehteshami Bejnordi B., Conditional channel gated
networks for task-aware continual learning, Proceedings of the IEEE/CVF Conference
on Computer Vision and Pattern Recognition, pp. 3931-3940, (2020); Asness C.S.,
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Finance, 68, 3, pp. 929-985, (2013); Chauhan L., Alberg J., Lipton Z., Uncertainty-
aware lookahead factor models for quantitative investing, International Conference
on Machine Learning. PMLR, pp. 1489-1499, (2020); Chen C., Zhao L., Bian J., Xing
C., Liu T.-Y., Investment behaviors can tell what inside: Exploring stock intrinsic
properties for stock trend prediction, Proceedings of the 25th ACM SIGKDD
International Conference on Knowledge Discovery & Data Mining, pp. 2376-2384,
(2019); Chen Y., Wei Z., Huang X., Incorporating corporation relationship via graph
convolutional neural networks for stock price prediction, Proceedings of the 27th
ACM International Conference on Information and Knowledge Management, pp. 1655-
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event embedding framework for financial quantitative investments, Proceedings of
the 43rd International ACM SIGIR Conference on Research and Development in
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Lightspeed computation of optimal transport, NIPS, 2, (2013); Ding Q., Wu S., Sun
H., Guo J., Guo J., Hierarchical multi-scale Gaussian transformer for stock
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International Conference on Machine Learning. PMLR, pp. 3854-3863, (2020); Guo Y.,
Li Y., Wang L., Rosing T., Depthwise convolution is all you need for learning
multiple visual domains, Proceedings of the AAAI Conference on Artificial
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to chaotic whispers: A deep learning framework for news-oriented stock trend
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adapters, Proceedings of the 31st International Conference on Neural Information
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Efficient parametrization of multi-domain deep neural networks, Proceedings of the
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Ritter J.R., Behavioral finance, Pacific-Basin Finance Journal, 11, 4, pp. 429-437,
(2003); Shazeer N., Mirhoseini A., Maziarz K., Davis A., Le Q., Hinton G., Dean J.,
Outrageously Large Neural Networks: The Sparsely-gated Mixture-of-experts Layer,
(2017); Vaswani A., Shazeer N., Parmar N., Uszkoreit J., Jones L., Gomez A.N.,
Kaiser L., Polosukhin I., Attention is All You Need, (2017); Villani C., Optimal
Transport: Old and New, 338, (2008); Wang H., Wang T., Li Y., Incorporating expert-
based investment opinion signals in stock prediction: A deep learning framework,
Proceedings of the AAAI Conference on Artificial Intelligence, (2020); Xu Y., Cohen
S.B., Stock movement prediction from tweets and historical prices, Proceedings of
the 56th Annual Meeting of the Association for Computational Linguistics (Volume 1:
Long Papers), pp. 1970-1979, (2018); Zhang L., Aggarwal C., Qi G.-J., Stock price
prediction via discovering multi-frequency trading patterns, Proceedings of the
23rd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining,
pp. 2141-2149, (2017)",,,Association for Computing Machinery,ACM SIGKDD; ACM
SIGMOD,"27th ACM SIGKDD Conference on Knowledge Discovery and Data Mining, KDD
2021",14 August 2021 through 18 August 2021,"Virtual, Online",171623,,978-
145038332-5,,,English,Proc. ACM SIGKDD Int. Conf. Knowl. Discov. Data
Min.,Conference paper,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
85110991231
Orimoloye L.O.; Sung M.-C.; Ma T.; Johnson J.E.V.,"Orimoloye, Larry Olanrewaju
(57211384276); Sung, Ming-Chien (25936880100); Ma, Tiejun (56322702600); Johnson,
Johnnie E.V. (7406815152)",57211384276; 25936880100; 56322702600;
7406815152,Comparing the effectiveness of deep feedforward neural networks and
shallow architectures for predicting stock price indices,2020,Expert Systems with
Applications,139,,112828,,,,54,10.1016/j.eswa.2019.112828,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073703998&doi=10.1016%2fj.eswa.2019.112828&partnerID=40&md5=a5dd1c919c4234729b4bd
b70f4b347a2,"Centre for Risk Research, Southampton Business School, University of
Southampton, Highfield, Southampton, SO17 1BJ, United Kingdom; Nottingham Business
School, Burton St., Nottingham, NG1 4BU, United Kingdom","Orimoloye L.O., Centre
for Risk Research, Southampton Business School, University of Southampton,
Highfield, Southampton, SO17 1BJ, United Kingdom; Sung M.-C., Centre for Risk
Research, Southampton Business School, University of Southampton, Highfield,
Southampton, SO17 1BJ, United Kingdom; Ma T., Centre for Risk Research, Southampton
Business School, University of Southampton, Highfield, Southampton, SO17 1BJ,
United Kingdom; Johnson J.E.V., Nottingham Business School, Burton St., Nottingham,
NG1 4BU, United Kingdom","Many existing learning algorithms suffer from limited
architectural depth and the locality of estimators, making it difficult to
generalize from the test set and providing inefficient and biased estimators. Deep
architectures have been shown to appropriately learn correlation structures in time
series data. This paper compares the effectiveness of a deep feedforward Neural
Network (DNN) and shallow architectures (e.g., Support Vector Machine (SVM) and
one-layer NN) when predicting a broad cross-section of stock price indices in both
developed and emerging markets. An extensive evaluation is undertaken, using daily,
hourly, minute and tick level data related to thirty-four financial indices from 32
countries across six years. Our evaluation results show a considerable advantage
from training deep (cf. shallow) architectures, using a rectifier linear (RELU)
activation function, across all thirty-four markets when ‘minute’ data is used.
However, the predictive performance of DNN was not significantly better than that
of shallower architectures when using tick level data. This result suggests that
when training a DNN algorithm, the predictive accuracy peaks, regardless of
training size. We also examine which activation function works best for stock price
index data. Our results demonstrate that the RELU activation function performs
better than TANH across all markets and time horizons when using DNN to predict
stock price indices. © 2019",Deep feedforward neural network; Financial time series
forecasting; Machine learning; Market efficiency,Chemical activation; Commerce;
Electronic trading; Feedforward neural networks; Financial markets; Forecasting;
Function evaluation; Learning algorithms; Learning systems; Network architecture;
Support vector machines; Time series; Activation functions; Correlation structure;
Deep architectures; Evaluation results; Financial time series forecasting; Market
efficiency; Predictive accuracy; Predictive performance; Deep neural
networks,,,,,,,"Abdel-Hamid O., Mohamed A.-R., Jiang H., Penn G., Applying
convolutional neural networks concepts to hybrid NN-HMM model for speech
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(2009)","M.-C. Sung; Centre for Risk Research, Southampton Business School,
University of Southampton, Southampton, Highfield, SO17 1BJ, United Kingdom; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85073703998
Lv D.; Yuan S.; Li M.; Xiang Y.,"Lv, Dongdong (56487150200); Yuan, Shuhan
(56486630300); Li, Meizi (24450822700); Xiang, Yang (56443292400)",56487150200;
56486630300; 24450822700; 56443292400,An Empirical Study of Machine Learning
Algorithms for Stock Daily Trading Strategy,2019,Mathematical Problems in
Engineering,2019,,7816154,,,,37,10.1155/2019/7816154,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85065224724&doi=10.1155%2f2019%2f7816154&partnerID=40&md5=4ef35517882f31464f01711ac
bd933e8,"College of Electronics and Information Engineering, Tongji University,
Shanghai, 201804, China; University of Arkansas, Fayetteville, 72701, AR, United
States; College of Information Mechanical and Electrical Engineering, Shanghai
Normal University, Shanghai, 200234, China","Lv D., College of Electronics and
Information Engineering, Tongji University, Shanghai, 201804, China; Yuan S.,
University of Arkansas, Fayetteville, 72701, AR, United States; Li M., College of
Electronics and Information Engineering, Tongji University, Shanghai, 201804,
China, College of Information Mechanical and Electrical Engineering, Shanghai
Normal University, Shanghai, 200234, China; Xiang Y., College of Electronics and
Information Engineering, Tongji University, Shanghai, 201804, China","According to
the forecast of stock price trends, investors trade stocks. In recent years, many
researchers focus on adopting machine learning (ML) algorithms to predict stock
price trends. However, their studies were carried out on small stock datasets with
limited features, short backtesting period, and no consideration of transaction
cost. And their experimental results lack statistical significance test. In this
paper, on large-scale stock datasets, we synthetically evaluate various ML
algorithms and observe the daily trading performance of stocks under transaction
cost and no transaction cost. Particularly, we use two large datasets of 424 S&P
500 index component stocks (SPICS) and 185 CSI 300 index component stocks (CSICS)
from 2010 to 2017 and compare six traditional ML algorithms and six advanced deep
neural network (DNN) models on these two datasets, respectively. The experimental
results demonstrate that traditional ML algorithms have a better performance in
most of the directional evaluation indicators. Unexpectedly, the performance of
some traditional ML algorithms is not much worse than that of the best DNN models
without considering the transaction cost. Moreover, the trading performance of all
ML algorithms is sensitive to the changes of transaction cost. Compared with the
traditional ML algorithms, DNN models have better performance considering
transaction cost. Meanwhile, the impact of transparent transaction cost and
implicit transaction cost on trading performance are different. Our conclusions are
significant to choose the best algorithm for stock trading in different markets. ©
2019 Dongdong Lv et al.",,Commerce; Costs; Deep neural networks; Financial markets;
Investments; Large dataset; Learning algorithms; Machine learning; CSI 300 indices;
Empirical studies; Evaluation indicators; Large datasets; Ml algorithms;
Statistical significance test; Trading strategies; Transaction cost; Electronic
trading,,,,,"National Natural Science Foundation of China, NSFC, (61802258,
71571136); Science and Technology Commission of Shanghai Municipality, STCSM,
(16JC1403000)","This work was supported in part by the National Natural Science
Foundation of China (nos. 71571136, 61802258), in part by Technology Commission of
Shanghai Municipality (no. 16JC1403000).","Cavalcantea R.C., Brasileirob R.C.,
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markets: A survey and future directions, Expert Systems with Applications, 55, pp.
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Systems Engineering, CASE '11, pp. 1-4, (2011); Ladyzynski P., Zbikowski K.,
Grzegorzewski P., Stock trading with random forests, trend detection tests and
force index volume indicators, Proceedings of the International Conference on
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J., Cui S., Xu Y., Li Q., Li T., A novel datadriven stock price trend prediction
system, Expert Systems with Applications, 97, pp. 60-69, (2018); Ruta D., Automated
trading with machine learning on big data, Proceedings of the 3rd IEEE
International Congress on Big Data, BigData Congress '14, pp. 824-830, (2014);
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movement using trend deterministic data preparation and machine learning
techniques, Expert Systems with Applications, 42, 1, pp. 259-268, (2015); Luo L.,
Chen X., Integrating piecewise linear representation and weighted support vector
machine for stock trading signal prediction, Applied Soft Computing, 13, 2, pp.
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trading strategy, Expert Systems with Applications, 42, 4, pp. 1797-1805, (2015);
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Information Engineering, Tongji University, Shanghai, 201804, China; email:
[email protected]",,Hindawi Limited,,,,,,1024123X,,,,English,Math. Probl.
Eng.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85065224724
Matsubara T.; Akita R.; Uehara K.,"Matsubara, Takashi (53863900700); Akita, Ryo
(57225278718); Uehara, Kuniaki (7201993612)",53863900700; 57225278718;
7201993612,Stock price prediction by deep neural generative model of news
articles,2018,IEICE Transactions on Information and
Systems,E101D,4,,901,908,7,38,10.1587/transinf.2016IIP0016,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85044768987&doi=10.1587%2ftransinf.2016IIP0016&partnerID=40&md5=c5d0ba6090491f16b2e
8c3f1969d445a,"Graduate School of System Informatics Science, Kobe University,
Kobe-shi, 657-8501, Japan","Matsubara T., Graduate School of System Informatics
Science, Kobe University, Kobe-shi, 657-8501, Japan; Akita R., Graduate School of
System Informatics Science, Kobe University, Kobe-shi, 657-8501, Japan; Uehara K.,
Graduate School of System Informatics Science, Kobe University, Kobe-shi, 657-8501,
Japan","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. Copyright © 2018 The Institute of Electronics, Information
and Communication Engineers.",Deep learning; Generative model; News articles; Stock
price prediction,Costs; Deep learning; Forecasting; Conventional classifier;
Generative model; Model relationships; News articles; Parameter adjustments; Stock
price movements; Stock price prediction; Technical analysis; Financial
markets,,,,,"Kayamori Foundation of Informational Science Advancement; Japan
Society for the Promotion of Science, JSPS, (16K12487); SEI Group CSR
Foundation","This study was partially supported by the JSPS KAKENHI (16K12487),
Kayamori Foundation of Information Science Advancement, and SEI Group CSR
Foundation.","Black F., Scholes M., The pricing of options and corporate
liabilities, Journal of Political Economy, 81, 3, pp. 637-654, (1973); Murphy J.J.,
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Proc. 27th International Conference on Machine Learning, 3, pp. 807-814, (2010);
Burda Y., Grosse R., Salakhutdinov R., Importance weighted autoencoders,
International Conference on Learning Representations, pp. 1-12, (2015); Kingma D.,
Ba J., Adam: A method for stochastic optimization, International Conference on
Learning Representations, (2015); Radinsky K., Davidovich S., Markovitch S.,
Learning causality for news events prediction, Proc. 21st International Conference
on World Wide Web (WWW2012), pp. 909-918, (2012); Kudo T., MeCab: Yet Another Part-
of-speech and Morphological Analyzer; S&P 500 Dataset; Reuters; Bloomberg; Moody
J.E., Saffell M., Reinforcement learning for trading, Advances in Neural
Information Processing Systems, 11, 1998, pp. 917-923, (1999); Deng Y., Bao F.,
Kong Y., Ren Z., Dai Q., Deep direct reinforcement learning for financial signal
representation and trading, IEEE Trans. Neural Netw. Learn. Syst, 28, 3, pp. 653-
664, (2017); Blei D.M., McAuliffe J.D., Supervised topicmodels, Advances in Neural
Information Processing Systems 20, 21, 1, pp. 121-128, (2008)",,,"Institute of
Electronics, Information and Communication, Engineers,
IEICE",,,,,,9168532,,ITISE,,English,IEICE Trans Inf Syst,Article,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85044768987
Tiwari R.G.; Agarwal A.K.; Kaushal R.K.; Kumar N.,"Tiwari, Raj Gaurang
(57198002674); Agarwal, Ambuj Kumar (57189048540); Kaushal, Rajesh Kumar
(57201701418); Kumar, Naveen (57203626812)",57198002674; 57189048540; 57201701418;
57203626812,Prophetic Analysis of Bitcoin price using Machine Learning
Approaches,2021,"Proceedings of IEEE International Conference on Signal
Processing,Computing and
Control",2021-October,,,428,432,4,51,10.1109/ISPCC53510.2021.9609419,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85122988103&doi=10.1109%2fISPCC53510.2021.9609419&partnerID=40&md5=37abbd965d7006dd
e431d78cf1ee8cc0,"Institute Of Engineering And Technology, Chitkara University,
Punjab, India","Tiwari R.G., Institute Of Engineering And Technology, Chitkara
University, Punjab, India; Agarwal A.K., Institute Of Engineering And Technology,
Chitkara University, Punjab, India; Kaushal R.K., Institute Of Engineering And
Technology, Chitkara University, Punjab, India; Kumar N., Institute Of Engineering
And Technology, Chitkara University, Punjab, India","The most significant
disturbance now affecting all economies and financial institutions is the digital
transformation of economies. The world's economy and financial institutions are
digitizing at an unprecedented rate. Bitcoin is a devolved crypto-currency, or
digital asset, that uses blockchain technology to expedite peer-to-peer financial
transactions. Price volatility is one of the primary issues with decentralized
cryptocurrencies, highlighting the need of examining the underlying price
mechanism. Additionally, Bitcoin prices display non-stationary behaviour, meaning
that their statistical distribution fluctuates over time. Bitcoin prices are
stochastic, and no one set of characteristics can be used to forecast them
completely. Nonetheless, academics have demonstrated varying degrees of
effectiveness in estimating Bitcoin values using various feature sets. This article
explains how to forecast Bitcoin price movements and prices using machine learning
approaches. We intend to apply ARIMA, Facebook Prophet and XGBoost techniques for
price prediction. © 2021 IEEE.",Blockchain; Deep learning; Machine learning;
Market Stock Prediction; Time-series forecasting,Bitcoin; Costs; Deep learning;
Forecasting; Stochastic systems; Time series analysis; Block-chain; Deep learning;
Digital assets; Digital transformation; Financial institution; Machine learning
approaches; Market stock prediction; Stock predictions; Time series forecasting;
World economy; Blockchain,,,,,,,"Kristoufek L., What are the main drivers of the
bitcoin price evidence from wavelet coherence analysis, PLoS ONE, 10, (2015); Wamba
S.F., Kamdjoug J.R.K., Bawack R.E., Bitcoin K.J.G., Blockchain and Fintech: A
systematic review and case studies in the supply chain, Prod. Plan. Control Manag.
Oper, 31, pp. 115-142, (2019); Chen W., Zheng Z., Ma M., Wu J., Zhou Y., Yao J.,
Dependence structure between bitcoin price and its influence factors, Int. J.
Comput. Sci. Eng, 21, pp. 334-345, (2020); Balcilar M., Bouri E., Gupta R., Roubaud
D., Can volume predict bitcoin returns and volatility A quantiles-based approach,
Econ. Model 2017, 64, pp. 74-81, (2017); Ciaian P., Rajcaniova M., Artis K.D., The
economics of BitCoin price formation, Appl. Econ, 48, pp. 1799-1815, (2016);
Schmidt R., MAhring M., GlA¼ck D., Haerting R., Keller B., Reichstein C., Benefits
from using bitcoin: Empirical evidence from a european country, Int. J. Serv. Sci.
Manag. Eng. Technol, 7, pp. 48-62, (2016); Giulia S., Yi P., Zhang Q., Brambilla
M., Wang J., Hu Y., Li B., Sentiment-driven price prediction of the bitcoin based
on statistical and deep learning approaches, 2020 International Joint Conference on
Neural Networks (IJCNN), pp. 1-8, (2020); Jon C., Di Francesco M.D., Magrini A.,
Marino A., Ricci L., Leveraging the users graph and trustful transactions for the
analysis of bitcoin price, IEEE Transactions on Network Science and Engineering,
(2020); Taylor S.J., Letham B., Forecasting at scale, The American Statistician,
72, 1, pp. 37-45, (2018); Chen T., Guestrin C., Xgboost: A scalable tree boosting
system, Proceedings of the 22nd Acm Sigkdd International Conference on Knowledge
Discovery and Data Mining, pp. 785-794, (2016); Liu Y., Yu F.R., Li X., Ji H.,
Leung V.C., Blockchain and machine learning for communications and networking
systems, IEEE Communications Surveys & Tutorials, 22, 2, pp. 1392-1431, (2020);
Mudassir M., Bennbaia S., Unal D., Hammoudeh M., Time-series forecasting of bitcoin
prices using high-dimensional features: A machine learning approach, Neural
Computing and Applications, pp. 1-15, (2020); Gupta A., Nain H., Bitcoin price
prediction using time series analysis and machine learning techniques, Machine
Learning for Predictive Analysis, pp. 551-560, (2021); Jamil S., Mohd T., Masrom
S., Abrahim N., Machine learning price prediction on green building prices,
Symposium on Industrial Electronics & Applications (ISIEA), pp. 1-6, (2020);
Zielak, Bitcoin Historical Data: Bitcoin Data at 1-Min Intervals from Select
Exchanges, Jan 2012 to March 2021. 2021; Siami-Namini S., Tavakoli N., Namin A.S.,
A comparison of arima and lstm in forecasting time series, International Conference
on Machine Learning and Applications (ICMLA), pp. 1394-1401, (2018); Rishu C.,
Verma S., Krishna C.R., A survey on driver behavior detection techniques for
intelligent transportation systems, 2017 7th International Conference on Cloud
Computing, Data Science & Engineering-Confluence, pp. 36-41, (2017); Sharma A.,
Guleria K., Goyal N., Prediction of diabetes disease using machine learning model,
International Conference on Communication, Computing and Electronics Systems (P,
683; Singh B.J., Kumar N., Kaushal R.K., Comparative study to detect driver
drowsiness, 2021 International Conference on Advance Computing and Innovative
Technologies in Engineering (ICACITE). IEEE, (2021)",,Kumar R.; Jain S.; Sohal
H.,Institute of Electrical and Electronics Engineers Inc.,,"6th IEEE International
Conference on Signal Processing, Computing and Control, ISPCC 2021",7 October 2021
through 9 October 2021,Solan,174517,26438615,978-166542552-0,,,English,"Proc. IEEE
Int. Conf. Signal Process., Comput. Control, ISPCC",Conference
paper,Final,,Scopus,2-s2.0-85122988103
Dudukcu H.V.; Taskiran M.; Cam Taskiran Z.G.; Yildirim T.,"Dudukcu, Hatice Vildan
(57221835731); Taskiran, Murat (57192081569); Cam Taskiran, Zehra Gulru
(57200858397); Yildirim, Tulay (7005994652)",57221835731; 57192081569; 57200858397;
7005994652,Temporal Convolutional Networks with RNN approach for chaotic time
series prediction,2023,Applied Soft
Computing,133,,109945,,,,54,10.1016/j.asoc.2022.109945,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85145654585&doi=10.1016%2fj.asoc.2022.109945&partnerID=40&md5=20059837c7f11894e14ba
31d5ff087f7,"Yildiz Technical University, Department of Electronics and
Communication Engineering, Istanbul, 34220, Turkey","Dudukcu H.V., Yildiz Technical
University, Department of Electronics and Communication Engineering, Istanbul,
34220, Turkey; Taskiran M., Yildiz Technical University, Department of Electronics
and Communication Engineering, Istanbul, 34220, Turkey; Cam Taskiran Z.G., Yildiz
Technical University, Department of Electronics and Communication Engineering,
Istanbul, 34220, Turkey; Yildirim T., Yildiz Technical University, Department of
Electronics and Communication Engineering, Istanbul, 34220, Turkey","The prediction
of chaotic time series, which constitutes many systems in the field of science and
engineering, has recently become the focus of attention of researchers. Chaotic
time series prediction is making future predictions about these systems using
previously observed data for a nonlinear chaotic system with a known initial
condition. Chaotic time series prediction can be applied in many fields such as
weather forecasting, finance and stock markets. Many disciplines work on solving
time series prediction problem, ranging from forecasting weather events days in
advance to traders predicting the future of stocks. In recent studies, it has been
observed that hybrid deep neural network methods give better performance in solving
time series prediction problems and have gained popularity in order to benefit from
the advantages of more than one method in solving such problems. In this study, a
hybrid deep neural network architecture is proposed for chaotic time series
prediction. The used hybrid approach includes both temporal convolutional network
to extract low level features from input and recurrent neural network layers such
as long short-term memory and gated recurrent units to capture temporal
information. Simulations were carried out on nine different chaotic time series
dataset which are obtained from Lorenz, Rössler and a Lorenz-like chaotic equation
sets, and twenty-one electrocardiogram (ECG) recordings of patients with
arrhythmias. In the benchmark study, in which twelve different methods, including
classical machine learning, deep neural network and hybrid models were used, the
proposed model achieved the best prediction performance with an average root-mean-
square error (RMSE) value of 0.0022 for chaotic dataset and 0.0082 for ECG
arrhythmia dataset. Performance evaluation metrics show that the proposed hybrid
architecture can compete with the models in state-of-the-art studies in chaotic
time series prediction. © 2022 Elsevier B.V.",Chaotic systems; Deep neural network;
ECG recordings; Recurrent neural networks; Temporal convolutional neural network;
Time series prediction,Benchmarking; Chaotic systems; Convolution; Convolutional
neural networks; Electrocardiography; Electronic trading; Financial markets; Mean
square error; Multilayer neural networks; Network architecture; Network layers;
Recurrent neural networks; Time series; Weather forecasting; Chaotic time series;
Chaotic time series prediction; Convolutional networks; Convolutional neural
network; Electrocardiogram recordings; Focus of Attention; Prediction problem;
Science and engineering; Temporal convolutional neural network; Time series
prediction; Deep neural networks,,,,,"Yildiz Teknik Üniversitesi, (FAP-2021-
4221)","This work has been supported by Yildiz Technical University Scientific
Research Projects Coordination Unit, Turkey under project number FAP-2021-4221 .
","Ye M.Y., Wang X.D., Zhang H.R., Chaotic time series forecasting using online
least squares support vector machine regression, Acta Phys. Sin., 54, 6, pp. 2568-
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Hamid N.Z., Noorani M.S.M., New improved chaotic approach model application on
forecasting ozone concentration time series, Sains Malays., 46, 8, pp. 1333-1339,
(2017); Abdulkadir S.J., Yong S.-P., Scaled UKF–NARX hybrid model for multi-step-
ahead forecasting of chaotic time series data, Soft Comput., 19, 12, pp. 3479-3496,
(2015); Rodriguez H., Flores J.J., Morales L.A., Lara C., Guerra A., Manjarrez G.,
Forecasting from incomplete and chaotic wind speed data, Soft Comput., 23, 20, pp.
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Van Brakel R., De Weijer A.P., Melssen W.J., Buydens L.M.C., Using support vector
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building-level load forecasts using deep learning vs. traditional time-series
techniques, Appl. Energy, 236, pp. 1078-1088, (2019); Shen Z., Zhang Y., Lu J., Xu
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electric load forecasting using feature selection and genetic algorithm: Comparison
with machine learning approaches, Energies, 11, 7, (2018); Fischer T., Krauss C.,
Deep learning with long short-term memory networks for financial market
predictions, European J. Oper. Res., 270, 2, pp. 654-669, (2018); Bandara K.,
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Appl., 140, (2020); Pan C., Tan J., Feng D., Li Y., Very short-term solar
generation forecasting based on LSTM with temporal attention mechanism, 2019 IEEE
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(2019); Sagheer A., Kotb M., Time series forecasting of petroleum production using
deep lstm recurrent networks, Neurocomputing, 323, pp. 203-213, (2019); Smyl S., A
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C., Bainian L., Kecheng P., Chaotic time series prediction using LSTM with CEEMDAN,
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C.W., Dilated convolutional neural networks for time series forecasting, Journal of
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for multivariate
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(1939); Nemenyi P.B., Distribution-Free Multiple Comparisons., (1963)","H.V.
Dudukcu; Yildiz Technical University, Department of Electronics and Communication
Engineering, Istanbul, 34220, Turkey; email: [email protected]",,Elsevier
Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.,Article,Final,,Scopus,2-s2.0-
85145654585
Awotunde J.B.; Ogundokun R.O.; Jimoh R.G.; Misra S.; Aro T.O.,"Awotunde, Joseph
Bamidele (57211158827); Ogundokun, Roseline Oluwaseun (57203967424); Jimoh, Rasheed
Gbenga (57192954046); Misra, Sanjay (56962766700); Aro, Taye Oladele
(57224223930)",57211158827; 57203967424; 57192954046; 56962766700;
57224223930,Machine Learning Algorithm for Cryptocurrencies Price
Prediction,2021,Studies in Computational
Intelligence,972,,,421,447,26,40,10.1007/978-3-030-72236-4_17,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107273654&doi=10.1007%2f978-3-030-72236-
4_17&partnerID=40&md5=366341471eade01de2fa3ee5193ebbd0,"Department of Computer
Science, University of Ilorin, Ilorin, Nigeria; Department of Computer Science,
Landmark University, Omu Aran, Kwara, Nigeria; Department of Electrical and
Information Engineering, Covenant University, Ota, Nigeria; Department of
Mathematical and Computing Sciences, KolaDaisi University, Omu-Aran,
Nigeria","Awotunde J.B., Department of Computer Science, University of Ilorin,
Ilorin, Nigeria; Ogundokun R.O., Department of Computer Science, Landmark
University, Omu Aran, Kwara, Nigeria; Jimoh R.G., Department of Computer Science,
University of Ilorin, Ilorin, Nigeria; Misra S., Department of Electrical and
Information Engineering, Covenant University, Ota, Nigeria; Aro T.O., Department of
Mathematical and Computing Sciences, KolaDaisi University, Omu-Aran,
Nigeria","Cryptocurrency has grown outstandingly in recent years. Additional events
throughout the planet have acknowledged the significance of embracing numeral
benefits virtually with rapid advances seen in these directions. In today's
financial market, the decision to buy or sell cryptocurrency is an interesting
challenge faced by day traders. Over the year, it has reached unprecedented highs
leading to thoughts explaining the trend in its growth. The idea of whether the
movement of financial assets can be predicted has kept investors, economists, and
researchers very engaged in recent years. Therefore, the paper used machine
learning to construct a model for the Stock and Cryptocurrency price prediction
using technical indicators that are most important for market trend study. This
study learns how to adapt Long Short-Term Memory (LSTM) to build the cryptocurrency
price prediction model. The key factors used are available price, close price, high
price, low price, volume and market cap with the interdependencies amid some
cryptocurrencies thus centers on measuring vital features that influence the
trade’s unpredictability by applying the model to increase the effectiveness of the
process. Nonetheless, the cryptocurrency market lacks firm regulatory structures
and is unpredictable, making forecasting prices more difficult and complex. From
the analysis, it was established that machine learning models provide better
performance in predicting cryptocurrency price. The LSTM model outperformed other
models in terms of Bitcoin, Ether and Litecoin cryptocurrencies. The proposed model
is found to be efficient for cryptocurrency price prediction when compared to
similar models with 67.43% accuracy. © 2021, The Author(s), under exclusive license
to Springer Nature Switzerland AG.",Bitcoin; Cryptocurrency; Financial market;
Long-short-term-memory; Machine learning; Price prediction,,,,,,,,"Wilmott P., Paul
Wilmott on Quantitative Finance, (2013); Spilak B., Deep Neural Networks for
Cryptocurrencies Price Prediction (Master’s Thesis, (2018); Fischer T., Krauss C.,
Deep learning with long short-term memory networks for financial market
predictions, European Journal of Operational Research, 270, 2, pp. 654-669, (2018);
Seasholes M.S., Zhu N., Individual investors and local bias, The Journal of
Finance, 65, 5, pp. 1987-2010, (2010); Bogle J.C., The Little Book of Common Sense
Investing: The Only Way to Guarantee Your Fair Share of Stock Market Returns,
(2017); Ahmar A.S., Rahman A., Arifin A.N.M., Ahmar A.A., Predicting movement of
stock of “Y” using Sutte indicator, Cogent Economics & Finance, 5, 1, (2017);
Adhami S., Giudici G., Martinazzi S., Why do businesses go crypto? An empirical
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Ogundokun R.O., Awotunde J.B., Machine Learning Prediction for Covid 19 Pandemic in
India, (2020)","R.O. Ogundokun; Department of Computer Science, Landmark
University, Omu Aran, Kwara, Nigeria; email:
[email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,1860949X,,,,English,Stud. Comput. Intell.,Book chapter,Final,,Scopus,2-
s2.0-85107273654
Ismail M.S.; Md Noorani M.S.; Ismail M.; Abdul Razak F.; Alias M.A.,"Ismail, Mohd
Sabri (57195481217); Md Noorani, Mohd Salmi (6603683028); Ismail, Munira
(57210246081); Abdul Razak, Fatimah (57647901000); Alias, Mohd Almie
(57192893663)",57195481217; 6603683028; 57210246081; 57647901000;
57192893663,Predicting next day direction of stock price movement using machine
learning methods with persistent homology: Evidence from Kuala Lumpur Stock
Exchange,2020,Applied Soft Computing
Journal,93,,106422,,,,35,10.1016/j.asoc.2020.106422,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085531101&doi=10.1016%2fj.asoc.2020.106422&partnerID=40&md5=e9c5977f0a28c0d6720cc
ca912458935,"Department of Mathematical Sciences, Universiti Kebangsaan Malaysia,
Bangi, Selangor, 43600, Malaysia","Ismail M.S., Department of Mathematical
Sciences, Universiti Kebangsaan Malaysia, Bangi, Selangor, 43600, Malaysia; Md
Noorani M.S., Department of Mathematical Sciences, Universiti Kebangsaan Malaysia,
Bangi, Selangor, 43600, Malaysia; Ismail M., Department of Mathematical Sciences,
Universiti Kebangsaan Malaysia, Bangi, Selangor, 43600, Malaysia; Abdul Razak F.,
Department of Mathematical Sciences, Universiti Kebangsaan Malaysia, Bangi,
Selangor, 43600, Malaysia; Alias M.A., Department of Mathematical Sciences,
Universiti Kebangsaan Malaysia, Bangi, Selangor, 43600, Malaysia","Predicting
direction of stock price movement is notably important to provide a better guidance
to assist market participants in making their investment decisions. This study
presents a hybrid method combining machine learning methods with persistent
homology to improve the prediction performance. Three stock prices namely Kuala
Lumpur Composite Index, Kuala Lumpur Stock Exchange Industrial and Kuala Lumpur
Stock Exchange Technology sampled from Kuala Lumpur Stock Exchange are selected for
experimental evaluation. In particular, persistent homology was applied to obtain a
new and useful input vectors of invariant topological features from returns of
these stock prices for further classification task using machine learning methods
such as logistic regression, artificial neural network, support vector machine and
random forest to predict the next day movement direction of Kuala Lumpur Composite
Index. For comparative analysis, we compare the proposed method with others, where
the machine learning methods are applied independently on stock returns and also on
technical indicators respectively. By using the average of prediction performances
and pairwise model comparison method, these two evaluation measures revealed that
machine learning methods with persistent homology produced better prediction
performance. Our results also demonstrated that the combination of support vector
machine with persistent homology generates the best outcome. In general, a
combination of machine learning methods with persistent homology is an emerging and
promising alternative tool for predicting direction of stock price movement. © 2020
Elsevier B.V.",Machine learning methods; Persistent homology; Stock price movement
prediction; Technical indicators,Costs; Decision trees; Financial markets; Fintech;
Forecasting; Investments; Logistic regression; Neural networks; Support vector
machines; Support vector regression; Classification tasks; Comparative analysis;
Experimental evaluation; Investment decisions; Machine learning methods; Prediction
performance; Stock price movements; Topological features; Learning
systems,,,,,"Centre for Research and Instrumentation, (FRGS/1/2019/STG06/UKM/01/3);
Universiti Kebangsaan Malaysia",The authors would like to thank Universiti
Kebangsaan Malaysia and Centre for Research and Instrumentation (CRIM) for the
financial funding through FRGS/1/2019/STG06/UKM/01/3 . ,"Gocken M., Ozcalici M.,
Boru A., Dosdogru A.T., Integrating metaheuristics and artificial neural networks
for improved stock price prediction, Expert Syst. Appl., 44, pp. 320-331, (2016);
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fundamental and practical aspects for data scientists, (2017)","M.S. Ismail;
Department of Mathematical Sciences, Universiti Kebangsaan Malaysia, Selangor,
Bangi, 43600, Malaysia; email: [email protected]",,Elsevier
Ltd,,,,,,15684946,,,,English,Appl. Soft Comput. J.,Article,Final,,Scopus,2-s2.0-
85085531101
Almahdi S.; Yang S.Y.,"Almahdi, Saud (57194597306); Yang, Steve Y.
(24802841600)",57194597306; 24802841600,A constrained portfolio trading system
using particle swarm algorithm and recurrent reinforcement learning,2019,Expert
Systems with Applications,130,,,145,156,11,50,10.1016/j.eswa.2019.04.013,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85064433484&doi=10.1016%2fj.eswa.2019.04.013&partnerID=40&md5=59cdf6d6b51e2111d6a00
8646f914fc3,"School of Business, Stevens Institute of Technology, 1 Castle Point on
Hudson, Hoboken, 07030, NJ, United States","Almahdi S., School of Business, Stevens
Institute of Technology, 1 Castle Point on Hudson, Hoboken, 07030, NJ, United
States; Yang S.Y., School of Business, Stevens Institute of Technology, 1 Castle
Point on Hudson, Hoboken, 07030, NJ, United States","This study extends a recurrent
reinforcement portfolio allocation and rebalancing management system with complex
portfolio constraints using particle swarm algorithms. In particular, we propose to
use a combination of recurrent reinforcement learning (RRL) and particle swarm
algorithm (PSO) with Calmar ratio for both asset allocation and constraint
optimization. Using S&P100 index stocks, we show such a system with a Calmar ratio
based objective function yields a better efficient frontier than the Sharpe ratio
and mean-variance based portfolios. By comparing with multiple PSO based long only
constrained portfolios, we propose an optimal portfolio trading system that is
capable of generating both long and short signals and handling the common portfolio
constraints. We further develop an adaptive RRL-PSO portfolio rebalancing decision
system with a market condition stop-loss retraining mechanism, and we show that the
proposed portfolio trading system outperforms the benchmarks consistently
especially under high transaction cost conditions. © 2019",Optimal portfolio
rebalancing; Particle swarm optimization; Portfolio constraint; Recurrent
reinforcement learning,Commerce; Constrained optimization; Costs; Financial
markets; Investments; Learning algorithms; Machine learning; Particle swarm
optimization (PSO); Reinforcement learning; Swarm intelligence; Constrained
portfolios; Constraint optimizations; Objective functions; Optimal portfolios;
Particle swarm algorithm; Portfolio constraints; Rebalancing; Recurrent
reinforcement learning; Electronic trading,,,,,"Stevens Institute of Technology;
Saudi Arabian Cultural Mission, SACM","The authors also acknowledge that Saud
Almahdi has been funded by the Saudi Arabian Cultural Mission (SACM) fellowship
during his Doctoral study at Stevens Institute of Technology, and Steve Y. Yang was
an Assistant Professor in the School of Business at Stevens Institute of
Technology. There are no other affiliations with or involvement in other
organizations or entities with financial interest (such as honoraria; educational
grants; participation in speakers' bureaus; membership, employment, consultancies,
stock ownership, or other equity interest; and expert testimony or patent-licensing
arrangements), or non-financial interest (such as personal or professional
relationships, affiliations, knowledge or beliefs) in the subject matter or
materials discussed in this manuscript.","Almahdi S., Yang S.Y., An adaptive
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63, 3, pp. 1437-1467, (2008); Wang F., Philip L., Cheung D.W., Combining technical
trading rules using particle swarm optimization, Expert Systems with applications,
41, 6, pp. 3016-3026, (2014); Worasucheep C., Nuannimnoi S., Khamvichit R.,
Attagonwantana P., An automatic stock trading system using particle swarm
optimization, Electrical engineering/electronics, computer, telecommunications and
information technology (ecti-con), 2017 14th international conference on, pp. 497-
500, (2017); Xu F., Chen W., Yang L., Improved particle swarm optimization for
realistic portfolio selection, Software engineering, artificial intelligence,
networking, and parallel/distributed computing, 2007. SNPD 2007. Eighth ACIS
international conference on, 1, pp. 185-190, (2007); Zhang J., Maringer D.,
Indicator selection for daily equity trading with recurrent reinforcement learning,
Proceedings of the 15th annual conference companion on genetic and evolutionary
computation, pp. 1757-1758, (2013); Zhu
H., Wang Y., Wang K., Chen Y., Particle swarm optimization (PSO) for the
constrained portfolio optimization problem, Expert Systems with Applications, 38,
8, pp. 10161-10169, (2011)","S.Y. Yang; School of Business, Stevens Institute of
Technology, 1 Castle Point on Hudson, Hoboken, 07030, United States; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85064433484
Bhatia A.; Chandani A.; Atiq R.; Mehta M.; Divekar R.,"Bhatia, Ankita
(57190784469); Chandani, Arti (27367561800); Atiq, Rizwana (57250598000); Mehta,
Mita (56260693000); Divekar, Rajiv (57144293000)",57190784469; 27367561800;
57250598000; 56260693000; 57144293000,Artificial intelligence in financial
services: a qualitative research to discover robo-advisory
services,2021,Qualitative Research in Financial
Markets,13,5,,632,654,22,48,10.1108/QRFM-10-2020-0199,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85114479085&doi=10.1108%2fQRFM-10-2020-
0199&partnerID=40&md5=1c88d0079fb516bd7d104b8e2ccb1f6a,"Symbiosis Institute of
Management Studies, Symbiosis International (Deemed University), Pune, India;
Department of Commerce and Business Management, Integral University, Lucknow,
India","Bhatia A., Symbiosis Institute of Management Studies, Symbiosis
International (Deemed University), Pune, India; Chandani A., Symbiosis Institute of
Management Studies, Symbiosis International (Deemed University), Pune, India; Atiq
R., Department of Commerce and Business Management, Integral University, Lucknow,
India; Mehta M., Symbiosis Institute of Management Studies, Symbiosis International
(Deemed University), Pune, India; Divekar R.","Purpose: The purpose of this study
is to gauge the awareness and perception of Indian individual investors about a new
fintech innovation known as robo-advisors in the wealth management scenario. Robo-
advisors are comprehensive automated online advisory platforms that help investors
in managing wealth by recommending portfolio allocations, which are based on
certain algorithms. Design/methodology/approach: This is a phenomenological
qualitative study that used five focussed group discussions to gather the
stipulated information. Purposive sampling was used and the sample comprised
investors who actively invest in the Indian stock market. A semi-structured
questionnaire and homogeneous discussions were used for this study. Discussion time
for all the groups was 203 min. One of the authors moderated the discussions and
translated the audio recordings verbatim. Subsequently, content analysis was
carried out by using the NVIVO 12 software (QSR International) to derive different
themes. Findings: Factors such as cost-effectiveness, trust, data security,
behavioural biases and sentiments of the investors were observed as crucial points
which significantly impacted the perception of the investors. Furthermore, several
suggestions on different ways to enhance the awareness levels of investors were
brought up by the participants during the discussions. It was observed that some
investors perceive robo-advisors as only an alternative for fund/wealth
managers/brokers for quantitative analysis. Also, they strongly believe that human
intervention is necessary to gauge the emotions of the investors. Hence, at
present, robo-advisors for the Indian stock market, act only as a supplementary
service rather than a substitute for financial advisors. Research
limitations/implications: Due to the explorative nature of the study and limited
participants, the findings of the study cannot be generalised to the overall
population. Future research is imperative to study the dynamic nature of artificial
intelligence (AI) theories and investigate whether they are able to capture the
sentiments of individual investors and human sentiments impacting the market.
Practical implications: This study gives an insight into the awareness, perception
and opinion of the investors about robo-advisory services. From a managerial
perspective, the findings suggest that additional attention needs to be devoted to
the adoption and inculcation of AI and machine learning theories while building
algorithms or logic to come up with effective models. Many investors expressed
discontent with the current design of risk profiles of the investors. This helps to
provide feedback for developers and designers of robo-advisors to include advanced
and detailed programming to be able to do risk profiling in a more comprehensive
and precise manner. Social implications: In the future, robo-advisors will change
the wealth management scenario. It is well-established that data is the new oil for
all businesses in the present times. Technologies such as robo-advisor, need to
evolve further in terms of predicting unstructured data, improvising qualitative
analysis techniques to include the ability to gauge emotions of investors and
markets in real-time. Additionally, the behavioural biases of both the programmers
and the investors need to be taken care of simultaneously while designing these
automated decision support systems. Originality/value: This study fulfils an
identified gap in the literature regarding the investors’ perception of new fintech
innovation, that is, robo-advisors. It also clarifies the confusion about the
awareness level of robo-advisors amongst Indian individual investors by examining
their attitudes and by suggesting innovations for future research. To the best of
the authors’ knowledge, this study is the first to investigate the awareness,
perception and attitudes of individual investors towards robo-advisors. © 2021,
Emerald Publishing Limited.",Artificial intelligence; Fintech; Focussed group
discussion; Qualitative research; Robo-advisory; Wealth management,,,,,,,,"Abraham
F., Schmukler S.L., Tessada J., Robo-advisors: investing through machines, World
Bank Policy Research Working Paper, (2019); Baker T., Dellaerf B., Regulating robo
advice across the financial services industry, Iowa Law Review, 10, 2, pp. 713-749,
(2018); Belanche D., Casalo L.V., Flavian C., Artificial intelligence in FinTech:
understanding robo-advisors adoption among customers, Industrial Management and
Data Systems, 119, 7, (2019); Beltramini E., Human vulnerability and robo-advisory,
Baltic Journal of Management, 13, 2, (2018); Brenner L., Meyll T., Robo-advisors: a
substitute for human financial advice?, Journal of Behavioral and Experimental
Finance, 25, (2019); Burgess C., Swigger K., A graphical database interface for
casual, naive users, Information Processing and Management, 22, 6, pp. 511-521,
(1986); C Lopez J., Babcic S., De La Ossa A., Advice goes virtual: how new digital
investment services are changing the wealth management landscape, Journal of
Financial Perspectives, 3, 3, (2015); Cedrell L., Issa N., The adoption of robo-
advisory in the Swedish financial technology market: analysing the consumer
perspective, (2018); Chhabra A.B., Beyond Markowitz: a comprehensive wealth
allocation framework for individual investors, The Journal of Wealth Management, 7,
4, pp. 8-34, (2005); Cocca T., Potential and limitations of virtual advice in
wealth management, Journal of Financial Transformation, 44, 1, (2016); D'Hondt C.,
De Winne R., Ghysels E., Raymond S., Artificial intelligence alter egos: who
benefits from robo-investing?, (2019); Dolata M., Schwabe G., Tuning in to more
interactivity – learning from IT support for, Advisory Service Encounters. i-Com,
16, 1, pp. 23-33, (2017); Edwards B.P., The rise of automated investment advice:
can robo – Advisers rescue the retail market, Chi.-Kent L. Rev, 93, (2018); Elo S.,
Kyngas H., The qualitative content analysis process, Journal of Advanced Nursing,
62, 1, pp. 107-115, (2008); Flavian C., Guinaliu M., Gurrea R., The role played by
perceived usability, satisfaction and consumer trust on website loyalty,
Information & management, 43, 1, pp. 1-14, (2006); Fulk M., Grable J.E., Watkins
C.F.P., Kruger M., Who uses robo-advisory services, and who does not?, Financial
Services Review, 27, 2, pp. 173-188, (2018); Ghosh B., Srinivasan P., BSE 100
market capitalization follows sentiment of investors or technical methods – an
analytical study, Scholarly Research Journal for Humanity Science and English
Language, 1, 3, pp. 400-404, (2014); Glaser F., Iliewa Z., Jung D., Weber M.,
Towards designing robo-advisors for unexperienced investors with experience
sampling of time-series data, Information Systems and Neuroscience, pp. 133-138,
(2019); Inder S., Aggarwal A., Gupta S., Gupta S., Rastogi S., An integrated model
of financial literacy among B–school graduates using fuzzy AHP and factor analysis,
The Journal of Wealth Management, 23, 4, (2020); Jain J., Walia N., Gupta S.,
Evaluation of behavioral biases affecting investment decision making of individual
equity investors by fuzzy analytic hierarchy process, Review of Behavioral Finance,
12, 3, pp. 297-314, (2019); Jung D., Erdfelder E., Glaser F., Nudged to win:
designing robo-advisory to overcome decision inertia, ECIS, (2018); Kahneman D.,
Tversky A., Prospect theory: an analysis of decision under risk, Econometrica, 47,
2, (1979); Kumar M., Gupta S., Security perception of e-banking users in India: an
analytical hierarchy process, Banks and Bank Systems, 15, 1, pp. 11-20, (2020); Lam
J.W., Robo-advisors: a portfolio management perspective, (2016); Lee S., Choi J.,
Ngo-Ye T.L., Cummings M., Modeling trust in the adoption decision process of robo-
advisors: an agent-based simulation approach, In Proceedings of the Tenth Midwest
Association for Information Systems Conference, pp. 17-18, (2018); Moore G.C.,
Benbasat I., Development of an instrument to measure the perceptions of adopting an
information technology innovation, Information Systems Research, 2, 3, pp. 192-222,
(1991); Nevins D., Goals-based investing: integrating traditional and behavioral
finance, The Journal of Wealth Management, 6, 4, pp. 8-23, (2004); Nikiforova T.,
The place of robo-advisors in the UK Independent financial advice market.
substitute or complement?, Substitute or Complement, (2017); Peter M.J., Four
behavioural biases and how to fight them [blog post], (2019); Phoon K., Koh F.,
Robo-advisors and wealth management, The Journal of Alternative Investments, 20, 3,
pp.
79-94, (2017); Rourke C., Leveraging the Competition: How Wealth Managers Can Use
Robo-Advisors to their Advantage, (2019); Salampasis D., Mention A.L., Kaiser A.O.,
Wealth management in times of robo: towards hybrid human-machine interactions,
(2017); Singh I., Kaur N., Wealth management through robo advisory, International
Journal of Research -GRANTHAALAYAH, 5, 6, pp. 33-43, (2017); Market Report, (2019);
Tillmans S., Rabo-advisors: how can automated investment advice change risk
profiling practices, (2017); Tertilt M., Scholz P., To advise, or not to advise –
how robo-advisors evaluate the risk preferences of private investors, The Journal
of Wealth Management, 21, 2, pp. 70-84, (2018); Tokic D., BlackRock robo‐advisor
4.0: when artificial intelligence replaces human discretion, Strategic Change, 27,
4, pp. 285-290, (2018); Tongco M.D.C., Purposive sampling as a tool for informant
selection, Ethnobotany Research and Applications, 5, pp. 147-158, (2007); Woodyard
A.S., Grable J.E., Insights into the users of robo-advisory firms, Journal of
Financial Service Professionals, 72, 5, (2018); Zhang D., Big data security and
privacy protection, pp. 275-278, (2018); (2019)","A. Chandani; Symbiosis Institute
of Management Studies, Symbiosis International (Deemed University), Pune, India;
email: [email protected]",,Emerald Publishing,,,,,,17554179,,,,English,Qual.
Res. Financ. Markets,Article,Final,,Scopus,2-s2.0-85114479085
Yang J.; Zhao C.; Yu H.; Chen H.,"Yang, JinShan (57395652100); Zhao, ChenYue
(57219866735); Yu, HaoTong (57395343400); Chen, HeYang (57395343500)",57395652100;
57219866735; 57395343400; 57395343500,Use GBDT to Predict the Stock
Market,2020,Procedia Computer
Science,174,,,161,171,10,44,10.1016/j.procs.2020.06.071,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85100405860&doi=10.1016%2fj.procs.2020.06.071&partnerID=40&md5=e42c069ebc04e9562c58
67b664de95a3,"Xi’an JiaoTong Liverpool University, Suzhou, China; JiLin University,
Changchun, China; SiChuan University, Chengdu, China; NewYork University, NewYork,
United States","Yang J., Xi’an JiaoTong Liverpool University, Suzhou, China; Zhao
C., JiLin University, Changchun, China; Yu H., SiChuan University, Chengdu, China;
Chen H., NewYork University, NewYork, United States","Prediction of stock market is
important and popular for investors, to decrease the loss and increase the profit,
how to prevent the risk becomes a special field and there is amount of solutions of
the problem. Previous researches were focus on the factors that may influence the
emotions of investors, the researchers finished researches based on the social
media, the period of stock market and applied different models to extract the
feature of stock. We first used natural language processing to deal with the text,
including TF-IDF, Word2Vec, CountVectorizer and Doc2Vec. Then, we reduce dimension
by PCA, finally, we used machine learning to deal with data, including Adaboost,
XGboost and GBDT, decision tree, logistics regression. After voting process, we
find GBDT is the most accurate algorithm to predict the stock. Comparing with
previous work, we focus on the emotion and select information from news, which is
more accurate than other researches. © 2020 The Authors. Published by Elsevier B.V.
This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/)",GBDT; Natural language
processing; Stock market; XGboost,Adaptive boosting; Commerce; Decision trees;
Electronic trading; Financial markets; Investments; Natural language processing
systems; GBDT; Logistics regressions; Social media; Stock market; Voting process;
Xgboost; Forecasting,,,,,,,"Chong E., Han C., Park F.C., Deep learning networks for
stock market analysis and prediction: Methodology, data representations, and case
studies, IEEE Expert Systems with Application, 83, pp. 178-205, (2017); Ehsan H.,
Saman H., CNNPred: CNN-Based Stock Market Prediction Using Seversl Data Sources,
(2018); Selvamuthu D., Kumar V., Mishra A., Indian stock market prediction using
artificial neural networks on tick data, Financial Innovation, (2019); Wang H., Lu
S., Zhao J., Aggregating Multiple Types of Complex Data in Stock Market Prediction:
A Model-Independent Framework, (2018); Zhang X., Li Y., Wang S., Fang B., Yu P.S.,
Enhancing Stock Market Prediction with Extended Coupled Hidden, (2018); Zhang X.,
Shi J., Wang D., Fang B., Exploiting investors social network for stock prediction
in China’ s market, Journal of Computational Science, 28, pp. 294-303, (2018);
Zhang X., Qu S., Huang J., Fang B., Yu P., Stock Market Prediction Via Multi-Source
Multiple Instance Learning, (2018); Forecasting to Classification: Predicting the
Direction of Stock Market Price Using Xtreme Gradient Boosting October, (2016);
Timmermann A., Granger C.W., Ecient markethypothesis and forecasting, International
Journal of Fore-Casting, 20, pp. 15-27, (2004); Imandoust S.B., Bolan-Draftar M.,
Forecasting the direction of stock market index movement using three data mining
techniques: The case of Tehran Stock ExchangeS., Bafandeh Imandoust Int. Journal of
Engineering Research and Applications, 4, 6, pp. 106-117, (2014)",,Bie R.; Sun Y.;
Yu J.,Elsevier B.V.,,"8th International Conference on Identification, Information
and Knowledge in the Internet of Things, IIKI 2019",25 October 2019 through 27
October 2019,Jinan,175714,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85100405860
Soni P.; Tewari Y.; Krishnan D.,"Soni, Payal (57420026400); Tewari, Yogya
(57420026300); Krishnan, Deepa (56322533400)",57420026400; 57420026300;
56322533400,Machine Learning Approaches in Stock Price Prediction: A Systematic
Review,2022,Journal of Physics: Conference Series,2161,1,12065,,,,53,10.1088/1742-
6596/2161/1/012065,https://www-scopus-com-paruluniversity.knimbus.com/inward/
record.uri?eid=2-s2.0-85124686006&doi=10.1088%2f1742-
6596%2f2161%2f1%2f012065&partnerID=40&md5=2953ade1b9c16aeca330029e096e6d94,"Departm
ent of Computer Engineering, Mukesh Patel School of Technology Management and
Engineering, NMIMS University(Deemed-to-be), Mumbai, India","Soni P., Department of
Computer Engineering, Mukesh Patel School of Technology Management and Engineering,
NMIMS University(Deemed-to-be), Mumbai, India; Tewari Y., Department of Computer
Engineering, Mukesh Patel School of Technology Management and Engineering, NMIMS
University(Deemed-to-be), Mumbai, India; Krishnan D., Department of Computer
Engineering, Mukesh Patel School of Technology Management and Engineering, NMIMS
University(Deemed-to-be), Mumbai, India","Prediction of stock prices is one of the
most researched topics and gathers interest from academia and the industry alike.
With the emergence of Artificial Intelligence, various algorithms have been
employed in order to predict the equity market movement. The combined application
of statistics and machine learning algorithms have been designed either for
predicting the opening price of the stock the very next day or understanding the
long term market in the future. This paper explores the different techniques that
are used in the prediction of share prices from traditional machine learning and
deep learning methods to neural networks and graph-based approaches. It draws a
detailed analysis of the techniques employed in predicting the stock prices as well
as explores the challenges entailed along with the future scope of work in the
domain. © 2022 Institute of Physics Publishing. All rights reserved.",,Commerce;
Costs; Deep learning; Electronic trading; Forecasting; Graphic methods; Learning
algorithms; Equity markets; Learning methods; Machine learning algorithms; Machine
learning approaches; Networks and graphs; Neural-networks; Share price; Stock
price; Stock price prediction; Systematic Review; Financial markets,,,,,,,"Shah D.,
Isah H., Zulkernine F., Stock market analysis: A review and taxonomy of prediction
techniques, International Journal of Financial Studies, 7, 2, (2019); Bustos O.,
Pomares-Quimbaya A., Stock market movement forecast: A Systematic Review, Expert
Systems with Applications, 156, (2020); Jose J., Mana S., Samhitha B.K., An
efficient system to predict and analyze stock data using Hadoop techniques,
International Journal of Recent Technology and Engineering (IJRTE), 8, 2, pp. 2277-
3878, (2019); Hu Z., Zhao Y., Khushi M., A survey of forex and stock price
prediction using deep learning, Applied System Innovation, 4, 1, (2021); Obthong
M., Tantisantiwong N., Jeamwatthanachai W., Wills G., A survey on machine learning
for stock price prediction: algorithms and techniques, (2020); Yadav A.,
Vishwakarma D.K., Sentiment analysis using deep learning architectures: a review,
Artificial Intelligence Review, 53, 6, pp. 4335-4385, (2020); Sulandari W.,
Suhartono Subanar, Rodrigues P.C., Exponential Smoothing on Modeling and
Forecasting Multiple Seasonal Time Series: An Overview, Fluctuation and Noise
Letters, (2021); Kumar I., Dogra K., Utreja C., Yadav P., A comparative study of
supervised machine learning algorithms for stock market trend prediction, 2018
Second International Conference on Inventive Communication and Computational
Technologies (ICICCT), pp. 1003-1007, (2018); Ingle V., Deshmukh S., Hidden Markov
model implementation for prediction of stock prices with TF-IDF features,
Proceedings of the International Conference on Advances in Information
Communication Technology & Computing, pp. 1-6, (2016); Singh Sukhman, Madan Tarun
Kumar, Kumar J., Singh A., Stock Market Forecasting using Machine Learning: Today
and Tomorrow, 2019 2nd International Conference on Intelligent Computing,
Instrumentation and Control Technologies (ICICICT), 1, pp. 738-745, (2019); Pahwa
K., Agarwal N., Stock market analysis using supervised machine learning, 2019
International Conference on Machine Learning, Big Data, Cloud and Parallel
Computing (COMITCon), pp. 197-200, (2019); Misra Meghna, Yadav Ajay Prakash, Kaur
Harkiran, Stock Market Prediction using Machine Learning Algorithms: A
Classification Study, 2018 International Conference on Recent Innovations in
Electrical, Electronics & Communication Engineering (ICRIEECE), pp. 2475-2478,
(2018); Vats P., Samdani K., Study on Machine Learning Techniques In Financial
Markets, 2019 IEEE International Conference on System, Computation, Automation and
Networking (ICSCAN), pp. 1-5, (2019); Song Y., Lee J., Design of stock price
prediction model with various configurations of input features, Proceedings of the
International Conference on Artificial Intelligence, Information Processing and
Cloud Computing, pp. 1-5, (2019); Werawithayaset P., Tritilanunt S., Stock Closing
Price Prediction Using Machine Learning, 2019 17th International Conference on ICT
and Knowledge Engineering (ICT&KE), pp. 1-8, (2019); Xingzhou L., Hong R., Yujun
Z., Predictive Modeling of Stock Indexes Using Machine Learning and Information
Theory, Proceedings of the 2019 10th International Conference on E-business,
Management and Economics, pp. 175-179, (2019); Sarode S., Tolani H. G., Kak P.,
Life C. S., Stock Price Prediction Using Machine Learning Techniques, 2019
International Conference on Intelligent Sustainable Systems (ICISS), pp. 177-181,
(2019); Jeevan B., Naresh E., Kambli P., Share Price Prediction using Machine
Learning Technique, 2018 3rd International Conference on Circuits, Control,
Communication and Computing (I4C), pp. 1-4, (2018); Sharma V., Khemnar R., Kumari
R., Mohan B.R., Time series with sentiment analysis for stock price prediction,
2019 2nd International Conference on Intelligent Communication and Computational
Techniques (ICCT), pp. 178-181, (2019); Patil P., Wu C.S.M., Potika K., Orang M.,
Stock market prediction using an ensemble of graph theory, machine learning and
deep learning models, Proceedings of the 3rd International Conference on Software
Engineering and Information Management, pp. 85-92, (2020); Kim R., So C.H., Jeong
M., Lee S., Kim J., Kang J., Hats: A hierarchical graph attention network for stock
movement prediction, (2019); Xu Y., Keselj V., Stock prediction using deep learning
and sentiment analysis, 2019 IEEE International Conference on Big Data (Big Data),
pp. 5573-5580, (2019); Pasupulety U., Anees A.A., Anmol S., Mohan B.R., Predicting
stock prices using ensemble learning and sentiment analysis, 2019 IEEE Second
International Conference on Artificial Intelligence and Knowledge Engineering
(AIKE), pp. 215-222, (2019); Jain S., Gupta R., Moghe A.A., Stock price prediction
on daily stock data using deep neural networks, 2018 International Conference on
Advanced Computation and Telecommunication (ICACAT), pp. 1-13, (2018); Parray I.R.,
Khurana S.S., Kumar M., Altalbe A.A., Time-series data analysis of stock price
movement using machine learning techniques, Soft Computing, 24, 21, pp. 16509-
16517, (2020); Hu Z., Zhao Y., Khushi M., A survey of forex and stock price
prediction using deep learning, Applied System Innovation, 4, 1, (2021)",,,IOP
Publishing Ltd,,"1st International Conference on Artificial Intelligence,
Computational Electronics and Communication System, AICECS 2021",28 October 2021
through 30 October 2021,"Manipal, Virtual",176781,17426588,,,,English,J. Phys.
Conf. Ser.,Conference paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85124686006
Ilias L.; Roussaki I.,"Ilias, Loukas (57222863406); Roussaki, Ioanna
(6506153969)",57222863406; 6506153969,Detecting malicious activity in Twitter using
deep learning techniques,2021,Applied Soft
Computing,107,,107360,,,,40,10.1016/j.asoc.2021.107360,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85104102374&doi=10.1016%2fj.asoc.2021.107360&partnerID=40&md5=2c1b1fedb2e6fa3fd0b81
0327237de4e,"School of Electrical and Computer Engineering, National Technical
University of Athens (NTUA), Greece","Ilias L., School of Electrical and Computer
Engineering, National Technical University of Athens (NTUA), Greece; Roussaki I.,
School of Electrical and Computer Engineering, National Technical University of
Athens (NTUA), Greece","Undoubtedly, social media, such as Facebook and Twitter,
constitute a major part of our everyday life due to the incredible possibilities
they offer to their users. However, Twitter and generally online social networks
(OSNs) are increasingly used by automated accounts, widely known as bots, due to
their immense popularity across a wide range of user categories. Their main purpose
is the dissemination of fake news, the promotion of specific ideas and products,
the manipulation of the stock market and even the diffusion of sexually explicit
material. Therefore, the early detection of bots in social media is quite
essential. In this paper, two methods are introduced targeting this that are mainly
based on Natural Language Processing (NLP) to distinguish legitimate users from
bots. In the first method, a feature extraction approach is proposed for
identifying accounts posting automated messages. After applying feature selection
techniques and dealing with imbalanced datasets, the subset of features selected is
fed in machine learning algorithms. In the second method, a deep learning
architecture is proposed to identify whether tweets have been posted by real users
or generated by bots. To the best of the authors’ knowledge, there is no prior work
on using an attention mechanism for identifying bots. The introduced approaches
have been evaluated over a series of experiments using two large real Twitter
datasets and demonstrate valuable advantages over other existing techniques
targeting the identification of malicious users in social media. © 2021 The
Authors",Attention mechanism; Bot detection; Deep learning; Feature extraction;
Feature selection; Machine learning; Natural Language Processing; Social media;
Twitter,Botnet; Feature extraction; Large dataset; Learning algorithms; Learning
systems; Natural language processing systems; Social networking (online); Attention
mechanisms; Imbalanced Data-sets; Learning architectures; Learning techniques;
Malicious activities; NAtural language processing; Online social networks (OSNs);
Selection techniques; Deep learning,,,,,"ARIS, (pa200501)","This work was supported
with processing resources granted by the National Infrastructures for Research and
Technology S.A. (GRNET) in the National HPC facility - ARIS, Greece - under project
ID pa200501 .","Orabi M., Mouheb D., Al Aghbari Z., Kamel I., Detection of bots in
social media: A systematic review, Inf. Process. Manage., 57, 4, (2020); Andriotis
P., Takasu A., Emotional bots: Content-based spammer detection on social media,
2018 IEEE International Workshop on Information Forensics and Security (WIFS), pp.
1-8, (2018); Liu L., Lu Y., Luo Y., Zhang R., Itti L., Lu J., Detecting “smart”
spammers on social network: A topic model approach, Proceedings of the NAACL
Student Research Workshop, pp. 45-50, (2016); Davis C.A., Varol O., Ferrara E.,
Flammini A., Menczer F., Botornot: A system to evaluate social bots, pp. 273-274,
(2016); Kaubiyal J., Jain A.K., A feature based approach to detect fake profiles in
twitter, pp. 135-139, (2019); Narayanan A., Garg A., Arora I., Sureka T., Sridhar
M., Prasad H., Ironsense: Towards the identification of fake user-profiles on
twitter using machine learning, 2018 Fourteenth International Conference on
Information Processing (ICINPRO), pp. 1-7, (2018); Fazil M., Abulaish M., A hybrid
approach for detecting automated spammers in twitter, IEEE Trans. Inf. Forensics
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(2020)","I.
Roussaki; School of Electrical and Computer Engineering, National Technical
University of Athens (NTUA), Greece; email: [email protected]",,Elsevier
Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.,Article,Final,All Open Access;
Hybrid Gold Open Access,Scopus,2-s2.0-85104102374
Sahu S.K.; Mokhade A.; Bokde N.D.,"Sahu, Santosh Kumar (57202969819); Mokhade, Anil
(36053020400); Bokde, Neeraj Dhanraj (57148487500)",57202969819; 36053020400;
57148487500,"An Overview of Machine Learning, Deep Learning, and Reinforcement
Learning-Based Techniques in Quantitative Finance: Recent Progress and
Challenges",2023,Applied Sciences
(Switzerland),13,3,1956,,,,47,10.3390/app13031956,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85147954047&doi=10.3390%2fapp13031956&partnerID=40&md5=94902846699d098b6b6529f70ef2
f6ec,"Department of Computer Science and Engineering, Visvesvaraya National
Institute of Technology, Maharashtra, Nagpur, 440010, India; Center for
Quantitative Genetics and Genomics, Aarhus University, Aarhus, 8000, Denmark","Sahu
S.K., Department of Computer Science and Engineering, Visvesvaraya National
Institute of Technology, Maharashtra, Nagpur, 440010, India; Mokhade A., Department
of Computer Science and Engineering, Visvesvaraya National Institute of Technology,
Maharashtra, Nagpur, 440010, India; Bokde N.D., Center for Quantitative Genetics
and Genomics, Aarhus University, Aarhus, 8000, Denmark","Forecasting the behavior
of the stock market is a classic but difficult topic, one that has attracted the
interest of both economists and computer scientists. Over the course of the last
couple of decades, researchers have investigated linear models as well as models
that are based on machine learning (ML), deep learning (DL), reinforcement learning
(RL), and deep reinforcement learning (DRL) in order to create an accurate
predictive model. Machine learning algorithms can now extract high-level financial
market data patterns. Investors are using deep learning models to anticipate and
evaluate stock and foreign exchange markets due to the advantage of artificial
intelligence. Recent years have seen a proliferation of the deep reinforcement
learning algorithm’s application in algorithmic trading. DRL agents, which combine
price prediction and trading signal production, have been used to construct several
completely automated trading systems or strategies. Our objective is to enable
interested researchers to stay current and easily imitate earlier findings. In this
paper, we have worked to explain the utility of Machine Learning, Deep Learning,
Reinforcement Learning, and Deep Reinforcement Learning in Quantitative Finance
(QF) and the Stock Market. We also outline potential future study paths in this
area based on the overview that was presented before. © 2023 by the
authors.",algorithmic trading; artificial intelligence; deep learning; machine
learning; quantitative trading; reinforcement learning; technical
indicators,,,,,,,,"Jiang W., Applications of deep learning in stock market
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Appl. Sci, 9, (2019)","N.D. Bokde; Center for Quantitative Genetics and Genomics,
Aarhus University, Aarhus, 8000, Denmark; email:
[email protected]",,MDPI,,,,,,20763417,,,,English,Appl. Sci.,Review,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85147954047
Carosia A.E.O.; Coelho G.P.; Silva A.E.A.,"Carosia, A.E.O. (57493412400); Coelho,
G.P. (8899556100); Silva, A.E.A. (57104208800)",57493412400; 8899556100;
57104208800,Analyzing the Brazilian Financial Market through Portuguese Sentiment
Analysis in Social Media,2020,Applied Artificial
Intelligence,34,1,,1,19,18,43,10.1080/08839514.2019.1673037,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074703637&doi=10.1080%2f08839514.2019.1673037&partnerID=40&md5=da0a8a84abc13096ae
6ec859e7d7e9fc,"Federal Institute of São Paulo (IFSP), São João da Boa Vista,
Brazil; School of Technology (FT), University of Campinas (UNICAMP), Limeira,
Brazil","Carosia A.E.O., Federal Institute of São Paulo (IFSP), São João da Boa
Vista, Brazil, School of Technology (FT), University of Campinas (UNICAMP),
Limeira, Brazil; Coelho G.P., School of Technology (FT), University of Campinas
(UNICAMP), Limeira, Brazil; Silva A.E.A., School of Technology (FT), University of
Campinas (UNICAMP), Limeira, Brazil","According to the Efficient Market Hypothesis,
financial market movements are dependent on news and external events that have a
significant impact on the market value of companies. Thus, a great amount of
applications has arisen to explore this knowledge through automatic sentiment and
opinion extraction. The technique known as Sentiment Analysis (SA) aims to analyze
opinions, sentiments, and emotions present in unstructured data, leading many
papers to address the impact of news and social media publications on the financial
market. However, the literature lacks works considering the effects of sentiment
available on social media and its impacts on the Brazilian stock market. This work
aims to conduct a study of the Brazilian stock market movement through SA in
Twitter considering tree perspectives: (i) absolute number of tweet sentiments;
(ii) tweets sentiments weighted by favorites; and (iii) tweets sentiments weighted
by retweets. The analyzed period was the Brazilian electoral period of 2018 (01-
Oct-2018 to 31-Dec-2018). In this paper, we first developed a comparison study with
SA Machine Learning techniques (Naive Bayes, Support Vector Machines, Maximum
Entropy, and Multilayer Perceptron) and then applied the best algorithm to
establish the relations between sentiments and the Brazilian stock market movement
considering different time frames (windows sizes). Results indicate that Multilayer
Perceptron was the best technique to perform SA in Portuguese. In addition, we
observed that the predominant sentiment in social media relates to the stock market
movement, improving accuracy as long as windows sizes are increased. © 2019, © 2019
Taylor & Francis.",,Commerce; Maximum entropy methods; Multilayers; Sentiment
analysis; Social networking (online); Support vector machines; Absolute number;
Efficient market hypothesis; Market values; Multilayers perceptrons; News media;
Opinion extraction; Sentiment analysis; Social media; Unstructured data; Window
Size; Financial markets,,,,,"Espaço da Escrita - Pró-Reitoria de Pesquisa;
Universidade Estadual de Campinas, UNICAMP","The authors thank Espaço da Escrita -
Pró-Reitoria de Pesquisa - UNICAMP - for the language services provided. We also
thank MSc. Renato Martins (CEFET-MG), PhD Adriano Pereira (UFMG), and PhD Fabrício
Benevenuto (UFMG) for providing the databases used for the experiments of this
study.","Arias M., Arratia A., Xuriguera R., Forecasting with twitter data, ACM
Transactions on Intelligent Systems and Technology, 5, 1, pp. 1-24, (2013); Assis
C.A.S., Machado E.J., Pereira A.C.M., Carrano E.G., Hybrid deep learning approach
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Evaluating sentiment in financial news articles, Decision Support Systems, 53, 3,
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25, (2017); Taboada M., Brooke J., Tofiloski M., Voll K., Stede M., Lexicon-based
methods for sentiment analysis, Technical Report 2, (2011); Vargas M.R., de Lima
B.S.L.P., Evsukoff A.G., Deep learning for stock market prediction from financial
news articles, 2017 IEEE International Conference on Computational Intelligence and
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(2017); Yan D., Zhou G., Zhao X., Tian Y., Yang F., Predicting stock using
microblog moods, China Communications, 13, 8, pp. 244-257, (2016); Yoshihara A.,
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neural networks, Springer International Publishing, pp. 759-769, (2014); Zhao B.,
Yongji H., Yuan C., Huang Y., Stock market prediction exploiting microblog
sentiment analysis, 2016 International Joint Conference on Neural Networks (IJCNN),
pp. 4482-4488, (2016)","A.E.O. Carosia; Federal Institute of São Paulo (IFSP), São
João da Boa Vista, Brazil; email: [email protected]",,"Bellwether
Publishing, Ltd.",,,,,,8839514,,AAINE,,English,Appl Artif
Intell,Article,Final,,Scopus,2-s2.0-85074703637
Srivastava P.R.; Zhang Z.; Eachempati P.,"Srivastava, Praveen Ranjan (57225667071);
Zhang, Zuopeng (57924154800); Eachempati, Prajwal (57193355447)",57225667071;
57924154800; 57193355447,Deep neural network and time series approach for finance
systems: Predicting the movement of the Indian stock market,2021,Journal of
Organizational and End User
Computing,33,5,,1,24,23,38,10.4018/JOEUC.20210901.oa10,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107632670&doi=10.4018%2fJOEUC.20210901.oa10&partnerID=40&md5=4047d86f7432178aaeed
f3ca56b7e8a2,"Indian Institute of Management, Rohtak, India; University of North
Florida, United States","Srivastava P.R., Indian Institute of Management, Rohtak,
India; Zhang Z., University of North Florida, United States; Eachempati P., Indian
Institute of Management, Rohtak, India","The stock market is an aggregation of
investor sentiment that affects daily changes in stock prices. Investor sentiment
remained a mystery and challenge over time, inviting researchers to comprehend the
market trends. The entry of behavioral scientists in and around the 1980s brought
in the market trading’s human dimensions. Shortly after that, due to the
digitization of exchanges, the mix of traders changed as institutional traders
started using algorithmic trading (AT) on computers. Nevertheless, the effects of
investor sentiment did not disappear and continued to intrigue market researchers.
Though market sentiment plays a significant role in timing investment decisions,
classical finance models largely ignored the role of investor sentiment in asset
pricing. For knowing if the market price is value-driven, the investor would
isolate components of irrationality from the price, as reflected in the sentiment.
Investor sentiment is an expression of irrational expectations of a stock’s risk-
return profile that is not justified by available information. In this context, the
paper aims to predict the next-day trend in the index prices for the centralized
Indian National Stock Exchange (NSE) deploying machine learning algorithms like
support vector machine, random forest, gradient boosting, and deep neural networks.
The training set is historical NSE closing price data from June 1st, 2013-June
30th, 2020. Additionally, the authors factor technical indicators like moving
average (MA), moving average convergence-divergence (MACD), K (%) oscillator and
corresponding three days moving average D (%), relative strength indicator (RSI)
value, and the LW (R%) indicator for the same period. The predictive power of deep
neural networks over other machine learning techniques is established in the paper,
demonstrating the future scope of deep learning in multi-parameter time series
prediction. © 2021 IGI Global. All rights reserved.",Deep neural network; Gradient
boosting; NSE; Random forest; Stock market; Time-series prediction,Adaptive
boosting; Behavioral research; Commerce; Costs; Decision trees; Deep learning; Deep
neural networks; Financial markets; Forecasting; Investments; Learning systems;
Motion estimation; Neural networks; Support vector machines; Time series;
Algorithmic trading; Gradient boosting; Investment decisions; Investor sentiments;
Machine learning techniques; Moving average convergence divergence (MACD); Relative
strength indicator; Technical indicator; Electronic trading,,,,,,,"Abadie A., Athey
S., Imbens G. W., Wooldridge J. M., Sampling-Based versus Design-Based Uncertainty
in Regression Analysis, Econometrica, 88, 1, pp. 265-296, (2020); Alonso-Monsalve
S., Suarez-Cetrulo A. L., Cervantes A., Quintana D., Convolution on neural networks
for high-frequency trend prediction of cryptocurrency exchange rates using
technical indicators, Expert Systems with Applications, 149, (2020); Bendazzoli S.,
Brusini I., Damberg P., Smedby O., Andersson L., Wang C., Automatic rat brain
segmentation from MRI using statistical shape models and random forest, Medical
Imaging 2019: Image Processing, (2019); Chandaka S., Chatterjee A., Munshi S.,
Cross-correlation aided support vector machine classifier for the classification of
EEG signals, Expert Systems with Applications, 36, 2, pp. 1329-1336, (2009); Cutler
D. M., Poterba J. M., Summers L. H., What moves stock prices? (No. w2538), (1988);
Dai Z., Dong X., Kang J., Hong L., Forecasting stock market returns: New technical
indicators and two-step economic constraint method, The North American Journal of
Economics and Finance, 53, (2020); Demir S., Mincev K., Kok K., Paterakis N. G.,
Introducing technical indicators to electricity price forecasting: A feature
engineering study for linear, ensemble, and deep machine learning models, Applied
Sciences (Basel, Switzerland), 10, 1, (2020); Gan L., Wang H., Yang Z., Machine
learning solutions to challenges in finance: An application to the pricing of
financial products, Technological Forecasting and Social Change, 153, (2020);
Hassanpour S., Tomita N., De Lise T., Crosier B., Marsch L. A., Identifying
substance use risk based on deep neural networks and Instagram social media data,
Neuropsychopharmacology, 44, 3, pp. 487-494, (2019); Heaton J. B., Polson N. G.,
Witte J. H., Deep learning for finance: Deep portfolios, Applied Stochastic Models
in Business and Industry, 33, 1, pp. 3-12, (2017); Huang J. Z., Huang Z. J.,
Testing moving average trading strategies on ETFs, Journal of Empirical Finance,
57, pp. 16-32, (2020); Hubacek O., Sourek G., Zelezny F., Learning to predict
soccer results from relational data with gradient boosted trees, Machine Learning,
108, 1, pp. 29-47, (2019); Jiang M., Liu J., Zhang L., Liu C., An improved Stacking
framework for stock index prediction by leveraging tree-based ensemble models and
deep learning algorithms, Physica A, 541, (2020); Kamarajan C., Ardekani B. A.,
Pandey A. K., Kinreich S., Pandey G., Chorlian D. B., Meyers J. L., Zhang J.,
Bermudez E., Stimus A. T., Porjesz B., Random Forest Classification of Alcohol Use
Disorder Using fMRI Functional Connectivity, Neuropsychological Functioning, and
Impulsivity Measures, Brain Sciences, 10, 2, (2020); Lee M. C., Liao J. S., Yeh S.
C., Chang J. W., Forecasting the Short-term Price Trend of Taiwan Stocks with Deep
Neural Network, Proceedings of the 2020 11th International Conference on E-
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E., Acciaroli G., Facchinetti A., Maran A., Sparacino G., Simple linear support
vector machine classifier can distinguish impaired glucose tolerance versus type 2
diabetes using a reduced set of CGM-based glycemic variability indices, Journal of
Diabetes Science and Technology, 14, 2, pp. 297-302, (2020); Loureiro A. L.,
Migueis V. L., da Silva L. F., Exploring the use of deep neural networks for sales
forecasting in fashion retail, Decision Support Systems, 114, pp. 81-93, (2018);
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crude oil futures using intraday data, Technological Forecasting and Social Change,
158, (2020); Nabi R. M., Soran Ab M. S., Harron H., A Novel Approach for Stock
Price Prediction Using Gradient Boosting Machine with Feature Engineering (GBM-
wFE), Kurdistan Journal of Applied Research, 5, 1, pp. 28-48, (2020); Parray I. R.,
Khurana S. S., Kumar M., Altalbe A. A., Time series data analysis of stock price
movement using machine learning techniques, Soft Computing, pp. 1-9, (2020);
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attention influence water companies’ stock returns?, Technological Forecasting and
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severity using neural networks and support vector machines, Laser Scanning Systems
in Highway and Safety Assessment, pp. 111-117, (2020); Pramudya R., Technical
Analysis to Determine Buying and Selling Signal in Stock Trade, International
Journal of Finance & Banking Studies, 9, 1, pp. 58-67, (2020); Qamar U., Niza R.,
Bashir S., Khan F. H., A majority vote-based classifier ensemble for web service
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strategies in stocks, (2013); Tan X., Li S., Wang C., Wang S., Enhancing High
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Ensembling neural networks: Many could be better than all, Artificial Intelligence,
137, 1-2, pp. 239-263, (2002)",,,IGI Global,,,,,,15462234,,,,English,J. Organ. End
User Comput.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-
85107632670
Ravikumar S.; Saraf P.,"Ravikumar, Srinath (57189651470); Saraf, Prasad
(57218878493)",57189651470; 57218878493,"Prediction of stock prices using machine
learning (regression, classification) Algorithms",2020,"2020 International
Conference for Emerging Technology, INCET
2020",,,9154061,,,,46,10.1109/INCET49848.2020.9154061,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85090589355&doi=10.1109%2fINCET49848.2020.9154061&partnerID=40&md5=b894ca43d1111240
0396045c6dacb670,"Vishwakarma Institute of Technology, Department of Computer
Engineering, Pune, India","Ravikumar S., Vishwakarma Institute of Technology,
Department of Computer Engineering, Pune, India; Saraf P., Vishwakarma Institute of
Technology, Department of Computer Engineering, Pune, India","The stock market is
an interesting industry to study. There are various variations present in it. Many
experts have been studying and researching on the various trends that the stock
market goes through. One of the major studies has been the attempt to predict the
stock prices of various companies based on historical data. Prediction of stock
prices will greatly help people to understand where and how to invest so that the
risk of losing money is minimized. This application can also be used by companies
during their Initial Public Offering (IPO) to know what value to target for and how
many shares they should release. So far there have been significant developments in
this field. Many researchers are looking at machine learning and deep learning as
possible ways to predict stock prices. The proposed system works in two methods -
Regression and Classification. In regression, the system predicts the closing price
of stock of a company, and in classification, the system predicts whether the
closing price of stock will increase or decrease the next day. © 2020
IEEE.",Classification; Confusion matrix; Machine learning; Regression; Stock
market; Stock prices,Commerce; Costs; Deep learning; Electronic trading; Financial
markets; Fintech; Forecasting; Investments; Plant shutdowns; Predictive analytics;
Historical data; Initial public offerings; Stock price; Learning
systems,,,,,,,"Nath T., How Big Data Has Changed Finance; Roy Choudhury S.,
Machines Will Soon Will Be Able to Learnwithout Being Programmed; Yahoo Finance
Data; Verma R., Neural networks through stock market data prediction, International
Conference on Electronics, Communication and AerospaceTechnology ICECA, (2017);
Khanal P., Raj Shakya S., Analysis and Prediction of Stock Prices of Nepal Using
Different Machine Learning Algorithms; Wang Y., Wang Y., Using Social Media Mining
Technology to Assist in Price Prediction of Stock Market; Sharma A., Bhuriya D.,
Singh U., Survey of stock market prediction using machine learning approach,
International conference on electronics, communication and aerospace technology
iceca, (2017); Kumar Sirohi A., Kumar Mahato P., Attar V., Multiple kernel learning
for stock price direction prediction, IEEE International Conference on Advances in
Engineering & Technology Research (ICAETR-2014), (2014); Mehrotra K., Mohan K.V.K.,
Ranka S., Book-Elements of Artificial Neural Network",,,Institute of Electrical and
Electronics Engineers Inc.,,"2020 International Conference for Emerging Technology,
INCET 2020",5 June 2020 through 7 June 2020,Belgaum,162255,,978-172816221-
8,,,English,"Int. Conf. for Emerg. Technol., INCET",Conference
paper,Final,,Scopus,2-s2.0-85090589355
Yun K.K.; Yoon S.W.; Won D.,"Yun, Kyung Keun (57226246319); Yoon, Sang Won
(56154998800); Won, Daehan (57192717855)",57226246319; 56154998800;
57192717855,Interpretable stock price forecasting model using genetic algorithm-
machine learning regressions and best feature subset selection,2023,Expert Systems
with Applications,213,,118803,,,,41,10.1016/j.eswa.2022.118803,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85138997988&doi=10.1016%2fj.eswa.2022.118803&partnerID=40&md5=d3bc2fad1a201b976812a
5cde56aaa7a,"Department of Systems Science and Industrial Engineering, State
University of New York at Binghamton, Binghamton, 13902, NY, United States; Faculty
of Commerce, Waseda University, Tokyo, 169-8050, Japan","Yun K.K., Department of
Systems Science and Industrial Engineering, State University of New York at
Binghamton, Binghamton, 13902, NY, United States; Yoon S.W., Department of Systems
Science and Industrial Engineering, State University of New York at Binghamton,
Binghamton, 13902, NY, United States, Faculty of Commerce, Waseda University,
Tokyo, 169-8050, Japan; Won D., Department of Systems Science and Industrial
Engineering, State University of New York at Binghamton, Binghamton, 13902, NY,
United States","Recent stock market studies adopting machine learning and deep
learning techniques have achieved remarkable performances with convenient
accessibility. However, machine learning and deep learning models are notorious for
their black-box structure. To build human-friendly interpretability in stock price
prediction, many studies focus on the relationship between input features and the
outcome by measuring the feature importance. However, the feature-importance-based
interpretability methods have such drawbacks as relative feature importance, vague
importance of correlated features, and impractical interpretability. Furthermore,
they overlook two principal characteristics of time series stock price data: time-
dependency and collective behavior of features. As a solution to catch the
collective behavior of features over a whole data period, we propose the best
feature subset selection. Additionally, for the solution to reflect the time-
dependent characteristic of stock price data over a short data period, we propose
piecewise best feature subset selection. The proposed algorithm uses two separate
input feature sets: internal technical indicators and external market prices. This
bilateral forecasting scheme goes through a two-stage feature selection process
composed of feature set expansion, hybridized genetic algorithm-machine learning
regressions to select important features, and importance score filtering to select
optimal features. Finally, the best feature subset is selected for forecasting and
interpretation. The proposed method achieves the best feature subset of
parsimoniously fewer features for interpretability and improves average forecasting
Root Mean Squared Error by 10.42% for the optimal feature set and 13.47% for the
best feature subset of the internal technical indicators. For enhanced local
interpretability in this study, we use Savitzky–Golay smoothing as part of
piecewise optimal curve fitting to examine each potential grouping of external
features. The proposed local interpretability technique using piecewise optimal
curve fitting and piecewise best feature subset provides a more timely-flexible
interpretation of stock price behavior using a few best features for piecewise data
segments. Compared with other feature-importance interpretability techniques that
only rely on either a single data point or a whole data period, the proposed
interpretability technique overcomes their limitations, and reflects the main
characteristics of time series data. © 2022 Elsevier Ltd",Collective behavior of
features; Genetic algorithm feature selection; Interpretable stock forecasting; ML
regression competition; Piecewise optimal curve fitting; Savitzky–Golay smoothing;
Timely flexible interpretation,Commerce; Costs; Curve fitting; Deep learning;
Electronic trading; Feature Selection; Financial markets; Forecasting; Learning
algorithms; Mean square error; Regression analysis; Set theory; Time series;
Collective behavior of feature; Collective behaviour; Curves fittings; Features
selection; Genetic algorithm feature selection; Interpretable stock forecasting; ML
regression competition; Piece-wise; Piecewise optimal curve fitting; Savitzky-
Golay; Savitzky–golay smoothing; Stock forecasting; Timely flexible interpretation;
Genetic algorithms,,,,,,,"Anagnostopoulos K.P., Mamanis G., A portfolio
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Explainable machine learning exploiting news and domain-specific lexicon for stock
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E.M., Cardoso J.S., Machine learning interpretability: A survey on methods and
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variance portfolio optimization using machine learning-based stock price
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M.R., Arashi M., Stock price forecasting for companies listed on Tehran stock
exchange using multivariate adaptive regression splines model and semi-parametric
splines technique, Physica A: Statistical Mechanics and its Applications, 438, pp.
625-633, (2015); Schafer R.W., What is a savitzky-golay filter?, IEEE Signal
Processing Magazine, 28, 4, pp. 111-117, (2011); Suzuki T., Ohkura Y., Financial
technical indicator based on chaotic bagging predictors for adaptive stock
selection in Japanese and American markets, Physica A: Statistical Mechanics and
its Applications, 442, pp. 50-66, (2016); Wang L., Ye Z., An interpretable
framework for stock trend forecasting, Journal of Physics: Conference Series, 1634,
1, (2020); Wu W., Wang Y., Fu J., Yan J., Wang Z., Liu J., Wang W., Wang X.,
Preliminary study on interpreting stock price forecasting based on tree
regularization of GRU, International conference of pioneering computer scientists,
engineers and educators, pp. 476-487, (2019); Wu D., Wang X., Wu S., Jointly
modeling transfer learning of industrial chain information and deep learning for
stock prediction, Expert Systems with Applications, (2021); Xie C., Rajan D., Chai
Q., An interpretable Neural Fuzzy Hammerstein-Wiener network for stock price
prediction, Information Sciences, 577, pp. 324-335, (2021); Yu P., Yan X., Stock
price prediction based on deep neural networks, Neural Computing and Applications,
32, 6, pp. 1609-1628, (2020); Yun K.K., Yoon S.W., Won D., Prediction of stock
price direction using a hybrid GA-XGBoost algorithm with a three-stage feature
engineering process, Expert Systems with Applications, 186, (2021)","D. Won;
Department of Systems Science and Industrial Engineering, Binghamton University,
Binghamton, 4400 Vestal Parkway E, 13902, United States; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85138997988
Hendricks D.; Wilcox D.,"Hendricks, Dieter (56374630100); Wilcox, Diane
(7102818233)",56374630100; 7102818233,A reinforcement learning extension to the
Almgren-Chriss framework for optimal trade execution,2014,"IEEE/IAFE Conference on
Computational Intelligence for Financial Engineering, Proceedings
(CIFEr)",,,6924109,457,464,7,48,10.1109/CIFEr.2014.6924109,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84908136974&doi=10.1109%2fCIFEr.2014.6924109&partnerID=40&md5=8125fa52d695d4fb55b9d
f363ba26ac0,"School of Computational and Applied Mathematics, University of the
Witwatersrand, Johannesburg, South Africa","Hendricks D., School of Computational
and Applied Mathematics, University of the Witwatersrand, Johannesburg, South
Africa; Wilcox D., School of Computational and Applied Mathematics, University of
the Witwatersrand, Johannesburg, South Africa","Reinforcement learning is explored
as a candidate machine learning technique to enhance existing analytical solutions
for optimal trade execution with elements from the market microstructure. Given a
volume-to-trade, fixed time horizon and discrete trading periods, the aim is to
adapt a given volume trajectory such that it is dynamic with respect to
favourable/unfavourable conditions during realtime execution, thereby improving
overall cost of trading. We consider the standard Almgren-Chriss model with linear
price impact as a candidate base model. This model is popular amongst sell-side
institutions as a basis for arrival price benchmark execution algorithms. By
training a learning agent to modify a volume trajectory based on the market's
prevailing spread and volume dynamics, we are able to improve post-trade
implementation shortfall by up to 10.3% on average compared to the base model,
based on a sample of stocks and trade sizes in the South African equity market. ©
2014 IEEE.",,Commerce; Intelligent computing; Learning systems; Equity markets;
Learning agents; Machine learning techniques; Market microstructures; Real time
execution; Trade execution; Trading periods; Trajectory-based; Reinforcement
learning,,,,,,,"Almgren R., Chriss N., Optimal execution of portfolio transactions,
Journal of Risk, 3, pp. 5-40, (2000); Almgren R., Optimal execution with nonlinear
impact functions and trading-enhanced risk, Applied Mathematical Finance, 10, 1,
pp. 1-18, (2003); Admati A., Pfleiderer P., A theory of intraday patterns: Volume
and price variability, Review of Financial Studies, 1, 1, pp. 3-40, (1988); Barto
A., Mahadevan S., Recent advances in hierarchical reinforcement learning, Discrete
Event Dynamic Systems, 13, 4, pp. 341-379, (2003); Bellman R., The Theory of
Dynamic Programming, (1954); Bellman R., Dreyfus S., Applied Dynamic Programming,
(1962); Bertsimas D., Lo A., Optimal control of execution costs, Journal of
Financial Markets, 1, 1, pp. 1-50, (1998); Brock W., Kleidon A., Periodic market
closure and trading volume: A model of intraday bids and asks, Journal of Economic
Dynamics and Control, 16, 3, pp. 451-489, (1992); Chan L., Lakonishok J., The
behavior of stock prices around institutional trades, Journal of Finance, 50, 4,
pp. 1147-1174, (1995); Dayan P., Watkins C., Reinforcement learning, Encyclopedia
of Cognitive Science, (2001); Degryse H., Dejong F., Ravenswaaij M., Wuyts G.,
Aggressive orders and the resiliency of a limit order market, Review of Finance, 9,
2, pp. 201-242, (2003); Dietterich T., Hierarchical reinforcement learning with the
MAXQ value function decomposition, Abstraction, Reformulation and Approximation,
pp. 26-44, (2000); Du Preez B., JSE Market Microstructure, (2013); Garcia F.,
Ndiaye S., A learning rate analysis of reinforcement learning algorithms in Finite-
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(1998); Gosavi A., Reinforcement learning: A tutorial survey and recent advances,
INFORMS Journal on Computing, 21, 2, pp. 178-192, (2009); Holthausen R., Leftwich
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McCulloch J., Relative volume as a doubly stochastic binomial point process,
Quantitative Finance, 7, 1, pp. 55-62, (2007); Nevmyvaka Y., Feng Y., Kearns M.,
Reinforcement learning for optimal trade execution, Proceedings of the 23rd
International Conference on Machine Learning, pp. 673-680, (2006); Perold A., The
implementation shortfall: Paper vs reality, Journal of Portfolio Management, 14, 3,
pp. 4-9, (1988); Puterman M., Markov Decision Processes, (1994); Ross S.,
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Sutton R., Barto A., Reinforcement Learning, (1998); Vayanos D., Strategic trading
in a dynamic noisy market, Journal of Finance, 56, 1, pp. 131-171, (2001); Watkins
C., Learning from Delayed Rewards, (1989)",,Serguieva A.; Maringer D.; Palade V.;
Almeida R.J.,Institute of Electrical and Electronics Engineers Inc.,,"2014 IEEE
Conference on Computational Intelligence for Financial Engineering and Economics,
CIFEr 2014",27 March 2014 through 28 March 2014,London,108516,,978-147992380-
9,,,English,IEEE IAFE Conf Comput Intell Fin Eng CIFEr,Conference paper,Final,All
Open Access; Green Open Access,Scopus,2-s2.0-84908136974
Xia Y.; Liu Y.; Chen Z.,"Xia, Yaqing (56030141000); Liu, Yulong (56031123700);
Chen, Zhiqian (56031043800)",56030141000; 56031123700; 56031043800,Support Vector
Regression for prediction of stock trend,2013,"Proceedings of 2013 6th
International Conference on Information Management, Innovation Management and
Industrial Engineering, ICIII
2013",2,,6703098,123,126,3,32,10.1109/ICIII.2013.6703098,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84893691897&doi=10.1109%2fICIII.2013.6703098&partnerID=40&md5=2dbe83199237c8c24b8f3
ab4eab008ef,"School of International Trade and Economics, Central University of
Finance and Economics, Beijing, China; Department of Math, Ohio State University,
Columbus, OH, United States; Department of Software Engineering, Peking University,
Beijing, China","Xia Y., School of International Trade and Economics, Central
University of Finance and Economics, Beijing, China; Liu Y., Department of Math,
Ohio State University, Columbus, OH, United States; Chen Z., Department of Software
Engineering, Peking University, Beijing, China","Prediction of the trend of the
stock market is very crucial. If someone has robust forecasting tools, then he/she
will increase the return on investment and can get rich easily and quickly. Because
there are a lot of factors that can influence the stock market, the stock
forecasting problem has always been very complicated. Support Vector Regression is
a tool from machine learning that can build a regression model on the historical
time series data in the purpose of predicting the future trend of the stock price.
In this paper, we present a theoretical and empirical framework to apply the
Support Vector Regression (SVR) strategy to predict the stock market. Our results
suggest that SVR is a powerful predictive tool for stock predictions in the
financial market. © 2013 IEEE.",data mining; forecasting; stock prediction; support
vector regression,Commerce; Data mining; Finance; Industrial engineering;
Information management; Innovation; Regression analysis; Tools; Vectors; Financial
market; Forecasting tools; Predictive tools; Regression model; Stock forecasting;
Stock predictions; Support vector regression (SVR); Time-series data;
Forecasting,,,,,,,"Huang W., Nakamori Y., Wang S., Forecasting stock market
movement direction with support vector machine, Computers & Operations Research,
32, 10, pp. 2513-2522, (2005); Burges C.J.C., A tutorial on support vector machines
for pattern recognition, Data Mining and Knowledge Discovery, 2, pp. 1-43, (1998);
Cortes C., Vapnik V., Support vector networks, Machine Learning, 20, pp. 273-297,
(1995); Pontil M., Verri A., Properties of support vector machines, Technical
Report, Massachusetts Institute of Technology, (1997); Osuna E.E., Freund R.,
Girosi F., Support vector machines: Training and applications, Technical Report,
Massachusetts Institute of Technology, Artificial Intelligence Laboratory, 1602,
(1997); Ancona N., Classification properties of support vector machines for
regression, Technical Report, RIIESI/CNR-Nr. 02/99; Xie J., Wu J., Qian Q., Feature
selection algorithm based on association rules mining method, ACIS-ICIS, pp. 357-
362, (2009); Joachims T., Making large-scale SVM learning practical, Technical
Report, LS-8-24, Computer Science Department, (1998); Smola A.J., Scholkopf B., A
tutorial on support vector regression, NEUROCOLT2 Technical Report Series, (1998);
Haykin S., Neural Networks: A Comprehensive Foundation, (1999)",,,,,"2013 6th
International Conference on Information Management, Innovation Management and
Industrial Engineering, ICIII 2013",23 November 2013 through 24 November
2013,Xi'an,102493,,978-147993985-5,,,English,"Proc. Int. Conf. Inf. Manage., Innov.
Manage. Ind. Eng., ICIII",Conference paper,Final,,Scopus,2-s2.0-84893691897
Polamuri S.R.; Srinivas K.; Krishna Mohan A.,"Polamuri, Subba Rao (57211397513);
Srinivas, K. (56708183800); Krishna Mohan, A. (56584395800)",57211397513;
56708183800; 56584395800,Stock market prices prediction using random forest and
extra tree regression,2019,International Journal of Recent Technology and
Engineering,8,3,,1224,1228,4,31,10.35940/ijrte.C4314.098319,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073742135&doi=10.35940%2fijrte.C4314.098319&partnerID=40&md5=390523d2fa6a28c9e07a
612fac8144bb,"Dept Of CSE, University college of Engineering, JNTU Kakinada, East
Godavari, AP, India; Dept Of CSE, V R Siddhartha Engineering College, Vijayawada,
India","Polamuri S.R., Dept Of CSE, University college of Engineering, JNTU
Kakinada, East Godavari, AP, India; Srinivas K., Dept Of CSE, V R Siddhartha
Engineering College, Vijayawada, India; Krishna Mohan A., Dept Of CSE, University
college of Engineering, JNTU Kakinada, East Godavari, AP, India","Prediction of
Stock price is now a day’s an existing and interesting research area in financial
and academic sectors to know the scale of economies. There did not exists any
significant set of rules to estimate and predict the scale of share in the stock
exchange. Many evolutionary technologies are existing such as technical,
fundamental, time, statistical and series analysis which help us to attempt the
prediction process, but none of the methods are proved as reliable and accurate
tool to the society in the estimation of stock exchange or share market scales.
Here in this paper we attempted to do innovative work through Machine Learning
approach to predict or sense the behaviour tracking of the stock market sensex.
Linear regression, Support Vector regression, Decision Tree, Ramdom Forest
Regressor and Extra Tree Regressor are the Machine Learning models implemented
effectively in predicting the stock prices and define the activity between the
exchanges the securities between the buyers and sellers. We predicted the price of
the stock based on the closing value and stock price. An algorithm with high
accuracy we do the process of comparison for the accuracy of each of the model and
finally is considered as better algorithm for predicting stock price. As share
market is a vague domain we cannot predict the conditions occur, and also share
market can never be predicted, this job can be done easily and technically through
this work and the main aim of this paper is to apply algorithms in Machine Learning
in predicting the stock prices. © BEIESP.",Decision Tree; Extra Tree repressor;
Multi-Variate Linear Regression; Random Forest; Stock Market,,,,,,,,"Hegazy O., Et
al., A Machine Learning Model for Stock Market Prediction, 4, 12, (2013); Minh Dang
L., Et al., ”Deep Learning Approach for Short-Term Stock Trends Prediction Based on
Two-Stream Gated Recurrent Unit Network”, 6, 2; Slamka C., Et al., ”Prediction
Market Performance and Market Liquidity: A Comparison of Automated Market Makers”,
60, 1, (2012); Pierre J.S., Et al., Trading the Stock Market Using Google Search
Volumes: A Long Short-Term Memory approach”, 3, 1, (2019); Gocken M., Et al.,
”Stock Price Prediction Using Hybrid Soft Computing Models Incorporating Parameter
Tuning and Input Variable selection”, 31, 2; Lee T.K., Et al., Global Stock Market
Investment Strategies Based on Financial Network Indicators Using Machine Learning
Techniques, 117, 1, (2019); Zhang K., Et al., Stock Market Prediction Based on
Generative Adversarial Network, 147, 2, (2019); Wang Y.-F., On-Demand Forecasting
of Stock Prices Using a Real-Time Predictor, 15, 4, (2003); Zhou P.-Y., Et al.,
Corporate Communication Network and Stock Price Movements: Insights from Data
Mining, 5, 2, (2018); Chang P.-C., Et al., Integrating a Piecewise Linear
Representation Method and a Neural Network Model for Stock Trading Points
Prediction, 39, 1, (2009); Min-Wen, Et al., Stock Market Trend Prediction Using
High-Order Information of Time Series”, 7, 4; Zhang L., Et al., A Novel
Instantaneous Frequency Algorithm and Its Application in Stock Index Movement
Prediction”, 6, 4, (2012); Usmani M., Et al., Stock Market Prediction Using Machine
Learning Techniques; Siew H.L., Md J.N., Regression Techniques for the Prediction
of Stock, (2012); Rao P.S., Srinivas K., Krishna Mohan A., A Survey on Stock Market
Prediction Using Machine Learning Techniques, ICDSMLA, (2019)",,,Blue Eyes
Intelligence Engineering and Sciences Publication,,,,,,22773878,,,,English,Int. J.
Recent Technol. Eng.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-
s2.0-85073742135
Ramesh V.P.; Baskaran P.; Krishnamoorthy A.; Damodaran D.; Sadasivam P.,"Ramesh,
V.P. (57197297483); Baskaran, Priyanga (57207688957); Krishnamoorthy, Aarthika
(57204855111); Damodaran, Divya (57204862135); Sadasivam, Preethi
(57204853485)",57197297483; 57207688957; 57204855111; 57204862135; 57204853485,Back
propagation neural network based big data analytics for a stock market
challenge,2019,Communications in Statistics - Theory and
Methods,48,14,,3622,3642,20,34,10.1080/03610926.2018.1478103,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85057546407&doi=10.1080%2f03610926.2018.1478103&partnerID=40&md5=440d497bffa95dc4c2
1d9a0268ffb335,"Mathematics and Analytics Center of Excellence (MACoE), School of
Mathematics & Computer Sciences, Central University of Tamil Nadu, Thiruvarur,
India","Ramesh V.P., Mathematics and Analytics Center of Excellence (MACoE), School
of Mathematics & Computer Sciences, Central University of Tamil Nadu, Thiruvarur,
India; Baskaran P., Mathematics and Analytics Center of Excellence (MACoE), School
of Mathematics & Computer Sciences, Central University of Tamil Nadu, Thiruvarur,
India; Krishnamoorthy A., Mathematics and Analytics Center of Excellence (MACoE),
School of Mathematics & Computer Sciences, Central University of Tamil Nadu,
Thiruvarur, India; Damodaran D., Mathematics and Analytics Center of Excellence
(MACoE), School of Mathematics & Computer Sciences, Central University of Tamil
Nadu, Thiruvarur, India; Sadasivam P., Mathematics and Analytics Center of
Excellence (MACoE), School of Mathematics & Computer Sciences, Central University
of Tamil Nadu, Thiruvarur, India","In this article we are presenting our
methodology on solving a stock market challenge on predicting the intraday stock
returns. We are presenting our complete approach on solving this challenge namely,
the approaches to prepare the data from the unstructured data and the challenges on
using back propagation neural network algorithm, namely the choice of activation
function, learning rate and the number of neurons in the hidden layer. The
validation of the approach is also presented demonstrating the effectiveness of
back propagation neural network based model on predicting the stock returns. It was
observed that the proposed algorithm was able to predict the stock returns with an
maximum absolute error of 6×10−4 and therefore the prediction is very close to the
actual value. © 2018, © 2018 Taylor & Francis Group, LLC.",analytics; artificial
neural network; back propagation; Big data; stock market; supervised machine
learning,Backpropagation algorithms; Commerce; Electronic trading; Financial
markets; Forecasting; Investments; Neural networks; Torsional stress; Activation
functions; analytics; Back propagation neural networks; Big Data Analytics;
Intraday stock returns; Maximum absolute error; Supervised machine learning;
Unstructured data; Big data,,,,,,,"Atsalakis G.S., Valavanis K.P., Forecasting
stock market short-term trends using a neuro-fuzzy based methodology, Expert
Systems with Applications, 36, pp. 10696-10707, (2009); Benjamin G., Dodd D.L.F.,
Cottle S., Security analysis, (1934); Bogaert M., Ballings M., den Poel D.V., The
added value of Facebook friends data in event attendance prediction, Decision
Support Systems, 82, pp. 26-34, (2016); Cedric O., Jacquier E., Horizon effect in
the term structure of long-run risk-return trade-offs, Computational Statistics and
Data Analysis, 100, pp. 445-466, (2016); Dell'Aquila R., Ronchetti E., Stock and
bond return predictability: the discrimination power of model selection criteria,
Computational Statistics and Data Analysis, 50, pp. 1478-1495, (2006); Enke D.,
Grauer M., Mehdiyev N., Stock market prediction with multiple regression, fuzzy
type-2 clustering and neural networks, Procedia Computer Science, 6, pp. 201-206,
(2011); Giordano F., Rocca M.L., Perna C., Forecasting nonlinear time series with
neural network sieve bootstrap, Computational Statistics and Data Analysis, 51, pp.
3871-3884, (2007); Guresen E., Kayakutlu G., Daim T.U., Using artificial neural
network models in stock market index prediction, Expert Systems with Applications,
38, pp. 10389-10397, (2011); Haykin S.S., Neural networks: A comprehensive
foundation. Prentice Hall PTR, (1999); Hill T., Remus W., Neural network models for
intelligent support of managerial decision making, Decision Support Systems, 11,
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Ramakrishnan R., Shahabi C., Big data and its technical challenges, Review Article
Communications of ACM, 57, pp. 86-94, (2014); Kaastra I., Boyd M., Designing a
neural network for forecasting financial and economic time series, Neurocomputing,
10, pp. 215-236, (1996); Khansaa L., Liginlalb D., Predicting stock market returns
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delayed neural networks, Decision Support Systems, 4, pp. 745-759, (2011); Li D.-
C., Lin L.-S., Peng L.-J., Improving learning accuracy by using synthetic samples
for small datasets with non-linear attribute dependency, Decision Support Systems,
59, pp. 286-295, (2014); Maa G.-Z., Songa E., Hungb C.-C., Sua L., Huanga D.-S.,
Multiple costs based decision making with back-propagation neural networks,
Decision Support Systems, 3, pp. 657-663, (2012); Mo H., Wang J., Niu H., Exponent
back propagation neural network forecasting for financial cross-correlation
relationship, Expert Systems with Applications, 53, pp. 106-116, (2016); Nawi N.M.,
Atomi W.H., Rehman M.Z., The effect of data pre-processing on optimized training of
artificial neural networks, Procedia Technology, 11, pp. 32-39, (2013); Oztekin A.,
Kizilaslan R., Freund S., Iseri A., A data analytic approach to forecasting daily
stock returns in an emerging market, European Journal of Operational Research, 253,
pp. 697-710, (2016); Parvathi R., Rekha J.H., Survey on software project risks and
big data analytics, Procedia Computer Science, 50, pp. 295-300, (2015); Piramuthu
S., Shaw M.J., Gentry J.A., A classification approach using multi-layered neural
networks, Decision Support Systems, 11, pp. 509-525, (1994); Potthoff R.F.,
Prediction markets, bayesian priors, and clinical trials, Journal of Statistical
Planning and Inference, 137, pp. 3706-3721, (2007); Ramesh V.P., Priyanga B.,
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predicting diabetes, Sugyaan, 8, 1, pp. 13-30, (2016); Ramesh V.P., Favas V.,
Joseph M.E., Technology landscape of big data analytics and convolutional neural
network for image classification, International Journal of Engineering Science,
Advanced Computing and Bio-Technology, (2018); Robert L.M., Peter B., System and
method for executing synchronized trades in multiple exchanges, US patent
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selection in neural network regression models with dependent data: a subsampling
approach, Computational Statistics and Data Analysis, 48, pp. 415-429, (2005);
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C.K., A survey on platforms for big data analytics, Journal of Big Data, 2, (2014);
Tsay R.S., Ando T., Bayesian panel data analysis for exploring the impact of
subprime financial crisis on the us stock market, Computational Statistics and Data
Analysis, 56, pp. 3345-3365, (2012); Wong B.K., Bodnovich T.A., Selvi Y., Neural
network applications in business: A review and analysis of the literature (1988–
1995), Decision Support Systems, 4, pp. 301-320, (1997); Xi L., Muzhou H., Lee
M.H., Li J., Wei D., Hai H., Wu Y., A new constructive neural network method for
noise processing and its application on stock market prediction, Applied Soft
Computing, 15, pp. 57-66, (2014)","V.P. Ramesh; Mathematics and Analytics Center of
Excellence (MACoE), School of Mathematics & Computer Sciences, Central University
of Tamil Nadu, Thiruvarur, 610005, India; email: [email protected]",,Taylor and
Francis Inc.,,,,,,3610926,,CSTMD,,English,Commun Stat Theory
Methods,Article,Final,,Scopus,2-s2.0-85057546407
Naik N.; Mohan B.R.,"Naik, Nagaraj (57208816923); Mohan, Biju R.
(23482323800)",57208816923; 23482323800,Stock price movements classification using
machine and deep learning techniques-the case study of indian stock
market,2019,Communications in Computer and Information
Science,1000,,,445,452,7,30,10.1007/978-3-030-20257-6_38,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85065880163&doi=10.1007%2f978-3-030-20257-
6_38&partnerID=40&md5=25060df371cdfe7806c0996bfdbd0145,"Department of Information
Technology, National Institute of Technology, Karnataka, Surathkal, India","Naik
N., Department of Information Technology, National Institute of Technology,
Karnataka, Surathkal, India; Mohan B.R., Department of Information Technology,
National Institute of Technology, Karnataka, Surathkal, India","Stock price
movements forecasting is an important topic for traders and stock analyst. Timely
prediction in stock yields can get more profits and returns. The predicting stock
price movement on a daily basis is a difficult task due to more ups and down in the
financial market. Therefore, there is a need for a more powerful predictive model
to predict the stock prices. Most of the existing work is based on machine learning
techniques and considered very few technical indicators to predict the stock
prices. In this paper, we have extracted 33 technical indicators based on daily
stock price such as open, high, low and close price. This paper addresses the two
problems, first is the technical indicator feature selection and identification of
the relevant technical indicators by using Boruta feature selection technique. The
second is an accurate prediction model for stock price movements. To predict stock
price movements we have proposed machine learning techniques and deep learning
based model. The performance of the deep learning model is better than the machine
learning techniques. The experimental results are significant improves the
classification accuracy rate by 5% to 6%. National Stock Exchange, India (NSE)
stocks are considered for the experiment. © Springer Nature Switzerland AG
2019.",ANN; Boruta feature selection; Deep learning; SVM,Commerce; Costs; Deep
learning; Feature extraction; Forecasting; Learning algorithms; Machine learning;
Accurate prediction; Classification accuracy; Learning Based Models; Machine
learning techniques; Predictive modeling; Selection techniques; Stock price
movements; Technical indicator; Financial markets,,,,,"Ministry of Electronics and
Information technology, Meity","Acknowledgment. This work is supported by the
Visvesvaraya Ph.D Scheme for Electronics and IT the departments of MeitY,
Government of India. The Task carried out at the Department of IT, NITK Surathkal,
Mangalore, India.","Anbalagan T., Maheswari S.U., Classification and prediction of
stock market index based on fuzzy metagraph, Procedia Comput. Sci., 47, pp. 214-
221, (2015); Anish C.M., Majhi B., Hybrid nonlinear adaptive scheme for stock
market prediction using feedback flann and factor analysis, J. Korean Stat. Soc.,
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stocks by forecasting effective features with data mining methods, Expert Syst.
Appl., 42, 3, pp. 1325-1339, (2015); Boser B.E., Guyon I.M., Vapnik V.N., A
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K.S., Chong W.K., Lee H.P., Gu Q.M., A comparison of PCA, KPCA and ICA for
dimensionality reduction in support vector machine, Neurocomputing, 55, 1-2, pp.
321-336, (2003); Chourmouziadis K., Chatzoglou P.D., An intelligent short term
stock trading fuzzy system for assisting investors in portfolio management, Expert
Syst. Appl., 43, pp. 298-311, (2016); Chowdhury U.N., Rayhan M.A., Chakravarty
S.K., Hossain M.T., Integration of principal component analysis and support vector
regression for financial time series forecasting, Int. J. Comput. Sci. Inf. Secur.
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3, pp. 273-297, (1995); Kara Y., Boyacioglu M.A., Baykan O.K., Predicting direction
of stock price index movement using artificial neural networks and support vector
machines: The sample of the Istanbul stock exchange, Expert Syst. Appl., 38, 5, pp.
5311-5319, (2011); Lin X., Yang Z., Song Y., Short-term stock price prediction
based on echo state networks, Expert Syst. Appl., 36, 3, pp. 7313-7317, (2009);
Long W., Lu Z., Cui L., Deep learning-based feature engineering for stock price
movement prediction, Knowl.-Based Syst., 164, pp. 163-173, (2019); Nahil A.,
Lyhyaoui A., Short-term stock price forecasting using kernel principal component
analysis and support vector machines: The case of Casablanca stock exchange,
Procedia Comput. Sci., 127, pp. 161-169, (2018); Patel J., Shah S., Thakkar P.,
Kotecha K., Predicting stock and stock price index movement using trend
deterministic data preparation and machine learning techniques, Expert Syst. Appl.,
42, 1, pp. 259-268, (2015); Tahmassebi A., Gandomi A., McCann I., Schulte M.,
Goudriaan A., Meyer-Baese A., Deep learning in medical imaging: FMRI big data
analysis via convolutional neural networks, Proceedings of the Practice and
Experience on Advanced Research Computing. ACM, (2018); Tsai C.-F., Hsiao Y.-C.,
Combining multiple feature selection methods for stock prediction: Union,
intersection, and multi-intersection approaches, Decis. Support Syst., 50, 1, pp.
258-269, (2010); Vapnik V.N., Chervonenkis A.J., Theory of Pattern Recognition,
(1974); Weng B., Ahmed M.A., Megahed F.M., Stock market one-day ahead movement
prediction using disparate data sources, Expert Syst. Appl., 79, pp. 153-163,
(2017); Zhong X., Enke D., Forecasting daily stock market return using
dimensionality reduction, Expert Syst. Appl., 67, pp. 126-139, (2017)","N. Naik;
Department of Information Technology, National Institute of Technology, Karnataka,
Surathkal, India; email: [email protected]",Iliadis L.; Jayne C.;
Macintyre J.; Maglogiannis I.,Springer Verlag,,"20th International Conference on
Engineering Applications of Neural Networks, EANN 2019",24 May 2019 through 26 May
2019,Hersonissos,226199,18650929,978-303020256-9,,,English,Commun. Comput. Info.
Sci.,Conference paper,Final,,Scopus,2-s2.0-85065880163
Sheh R.K.,"Sheh, Raymond K. (14036623700)",14036623700,"""Why did you do that?""
Explainable intelligent robots",2017,AAAI Workshop - Technical Report,WS-17-01 -
WS-17-15,,,628,634,6,29,,https://www-scopus-com-paruluniversity.knimbus.com/
inward/record.uri?eid=2-s2.0-
85044470991&partnerID=40&md5=3059fffdcf12aa26936c359f07f49cf6,"Department of
Computing, Intelligent Robots Group, Curtin University, Building 314, Kent St,
Bentley, 6102, WA, Australia","Sheh R.K., Department of Computing, Intelligent
Robots Group, Curtin University, Building 314, Kent St, Bentley, 6102, WA,
Australia","As autonomous intelligent systems become more widespread, society is
beginning to ask: ""What are the machines up to?"". Various forms of artificial
intelligence control our latest cars, load balance components of our power grids,
dictate much of the movement in our stock markets and help doctors diagnose and
treat our ailments. As they become increasingly able to learn and model more
complex phenomena, so the ability of human users to understand the reasoning behind
their decisions often decreases. It becomes very difficult to ensure that the robot
will perform properly and that it is possible to correct errors. In this paper, we
outline a variety of techniques for generating the underlying knowledge required
for explainable artificial intelligence, ranging from early work in expert systems
through to systems based on Behavioural Cloning. These are techniques that may be
used to build intelligent robots that explain their decisions and justify their
actions. We will then illustrate how decision trees are particularly well suited to
generating these kinds of explanations. We will also discuss how additional
explanations can be obtained, beyond simply the structure of the tree, based on
knowledge of how the training data was generated. Finally, we will illustrate these
capabilities in the context of a robot learning to drive over rough terrain in both
simulation and in reality. © 2017, Association for the Advancement of Artificial
Intelligence (www.aaai.org). All rights reserved.",,Computer games; Decision trees;
Deep learning; Digital storage; Distributed computer systems; Electric power system
control; Electric power transmission networks; Electronic trading; Expert systems;
Forestry; Intelligent systems; Operations research; Problem solving; Trees
(mathematics); Autonomous intelligent systems; Behavioural cloning; Correct error;
Human users; Load balance; Power grids; Rough terrains; Training data; Intelligent
robots,,,,,,,"Abbeel P., Ng A.Y., Apprenticeship learning via inverse reinforcement
learning, Proc. 21st Int. Conf. on Machine Learning, (2004); Atkeson C.G., Schaal
S., Robot learning from demonstration, Proc. Int. Conf. on Machine Learning (ICML),
97, (2016); Bratko I., Urbancic T., Sammut C., Behavioural cloning of control
skill, Machine Learning and Data Mining, pp. 335-351, (1998); Broad Agency
Announcement: Explainable Artificial Intelligence (XAI), (2016); Isaac A., Sammut
C., Goal-directed learning to fly, Proc. Int'l. Conf. on Machine Learning, pp. 258-
265, (2003); Johnson W.L., Agents that learn to explain themselves, Proc. AAAI
Conf. on Artificial Intelligence, pp. 1257-1263, (1994); Kadous M.W., Sammut C.,
Sheh R., Autonomous traversal of rough terrain using behavioural cloning, Proc. 3rd
Int. Conf. on Autonomous Robots and Agents, (2006); Parsons S., McBurney P.,
Argumentation-based communication between agents, Communication in Multiagent
Systems, pp. 164-178, (2003); Pepper C., Balakirsky S., Scrapper C., Robot
simulation physics validation, Proc. 2008 Workshop on Performance Metrics for
Intelligent Systems, (2007); Quinlan R.J., C4.5: Programs for Machine Learning,
(1993); Ribeiro M.T., Singh S., Guestrin C., Why Should I Trust You?: Explaining
the Predictions of Any Classifier, (2016); Sheh R., Learning Robot Behaviours by
Observing and Envisaging, (2010); Sue D., Bratko I., Modelling of control skill by
qualitative constraints, Proc. 13th Int. Workshop on Qualitative Reasoning, pp.
212-220, (1999); Thrun S., Montemerlo M., Dahlkamp H., Stavens D., Aron A., Diebel
J., Fong P., Gale J., Halpenny M., Hoffmann G., Et al., Stanley: The robot that won
the DARPA grand challenge, Journal of Field Robotics, 23, 9, pp. 661-692, (2006);
Tolchinsky P., Modgil S., Atkinson K., McBurney P., Cortes U., Deliberation
dialogues for reasoning about safety critical actions, Autonomous Agents and Multi-
Agent Systems, pp. 209-259, (2012); Walton D., Krabbe E.C.W., Commitment in Dialog,
(1995)",,,AI Access Foundation,Amazon; Artificial Intelligence; Baidu; et al.; IBM;
Tencent,"31st AAAI Conference on Artificial Intelligence, AAAI 2017",4 February
2017 through 5 February 2017,San Francisco,135573,,978-157735786-5,,,English,AAAI
Workshop Tech. Rep.,Conference paper,Final,,Scopus,2-s2.0-85044470991
Ampomah E.K.; Nyame G.; Qin Z.; Addo P.C.; Gyamfi E.O.; Gyan M.,"Ampomah, Ernest
Kwame (57217870888); Nyame, Gabriel (57202443122); Qin, Zhiguang (7202822723);
Addo, Prince Clement (57191376933); Gyamfi, Enoch Opanin (57210107103); Gyan,
Michael (57210552031)",57217870888; 57202443122; 7202822723; 57191376933;
57210107103; 57210552031,Stock market prediction with gaussian naïve bayes machine
learning algorithm,2021,Informatica
(Slovenia),45,2,,243,256,13,28,10.31449/inf.v45i2.3407,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85112335576&doi=10.31449%2finf.v45i2.3407&partnerID=40&md5=2b29237712f0972df2541107
8dc693c0,"School of Information and Software Engineering, University of Electronic
Science and Technology of China, China; Department of Information Technology
Education, Akenten Appiah-Menka University of Skills Training and Entrepreneurial
Development, Kumasi-Ghana, Ghana; School of Management and Economics, University of
Electronic Science and Technology of China, China; Department of Physics Education,
University of Education, Winneba-Ghana, Ghana","Ampomah E.K., School of Information
and Software Engineering, University of Electronic Science and Technology of China,
China; Nyame G., Department of Information Technology Education, Akenten Appiah-
Menka University of Skills Training and Entrepreneurial Development, Kumasi-Ghana,
Ghana; Qin Z., School of Information and Software Engineering, University of
Electronic Science and Technology of China, China; Addo P.C., School of Management
and Economics, University of Electronic Science and Technology of China, China;
Gyamfi E.O., School of Information and Software Engineering, University of
Electronic Science and Technology of China, China; Gyan M., Department of Physics
Education, University of Education, Winneba-Ghana, Ghana","The stock market is one
of the key sectors of a country's economy. It provides investors with an
opportunity to invest and gain returns on their investment. Predicting the stock
market is a very challenging task and has attracted serious interest from
researchers from many fields such as statistics, artificial intelligence,
economics, and finance. An accurate prediction of the stock market reduces
investment risk in the market. Different approaches have been used to predict the
stock market. The performances of Machine learning (ML) models are typically
superior to those of statistical and econometric models. The ability of Gaussian
Naïve Bayes ML algorithm to predict stock price movement has not been addressed
properly in the existing literature, hence this attempt to fill that gap in the
literature by evaluating the performance of GNB algorithm when combined with
different feature scaling and feature extraction techniques in stock price movement
prediction. The performance of the GNB models set up were ranked using the
Kendall's test of concordance for the various evaluation metrics used. The results
indicated that, the predictive model based on integration of GNB algorithm and
Linear Discriminant Analysis (GNB_LDA) outperformed all the other models of GNB
considered in three of the four evaluation metrics (i.e., accuracy, F1-score, and
AUC). Similarly, the predictive model based on GNB algorithm, Min-Max scaling, and
PCA produced the best rank using the specificity results. In addition, GNB produced
better performance with Min-Max scaling technique than it does with standardization
scaling techniques. © 2021 Slovene Society Informatika. All rights
reserved.",Feature extraction; Gaussian naïve Bayes; Machine learning; Scaling;
Stock price,Commerce; Discriminant analysis; Electronic trading; Financial markets;
Forecasting; Investments; Machine learning; Motion estimation; Predictive
analytics; Accurate prediction; Evaluation metrics; Feature extraction techniques;
Linear discriminant analysis; Predictive modeling; Stock market prediction; Stock
price movement predictions; Stock price movements; Learning
algorithms,,,,,"Guangdong Provincial Key Laboratory of Electronic Information
Products Reliability Technology, (2013A061401003); Sichuan Province Science and
Technology Support Program, (2014JY0172); Sichuan Province Science and Technology
Support Program; National Natural Science Foundation of China, NSFC, (61133016,
61272527, 61300090); National Natural Science Foundation of China, NSFC; National
Natural Science Foundation of China-Guangdong Joint Fund, (U1401257); National
Natural Science Foundation of China-Guangdong Joint Fund","This work was supported
by the NSFC-Guangdong Joint Fund (Grant No. U1401257), National Natural Science
Foundation of China (Grant Nos. 61300090, 61133016, and 61272527), science and
technology plan projects in Sichuan Province (Grant No. 2014JY0172) and the opening
project of Guangdong Provincial Key Laboratory of Electronic Information Products
Reliability Technology (Grant No. 2013A061401003)","Fama E. F, Fisher L, Jensen M,
Roll R, The adjustment of stock price to new information, Int Eco Rev, 10, 1, pp.
1-21, (1969); Yeh I.-C., Hsu T.-K., Exploring the dynamic model of the returns from
value stocks and growth stocks using time series mining, Expert Systems with
Applications, 41, pp. 7730-7743, (2014); Bollen J., Mao H., Zeng X., Twitter mood
predicts the stock market, Journal of Computational Science, 2, pp. 1-8, (2011);
Smith V. L., Constructivist and ecological rationality in economics, American
Economic Review, 93, pp. 465-508, (2003); Gandhmal D. P., Kumar K., Systematic
analysis and review of stock market prediction techniques, Computer Science Review,
34, (2019); Huang C.-J., Yang D.-X., Chuang Y.-T., Application of wrapper approach
and composite classifier to the stock trend prediction, Expert Systems with
Applications, 34, 4, pp. 2870-2878, (2008); Huang W., Nakamori Y., Wang S.-Y.,
Forecasting stock market movement direction with support vector machine, Computers
& Operations Research, 32, 10, pp. 2513-2522, (2005); Maragoudakis M., Serpanos D.,
Exploiting Financial News and Social Media Opinions for Stock Market Analysis using
MCMC Bayesian Inference, Computational Economics, (2015); Iqbal N., Islam M.,
Machine learning for dengue outbreak prediction: A performance evaluation of
different prominent classifiers, Informatica, 43, 3, pp. 361-371, (2019); Abaker A.
A., Saeed F. A., A Comparative Analysis of Machine Learning Algorithms to Build a
Predictive Model for Detecting Diabetes Complications, Informatica, 45, 1, pp. 117-
125, (2021); Zhang Y., Wu L., Stock market prediction of s & p 500 via combination
of improved bco approach and bp neural network, Expert Systems with Applications,
36, 5, pp. 8849-8854, (2009); Meesad P., Rasel R. I., Predicting stock market price
using support vector regression. In Informatics, electronics & vision (iciev), 2013
international conference on informatics, pp. 1-6, (2013); Zhou Z., Gao M., Liu Q.,
Xiao H., Forecasting stock price movements with multiple data sources: Evidence
from stock market in China, Physica A: Statistical Mechanics and its Applications,
542, (2020); Ampomah E. K., Qin Z., Nyame G., Botchey F. E., Stock market decision
support modeling with tree-based AdaBoost ensemble machine learning models,
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index movement: A comparison of support vector machines and random forest, (2006);
Ou P., Wang H., Prediction of stock market index movement by ten data mining
techniques, Modern Applied Science, 3, 12, (2009); Subha M. V., Nambi S. T.,
Classification of Stock Index movement using K-nearest neighbours (k-NN) algorithm,
WSEAS Transactions on Information Science & Applications, 9, 9, pp. 261-270,
(2012); Saifan R, Sharif K, Abu-Ghazaleh M, Abdel-Majeed M., Investigating
Algorithmic Stock Market Trading Using Ensemble Machine Learning Methods,
Informatica, 44, 3, pp. 311-325, (2020); Zikowski K., Using volume weighted support
vector machines with walk forward testing and feature selection for the purpose of
creating stock trading strategy, Expert Systems with Applications, 42, pp. 1797-
1805, (2015); Patel J., Shah S., Thakkar P., Kotecha K., Predicting stock and stock
price index movement using Trend Deterministic Data Preparation and machine
learning techniques, Expert Systems with Applications, 42, pp. 259-268, (2015); Sun
S., Wei Y., Wang S., AdaBoost-LSTM Ensemble Learning for Financial Time Series
Forecasting, Computational Science - ICCS, 2018, pp. 590-597, (2018); Khan W.,
Ghazanfar M.A., Azam M.A., Et al., Stock market prediction using machine learning
classifiers and social media, news, J Ambient Intell Human Comput, (2020); Bhandare
Y., Bharsawade S., Nayyar D., Phadtare O., Gore D., SMART: Stock Market Analyst
Rating Technique Using Naive Bayes Classifier, 2020 International Conference for
Emerging Technology (INCET), (2020); Saranya C., Manikandan G., A study on
normalization techniques for privacy preserving data mining, International Journal
of Engineering and Technology (IJET), 5, 3, pp. 2701-2714, (2013); Abdi H.,
Williams L. J., Principal component analysis, Wiley interdisciplinary reviews:
Computational statistics, 2, 4, pp. 433-459, (2010); Bro R., Smilde A. K.,
Principal component analysis, Analytical Methods, 6, 9, pp. 2812-2831, (2014);
Tharwat A., Gaber T., Ibrahim A., Hassanien A. E., Linear discriminant analysis: A
detailed tutorial, AI communications, 30, 2, pp. 169-190, (2017); Maskey R., Fei
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Asian journal of shipping and logistics, 34, 2, pp. 91-111, (2018); Kendall M. G.,
Babington S. B., The Problem of m Rankings, The Annals of Mathematical Statistics,
10, pp. 275-287, (1939)",,,Slovene Society
Informatika,,,,,,3505596,,INFOF,,English,Informatica,Article,Final,All Open Access;
Gold Open Access,Scopus,2-s2.0-85112335576
Dogra V.; Verma S.; Kavita; Jhanjhi N.Z.; Ghosh U.; Le D.-N.,"Dogra, Varun
(57289877500); Verma, Sahil (57204111524); Kavita (57223946302); Jhanjhi, N.Z.
(36088700700); Ghosh, Uttam (34972835800); Le, Dac-Nhuong
(56438928900)",57289877500; 57204111524; 57223946302; 36088700700; 34972835800;
56438928900,A Comparative Analysis of Machine Learning Models for Banking News
Extraction by Multiclass Classification With Imbalanced Datasets of Financial News:
Challenges and Solutions,2022,International Journal of Interactive Multimedia and
Artificial Intelligence,7,3,,35,52,17,27,10.9781/ijimai.2022.02.002,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85127612934&doi=10.9781%2fijimai.2022.02.002&partnerID=40&md5=3bef34ec2192b23c25cbd
84d03cb2541,"School of Computer Science and Engineering, Lovely Professional
University, India; Department of Computer Science and Engineering, Chandigarh
University, Mohali, India; School of Computer Science and Engineering, Taylor’s
University, Malaysia; Department of Computer Science and Data Science, Meharry
School of Applied Computational Sciences, Nashville, TN, United States; School of
Computer Science, Duy Tan University, Danang, 550000, Viet Nam; Institute of
Research and Development, Duy Tan University, Danang, 550000, Viet Nam","Dogra V.,
School of Computer Science and Engineering, Lovely Professional University, India;
Verma S., Department of Computer Science and Engineering, Chandigarh University,
Mohali, India; Kavita, Department of Computer Science and Engineering, Chandigarh
University, Mohali, India; Jhanjhi N.Z., School of Computer Science and
Engineering, Taylor’s University, Malaysia; Ghosh U., Department of Computer
Science and Data Science, Meharry School of Applied Computational Sciences,
Nashville, TN, United States; Le D.-N., School of Computer Science, Duy Tan
University, Danang, 550000, Viet Nam, Institute of Research and Development, Duy
Tan University, Danang, 550000, Viet Nam","Online portals provide an enormous
amount of news articles every day. Over the years, numerous studies have concluded
that news events have a significant impact on forecasting and interpreting the
movement of stock prices. The creation of a framework for storing news-articles and
collecting information for specific domains is an important and untested problem
for the Indian stock market. When online news portals produce financial news
articles about many subjects simultaneously, finding news articles that are
important to the specific domain is nontrivial. A critical component of the
aforementioned system should, therefore, include one module for extracting and
storing news articles, and another module for classifying these text documents into
a specific domain(s). In the current study, we have performed extensive experiments
to classify the financial news articles into the predefined four classes Banking,
Non-Banking, Governmental, and Global. The idea of multi-class classification was
to extract the Banking news and its most correlated news articles from the pool of
financial news articles scraped from various web news portals. The news articles
divided into the mentioned classes were imbalanced. Imbalance data is a big
difficulty with most classifier learning algorithms. However, as recent works
suggest, class imbalances are not in themselves a problem, and degradation in
performance is often correlated with certain variables relevant to data
distribution, such as the existence in noisy and ambiguous instances in the
adjacent class boundaries. A variety of solutions to addressing data imbalances
have been proposed recently, over-sampling, down-sampling, and ensemble approach.
We have presented the various challenges that occur with data imbalances in
multiclass classification and solutions in dealing with these challenges. The paper
has also shown a comparison of the performances of various machine learning models
with imbalanced data and data balances using sampling and ensemble techniques. From
the result, it’s clear that the performance of Random Forest classifier with data
balances using the over-sampling technique SMOTE is best in terms of precision,
recall, F-1, and accuracy. From the ensemble classifiers, the Balanced Bagging
classifier has shown similar results as of the Random Forest classifier with SMOTE.
Random forest classifier's accuracy, however, was 100% and it was 99% with the
Balanced Bagging classifier. © 2022, Universidad Internacional de la Rioja. All
rights reserved.",Class Imbalance; Down-Sampling; Ensemble Approaches; Machine
Learning; N-grams; Over-Sampling Techniques; TFIDF,,,,,,,,"Atkins Adam, Niranjan
Mahesan, Gerding Enrico, Financial news predicts stock market volatility better
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Sampling: A random walk over-sampling approach to imbalanced data classification,
Information Fusion, 20, pp. 99-116, (2014); Ashour A. S., Beagum S., Dey N., Ashour
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using optimized LPA-ICI filter, Neural Computing and Applications, 29, 12, pp.
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S., Et al., Memetic optimization with cryptographic encryption for secure medical
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for optimal service selection with end-to-end QoS constraints, Journal of Internet
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Rosales-Perez A., Herrera F., Empowering one-vs-one decomposition with ensemble
learning for multi-class imbalanced data, Knowledge Based System, 106, pp. 251-263,
(2016); Sabir Z., Nisar K., Raja M. A. Z., Haque M. R., Umar M., Ibrahim A. A. A.,
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oversampling technique for multiclass imbalance problems, Pattern Recognition, 72,
pp. 327-340, (2017)","D.-N. Le; School of Computer Science, Duy Tan University,
Danang, 550000, Viet Nam; email: [email protected]",,Universidad
Internacional de la Rioja,,,,,,19891660,,,,English,Int. J. Interact. Multimed.
Artif. Intell.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85127612934
Umer Ghani M.; Awais M.; Muzammul M.,"Umer Ghani, M. (57205753853); Awais, M.
(57224215215); Muzammul, Muhammad (57205752385)",57205753853; 57224215215;
57205752385,Stock Market Prediction Using Machine
Learning(ML)Algorithms,2019,Advances in Distributed Computing and Artificial
Intelligence Journal,8,4,,97,116,19,31,10.14201/ADCAIJ20198497116,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85140915181&doi=10.14201%2fADCAIJ20198497116&partnerID=40&md5=e064e73e766e800de1a3e
5397366ff00,"Department of Software Engineering, Government College University,
Faisalabad, Pakistan","Umer Ghani M., Department of Software Engineering,
Government College University, Faisalabad, Pakistan; Awais M., Department of
Software Engineering, Government College University, Faisalabad, Pakistan; Muzammul
M., Department of Software Engineering, Government College University, Faisalabad,
Pakistan","Stocks are possibly the most popular financial instrument invented for
building wealth and are the centerpiece of any investment portfolio. The advances
in trading technology has opened up the markets so that nowadays nearly anybody can
own stocks. From last few decades, there seen explosive increase in the average
person's interest for stock market. In a financially explosive market, as the stock
market, it is important to have a very accurate prediction of a future trend.
Because of the financial crisis and recording profits, it is compulsory to have a
secure prediction of the values of the stocks. Predicting a non-linear signal
requires progressive algorithms of machine learning with help of Artificial
Intelligence (AI). In our research, we are going to use Machine Learning Algorithm
specially focus on Linear Regression (LR), Three month Moving Average(3MMA),
Exponential Smoothing (ES) and Time Series Forecasting using MS Excel as best
statistical tool for graph and tabular representation of prediction results. We
obtained data from Yahoo Finance for Amazon (AMZN) stock, AAPL stock and GOOGLE
stock after implementation LR we successfully predicted stock market trend for next
month and also measured accuracy according to measurements. © 2019 The
Author(s).",Algorithms; Exponential Smoothing; Linear Regression; Machine
Learning(ML); Stock Market Prediction; Time Series Forecasting,,,,,,,,"Lee Tae
Kyun, Et al., Global stock market investment strategies based on financial network
indicators using machine learning tech niques, Expert Systems with Applications,
117, pp. 228-242, (2019); Bruno, Et al., Literature review: Machine learning
techniques applied to financial market prediction, Expert Systems with
Applications, 124, pp. 226-251, (2019); Fischer Thomas, Et al., Deep learning with
long short-term memory networks for financial market predictions, European Journal
of Operational Research, 270, 2, pp. 654-669, (2018); Zhang Kang, Et al., Stock
Market Prediction Based on Generative Adversarial Network, Procardia Computer
Science, 147, pp. 400-406, (2019); Moews Ben, Lagged correlation-based deep
learning for directional trend change prediction in financial time series, Expert
Systems with Applications, 120, pp. 197-206, (2019); Mospel Fische, Et al., Deep
learning with machine learning algorithms for financial market predictions,
European Journal of scientific Research, 220, 2, pp. 654-669, (2019); Karhunen
Markku, Et al., Algorithmic sign prediction and covariate selection across eleven
international stock markets, Expert Systems with Applications, 115, pp. 256-263,
(2019); Chong Eunsuk, Deep learning networks for stock market analysis and
prediction: Methodology, data representations, and case studies, Expert Systems
with Applications, 8, pp. 187-205, (2017); WangQili, Et al., Combining the wisdom
of crowds and technical analysis for financial market prediction using deep random
subspace ensembles, Neurocomputing, 299, pp. 51-61, (2018); Lee Changju, Et al.,
Explaining future market return and evaluating market condition with common
preferred spread index, Physica A: Statistical Mechanics and its Applications, 220,
pp. 220-229, (2019); Chen Mu-Yen, Et al., Modeling public mood and emotion: Stock
market trend prediction with anticipatory computing approach, Computers in Human
Behavior, (2018); Hiransha, Et al., NSE Stock Market Prediction Using Deep-Learning
Models, Procedia Computer Science, 132, pp. 1351-1362, (2018); Yang Fengmei, Et
al., A novel hybrid stock selection method with stock prediction, Applied Soft
Computing, (2019); Song Yue-gang, Et al., Corrigendum to ""Towards a new approach
to predict business performance using machine learning, Cogn. Syst. Res, 52, pp.
1004-1012, (2018)",,,University of Salamanca,,,,,,22552863,,,,English,Adv. Distrib.
Comput. Artif. Intell. J.,Article,Final,All Open Access; Gold Open Access,Scopus,2-
s2.0-85140915181
Li W.; Liao J.,"Li, Wei (56177322400); Liao, Jian (57201553186)",56177322400;
57201553186,A comparative study on trend forecasting approach for stock price time
series,2017,"Proceedings of the International Conference on Anti-Counterfeiting,
Security and Identification,
ASID",2017-October,,,74,78,4,27,10.1109/ICASID.2017.8285747,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85045276426&doi=10.1109%2fICASID.2017.8285747&partnerID=40&md5=734f8077406f853b615a
400cf66eb831,"China Tobacco ZheJiang Industrial CO. LTD, Hangzhou, 310000, China;
School of Computer Science Fudan University, Shanghai, 200433, China","Li W., China
Tobacco ZheJiang Industrial CO. LTD, Hangzhou, 310000, China; Liao J., School of
Computer Science Fudan University, Shanghai, 200433, China","Trend forecasting is
considered a difficult task, especially for China stock market due to its highly
uncertainty. The study compares six forecasting models, i.e., Support Vector
Machine (SVM), Naive Bayes, Decision Tree, Multilayer perceptron (MLP), Recurrent
neural network (RNN), and Long Short-Term Memory (LSTM). 9 features combinations
are selected based on 23 technical indicators which are commonly used in stock
market analysis, and trainsets of 12 different records numbers are chosen to
compare the performance of the models under different scenarios. Evaluation is
carried out on 8 years of historical data from 2008 to 2015 of the listed company
(000592) in China stock market. Experimental results show that the performance of
deep learning models MLP, RNN, LSTM is better than other models with respect to the
index of accuracy. MLP is 20.75% higher than Decision Tree, Decision Tree is better
than others under f-measure, and Decision Tree is 40.02% higher than Naive Bayes.
Experimental results also show that in the imbalanced stock market data, the
performance of models RNN and Decision Tree is better than others. © 2017
IEEE.",Deep learning; Stock market; Trend forecasting,Commerce; Electronic trading;
Financial markets; Forecasting; Long short-term memory; Multilayer neural networks;
Support vector machines; China's Stock Markets; Comparatives studies; Deep
learning; Multilayers perceptrons; Naive bayes; Performance; Stock price; Times
series; Trend forecasting; Uncertainty; Decision trees,,,,,,,"Huang W., Nakamori
Y., Wang S.-Y., Wang, forecasting stock market movement direction with support
vector machine, Computers& Operations Research, 32, 10, pp. 2513-2522, (2015);
Hassan M.-R., Nath B., Kirley M., A fusion model of hmm, ann and ga for stock
market forecasting, Expert Systems with Applications, 33, 1, pp. 171-180, (2007);
Patel J., Shah S., Thakkar P., Kotecha K., Predicting stock and stock price index
movement using trend deterministic data preparation and machine learning
techniques, Expert Systems with Applications, 42, 1, pp. 259-268, (2015); Nair
B.B., Mohandas V.P., Sakthivel N.R., A decision tree-rough set hybrid system for
stock market trend prediction, International Journal of Computer Applications, 6,
9, pp. 1-6, (2010); Wang J.-L., Chan S.-H., Stock market trading rule discovery
using two-layer bias decision tree, Expert Systems with Applications, 30, 4, pp.
605-611, (2006); Lai R.K., Fan C.Y., Huang W.H., Chang P.C., Evolving and
clustering fuzzy decision tree for financial time series data forecasting, Expert
Systems with Applications An International Journal, 36, 2, pp. 3761-3773, (2009);
Wang J.H., Leu J.Y., Stock market trend prediction using arima-based neural
networks, IEEE International Conference on Neural Networks, pp. 2160-2165, (1996);
Saad E.-W., Prokhorov D.V., Comparative study of stock trend prediction using time
delay, recurrent and probabilistic neural networks, IEEE Transactions on Neural
Networks, 9, 6, pp. 1456-1470, (1998); Nair B.B., Sai S.G., Naveen A.N., Lakshmi
A., Venkatesh G.S., Mohandas V.-P., A OA-Artificial Neural Network Hybrid System
for Financial Time Series Forecasting, (2011); Ebrahimpour R., Nikoo H., Masoudnia
S., Yousefi M.R., Ghaemi M.S., Mixture of mlp-experts for trend forecasting of time
series: A case study of the Tehran stock exchange, International Journal of
Forecasting, 27, 3, pp. 804-816, (2011); Tiifekci P., Classification-based
prediction models for stock price index movement, Intelligent Data Analysis, 20, 2,
pp. 357-376, (2016); Hsieh T.-J., Hsiao H.F., Yeh W.-C., Forecasting stock markets
using wavelet transforms and recurrent neural networks: An integrated system based
on artificial bee colony algorithm, Applied Soft Computing, 11, 2, pp. 2510-2525,
(2011); Yoshihara A., Fujikawa K., Seki K., Uehara K., Predicting Stock Market
Trends by Recurrent Deep Neural Networks, (2014); Chen K., Zhou Y., Dai F., A lstm-
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International Conference on Big Data, pp. 2823-2824, (2015); Duan J., Liu H., Zeng
J., Posterior probability model for stock return prediction based on analyst's
recommendation behavior, Knowledge-Based Systems, 50, pp. 151-158, (2013); Ding X.,
Zhang Y., Liu T., Duan J., Deep learning for event-driven stock prediction,
International Conference on Artificial Intelligence, pp. 2327-2333, (2015); Akita
R., Yoshihara A., Matsubara T., Uehara K., Deep learning for stock prediction using
numerical and textual information, IEEE/ACIS International Conference on Computer
and Information Science, pp. 1-6, (2016); Sak H., Senior A., Beaufays F., Long
short-Term memory recurrent neural network architectures for large scale acoustic
modeling, Computer Science, pp. 338-342, (2014)","W. Li; China Tobacco ZheJiang
Industrial CO. LTD, Hangzhou, 310000, China; email: [email protected]",Zhou J.;
Guo D.; Dong J.,IEEE Computer Society,,"11th IEEE International Conference on Anti-
Counterfeiting, Security, and Identification, ASID 2017",27 October 2017 through 29
October 2017,Xiamen,134582,21635048,978-153860532-5,,,English,"Proc. Int. Conf.
Anti-Counterfeiting, Secur. Identif., ASID",Conference paper,Final,,Scopus,2-s2.0-
85045276426
Lombardo G.; Pellegrino M.; Adosoglou G.; Cagnoni S.; Pardalos P.M.; Poggi
A.,"Lombardo, Gianfranco (57201158248); Pellegrino, Mattia (57264867300);
Adosoglou, George (57219223523); Cagnoni, Stefano (6701569818); Pardalos, Panos M.
(57223953050); Poggi, Agostino (7101947836)",57201158248; 57264867300; 57219223523;
6701569818; 57223953050; 7101947836,Machine Learning for Bankruptcy Prediction in
the American Stock Market: Dataset and Benchmarks,2022,Future
Internet,14,8,244,,,,26,10.3390/fi14080244,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85136601600&doi=10.3390%2ffi14080244&partnerID=40&md5=c2561b6eabe64db396dc6f5077bfd
1ad,"Department of Engineering and Architecture, University of Parma, Parma, 43124,
Italy; Department of Industrial and Systems Engineering, University of Florida,
Gainesville, 32611, FL, United States","Lombardo G., Department of Engineering and
Architecture, University of Parma, Parma, 43124, Italy; Pellegrino M., Department
of Engineering and Architecture, University of Parma, Parma, 43124, Italy;
Adosoglou G., Department of Industrial and Systems Engineering, University of
Florida, Gainesville, 32611, FL, United States; Cagnoni S., Department of
Engineering and Architecture, University of Parma, Parma, 43124, Italy; Pardalos
P.M., Department of Industrial and Systems Engineering, University of Florida,
Gainesville, 32611, FL, United States; Poggi A., Department of Engineering and
Architecture, University of Parma, Parma, 43124, Italy","Predicting corporate
bankruptcy is one of the fundamental tasks in credit risk assessment. In
particular, since the 2007/2008 financial crisis, it has become a priority for most
financial institutions, practitioners, and academics. The recent advancements in
machine learning (ML) enabled the development of several models for bankruptcy
prediction. The most challenging aspect of this task is dealing with the class
imbalance due to the rarity of bankruptcy events in the real economy. Furthermore,
a fair comparison in the literature is difficult to make because bankruptcy
datasets are not publicly available and because studies often restrict their
datasets to specific economic sectors and markets and/or time periods. In this
work, we investigated the design and the application of different ML models to two
different tasks related to default events: (a) estimating survival probabilities
over time; (b) default prediction using time-series accounting data with different
lengths. The entire dataset used for the experiments has been made available to the
scientific community for further research and benchmarking purposes. The dataset
pertains to 8262 different public companies listed on the American stock market
between 1999 and 2018. Finally, in light of the results obtained, we critically
discuss the most interesting metrics as proposed benchmarks for future studies. ©
2022 by the authors.",bankruptcy prediction; deep learning; LSTM; machine learning;
multi-head; stock market,Commerce; Forecasting; Long short-term memory; Risk
assessment; Bankruptcy prediction; Class imbalance; Corporates; Credit risk
assessment; Deep learning; Financial crisis; Financial institution; LSTM; Machine-
learning; Multi-head; Financial markets,,,,,,,"Danilov C., Konstantin A., Corporate
Bankruptcy: Assessment, Analysis and Prediction of Financial Distress, Insolvency,
and Failure; Ding A.A., Tian S., Yu Y., Guo H., A class of discrete transformation
survival models with application to default probability prediction, J. Am. Stat.
Assoc, 107, pp. 990-1003, (2012); Prusak B., Review of research into enterprise
bankruptcy prediction in selected central and eastern European countries, Int. J.
Financ. Stud, 6, (2018); Zieba M., Tomczak S.K., Tomczak J.M., Ensemble boosted
trees with synthetic features generation in application to bankruptcy prediction,
Expert Syst. Appl, 58, pp. 93-101, (2016); Mai F., Tian S., Lee C., Ma L., Deep
learning models for bankruptcy prediction using textual disclosures, Eur. J. Oper.
Res, 274, pp. 743-758, (2019); Adosoglou G., Park S., Lombardo G., Cagnoni S.,
Pardalos P.M., Lazy Network: A Word Embedding-Based Temporal Financial Network to
Avoid Economic Shocks in Asset Pricing Models, Complexity, 2022, (2022); Wilkinson
M.D., Dumontier M., Aalbersberg I.J., Appleton G., Axton M., Baak A., Blomberg N.,
Boiten J.W., da Silva Santos L.B., Bourne P.E., Et al., The FAIR Guiding Principles
for scientific data management and stewardship, Sci. Data, 3, (2016); Thakur N.,
Han C.Y., A study of fall detection in assisted living: Identifying and improving
the optimal machine learning method, J. Sens. Actuator Netw, 10, (2021); Gandomi
A.H., Chen F., Abualigah L., Machine learning technologies for big data analytics,
Electronics, 11, (2022); Schonfeld J., Kudej M., Smrcka L., Financial health of
enterprises introducing safeguard procedure based on bankruptcy models, J. Bus.
Econ. Manag, 19, pp. 692-705, (2018); Moscatelli M., Parlapiano F., Narizzano S.,
Viggiano G., Corporate default forecasting with machine learning, Expert Syst.
Appl, 161, (2020); Danenas P., Garsva G., Selection of Support Vector Machines
based classifiers for credit risk domain, Expert Syst. Appl, 42, pp. 3194-3204,
(2015); du Jardin P., A two-stage classification technique for bankruptcy
prediction, Eur. J. Oper. Res, 254, pp. 236-252, (2016); Tsai C.F., Hsu Y.F., Yen
D.C., A comparative study of classifier ensembles for bankruptcy prediction, Appl.
Soft Comput, 24, pp. 977-984, (2014); Wang G., Ma J., Yang S., An improved boosting
based on feature selection for corporate bankruptcy prediction, Expert Syst. Appl,
41, pp. 2353-2361, (2014); Zhou L., Lai K.K., Yen J., Bankruptcy prediction using
SVM models with a new approach to combine features selection and parameter
optimisation, Int. J. Syst. Sci, 45, pp. 241-253, (2014); Bottani E., Mordonini M.,
Franchi B., Pellegrino M., Demand Forecasting for an Automotive Company with Neural
Network and Ensemble Classifiers Approaches, IFIP International Conference on
Advances in Production Management Systems, pp. 134-142, (2021); Geng R., Bose I.,
Chen X., Prediction of financial distress: An empirical study of listed Chinese
companies using data mining, Eur. J. Oper. Res, 241, pp. 236-247, (2015); Alfaro
E., Garcia N., Gamez M., Elizondo D., Bankruptcy forecasting: An empirical
comparison of AdaBoost and Neural Networks, Decis. Support Syst, 45, pp. 110-122,
(2008); Bose I., Pal R., Predicting the survival or failure of click-and-mortar
corporations: A knowledge discovery approach, Eur. J. Oper. Res, 174, pp. 959-982,
(2006); Tian S., Yu Y., Guo H., Variable selection and corporate bankruptcy
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propagating errors, Nature, 323, pp. 533-536, (1986)","A. Poggi; Department of
Engineering and Architecture, University of Parma, Parma, 43124, Italy; email:
[email protected]",,MDPI,,,,,,19995903,,,,English,Future
Internet,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85136601600
Alfaro-Navarro J.-L.; Cano E.L.; Alfaro-Cortes E.; Garcia N.; Gamez M.; Larraz
B.,"Alfaro-Navarro, Jose-Luis (24504199500); Cano, Emilio L. (56063267200); Alfaro-
Cortes, Esteban (23097068700); Garcia, Noelia (35368493200); Gamez, Matias
(23097079700); Larraz, Beatriz (25628144800)",24504199500; 56063267200;
23097068700; 35368493200; 23097079700; 25628144800,A Fully Automated Adjustment of
Ensemble Methods in Machine Learning for Modeling Complex Real Estate
Systems,2020,Complexity,2020,,5287263,,,,28,10.1155/2020/5287263,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107931002&doi=10.1155%2f2020%2f5287263&partnerID=40&md5=6e9e290727e4cb5c4dba33a7b
52cf954,"Faculty of Economics and Business Administration, University of Castilla-
La Mancha, Albacete, Spain; Quantitative Methods and Socio-Economic Development
Group, Institute for Regional Development (IDR), University of Castilla-La Mancha
(UCLM), Albacete, Spain","Alfaro-Navarro J.-L., Faculty of Economics and Business
Administration, University of Castilla-La Mancha, Albacete, Spain; Cano E.L.,
Quantitative Methods and Socio-Economic Development Group, Institute for Regional
Development (IDR), University of Castilla-La Mancha (UCLM), Albacete, Spain;
Alfaro-Cortes E., Quantitative Methods and Socio-Economic Development Group,
Institute for Regional Development (IDR), University of Castilla-La Mancha (UCLM),
Albacete, Spain; Garcia N., Faculty of Economics and Business Administration,
University of Castilla-La Mancha, Albacete, Spain; Gamez M., Quantitative Methods
and Socio-Economic Development Group, Institute for Regional Development (IDR),
University of Castilla-La Mancha (UCLM), Albacete, Spain; Larraz B., Quantitative
Methods and Socio-Economic Development Group, Institute for Regional Development
(IDR), University of Castilla-La Mancha (UCLM), Albacete, Spain","The close
relationship between collateral value and bank stability has led to a considerable
need to a rapid and economical appraisal of real estate.The greater availability of
information related to housing stock has prompted to the use of so-called big data
and machine learning in the estimation of property prices. Although this
methodology has already been applied to the real estate market to identify which
variables influence dwelling prices, its use for estimating the price of properties
is not so frequent. The application of this methodology has become more
sophisticated over time, from applying simple methods to using the socalled
ensemble methods and, while the estimation capacity has improved, it has only been
applied to specific geographical areas. The main contribution of this article lies
in developing an application for the entire Spanish market that fully automatically
provides the best model for each municipality. Real estate property prices in 433
municipalities are estimated from a sample of 790,631 dwellings, using different
ensemble methods based on decision trees such as bagging, boosting, and random
forest.The results for estimating the price of dwellings show a good performance of
the techniques developed, in terms of the error measures, with the best results
being achieved using the techniques of bagging and random forest. © 2020 Hindawi
Limited. All rights reserved.",,Commerce; Decision trees; Machine learning; Random
forests; Automated adjustment; Bank stability; Ensemble methods; Estimation of
properties; Fully automated; Housing stock; Machine-learning; Model complexes;
Random forests; Real-estates; Housing,,,,,"MTM2017-86875-C3-1-R AEI; Universidad de
Castilla-La Mancha, UCLM, (UCTR180093); European Regional Development Fund, ERDF;
Agencia Estatal de Investigación, AEI","was partially funded by the Spanish
“Agencia Estatal de Investigación” via the MTM2017-86875-C3-1-R AEI/ FEDER, UE
project. +e present work was financed through the R&D contract between the
University of Castilla-La Mancha and Cohispania with ref:
UCTR180093.","International Convergence of Capital Measurement and Capital
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123, pp. 233-240, (2015)","B. Larraz; Quantitative Methods and Socio-Economic
Development Group, Institute for Regional Development (IDR), University of
Castilla-La Mancha (UCLM), Albacete, Spain; email: [email protected]",,Hindawi
Limited,,,,,,10762787,,,,English,Complexity,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85107931002
Beyaz E.; Tekiner F.; Zeng X.-J.; Keane J.,"Beyaz, Erhan (57207469926); Tekiner,
Firat (23975000600); Zeng, Xiao-Jun (7403248390); Keane, John
(34975073000)",57207469926; 23975000600; 7403248390; 34975073000,Comparing
Technical and Fundamental Indicators in Stock Price Forecasting,2019,"Proceedings -
20th International Conference on High Performance Computing and Communications,
16th International Conference on Smart City and 4th International Conference on
Data Science and Systems, HPCC/SmartCity/DSS
2018",,,8623000,1607,1613,6,31,10.1109/HPCC/SmartCity/DSS.2018.00262,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062562392&doi=10.1109%2fHPCC%2fSmartCity
%2fDSS.2018.00262&partnerID=40&md5=48348842bcbc4fad0f026b438032eecc,"School of
Computer Science, University of Manchester, Manchester, United Kingdom","Beyaz E.,
School of Computer Science, University of Manchester, Manchester, United Kingdom;
Tekiner F., School of Computer Science, University of Manchester, Manchester,
United Kingdom; Zeng X.-J., School of Computer Science, University of Manchester,
Manchester, United Kingdom; Keane J., School of Computer Science, University of
Manchester, Manchester, United Kingdom","This paper evaluates whether Fundamental
or Technical analysis is better when forecasting stock prices with machine learning
models; further, it considers whether combined use of the two approaches is
beneficial. Tests run on 140 companies from the S&P 500 indicate that models using
indicators based on Fundamental analysis outperform those using indicators from
Technical analysis with the level of outperformance varying across industries.
Furthermore, in over 95% of cases, using Combined indicators results in lower RMSE
compared to using Fundamental or Technical indicators alone. © 2018 IEEE.",ANN;
Fundamental Analysis; Stock Price Forecasting; Supervised Learning; SVR; Technical
Analysis,Financial markets; Forecasting; Machine learning; Smart city; Supervised
learning; Forecasting stock prices; Fundamental analysis; Machine learning models;
Stock price forecasting; Technical analysis; Technical indicator; Data
communication systems,,,,,,,"Thomsett M.C., Getting Started Getting Started in
Stock Analysis, Illustrated Edition, (2015); Campanella F., Mustilli M., D'Angelo
E., Efficient market hypothesis and fundamental analysis: An empirical test in the
european securities market, Review of Economics &Finance, pp. 27-42, (2016);
Malkiel B.G., A Random Walk Down Wall Street: The Time-Tested Strategy for
Successful Investing, (2016); Lo A.W., Adaptive Markets Financial Evolution at the
Speed of Thought, (2017); Hull J.C., OptionsFutures, and Other Derivatives, (2009);
Krantz M., Fundamental Analysis for Dummies, (2016); Rockefeller B., Technical
Analysis for Dummies, (2011); Schwager J.D., Turner S.C., Futures: Fundamental
Analysis, (1995); Thomsett M.C., Getting Started in Fundamental Analysis, (2006);
Cavalcante C.R., Brasileiro C.R., Souza L.F.V., Nobrega P.J., Oliveira A.L.,
Computational intelligence and financial markets: A survey and future directions,
Expert Systems with Applications, 55, pp. 194-211, (2016); Atsalakis G.S.,
Valavanis K.P., Surveying stock market forecasting techniques-Part II: Machine
learning methods, Expert Systems with Applications, 36, pp. 5932-5941, (2009);
Krollner B., Vanstone B., Finnie G., Financial time series forecasting with machine
learning techniques: A survey, European Symposium on Artificial Neural Networks:
Computational and Machine Learning, Bruges, (2010); Vanstone B., Tan C., A survey
of the application of soft computing to investment and financial trading,
Proceedings of the Australian and New Zealand Intelligent Information Systems
Conference, pp. 211-216, (2003); Bettman J.L., Sault S.S., Schultz E.L.,
Fundamental and technical analysis: Substitutes or complements?, Accounting and
Finance, pp. 21-36, (2009); Wafi S.A., Hassan H., Mabrouk A., Fundamental analysis
vs technical analysis in the egyptian stock exchange-empirical study, Proc. of the
Third Int. Conf. on Advances in Economics, Management and Social Study, (2015);
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information for separating winners from losers, Pacific-Basin Finance Journal, 39,
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Mining with R : Learning with Case Studies, (2017); Vanstone B., Finnie G., An
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variable importance measures: Illustrations, Sources and A Solution. BMC
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Zeileis A., Conditional variable importance for random forests, BMC Bioinformatics,
9, 307, (2008)",,,Institute of Electrical and Electronics Engineers Inc.,IEEE; IEEE
Computer Society; IEEE Technical Committee on Scalable Computing (TCSC),"20th
International Conference on High Performance Computing and Communications, 16th
IEEE International Conference on Smart City and 4th IEEE International Conference
on Data Science and Systems, HPCC/SmartCity/DSS 2018",28 June 2018 through 30 June
2018,Exeter,144521,,978-153866614-2,,,English,"Proc. - Int. Conf. High Perform.
Comput. Commun., Int. Conf. Smart City Int. Conf. Data Sci. Syst.,
HPCC/SmartCity/DSS",Conference paper,Final,,Scopus,2-s2.0-85062562392
Avramov D.; Cheng S.; Metzker L.,"Avramov, Doron (55983229500); Cheng, Si
(57192688238); Metzker, Lior (8518239000)",55983229500; 57192688238;
8518239000,Machine Learning vs. Economic Restrictions: Evidence from Stock Return
Predictability,2023,Management
Science,69,5,,2587,2619,32,30,10.1287/mnsc.2022.4449,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85161293134&doi=10.1287%2fmnsc.2022.4449&partnerID=40&md5=caa80d41124560e931d4dbc6e
d14a7b9,"Arison School of Business, Reichman University (IDC Herzliya), Herzliya,
4610101, Israel; Whitman School of Management, Syracuse University, Syracuse,
13244, NY, United States; School of Business Administration, The Hebrew University
of Jerusalem, Jerusalem, 9190501, Israel","Avramov D., Arison School of Business,
Reichman University (IDC Herzliya), Herzliya, 4610101, Israel; Cheng S., Whitman
School of Management, Syracuse University, Syracuse, 13244, NY, United States;
Metzker L., School of Business Administration, The Hebrew University of Jerusalem,
Jerusalem, 9190501, Israel","This paper shows that investments based on deep
learning signals extract profitability from difficult-to-arbitrage stocks and
during high limits-to-arbitrage market states. In particular, excluding microcaps,
distressed stocks, or episodes of high market volatility considerably attenuates
profitability. Machine learning-based performance further deteriorates in the
presence of reasonable trading costs because of high turnover and extreme positions
in the tangency portfolio implied by the pricing kernel. Despite their opaque
nature, machine learning methods successfully identify mispriced stocks consistent
with most anomalies. Beyond economic restrictions, deep learning signals are
profitable in long positions and recent years and command low downside risk.
Copyright: © 2022 INFORMS.",financial distress; Fintech; machine learning; neural
networks; return prediction,Commerce; Costs; Deep learning; Financial markets;
Learning systems; Profitability; Signal processing; Financial distress; Machine-
learning; Market volatility; Microcap; Neural-networks; Performance; Pricing
kernels; Return prediction; Stock return predictability; Trading cost;
Investments,,,,,"General Research Fund of the Research Grants Council of Hong Kong,
(14502318); Israel Science Foundation, ISF, (288/18)","History: Accepted by Kay
Giesecke, finance. Funding: D. Avramov acknowledges the Israel Science Foundation
(Grant 288/18) for financial support. S. Cheng acknowledges the General Research
Fund of the Research Grants Council of Hong Kong [Project 14502318] for financial
support. Supplemental Material: The data files and online appendix are available at
https://doi.org/10.1287/mnsc. 2022.4449.","Adrian T, Shin HS, Liquidity and
leverage, J. Financial Intermediary, 19, 3, pp. 418-437, (2010); Allena R,
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Management, Syracuse University, Syracuse, 13244, United States; email:
[email protected]",,INFORMS Inst.for Operations Res.and the Management
Sciences,,,,,,251909,,MSCIA,,English,Manage Sci,Article,Final,,Scopus,2-s2.0-
85161293134
Eachempati P.; Srivastava P.R.; Kumar A.; Tan K.H.; Gupta S.,"Eachempati, Prajwal
(57193355447); Srivastava, Praveen Ranjan (57225667071); Kumar, Ajay (57221973593);
Tan, Kim Hua (26668042600); Gupta, Shivam (55851943244)",57193355447; 57225667071;
57221973593; 26668042600; 55851943244,Validating the impact of accounting
disclosures on stock market: A deep neural network approach,2021,Technological
Forecasting and Social
Change,170,,120903,,,,32,10.1016/j.techfore.2021.120903,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85108700409&doi=10.1016%2fj.techfore.2021.120903&partnerID=40&md5=852d7c8cc4c0243eb
d6239689926fb82,"Department of Management Information System, Indian Institute of
Management Rohtak, India; Department of Management Information System, Indian
Institute of Management Rohtak, India; AIM Research Centre on Artificial
Intelligence in Value Creation, EMLYON Business School, France; Department of
Operations and Innovation Management, Nottingham University Business School, United
Kingdom; Department of Information Systems, Supply Chain & Decision Making, NEOMA
Business School, France","Eachempati P., Department of Management Information
System, Indian Institute of Management Rohtak, India; Srivastava P.R., Department
of Management Information System, Indian Institute of Management Rohtak, India;
Kumar A., AIM Research Centre on Artificial Intelligence in Value Creation, EMLYON
Business School, France; Tan K.H., Department of Operations and Innovation
Management, Nottingham University Business School, United Kingdom; Gupta S.,
Department of Information Systems, Supply Chain & Decision Making, NEOMA Business
School, France","Firms disclose information either voluntarily or due to the
regulator's mandatory requirements, and such disclosures form good sources to know
the prospects of a firm. Information in the disclosures and analysts' opinions
influence investor-trading behavior, and consequently, affects the asset prices. As
sentiments factored in disclosures are a source of market action, this study aims
to capture the sentiments from disclosure information to assess asset prices'
impact. The paper adopts a deep neural network-based prediction model for
conducting sentiment analysis on heterogeneous datasets. We construct a sentiment
simulation model of voluntary disclosures to know whether the managers can use the
market sentiment as a strategic input to boost market performance by suitably
drafting the tone and content of disclosures without compromising their quality and
veracity. The Deep Neural Networks with LSTM algorithm is found to outperform the
Deep Neural Networks with RNN and other baseline machine learning classifiers in
terms of predictive accuracy of the NSE NIFTY50. The variable importance computed
also validates that market news, combined with historical indicators, predicts the
stock market trend closer to the actual trend. © 2021",Analytics; Data
intelligence; Deep learning; Disclosures; Finance; Forecasts; Machine learning;
Private decision-making; Stock market,Commerce; Costs; Deep neural networks;
Electronic trading; Financial markets; Forecasting; Investments; Long short-term
memory; Sentiment analysis; Analytic; Asset prices; Data intelligence; Deep
learning; Disclosure; Machine-learning; Mandatory requirement; Neural-networks;
Private decision-making; Stock market; Decision making,,,,,"Emerald South Asia;
National Natural Science Foundation of China, NSFC","Dr. Shivam Gupta is an
associate professor at NEOMA Business School, France, and has a proven track record
in higher education. He specializes in statistics, cloud computing, data analysis,
artificial intelligence and sustainable development. He previously worked at the
Montpellier Business School. His-PhD was focused on Cloud Computing and Operations
Management at the Indian Institute of Technology (IIT), Kanpur. After his
doctorate, he continued his postdoctoral research at Freie Universität Berlin and
SUSTech, China. He obtained a HDR diploma from the University of Montpellier. He
received the International Young Scientist Award from the National Natural Science
Foundation of China (NSFC) in 2017 and won the 2017 Emerald South Asia LIS Award.
Shivam Gupta has published several research papers in well-known journals such as
International Journal of Information Management, Information Systems Frontiers,
International Journal of Production Economics, Journal of Business Research, Annals
of Operations Research, International Journal of Production Research, IEEE
Transactions on Cloud Computing, Technological Forecasting and Social Change,
Industrial Marketing Management, Production Planning & Control.","Aboody D.,
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Research Centre on Artificial Intelligence in Value Creation, EMLYON Business
School, France; email: [email protected]",,Elsevier
Inc.,,,,,,401625,,,,English,Technol. Forecast. Soc. Change,Article,Final,All Open
Access; Bronze Open Access,Scopus,2-s2.0-85108700409
Wang Z.; Ho S.-B.; Lin Z.,"Wang, Zhaoxia (55719794000); Ho, Seng-Beng
(56152356200); Lin, Zhiping (57761865900)",55719794000; 56152356200;
57761865900,Stock market prediction analysis by incorporating social and news
opinion and sentiment,2018,"IEEE International Conference on Data Mining Workshops,
ICDMW",2018-November,,8637365,1375,1380,5,32,10.1109/ICDMW.2018.00195,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062890356&doi=10.1109%2fICDMW.2018.00195&partnerID=40&md5=51a3511136c3b0dfd176873
bb746cf4c,"Social and Cognitive Computing (SCC), Institute of High Performance
Computing (IHPC), Agency for Science, Technology and Research (ASTAR), Singapore;
School of Electrical and Electronic Engineering (EEE), Nanyang Technological
University, Singapore","Wang Z., Social and Cognitive Computing (SCC), Institute of
High Performance Computing (IHPC), Agency for Science, Technology and Research
(ASTAR), Singapore; Ho S.-B., Social and Cognitive Computing (SCC), Institute of
High Performance Computing (IHPC), Agency for Science, Technology and Research
(ASTAR), Singapore; Lin Z., School of Electrical and Electronic Engineering (EEE),
Nanyang Technological University, Singapore","The price of the stocks is an
important indicator for a company and many factors can affect their values.
Different events may affect public sentiments and emotions differently, which may
have an effect on the trend of stock market prices. Because of dependency on
various factors, the stock prices are not static, but are instead dynamic, highly
noisy and nonlinear time series data. Due to its great learning capability for
solving the nonlinear time series prediction problems, machine learning has been
applied to this research area. Learning-based methods for stock price prediction
are very popular and a lot of enhanced strategies have been used to improve the
performance of the learning based predictors. However, performing successful stock
market prediction is still a challenge. News articles and social media data are
also very useful and important in financial prediction, but currently no good
method exists that can take these social media into consideration to provide better
analysis of the financial market. This paper aims to successfully predict stock
price through analyzing the relationship between the stock price and the news
sentiments. A novel enhanced learning-based method for stock price prediction is
proposed that considers the effect of news sentiments. Compared with existing
learning-based methods, the effectiveness of this new enhanced learning-based
method is demonstrated by using the real stock price data set with an improvement
of performance in terms of reducing the Mean Square Error (MSE). The research work
and findings of this paper not only demonstrate the merits of the proposed method,
but also points out the correct direction for future work in this area. © 2018
IEEE.",enhanced learning-based method; Machine learning; sentiment analysis; stock
market prediction; time series data prediction,Commerce; Costs; Financial markets;
Forecasting; Machine learning; Mean square error; Social networking (online); Time
series; Time series analysis; Data prediction; Enhanced learning; Enhanced
learning-based method; Learning-based methods; Machine-learning; Sentiment
analysis; Stock market prediction; Stock price; Time series data prediction; Time-
series data; Sentiment analysis,,,,,,,"Bu-Mostafa Y.S., Atiya A.F., Introduction to
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IEEE Computer Society; Living Analytic Research Center at Singapore Management
University; National Science Foundation (NSF); Shanghai Yixue Educational
Technology; X-Order UCommune Singapore,"18th IEEE International Conference on Data
Mining Workshops, ICDMW 2018",17 November 2018 through 20 November
2018,Singapore,145037,23759232,978-153869288-2,,,English,"IEEE Int. Conf. Data
Mining Workshops, ICDMW",Conference
paper,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85062890356
Weber P.; Carl K.V.; Hinz O.,"Weber, Patrick (57719555600); Carl, K. Valerie
(57211179401); Hinz, Oliver (14033045500)",57719555600; 57211179401;
14033045500,"Applications of Explainable Artificial Intelligence in Finance—a
systematic review of Finance, Information Systems, and Computer Science
literature",2024,Management Review Quarterly,74,2,,867,907,40,28,10.1007/s11301-
023-00320-0,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?
eid=2-s2.0-85149028658&doi=10.1007%2fs11301-023-00320-
0&partnerID=40&md5=4aa9ba5bf7b34903d383773d2ec008bf,"Chair of Information Systems
and Information Management, Goethe University Frankfurt, Theodor-W-Adorno-Platz 4,
Frankfurt am Main, 60629, Germany","Weber P., Chair of Information Systems and
Information Management, Goethe University Frankfurt, Theodor-W-Adorno-Platz 4,
Frankfurt am Main, 60629, Germany; Carl K.V., Chair of Information Systems and
Information Management, Goethe University Frankfurt, Theodor-W-Adorno-Platz 4,
Frankfurt am Main, 60629, Germany; Hinz O., Chair of Information Systems and
Information Management, Goethe University Frankfurt, Theodor-W-Adorno-Platz 4,
Frankfurt am Main, 60629, Germany","Digitalization and technologization affect
numerous domains, promising advantages but also entailing risks. Hence, when
decision-makers in highly-regulated domains like Finance implement these
technological advances—especially Artificial Intelligence—regulators prescribe high
levels of transparency, assuring the traceability of decisions for third parties.
Explainable Artificial Intelligence (XAI) is of tremendous importance in this
context. We provide an overview of current research on XAI in Finance with a
systematic literature review screening 2,022 articles from leading Finance,
Information Systems, and Computer Science outlets. We identify a set of 60 relevant
articles, classify them according to the used XAI methods and goals that they aim
to achieve, and provide an overview of XAI methods used in different Finance areas.
Areas like risk management, portfolio optimization, and applications around the
stock market are well-researched, while anti-money laundering is understudied.
Researchers implement both transparent models and post-hoc explainability, while
they recently favored the latter. © The Author(s) 2023.",Explainable artificial
intelligence; Finance; G00; L50; Machine learning; Review; Systematic literature
review,,,,,,"Data Science Institute, Columbia University, DSI","We gratefully
acknowledge research support from the efl\u2013the Data Science Institute, Germany.
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Information Systems and Information Management, Goethe University Frankfurt,
Frankfurt am Main, Theodor-W-Adorno-Platz 4, 60629, Germany; email: [email protected]
frankfurt.de",,Springer Nature,,,,,,21981620,,,,English,Manag. Rev.
Q.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-85149028658
Saini A.; Sharma A.,"Saini, Ashwini (57219595048); Sharma, Anoop
(57219593188)",57219595048; 57219593188,Predicting the Unpredictable: An
Application of Machine Learning Algorithms in Indian Stock Market,2022,Annals of
Data Science,9,4,,791,799,8,32,10.1007/s40745-019-00230-7,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85094171830&doi=10.1007%2fs40745-019-00230-
7&partnerID=40&md5=e6d841c032ed9149b5fd0ad7d1063111,"Singhania University,
Rajasthan, Pacheri Bari, Jhunjhunu, India","Saini A., Singhania University,
Rajasthan, Pacheri Bari, Jhunjhunu, India; Sharma A., Singhania University,
Rajasthan, Pacheri Bari, Jhunjhunu, India","The stock market is a popular
investment option for investors because of its expected high returns. Stock market
prediction is a complex task to achieve with the help of artificial intelligence.
Because stock prices depend on many factors, including trends and news in the
market. However, in recent years, many creative techniques and models have been
proposed and applied to efficiently and accurately forecast the behaviour of the
stock market. This paper presents a comparative study of fundamental and technical
analysis based on different parameters. We also discuss a comparative Analysis of
various prediction techniques used to predict stock price. These strategies include
technical analysis like time series analysis and machine learning algorithms such
as the artificial neural network (ANN). Along with them, few researchers focused on
the textual analysis of stock prices by continuous analysing the public sentiments
from social media and other news sources. Various approaches are compared based on
methodologies, datasets, and efficiency with the help of visualisation. © 2019,
Springer-Verlag GmbH Germany, part of Springer Nature.",Artificial neural network;
Long short memory neural network; Machine learning algorithms; Sentiment analysis;
Stock market prediction,,,,,,,,"Liu B., Sentiment analysis and opinion mining,
(2012); Attigeri G.V., Manohara P.M.M., Pai R.M., Nayak A., Stock market
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Jhunjhunu, Rajasthan, India; email: [email protected]",,Springer Science
and Business Media Deutschland GmbH,,,,,,21985804,,,,English,Ann. Data
Sci.,Article,Final,,Scopus,2-s2.0-85094171830
Waqar M.; Dawood H.; Shahnawaz M.B.; Ghazanfar M.A.; Guo P.,"Waqar, Muhammad
(56963732600); Dawood, Hassan (57562818800); Shahnawaz, Muhammad Bilal
(57217498216); Ghazanfar, Mustansar Ali (36023331300); Guo, Ping
(57198671934)",56963732600; 57562818800; 57217498216; 36023331300;
57198671934,Prediction of Stock Market by Principal Component
Analysis,2017,"Proceedings - 13th International Conference on Computational
Intelligence and Security, CIS
2017",2018-January,,,599,602,3,28,10.1109/CIS.2017.00139,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85046684168&doi=10.1109%2fCIS.2017.00139&partnerID=40&md5=5d0cbf19e6e7d7634b5ea0b80
f41b38a,"Software Engineering Department, University of Engineering and Technology,
Taxila, Pakistan; Image Processing and Pattern Recognition Laboratory, Beijing
Normal University, Beijing, China","Waqar M., Software Engineering Department,
University of Engineering and Technology, Taxila, Pakistan; Dawood H., Software
Engineering Department, University of Engineering and Technology, Taxila, Pakistan;
Shahnawaz M.B., Software Engineering Department, University of Engineering and
Technology, Taxila, Pakistan; Ghazanfar M.A., Software Engineering Department,
University of Engineering and Technology, Taxila, Pakistan; Guo P., Image
Processing and Pattern Recognition Laboratory, Beijing Normal University, Beijing,
China","The categorization of high dimensional data present a fascinating challenge
to machine learning models as frequent number of highly correlated dimensions or
attributes can affect the accuracy of classification model. In this paper, the
problem of high dimensionality of stock exchange is investigated to predict the
market trends by applying the principal component analysis (PCA) with linear
regression. PCA can help to improve the predictive performance of machine learning
methods while reducing the redundancy among the data. Experiments are carried out
on a high dimensional spectral of 3 stock exchanges such as: New York Stock
Exchange, London Stock Exchange and Karachi Stock Exchange. The accuracy of linear
regression classification model is compared before and after applying PCA. The
experiments show that PCA can improve the performance of machine learning in
general if and only if relative correlation among input features is investigated
and careful selection is done while choosing principal components. Root mean square
error (RMSE) is used as an evaluation metric to evaluate the classification model.
© 2017 IEEE.",linear regression; principal component analysis; root mean sqaure
error; stock exchange prediction,Clustering algorithms; Commerce; Electronic
trading; Financial markets; Linear regression; Machine components; Machine
learning; Mean square error; Principal component analysis; Accuracy of
classifications; Classification models; High dimensional data; High dimensionality;
Highly-correlated; Machine learning models; Principal-component analysis; Root mean
sqaure error; Stock exchange; Stock exchange prediction; Forecasting,,,,,"National
Natural Science Foundation of China, NSFC, (61375045); Chinese Academy of Sciences,
CAS; Natural Science Foundation of Beijing Municipality, (4142030); National
Science Foundation, NSF; Joint Fund of Astronomy, (U1531242)","Funding text 1: VI.
ACKNOWLEDGMENT This work is fully supported by the grants from the National Science
Foundation of China (61375045), Beijing Natural Science Foundation (4142030) and
the Joint Research Fund in Astronomy (U1531242) under cooperative agreement between
the National Natural Science Foundation of China (NSFC) and Chinese Academy of
Sciences (CAS).; Funding text 2: This work is fully supported by the grants from
the National Science Foundation of China (61375045), Beijing Natural Science
Foundation (4142030) and the Joint Research Fund in Astronomy (U1531242) under
cooperative agreement between the National Natural Science Foundation of China
(NSFC) and Chinese Academy of Sciences (CAS).","Enke D., Thawornwong S., The use of
data mining and neural networks for forecasting stock market returns, Expert
Systems with Applications, 29, pp. 927-940, (2005); Patel M.B., Yalamalle S.R.,
Stock Price Prediction Using Artificial Neural Network, International Journal of
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market predictions: A review of literature, International Journal of Machine
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Mining and Neural Network techniques in Stock market prediction: A methodological
review, International Journal of Artificial Intelligence & Applications (IJAIA), 4,
pp. 117-127, (2013); Soni S., Applications of ANNs in Stock Market Prediction: A
Survey, International Journal of Computer Science & Engineering Technology
(IJCSET), 2, 2013, pp. 71-83; Shen S., Jiang H., Zhang T., Stock Market Forecasting
Using Machine Learning Algorithms, International Journal of Machine Intelligence,
3, pp. 17-22, (2012); Wang Y., Choi I.C., Market Index and Stock Price Direction
Prediction using Machine Learning Techniques: An empirical study on the KOSPI and
HIS, International Journal of Business Intelligence and Data Mining, 1, pp. 1-13,
(2013); Fenghuaa W., Jihong X., Zhifang H., Xu G., Stock Price Prediction based on
SSA and SVM, Proc. 2nd International Conference on Information Technology and
Quantitative Management (ITQM 14), (2014); Choudhry R., Garg K., A Hybrid Machine
Learning System for Stock Market Forecasting, International Scholarly and
Scientific Research & Innovation, 2, pp. 242-245, (2008); Karazmodeh M., Nasiri S.,
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Improved Particle Swarm Optimization, Journal of Automation and Control
Engineering, 1, pp. 173-176, (2013); Olaniyi A.S., Kayode A., Jimoh R.G., Stock
Trend Prediction using Regression Analysis - A Data Mining Approach, ARPN Journal
of Systems and Software, 1, pp. 154-157, (2010); Ou P., Wang H., Prediction of
Stock Market Index Movement by Ten Data Mining Techniques, Modern Applied Science,
3, pp. 28-42, (2009); (2015)",,,Institute of Electrical and Electronics Engineers
Inc.,Beijing Normal University; Business Travel and MICE Centre; China Travel
Service (Hong Kong) Limited; Guangdong University of Technology; IEEE CPS; Xidian
University,"13th International Conference on Computational Intelligence and
Security, CIS 2017",15 December 2017 through 18 December 2017,Hong
Kong,134622,,978-153864822-3,,,English,"Proc. - Int. Conf. Comput. Intell. Secur.,
CIS",Conference paper,Final,,Scopus,2-s2.0-85046684168
Singh J.; Khushi M.,"Singh, Jaideep (57204133083); Khushi, Matloob
(36969331400)",57204133083; 36969331400,Feature learning for stock price prediction
shows a significant role of analyst rating,2021,Applied System
Innovation,4,1,17,1,17,16,25,10.3390/asi4010017,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85102250039&doi=10.3390%2fasi4010017&partnerID=40&md5=20e7d105d2148684335937461cbfa
698,"School of Computer Science, Faculty of Engineering, The University of Sydney,
Sydney, 2006, NSW, Australia","Singh J., School of Computer Science, Faculty of
Engineering, The University of Sydney, Sydney, 2006, NSW, Australia; Khushi M.,
School of Computer Science, Faculty of Engineering, The University of Sydney,
Sydney, 2006, NSW, Australia","Efficient Market Hypothesis states that stock prices
are a reflection of all the information present in the world and generating excess
returns is not possible by merely analysing trade data which is already available
to all public. Yet to further the research rejecting this idea, a rigorous
literature review was conducted and a set of five technical indicators and 23
fundamental indicators was identified to establish the possibility of generating
excess returns on the stock market. Leveraging these data points and various
classification machine learning models, trading data of the 505 equities on the US
S&P500 over the past 20 years was analysed to develop a classifier effective for
our cause. From any given day, we were able to predict the direction of change in
price by 1% up to 10 days in the future. The predictions had an overall accuracy of
83.62% with a precision of 85% for buy signals and a recall of 100% for sell
signals. Moreover, we grouped equities by their sector and repeated the experiment
to see if grouping similar assets together positively effected the results but
concluded that it showed no significant improvements in the performance—rejecting
the idea of sector-based analysis. Also, using feature ranking we could identify an
even smaller set of 6 indicators while maintaining similar accuracies as that from
the original 28 features and also uncovered the importance of buy, hold and sell
analyst ratings as they came out to be the top contributors in the model. Finally,
to evaluate the effectiveness of the classifier in real-life situations, it was
backtested on FAANG (Facebook, Amazon, Apple, Netflix & Google) equities using a
modest trading strategy where it generated high returns of above 60% over the term
of the testing dataset. In conclusion, our proposed methodology with the
combination of purposefully picked features shows an improvement over the previous
studies, and our model predicts the direction of 1% price changes on the 10th day
with high confidence and with enough buffer to even build a robotic trading system.
© 2021 by the authors. Licensee MDPI, Basel, Switzerland.",Feature engineering;
Machine learning in stocks; Stock index prediction,,,,,,"University of Sydney,
Usyd",The data was analysed at a Bloomberg Finance L.P. Terminal located at The
University of Sydney.,"Meng T.L., Khushi M., Reinforcement Learning in Financial
Markets, Data, 4, (2019); Hu Z., Zhao Y., Khushi M., A Survey of Forex and Stock
Price Prediction Using Deep Learning, Appl. Syst. Innov, 4, (2021); Kiang M.Y., Chi
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Financ, (2019); Corredor P., Ferrer E., Santamaria R., The role of sentiment and
stock characteristics in the translation of analysts’ forecasts into
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Financ, (2018); Khushi M., Dean I.M., Teber E.T., Chircop M., Arthur J.W., Flores-
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Y., Zhang Y., Machine Learning in Stock Price Trend Forecasting; Jaggi M., Mandal
P., Narang S., Naseem U., Khushi M., Text Mining of Stocktwits Data for Predicting
Stock Prices, Appl. Syst. Innov, 4, (2021)","M. Khushi; School of Computer Science,
Faculty of Engineering, The University of Sydney, Sydney, 2006, Australia; email:
[email protected]",,MDPI AG,,,,,,25715577,,,,English,Appl. Syst.
Innov.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85102250039
Liu Y.; Zeng Q.; Yang H.; Carrio A.,"Liu, Yang (57203674975); Zeng, Qingguo
(57203284695); Yang, Huanrui (57203286881); Carrio, Adrian
(56286386100)",57203674975; 57203284695; 57203286881; 56286386100,Stock price
movement prediction from financial news with deep learning and knowledge graph
embedding,2018,Lecture Notes in Computer Science (including subseries Lecture Notes
in Artificial Intelligence and Lecture Notes in Bioinformatics),11016
LNAI,,,102,113,11,31,10.1007/978-3-319-97289-3_8,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85051104817&doi=10.1007%2f978-3-319-97289-
3_8&partnerID=40&md5=87ebbf62853204fd8e3de53a1ab3ff1e,"Department of Industrial
Engineering, Business Administration and Statistics, Universidad Politécnica de
Madrid, Madrid, 28006, Spain; South China Normal University, Shipai, Guangzhou,
China; Electrical and Computer Engineering Department, Duke University, Durham,
27708, United States; Center of Automatic and Robotic, Universidad Politécnica de
Madrid, Madrid, 28006, Spain","Liu Y., Department of Industrial Engineering,
Business Administration and Statistics, Universidad Politécnica de Madrid, Madrid,
28006, Spain; Zeng Q., South China Normal University, Shipai, Guangzhou, China;
Yang H., Electrical and Computer Engineering Department, Duke University, Durham,
27708, United States; Carrio A., Center of Automatic and Robotic, Universidad
Politécnica de Madrid, Madrid, 28006, Spain","As the technology applied to economy
develops, more and more investors are paying attention to stock prediction.
Therefore, research on stock prediction is becoming a hot area. In this paper, we
propose to incorporate a joint model using the TransE model for representation
learning and a Convolutional Neural Network (CNN), which extracts features from
financial news articles. This joint learning can improve the accuracy of text
feature extraction while reducing the sparseness of news headlines. On the other
hand, we present a joint feature extraction method which extracts feature vectors
from both daily trading data and technical indicators. The approach is evaluated
using Support Vector Machines (SVM) as a traditional machine learning method and
Long Short-term Memory (LSTM) model as a deep learning method. The proposed model
is used to predict Apple’s stock price movement using the Standard & Poor’s 500
index (S&P 500). The experiments show that the accuracy of news sentiment
classification for feature selection achieved 97.66% by model of joint learning,
the performance of joint learning is better than feature extraction by CNN, the
accuracy of stock price movement prediction through deep learning achieved 55.44%,
this result is higher than traditional machine learning. This model can give the
investors greater decision support. © Springer Nature Switzerland AG 2018.",Deep
learning; Event tuple; Financial news; Knowledge graph embedding; Stock
market,Commerce; Decision support systems; Electronic trading; Extraction; Feature
extraction; Financial markets; Forecasting; Intelligent systems; Investments;
Knowledge acquisition; Knowledge management; Long short-term memory; Motion
estimation; Support vector machines; Convolutional Neural Networks (CNN); Event
tuple; Feature extraction methods; Financial news; Knowledge graphs; Machine
learning methods; Sentiment classification; Stock price movement predictions; Deep
learning,,,,,"China Scholarship Council, CSC",Acknowledgments. The authors Yang Liu
would like to thank all the reviewers for their insightful and valuable
suggestions. This work is supported by the China Scholarship Council (CSC).,"Nguyen
T.H., Shirai K., Velcin J., Sentiment analysis on social media for stock movement
prediction, Expert Syst. Appl., 42, pp. 9603-9611, (2015); Liu K., Zhang Y.-Z., Ji
G.-L., Lai S.-W., Zhao J., Representation learning for question answering over
knowledge base: An overview n ature, Acta Autom. Sin., 42, 6, pp. 807-818, (2016);
Qiao L., Yang L., Hong D., Yao L., Zhiguang Q., Knowledge graph construction
techniques, J. Comput. Res. Dev., 53, 3, pp. 649-652, (2014); Wang Q., Mao Z., Wang
B., Guo L., Knowledge graph embedding: A survey of approaches and applications,
IEEE Trans. Knowl. Data Eng., 29, pp. 2724-2743, (2017); Wang Z., Zhang J., Feng
J., Chen Z., Knowledge graph embedding by translating on hyperplanes, AAAI Conf.
Artif. Intell, 14, pp. 1112-1119, (2014); Ding X., Zhang Y., Liu T., Duan J., Deep
learning for event-driven stock prediction, IJCAI International Joint Conference on
Artificial Intelligence, pp. 2327-2333, (2015); Ding X., Zhang Y., Liu T., Duan J.,
Knowledge-driven event embedding for stock prediction, Coling, 2016, pp. 2133-2142,
(2016); Filliat D., A visual bag of words method for interactive qualitative
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Learning Techniques Applied to Trading, (2016); Xiong R., Nichols E.P., Shen Y.,
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A., Usunier N., Weston J., Yakhnenko O., Translating embeddings for modeling multi-
relational data, Adv. NIPS., 26, pp. 2787-2795, (2013); Lin H., Liu Y., Wang W.,
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for stock market prediction from financial news articles, IEEE International
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Nikfarjam A., Emadzadeh E., Muthaiyah S., Text mining approaches for stock market
prediction, The 2Nd International Conference on Computer and Automation Engineering
(ICCAE), 4, pp. 256-260, (2010); Sokolova M., Japkowicz N., Szpakowicz S., Beyond
Accuracy, F-Score and ROC: A Family of Discriminant Measures for Performance
Evaluation, 4304, pp. 1015-1021, (2006)","H. Yang; Electrical and Computer
Engineering Department, Duke University, Durham, 27708, United States; email:
[email protected]",Yoshida K.; Lee M.,Springer Verlag,,"15th Pacific Rim
Knowledge Acquisition Workshop, PKAW 2018 held in conjunction with the 15th Pacific
Rim International Conference on Artificial Intelligence, PRICAI 2018",28 August
2018 through 29 August 2018,Nanjing,216539,3029743,978-331997288-6,,,English,Lect.
Notes Comput. Sci.,Conference paper,Final,,Scopus,2-s2.0-85051104817
Ohana J.J.; Ohana S.; Benhamou E.; Saltiel D.; Guez B.,"Ohana, Jean Jacques
(57221150081); Ohana, Steve (23989161100); Benhamou, Eric (57219457827); Saltiel,
David (57219624094); Guez, Beatrice (57219460079)",57221150081; 23989161100;
57219457827; 57219624094; 57219460079,Explainable AI (XAI) Models Applied to the
Multi-agent Environment of Financial Markets,2021,Lecture Notes in Computer Science
(including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in
Bioinformatics),12688
LNAI,,,189,207,18,33,10.1007/978-3-030-82017-6_12,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85113304916&doi=10.1007%2f978-3-030-82017-
6_12&partnerID=40&md5=63c93b23ba25bbca5802b0d8d9bfa532,"Homa Capital, Paris,
France; Homa Capital, Jerusalem, Israel; AI for Alpha, Neuilly-sur-Seine, France;
Lamsade, Dauphine, Paris, France; LISIC ULCO, Calais, France","Ohana J.J., Homa
Capital, Paris, France, LISIC ULCO, Calais, France; Ohana S., Homa Capital,
Jerusalem, Israel, LISIC ULCO, Calais, France; Benhamou E., Homa Capital,
Jerusalem, Israel, AI for Alpha, Neuilly-sur-Seine, France, LISIC ULCO, Calais,
France; Saltiel D., Homa Capital, Jerusalem, Israel, Lamsade, Dauphine, Paris,
France, LISIC ULCO, Calais, France; Guez B., Homa Capital, Jerusalem, Israel, LISIC
ULCO, Calais, France","Financial markets are a real life multi-agent system that is
well known to be hard to explain and interpret. We consider a gradient boosting
decision trees (GBDT) approach to predict large S&P 500 price drops from a set of
150 technical, fundamental and macroeconomic features. We report an improved
accuracy of GBDT over other machine learning (ML) methods on the S&P 500 futures
prices. We show that retaining fewer and carefully selected features provides
improvements across all ML approaches. Shapley values have recently been introduced
from game theory to the field of ML. They allow for a robust identification of the
most important variables predicting stock market crises, and of a local explanation
of the crisis probability at each date, through a consistent features attribution.
We apply this methodology to analyse in detail the March 2020 financial meltdown,
for which the model offered a timely out of sample prediction. This analysis
unveils in particular the contrarian predictive role of the tech equity sector
before and after the crash. © 2021, Springer Nature Switzerland AG.",Explainable
AI; Financial markets meltdown; GBDT; Multi-agent environment,Commerce; Decision
trees; Electronic trading; Financial markets; Forecasting; Game theory; Gradient
boosting; Market crisis; Multi-agent environment; Robust identification; Shapley
value; Multi agent systems,,,,,,,"Adadi A., Berrada M., Peeking inside the black-
box: A survey on explainable artificial intelligence (XAI), IEEE Access, 6, pp.
52138-52160, (2018); Aguilar-Rivera R., Valenzuela-Rendon M., Rodriguez-Ortiz J.,
Genetic algorithms and Darwinian approaches in financial applications: A survey,
Expert Syst. Appl., 42, 21, pp. 7684-7697, (2015); Atsalakis G.S., Valavanis K.P.,
Surveying stock market forecasting techniques-part II: Soft computing methods.
Expert Syst, Appl, 36, 3, Part 2, pp. 5932-5941, (2009); Benhamou E., Connecting
Sharpe ratio and Student t-statistic, and beyond, Arxiv, (2019); Benhamou E., Guez
B., Incremental Sharpe and other performance ratios, J. Stat. Econom. Methods,
(2018); Benhamou E., Guez B., Paris N., Omega and Sharpe ratio, Arxiv, (2019);
Benhamou E., Saltiel D., Guez B., Paris N., Testing Sharpe Ratio: Luck Or Skill?,
(2019); Benhamou E., Saltiel D., Ohana J.J., Atif J., Detecting and adapting to
crisis pattern with context based deep reinforcement learning, International
Conference on Pattern Recognition (ICPR). IEEE Computer Society, (2021); Benhamou
E., Saltiel D., Ungari S., Mukhopadhyay A., Bridging the gap between Markowitz
planning and deep reinforcement learning, Proceedings of the 30Th International
Conference on Automated Planning and Scheduling (ICAPS): PRL, (2020); Benhamou E.,
Saltiel D., Ungari S., Mukhopadhyay A., Time your hedge with deep reinforcement
learning, Proceedings of the 30Th International Conference on Automated Planning
and Scheduling (ICAPS), (2020); Benhamou E., Saltiel D., Verel S., Teytaud F.,
BCMA-ES: A Bayesian approach to CMA-ES, Corr Abs/1904, (2019); Brown I., Mues C.,
An experimental comparison of classification algorithms for imbalanced credit
scoring data sets, Expert Syst. Appl., 39, 3, pp. 3446-3453, (2012); Chatzis S.,
Siakoulis A.P.V., Stavroulakis E., Vlachogiannakis N., Forecasting stock market
crisis events using deep and statistical machine learning techniques, Expert Syst.
Appl., 112, pp. 353-371, (2018); Chen T., Guestrin C., XGBoost: A scalable tree
boosting system, Corr Abs/1603, (2016); Choo J., Liu S., Visual analytics for
explainable deep learning, Corr Abs/1804, (2018); Ghosal S., Blystone D., Singh
A.K., Ganapathysubramanian B., Singh A., Sarkar S., An explainable deep machine
vision framework for plant stress phe-notyping, Proc. Natl. Acad. Sci., 115, 18,
pp. 4613-4618, (2018); Gu S., Kelly B., Xiu D., Empirical asset pricing via machine
learning, Rev. Financ. Stud., 33, 5, pp. 2223-2273, (2020); Ke G., Et al.,
LightGBM: A highly efficient gradient boosting decision tree, Advances in Neural
Information Processing Systems, 30, pp. 3146-3154, (2017); Kingma D., Ba J., Adam:
A Method for Stochastic Optimization, (2014); Krauss C., Do X.A., Huck N., Deep
neural networks, gradient-boosted trees, random forests: Statistical arbitrage on
the S&P 500, Eur. J. Oper. Res., 259, 2, pp. 689-702, (2017); Li Y., Ma W.,
Applications of artificial neural networks in financial economics: A survey, 2010
International Symposium on Computational Intelligence and Design, 1, pp. 211-214,
(2010); Liu S., Wang X., Liu M., Zhu J., Towards better analysis of machine
learning models: A visual analytics perspective, Corr Abs/1702, (2017); Lundberg
S., Lee S.I., A Unified Approach to Interpreting Model Predictions, (2017); Malhi
A., Kampik T., Pannu H.S., Madhikermi M., Framling K., Explaining machine learning-
based classifications of in-vivo gastral images, 2019 Digital Image Computing:
Techniques and Applications (DICTA), P. 7, December, (2019); Marceau L., Qiu L.,
Vandewiele N., Charton E., A comparison of deep learning performances with others
machine learning algorithms on credit scoring unbalanced data, Corr Abs/1907,
(2019); Mehra R., Prescott E., The equity premium: A puzzle, J. Monet. Econ., 15,
2, pp. 145-161, (1985); Nti I.K., Adekoya A.F., Weyori B.A., A systematic review of
fundamental and technical analysis of stock market predictions, Artif. Intell.
Rev., 53, 4, pp. 3007-3057, (2019); Prokhorenkova L., Gusev G., Vorobev A.,
Dorogush A.V., Gulin A., CatBoost: Unbiased boosting with categorical features,
Advances in Neural Information Processing Systems, Vol. 31, pp. 6638-6648, (2018);
Ribeiro M.T., Singh S., Guestrin C., “why should i trust you?”: Explaining the
predictions of any classifier, Proceedings of the 22Nd ACM SIGKDD International
Conference on Knowledge Discovery and Data Mining, pp. 1135-1144, (2016); Rosenfeld
A., Richardson A., Explainability in human-agent systems, Corr Abs/1904, (2019);
Rundo F., Trenta F., Di Stallo A.L., Battiato S., Machine learning for quantitative
finance applications: A survey, Appl. Sci., 9, 24, (2019); Samitas A., Kampouris
E., Kenourgios D., Machine learning as an early warning system to predict financial
crisis, Int. Rev. Financ. Anal., 71, (2020); Shah D., Isah H., Zulkernine F., Stock
market analysis: A review and taxonomy of prediction techniques, Int. J. Financ.
Stud., 7, 2, (2019); Sornette D., Johansen A., Significance of log-periodic
precursors to financial crashes, Quant. Finance, 1, pp. 452-471, (2001); Xing F.Z.,
Cambria E., Welsch R.E., Natural language based financial forecasting: A survey,
Artif. Intell. Rev., 50, 1, pp. 49-73, (2017)","E. Benhamou; Homa Capital,
Jerusalem, Israel; email: [email protected]",Calvaresi D.; Najjar
A.; Winikoff M.; Främling K.,Springer Science and Business Media Deutschland
GmbH,,"3rd International Workshop on Explainable, Transparent AI and Multi-Agent
Systems, EXTRAAMAS 2021",3 May 2021 through 7 May 2021,"Virtual,
Online",262909,3029743,978-303082016-9,,,English,Lect. Notes Comput.
Sci.,Conference paper,Final,,Scopus,2-s2.0-85113304916
Singh S.; Madan T.K.; Kumar J.; Singh A.K.,"Singh, Sukhman (57215217557); Madan,
Tarun Kumar (57215213384); Kumar, Jitendra (7201862589); Singh, Ashutosh Kumar
(57212846086)",57215217557; 57215213384; 7201862589; 57212846086,Stock Market
Forecasting using Machine Learning: Today and Tomorrow,2019,"2019 2nd International
Conference on Intelligent Computing, Instrumentation and Control Technologies,
ICICICT 2019",,,8993160,738,745,7,31,10.1109/ICICICT46008.2019.8993160,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073203038&doi=10.1109%2fICICICT46008.2019.8993160&partnerID=40&md5=38516343aa0aae
586341293a1fc4237d,"National Institute of Technology, Department of Computer
Applications, Kurukshetra, Haryana, India","Singh S., National Institute of
Technology, Department of Computer Applications, Kurukshetra, Haryana, India; Madan
T.K., National Institute of Technology, Department of Computer Applications,
Kurukshetra, Haryana, India; Kumar J., National Institute of Technology, Department
of Computer Applications, Kurukshetra, Haryana, India; Singh A.K., National
Institute of Technology, Department of Computer Applications, Kurukshetra, Haryana,
India","Stock market prediction is a major exertion in the field of finance and
establishing businesses. Stock market is totally uncertain as the prices of stocks
keep fluctuating on a daily basis because of numerous factors that influence it.
One of the traditional ways of predicting stock prices was by using only historical
data. But with time it was observed that other factors such as peoples' sentiments
and other news events occurring in and around the country affect the stock market,
for e.g. national elections, natural calamity etc. Investors in the stock market
seek to maximize their profits for which they require tools to analyze the prices
and trend of various stocks. Machine learning algorithms have been used to devise
new techniques to build prediction models that can forecast the prices of stock and
tell about the market trend with good accuracy. Many prediction models have been
proposed to incorporate all the major factors affecting the price of stocks. This
paper focuses on portraying distinct machine learning algorithms such as support
vector machine, deep learning, random forest, boosted decision trees, ensemble
methods and a few hybrid methods which have been used to build prediction model and
predict the stock prices for different stock exchanges. This paper also covers the
various challenges that are encountered while building prediction models. © 2019
IEEE.",classification; deep learning; ensemble methods; evolutionary algorithms;
hybrid methods; machine learning; regression; Stock market
prediction,Classification (of information); Commerce; Costs; Decision trees; Deep
learning; Electronic trading; Evolutionary algorithms; Financial markets;
Forecasting; Intelligent computing; Investments; Random forests; Support vector
machines; Boosted decision trees; Ensemble methods; Hybrid method; National
elections; Prediction model; regression; Stock market forecasting; Stock market
prediction; Learning systems,,,,,,,"Kumar J., Kumar Singh A., Workload prediction
in cloud using artificial neural network and adaptive differential evolution,
Future Generation Computer Systems, 81, pp. 41-52, (2018); Chen L., Qiao Z., Wang
M., Wang C., Du R., Stanley H.E., Which artificial intelligence algorithm better
predicts the Chinese stock market?, IEEE Access, 6, pp. 48625-48633, (2018); Sharma
N., Juneja A., Combining of random forest estimates using lsboost for stock market
index prediction, 2017 2nd International Conference for Convergence in Technology
(I2CT), pp. 1199-1202, (2017); Li Q., Jiang L., Li P., Chen H., Tensor-based
learning for predicting stock movements, AAAI Conference on Artificial Intelligence
North America, (2015); Zhang X., Shi J., Wang D., Fang B., Exploiting investors
social network for stock prediction in China's market, Journal of Computational
Science, 28, (2018); Hai Nguyen T., Shirai K., Velcin J., Sentiment analysis on
social media for stock movement prediction, Expert Systems with Applications, 42,
24, pp. 9603-9611, (2015); Yan D., Zhou G., Zhao X., Tian Y., Yang F., Predicting
stock using microblog moods, China Communications, 13, 8, pp. 244-257, (2016);
Nayak A., Manoharapai M.M., Radhika M., Pai : Prediction models for Indian stock
market, Procedia Computer Science, 89, (2016); Patel J., Shah S., Thakkar P.,
Kotecha K., Predicting stock market index using fusion of machine learning
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D.Van., Hespeels N., Gryp R., Evaluating multiple classifiers for stock price
direction prediction, Expert Systems with Applications, 42, 20, (2015); Kalyan
Nayak R., Mishra D., Kumar Rath A., A naïve SVM-knn based stock market trend
reversal analysis for Indian benchmark indices, Applied Soft Computing, 35, (2015);
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(2015); Minh D.L., Abolghasem S., Huy H., Kyungbok M., Hyeonjoon M., Deep learning
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unit network, IEEE Access, (2018); Zhang X., Qu S., Huang J., Fang B., Yu P., Stock
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Properties of A Test for Random Forest Variable Importance, (2008); Chodhury R.,
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of World Academy of Science Engineering and Technology, 29, (2008); Chen Y., Yang
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Market Using Regression Technique, (2015); Sable S., Porwal A., Sing U., Stock
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swarm optimization technique, 2008 IEEE Congress on Evolutionary Computation (IEEE
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prediction using machine
learning and neural networks, 2018 Second International Conference on Inventive
Communication and Computational Technologies (ICICCT), pp. 1936-1939, (2018);
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prediction using artificial neural network, Journal of Economics, Finance and
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for cloud datacenter networks, Electronics Letters, (2019); Kumar J., Singh A.K.,
Dynamic resource scaling in cloud using neural network and black hole algorithm,
2016 Fifth International Conference on Eco-friendly Computing and Communication
Systems (ICECCS), pp. 63-67, (2016)",,,Institute of Electrical and Electronics
Engineers Inc.,,"2nd International Conference on Intelligent Computing,
Instrumentation and Control Technologies, ICICICT 2019",5 July 2019 through 6 July
2019,"Kannur, Kerala",157717,,978-172810283-2,,,English,"Int. Conf. Intell.
Comput., Instrum. Control Technol., ICICICT",Conference paper,Final,,Scopus,2-s2.0-
85073203038
Maqbool J.; Aggarwal P.; Kaur R.; Mittal A.; Ganaie I.A.,"Maqbool, Junaid
(57646466200); Aggarwal, Preeti (35933300600); Kaur, Ravreet (56377536900); Mittal,
Ajay (56818026800); Ganaie, Ishfaq Ali (58292013300)",57646466200; 35933300600;
56377536900; 56818026800; 58292013300,Stock Prediction by Integrating Sentiment
Scores of Financial News and MLP-Regressor: A Machine Learning
Approach,2022,Procedia Computer
Science,218,,,1067,1078,11,30,10.1016/j.procs.2023.01.086,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85163710580&doi=10.1016%2fj.procs.2023.01.086&partnerID=40&md5=bf01311dd6ea4824fde5
82990a48e6b0,"Department of Computer Science and Engineering, UIET, Panjab
University, Sector 25, Chandigarh, 160014, India; Panjab University, Chandigarh,
India","Maqbool J., Department of Computer Science and Engineering, UIET, Panjab
University, Sector 25, Chandigarh, 160014, India; Aggarwal P., Department of
Computer Science and Engineering, UIET, Panjab University, Sector 25, Chandigarh,
160014, India; Kaur R., Department of Computer Science and Engineering, UIET,
Panjab University, Sector 25, Chandigarh, 160014, India; Mittal A., Department of
Computer Science and Engineering, UIET, Panjab University, Sector 25, Chandigarh,
160014, India; Ganaie I.A., Panjab University, Chandigarh, India","The stock market
is highly volatile as it depends on political, financial, environmental, and
various internal and external factors along with historical stock data. Such
information is available to people through microblogs and news and predicting stock
price merely on historical data is hard. The high volatility emphasizes the
importance to check the effect of external factors on the stock market. In this
paper, a machine learning model is proposed where the financial news is used along
with historical stock price data to predict upcoming stock prices. The paper has
used three algorithms to calculate various sentiment scores and used them in
different combinations to understand the impact of financial news on stock price as
well the impact of each sentiment scoring algorithm. Experiments have been
conducted on ten-year historical stock price data as well as financial news of four
different companies from different sectors to predict the next day and next week's
stock trends and accuracy metrics were checked for a period of 10, 30, and 100
days. The proposed model can achieve the highest accuracy of 0.90 for both trend
and future trends for a period of 10 days. Experiments have also been performed to
check the difficulty in predicting some stocks. It was found that Tata Motors an
automobile company stock prediction has maximum MAPE and hence deviates more from
actual prediction as compared to others. © 2023 The Authors. Published by Elsevier
B.V.",Financial news; Forecasting; MLP Regressor; News sentiment analysis; Stock
Market; Stock prediction,Commerce; Electronic trading; Financial markets; Machine
learning; Sentiment analysis; Financial news; Internal and external factors;
Machine learning approaches; MLP regressor; News sentiment analyse; Sentiment
analysis; Sentiment scores; Stock data; Stock predictions; Stock price;
Forecasting,,,,,,,"Khan W., Ghazanfar M.A., Azam M.A., Karami A., Alyoubi K.H.,
Alfakeeh A.S., Stock market prediction using machine learning classifiers and
social media, news, J. Ambient Intell. Humaniz. Comput., (2020); Pang X., Zhou Y.,
Wang P., Lin W., Chang V., An innovative neural network approach for stock market
prediction, J. Supercomput., 76, 3, pp. 2098-2118, (2020); Nti I.K., Felix Adekoya
A., Benjamin, Weyori A., A systematic review of fundamental and technical analysis
of stock market predictions, Artif. Intell. Rev, 53; Wang J.L., Chan S.H., Stock
market trading rule discovery using pattern recognition and technical analysis,
Expert Syst. Appl., 33, 2, pp. 304-315, (2007); Singh R., Srivastava S., Stock
prediction using deep learning, Multimed. Tools Appl., 76, 18, pp. 18569-18584,
(2017); Zhang J., Cui S., Xu Y., Li Q., Li T., A novel data-driven stock price
trend prediction system, Expert Syst. Appl., 97, pp. 60-69, (2018); Hegazy O.,
Soliman O.S., Salam M.A., 97F44F6Cdaa778B97Efe930F6534B3Edc92F, 4, 12, pp. 17-23,
(2013); Chen L., Qiao Z., Wang M., Wang C., Du R., Stanley H.E., Which Artificial
Intelligence Algorithm Better Predicts the Chinese Stock Market?, IEEE Access, 6,
pp. 48625-48633, (2018); Ou P., Wang H., Prediction of Stock Market Index Movement
by Ten Data Mining Techniques, Mod. Appl. Sci., 3, 12, pp. 28-42, (2009);
Chakraborty P., Pria U.S., Rony M.R.A.H., Majumdar M.A., Predicting stock movement
using sentiment analysis of Twitter feed, 2017 6th Int. Conf. Informatics,
Electron. Vis. 2017 7th Int. Symp. Comput. Med. Heal. Technol. ICIEV-ISCMHT 2017,
pp. 1-6, (2018); Khatri S.K., Srivastava A., Using sentimental analysis in
prediction of stock market investment, 2016 5th Int. Conf. Reliab. Infocom Technol.
Optim. ICRITO 2016 Trends Futur. Dir, pp. 566-569, (2016); Minh D.L., Sadeghi-
Niaraki A., Huy H.D., Min K., Moon H., Deep learning approach for short-term stock
trends prediction based on two-stream gated recurrent unit network, IEEE Access, 6,
pp. 55392-55404, (2018); Vargas M.R., Dos Anjos C.E.M., Bichara G.L.G., Evsukoff
A.G., Deep Leaming for Stock Market Prediction Using Technical Indicators and
Financial News Articles, Proc. Int. Jt. Conf. Neural Networks, pp. 1-8, (2018);
Chong E., Han C., Park F.C., Deep learning networks for stock market analysis and
prediction: Methodology, data representations, and case studies, Expert Syst.
Appl., 83, pp. 187-205, (2017); Malagrino L.S., Roman N.T., Monteiro A.M.,
Forecasting stock market index daily direction: A Bayesian Network approach, Expert
Syst. Appl., 105, pp. 11-22, (2018); Turchenko V., Beraldi P., De Simone F.,
Grandinetti L., Short-term stock price prediction using MLP in moving simulation
mode, Proc. 6th IEEE Int. Conf. Intell. Data Acquis. Adv. Comput. Syst. Technol.
Appl. IDAACS'2011, 2, pp. 666-671, (2011); Yeh C.Y., Huang C.W., Lee S.J., A
multiple-kernel support vector regression approach for stock market price
forecasting, Expert Syst. Appl., 38, 3, pp. 2177-2186, (2011); Moghar A., Hamiche
M., Stock Market Prediction Using LSTM Recurrent Neural Network, Procedia Comput.
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Sanna A., Multi-DQN: An ensemble of Deep Q-learning agents for stock market
forecasting, Expert Syst. Appl., 164, (2020); Rapach D.E., Strauss J.K., Zhou G.,
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J. Finance, 68, 4, pp. 1633-1662, (2013); Alsaeedi A., Khan M.Z., A study on
sentiment analysis techniques of Twitter data, Int. J. Adv. Comput. Sci. Appl., 10,
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Management E-Services, IC3e 2015, pp. 187-189, (2016); Joshi R., Tekchandani R.,
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prediction using financial news articles, NICS 2016-Proc. 2016 3rd Natl. Found.
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Bose R., Aithal P.S., Roy S., Sentiment analysis on the basis of tweeter comments
of application of drugs by customary language toolkit and textblob opinions of
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Akbik A., Bergmann T., Blythe D., Rasul K., Schweter S., Vollgraf R., FLAIR: An
easy-to-use framework for state-of-the-art NLP, NAACL HLT 2019-2019 Conf. North Am.
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time series, Digit. Signal Process. A Rev. J., 102, (2020); Long J., Chen Z., He
W., Wu T., Ren J., An integrated framework of deep learning and knowledge graph for
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Appl. Soft Comput. J., 91, (2020); Nti I.K., Adekoya A.F., Weyori B.A., Predicting
Stock Market Price Movement Using Sentiment Analysis: Evidence from Ghana, Appl.
Comput. Syst., 25, 1, pp. 33-42, (2020); Pimprikar R., Ramachandra S., Senthilkuma
K., Use of Machine Learning Algorithms and Twitter Sentiment Analysis for Stock
Market Prediction, Int. J. Pure Appl. Math., 115, 6, pp. 521-526, (2017); Mohan S.,
Mullapudi S., Sammeta S., Vijayvergia P., Anastasiu D.C., Stock price prediction
using news sentiment analysis, Proc.-5th IEEE Int. Conf. Big Data Serv. Appl.
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Medical, Heal. Using Big Data Technol., pp. 205-208, (2019); Shah D., Isah H.,
Zulkernine F., Predicting the Effects of News Sentiments on the Stock Market,
Proc.-2018
IEEE Int. Conf. Big Data, Big Data 2018, pp. 4705-4708, (2019); Bhardwaj A.,
Narayan Y., Vanraj P., Dutta M., Sentiment Analysis for Indian Stock Market
Prediction Using Sensex and Nifty, Procedia Comput. Sci., 70, pp. 85-91, (2015);
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analysis of social media text, Proc. 8th Int. Conf. Weblogs Soc. Media, ICWSM 2014,
pp. 216-225, (2014); Mostafa M.M., Forecasting stock exchange movements using
neural networks: Empirical evidence from Kuwait, Expert Syst. Appl., 37, 9, pp.
6302-6309, (2010)","P. Aggarwal; Department of Computer Science and Engineering,
UIET, Panjab University, Chandigarh, Sector 25, 160014, India; email:
[email protected]",Singh V.,Elsevier B.V.,,"2022 International Conference on
Machine Learning and Data Engineering, ICMLDE 2022",7 September 2022 through 8
September 2022,Dehradun,188151,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85163710580
Li A.; Wu J.; Liu Z.,"Li, Aihua (56549293700); Wu, Jiede (58416565900); Liu,
Zhidong (55714737900)",56549293700; 58416565900; 55714737900,Market Manipulation
Detection Based on Classification Methods,2017,Procedia Computer
Science,122,,,788,795,7,33,10.1016/j.procs.2017.11.438,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85040309701&doi=10.1016%2fj.procs.2017.11.438&partnerID=40&md5=9e7747cc38079aa401c1
4efa14374861,"School of Management Science and Engineering, Central University of
Finance and Economics, Beijing, 100081, China","Li A., School of Management Science
and Engineering, Central University of Finance and Economics, Beijing, 100081,
China; Wu J., School of Management Science and Engineering, Central University of
Finance and Economics, Beijing, 100081, China; Liu Z., School of Management Science
and Engineering, Central University of Finance and Economics, Beijing, 100081,
China","In this paper, we use supervised machine learning methods to detect the
market manipulation in China based on the information released by China Securities
Regulation Commission (CSRC) and data in the security market. Among the supervised
machine learning, we mainly use classification methods to detect the anomaly from
the daily and tick trading data of manipulated stocks. As a result, we find that
the supervised machine learning methods are good at detecting market manipulation
from daily trading data and have poor performance on tick data, based the measure
method of accuracy, sensitivity, specificity and area under the curve (AUC). The
best used supervised machine learning models are K-Nearest Neighbor (KNN) and
Decision Tree (DT) which have over 99% of them. © 2017 The Authors. Published by
Elsevier B.V.",Anomaly detection; Classification methods; Market
manipulation,Artificial intelligence; Commerce; Decision trees; Financial markets;
Nearest neighbor search; Supervised learning; Anomaly detection; Area under the
curves; Classification methods; K nearest neighbor (KNN); Market manipulation; Poor
performance; Security markets; Supervised machine learning; Learning
systems,,,,,"National Natural Science Foundation of China, NSFC, (71401188);
Central University of Finance and Economics, CUFE; Beijing Social Science Fund,
(15SHB017)","This paper is partly supported by the National Natural Science
Foundation (71401188), Beijing Social Science Foundation (15SHB017) and Supported
by Program for Innovation Research in Central University of Finance and
Economics.","Lin T.C., The new market manipulation, Emory LJ, 66, (2016); Markham
J.W., Law enforcement and the history of financial market manipulation, ME Sharpe,
(2013); Allen F., Gale D., Stock-price manipulation, The Review of Financial
Studies, pp. 503-529, (1992); Jarrow R.A., Market manipulation, bubbles, corners,
and short squeezes, Journal of Financial and Quantitative Analysis, 27, 3, pp. 311-
336, (1992); Carhart M.M., Kaniel R., Musto D.K., Reed A.V., Leaning for the tape:
Evidence of gaming behavior in equity mutual funds, The Journal of Finance, 57, 2,
pp. 661-693, (2002); Hanson R., Oprea R., A Manipulator Can Aid Prediction Market
Accuracy, 76, pp. 304-314, (2015); Aggarwal R.K., Wu G., Stock market manipulation
- Theory and evidence, Ssrn Electronic Journal, pp. 20-28, (2003); Ogut H., Doganay
M.M., Aktas R., Detecting stock-price manipulation in an emerging market: The case
of Turkey, Expert Systems with Applications, 36, 9, pp. 11944-11949, (2009);
Mongkolnavin J., Tirapat S., Marking the Close analysis in Thai Bond Market
Surveillance using association rules, Expert Systems with Applications, 36, 4, pp.
8523-8527, (2009); Roodposhti F.R., Shams M.F., Kordlouie H., Forecasting Stock
Price Manipulation in Capital Market, 80; Yang F., Yang H., Yang M., Discrimination
of China's stock price manipulation based on primary component analysis, Behavior,
Economic and Social Computing (BESC), 2014 International Conference On, IEEE, pp.
1-5, (2014); Cao Y., Li Y., Coleman S., Belatreche A., McGinnity T.M., Adaptive
hidden Markov model with anomaly states for price manipulation detection, IEEE
Transactions on Neural Networks and Learning Systems, 26, 2, pp. 318-330, (2015);
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of Classification Techniques, (2007); Fayyad U., Piatetsky-Shapiro G., Smyth P.,
From data mining to knowledge discovery in databases, AI Magazine, 17, 3, (1996);
Michalski R.S., Carbonell J.G., Mitchell T.M., Machine Learning: An Artificial
Intelligence Approach, (2013); Zheng B., Yoon S.W., Lam S.S., Breast cancer
diagnosis based on feature extraction using a hybrid of K-means and support vector
machine algorithms, Expert Systems with Applications, 41, 4, pp. 1476-1482, (2014);
Romero C., Data mining algorithms to classify students, Educational Data Mining
2008, (2008); Garcia-Laencina P.J., Abreu P.H., Abreu M.H., Afonoso N., Missing
data imputation on the 5-year survival prediction of breast cancer patients with
unknown discrete values, Computers in Biology and Medicine, 59, pp. 125-133,
(2015); Gray G., McGuinness C., Owende P., An application of classification models
to predict learner progression in tertiary education, Advance Computing Conference
(IACC), 2014 IEEE International, IEEE, pp. 549-554, (2014); Arsad P.M., Buniyamin
N., Et al., A neural network students' performance prediction model (NNSPPM), Smart
Instrumentation, Measurement and Applications (ICSIMA), 2013 IEEE International
Conference On, IEEE, pp. 1-5, (2013); Cortez P., Cerdeira A., Almeida F., Matos T.,
Reis J., Modeling wine preferences by data mining from physicochemical properties,
Decision Support Systems, 47, pp. 547-553, (2009)","A. Li; School of Management
Science and Engineering, Central University of Finance and Economics, Beijing,
100081, China; email: [email protected]","Sh Y.; Ahuja V.; Jaypee Business School
(JBS), A-10,Sector-62, Noida; Deepak D.; Sh Y.; Berg D.; Tian Y.; Tien J.M.; Abidi
N.; Jaypee Business School (JBS), A-10,Sector-62, Noida",Elsevier B.V.,"Chinese
Academy of Sciences, Institute of Policy and Management; Chinese Academy of
Sciences, Research Center on Fictitious Economy and Data Science and Key Lab of Big
Data Mining and Knowledge Management; et al.; Jaypee Business School; University
Chinese Academy of Sciences, School of Economics and Management; University of
Nebraska at Omaha","5th International Conference on Information Technology and
Quantitative Management, ITQM 2017",8 December 2017 through 10 December 2017,New
Delhi,133175,18770509,,,,English,Procedia Comput. Sci.,Conference paper,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85040309701
Verma J.P.; Tanwar S.; Garg S.; Gandhi I.; Bachani N.H.,"Verma, Jai Prakash
(56600071500); Tanwar, Sudeep (56576145100); Garg, Sanjay (55421589100); Gandhi,
Ishit (57204216504); Bachani, Nikita H. (57209532960)",56600071500; 56576145100;
55421589100; 57204216504; 57209532960,Evaluation of pattern based customized
approach for stock market trend prediction with big data and machine learning
techniques,2019,International Journal of Business
Analytics,6,3,,1,15,14,28,10.4018/IJBAN.2019070101,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85068095419&doi=10.4018%2fIJBAN.2019070101&partnerID=40&md5=0b2016850b6db927cb2ee59
d5f7e25b0,"Computer Science and Engineering Department, Institute of Technology,
Nirma University, Ahmedabad, Gujarat, India","Verma J.P., Computer Science and
Engineering Department, Institute of Technology, Nirma University, Ahmedabad,
Gujarat, India; Tanwar S., Computer Science and Engineering Department, Institute
of Technology, Nirma University, Ahmedabad, Gujarat, India; Garg S., Computer
Science and Engineering Department, Institute of Technology, Nirma University,
Ahmedabad, Gujarat, India; Gandhi I., Computer Science and Engineering Department,
Institute of Technology, Nirma University, Ahmedabad, Gujarat, India; Bachani N.H.,
Computer Science and Engineering Department, Institute of Technology, Nirma
University, Ahmedabad, Gujarat, India","The stock market is very volatile and non-
stationary and generates huge volumes of data in every second. In this article, the
existing machine learning algorithms are analyzed for stock market forecasting and
also a new pattern-finding algorithm for forecasting stock trend is developed.
Three approaches can be used to solve the problem: fundamental analysis, technical
analysis, and the machine learning. Experimental analysis done in this article
shows that the machine learning could be useful for investors to make profitable
decisions. In order to conduct these processes, a real-time dataset has been
obtained from the Indian stock market. This article learns the model from Indian
National Stock Exchange (NSE) data obtained from Yahoo API to forecast stock prices
and targets to make a profit over time. In this article, two separate algorithms
and methodologies are analyzed to forecast stock market trends and iteratively
improve the model to achieve higher accuracy. Results are showing that the proposed
pattern-based customized algorithm is more accurate (10 to 15%) as compared to
other two machine learning techniques, which are also increased as the time window
increases. © 2019, IGI Global.",Artificial neural network; Data mining; Pattern
based analysis; Stock market analysis; Support vector machine,,,,,,,,"Agatonovic-
Kustrin S., Beresford R., Basic concepts of artificial neural network (ANN)
modeling and its application in pharmaceutical research, Journal of Pharmaceutical
and Biomedical Analysis, 22, 5, pp. 717-727, (2000); Attigeri G.V., Manohara Pai
M.M., Pai R.M., Nayak A., Stock market prediction: A big data approach, TENCON
2015-2015 IEEE Region 10 Conference, Macao, pp. 1-5, (2015); Barak S., Arjmand A.,
Ortobelli S., Fusion of multiple diverse predictors in the stock market,
Information Fusion, 36, pp. 90-102, (2017); Boyacioglu M.A., Avci D., An Adaptive-
Network-Based Fuzzy Inference System (ANFIS) for the prediction of stock market
return: The case of the Istanbul Stock Exchange, Expert Systems with Applications,
37, 12, pp. 7908-7912, (2010); Bradlow E.T., Gangwar M., Kopalle P., Voleti S., The
role of big data and predictive analytics in retailing, Journal of Retailing, 93,
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integrating technical analysis with machine learning techniques, J. Finance Data
Sci., 2, 1, pp. 42-57, (2016); Gerlein E.A., McGinnity M., Belatreche A., Coleman
S., Evaluating machine learning classification for financial trading: An empirical
approach, Expert Systems with Applications, 54, pp. 193-207, (2016); Jeon S., Hong
B., Chang V., Pattern graph tracking-based stock price prediction using big data,
Future Generation Computer Systems, 80, pp. 171-187, (2018); Kara Y., Acar
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using artificial neural networks and support vector machines: The sample of the
Istanbul Stock Exchange, Expert Systems with Applications, 38, 5, pp. 5311-5319,
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Prediction models for indian stock market, Procedia Computer Science, 89, pp. 441-
449, (2016); Oztekin A., Kizilaslan R., Freund S., Iseri A., A data analytic
approach to forecasting daily stock returns in an emerging market, European Journal
of Operational Research, (2016); Patel J., Shah S., Thakkar P., Kotecha K.,
Predicting stock and stock price index movement using Trend Deterministic Data
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1, pp. 259-268, (2015); Pehlivanli A.C., Asikgil B., Gulay G., Indicator selection
with committee decision of filter methods for stock market price trend in ISE,
Applied Soft Computing, 49, pp. 792-800, (2016); Sharma N., Juneja A., Combining of
Random Forest Estimates using LSboost for Stock Market Index Prediction, 2nd
International Conference for Convergence in Technology (I2CT), pp. 1199-1202,
(2017); Sharma A., Bhuriya D., Singh U., Survey of stock market prediction using
machine learning approach, International Conference on Electronics, Communication
and Aerospace Technology ICECA, pp. 506-509, (2017); Uygur U., Tas O., The impacts
of investor sentiment on different economic sectors: Evidence from Istanbul Stock
Exchange, Borsa Istanb. Rev., 14, 4, pp. 236-241, (2014); Zhang J., Cui S., Xu Y.,
Li Q., Li T., A novel data-driven stock price trend prediction system, Expert
Systems with Applications, 97, pp. 60-69, (2018)",,,IGI
Global,,,,,,23344547,,,,English,Int. J. Bus. Analytics,Article,Final,,Scopus,2-
s2.0-85068095419
Wang X.; Chen W.; Xia J.; Chen Z.; Xu D.; Wu X.; Xu M.; Schreck T.,"Wang, Xumeng
(57190181257); Chen, Wei (55613230656); Xia, Jiazhi (36142597900); Chen, Zexian
(57219542023); Xu, Dongshi (57217680049); Wu, Xiangyang (55714872100); Xu,
Mingliang (59157647000); Schreck, Tobias (8626331600)",57190181257; 55613230656;
36142597900; 57219542023; 57217680049; 55714872100; 59157647000;
8626331600,ConceptExplorer: Visual Analysis of Concept Drifts in Multi-source Time-
series Data,2020,"Proceedings - 2020 IEEE Conference on Visual Analytics Science
and Technology, VAST
2020",,,9308627,1,11,10,30,10.1109/VAST50239.2020.00006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85095498004&doi=10.1109%2fVAST50239.2020.00006&partnerID=40&md5=a5e1e4dba3cfc20c28c
a6a4ffd266897,"Zhejiang University, State Key Lab of CADCG, China; Central South
University, School of Computer Science and Engineering, China; China Jiliang
University, College of Information Engineering, China; Institute of Graphics and
Image, Hangzhou Dianzi University, China; Zhengzhou University, China; Graz
University of Technology, Austria","Wang X., Zhejiang University, State Key Lab of
CADCG, China; Chen W., Zhejiang University, State Key Lab of CADCG, China; Xia J.,
Central South University, School of Computer Science and Engineering, China; Chen
Z., Zhejiang University, State Key Lab of CADCG, China; Xu D., China Jiliang
University, College of Information Engineering, China; Wu X., Institute of Graphics
and Image, Hangzhou Dianzi University, China; Xu M., Zhengzhou University, China;
Schreck T., Graz University of Technology, Austria","Time-series data is widely
studied in various scenarios, like weather forecast, stock market, customer
behavior analysis. To comprehensively learn about the dynamic environments, it is
necessary to comprehend features from multiple data sources. This paper proposes a
novel visual analysis approach for detecting and analyzing concept drifts from
multi-sourced time-series. We propose a visual detection scheme for discovering
concept drifts from multiple sourced time-series based on prediction models. We
design a drift level index to depict the dynamics, and a consistency judgment model
to justify whether the concept drifts from various sources are consistent. Our
integrated visual interface, ConceptExplorer, facilitates visual exploration,
extraction, understanding, and comparison of concepts and concept drifts from
multi-source time-series data. We conduct three case studies and expert interviews
to verify the effectiveness of our approach. © 2020 IEEE.","and decision making;
machine learning techniques; data analysis; data analysis, reasoning, problem
solving, and decision making; machine learning techniques; problem solving;
reasoning; Temporal data; Temporal data","Data handling; Information analysis;
Learning algorithms; Machine learning; Time series; Time series analysis;
Visualization; Weather forecasting; And decision making;; Data analyse, reasoning,
problem solving, and decision making; Decisions makings; Machine learning
techniques; Problem-solving; Reasoning; Reasoning problems; Temporal Data; Decision
making",,,,,"National Natural Science Foundation of China, NSFC, (61761136020,
61772456, 61872389, 61972122); National Natural Science Foundation of China, NSFC;
Österreichische Forschungsförderungsgesellschaft, FFG, (854184); Österreichische
Forschungsförderungsgesellschaft, FFG; Bundesministerium für Verkehr, Innovation
und Technologie, BMVIT; State Key Laboratory of Computer Aided Design and Computer
Graphics, (A1903); State Key Laboratory of Computer Aided Design and Computer
Graphics; Bundesministerium für Digitalisierung und Wirtschaftsstandort,
BMDW","This work was supported by National Natural Science Foundation of China
(61772456, 61761136020, 61972122, 61872389) and Open Project Program of State Key
Lab of CAD&CG (A1903). This work has partially been supported by the FFG, Contract
No. 854184: “Pro2Future is funded within the Austrian COMET Program Competence
Centers for Excellent Technologiesunder the auspices of the Austrian Federal
Ministry of Transport, Innovation and Technology, the Austrian Federal Ministry for
Digital and Economic Affairs and of the Provinces of Upper Austria and Styria.
COMET is managed by the Austrian Research Promotion Agency FFG.”","A Live Movie
Rating Dataset Collected from Twitter.; MovieLens 20M Dataset; The Movies Dataset.;
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(2017)","W. Chen; Zhejiang University, State Key Lab of CADCG, China; email:
[email protected]; J. Xia; Central South University, School of Computer
Science and Engineering, China; email: [email protected]",,Institute of
Electrical and Electronics Engineers Inc.,,"15th IEEE Conference on Visual
Analytics Science and Technology, VAST 2020",25 October 2020 through 30 October
2020,"Virtual, Salt Lake City",166372,,978-172818009-0,,,English,"Proc. - IEEE
Conf. Vis. Anal. Sci. Technol., VAST",Conference paper,Final,,Scopus,2-s2.0-
85095498004
Wang W.-J.; Tang Y.; Xiong J.; Zhang Y.-C.,"Wang, Wei-Jia (57205026349); Tang, Yong
(56939497100); Xiong, Jason (57196401568); Zhang, Yi-Cheng
(56063328000)",57205026349; 56939497100; 57196401568; 56063328000,Stock market
index prediction based on reservoir computing models,2021,Expert Systems with
Applications,178,,115022,,,,25,10.1016/j.eswa.2021.115022,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105014039&doi=10.1016%2fj.eswa.2021.115022&partnerID=40&md5=be3af60840c6fd31e4cb7
54e3f986e9b,"School of Information and Software Engineering, University of
Electronic Science and Technology of China, Chengdu, 610054, China; School of
Computer Science and Engineering, University of Electronic Science and Technology
of China, Chengdu, 610054, China; Department of Computer Information Systems,
Walker College of Business, Appalachian State University, Boone, 28608, NC, United
States; Department of Physics, University of Fribourg, Chemin du Musée 3, Fribourg,
CH-1700, Switzerland","Wang W.-J., School of Information and Software Engineering,
University of Electronic Science and Technology of China, Chengdu, 610054, China;
Tang Y., School of Computer Science and Engineering, University of Electronic
Science and Technology of China, Chengdu, 610054, China, Department of Physics,
University of Fribourg, Chemin du Musée 3, Fribourg, CH-1700, Switzerland; Xiong
J., Department of Computer Information Systems, Walker College of Business,
Appalachian State University, Boone, 28608, NC, United States; Zhang Y.-C.,
Department of Physics, University of Fribourg, Chemin du Musée 3, Fribourg, CH-
1700, Switzerland","Prediction of the financial market price is critical for
financial decision-making and market policy-making. Recently, various machine
learning and deep learning methods have been adopted to predict financial markets’
movements using historical time series of prices. However, accurate prediction of
financial prices is still a long-standing challenge that always calls for new
approaches. In this study, a novel machine learning model of reservoir computing is
developed to predict stock market indices. The performance of the proposed new
model is systematically evaluated using the time series of daily closing prices of
seven major international stock market indices including S&P500 Index, New York
Stock Exchange Composite, Dow Jones Industrial Average, Nasdaq Composite Index,
Financial Times Stock Exchange 100 Index, Nikkei 225 Index, and Shanghai Stock
Exchange Index between January 4, 2010, and December 31, 2018 covering 2,272
trading days. The results show that our model outperforms the widely used deep
learning methods of long short-term memory and recurrent neural network in most
cases. To further evaluate the predictive capability of our model, we compare our
model to the other two newly reported deep learning methods in recent studies.
Comparative results also show that our model is competitive to those deep learning
methods in predicting stock market indices. Our study contributes to the literature
by developing novel reservoir computing models for financial market predictions.
Meanwhile, our results also provide practical implications for financial
practitioners of potential financial applications of reservoir computing in
financial time series analysis and predictions. © 2021 Elsevier Ltd",Deep learning;
Financial market prediction; Financial time series; Reservoir computing; Stock
market index prediction,Commerce; Costs; Decision making; Financial markets;
Recurrent neural networks; Time series analysis; Computing model; Deep learning;
Financial market prediction; Financial time series; Index predictions; Learning
methods; Reservoir Computing; Stock market index; Stock market index prediction;
Times series; Forecasting,,,,,"National Natural Science Foundation of China, NSFC,
(71872027)",The authors thank the financial support from the National Natural
Science Foundation of China under Grant No. 71872027.,"Abu-Mostafa Y.S., Atiya
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(2019)","Y. Tang; School of Computer Science and Engineering, University of
Electronic Science and Technology of China, Chengdu, 610054, China; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85105014039
Hu H.; Ao Y.; Bai Y.; Cheng R.; Xu T.,"Hu, Hongping (56217490800); Ao, Yan
(57216501105); Bai, Yanping (8956962400); Cheng, Rong (56340787200); Xu, Ting
(57194326218)",56217490800; 57216501105; 8956962400; 56340787200; 57194326218,An
Improved Harris's Hawks Optimization for SAR Target Recognition and Stock Market
Index Prediction,2020,IEEE
Access,8,,9056558,65891,65910,19,33,10.1109/ACCESS.2020.2985596,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85083727481&doi=10.1109%2fACCESS.2020.2985596&partnerID=40&md5=023bd2578ce5f7a078fc
83d37787d5bb,"School of Science, North University of China, Taiyuan, China","Hu H.,
School of Science, North University of China, Taiyuan, China; Ao Y., School of
Science, North University of China, Taiyuan, China; Bai Y., School of Science,
North University of China, Taiyuan, China; Cheng R., School of Science, North
University of China, Taiyuan, China; Xu T., School of Science, North University of
China, Taiyuan, China","Harris's hawks optimization (HHO) algorithm proposed in
2019 is a novel population-based, nature-inspired optimization paradigm that
imitates the cooperative behavior and chasing style of Harris's hawks in nature
called surprise pounce. Inspired by particle swarm optimization algorithm, velocity
is added into the HHO algorithm in the exploration phase. The soft besiege with
progressive rapid dives and the hard besiege with progressive rapid dives in the
attacking stages of the HHO algorithm are improved by use of the crossover operator
of the artificial tree algorithm. Thus the improved HHO algorithm is obtained,
written as IHHO. The effectiveness of the IHHO algorithm is tested on 23 benchmark
problems by comparison with the other 11 state-of-art meta-heuristic algorithms.
The IHHO algorithm is used to optimize the parameters of support vector machine for
synthetic aperture radar (SAR) target recognition and of the extreme learning
machine for stock market index prediction by considering Google Trends. The
comparable results show that the IHHO algorithm is very promising and has some
competitive potential. © 2013 IEEE.",Extreme learning machine; function
optimization; Harris's hawk optimization; stock prediction; support vector machine;
synthetic aperture radar target recognition,Behavioral research; Biomimetics;
Commerce; Electronic trading; Financial markets; Heuristic algorithms; Learning
systems; Particle swarm optimization (PSO); Support vector machines; Synthetic
aperture radar; Trees (mathematics); Bench-mark problems; Co-operative behaviors;
Crossover operator; Extreme learning machine; Meta heuristic algorithm; Particle
swarm optimization algorithm; Stock market index; Target recognition; Radar target
recognition,,,,,"Key Research and Development Projects of Shanxi Province,
(201903D121156); National Nature Science Foundation of China, (61774137); Natural
Science Foundation of Shanxi Province, (201801D121008, 201801D121026)","This work
was supported in part by the Natural Science Foundation of Shanxi Province under
Grant 201801D121026 and Grant 201801D121008, in part by the National Nature Science
Foundation of China under Grant 61774137, and in part by the Key Research and
Development Projects of Shanxi Province under Grant 201903D121156.","Blum C.,
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(1999)","H. Hu; School of Science, North University of China, Taiyuan, China;
email: [email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85083727481
Liu Q.; Wang C.; Zhang P.; Zheng K.,"Liu, Qingbai (57249578000); Wang, Chuanjie
(57225021052); Zhang, Ping (57301705700); Zheng, Kaixin (57222725825)",57249578000;
57225021052; 57301705700; 57222725825,Detecting stock market manipulation via
machine learning: Evidence from China Securities Regulatory Commission punishment
cases,2021,International Review of Financial
Analysis,78,,101887,,,,25,10.1016/j.irfa.2021.101887,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85114401895&doi=10.1016%2fj.irfa.2021.101887&partnerID=40&md5=297404927f1e4fbdbb138
62b57452bb4,"School of Data Science, Fudan University, Shanghai, China; School of
Economics, Fudan University, Shanghai, China; School of Journalism, Fudan
University, Shanghai, China","Liu Q., School of Data Science, Fudan University,
Shanghai, China; Wang C., School of Economics, Fudan University, Shanghai, China;
Zhang P., School of Journalism, Fudan University, Shanghai, China; Zheng K., School
of Economics, Fudan University, Shanghai, China","In this paper, we apply machine-
learning techniques to construct detecting models of stock market manipulation. By
combining manually collected China Securities Regulatory Commission punishment
cases from 2014 to 2016 with financial information of listed companies, we
construct a training set and a test set to compare the detecting ability of support
vector machine (SVM) and logistic model. Considering imbalanced data, we further
incorporate Borderline Synthetic Minority Oversampling Technique (Borderline SMOTE)
to oversample minority class and then find that Borderline SMOTE–SVM performs
better than SVM and benchmark model in detecting manipulation. To enhance detecting
performance of the models, we innovatively introduce market sentiment indicators
which are extracted from analyst rating reports, financial news, and Guba comments
into our indicators set. The results indicate that the new indicators generate
significant marginal increment to the model accuracy. © 2021",Borderline SMOTE;
Machine learning; Market manipulation; Sentiment indicator; Support vector
machine,,,,,,"Shanghai New Media Experimental Lab of Journalism School; National
Natural Science Foundation of China, NNSFC, (71871066, 71991471, 72121002); Fudan
University","Acknowledgements This work is supported by the NSFC Projects
( 71871066 ; 72121002 ; 71991471 ). This study is also supported by Shanghai New
Media Experimental Lab of Journalism School, Fudan University .","Aggarwal R.K., Wu
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multiclass-SVM, Machine Vision and Applications, 26, 4, pp. 467-483, (2015)","P.
Zhang; School of Journalism, Fudan University, Shanghai, 400 Guoding Road, Yangpu
District, China; email: [email protected]",,Elsevier
Inc.,,,,,,10575219,,,,English,Int. Rev. Financ. Anal.,Article,Final,,Scopus,2-s2.0-
85114401895
Zaimovic A.; Omanovic A.; Arnaut-Berilo A.,"Zaimovic, Azra (36020711900); Omanovic,
Adna (58506022800); Arnaut-Berilo, Almira (55062112100)",36020711900; 58506022800;
55062112100,How Many Stocks Are Sufficient for Equity Portfolio Diversification? A
Review of the Literature,2021,Journal of Risk and Financial
Management,14,11,551,,,,27,10.3390/jrfm14110551,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85124734637&doi=10.3390%2fjrfm14110551&partnerID=40&md5=9a4fddb5e897d620da8e6029899
c3ff4,"School of Economics and Business, University of Sarajevo, Trg oslobodjenja—
Alija Izetbegovic 1, Sarajevo, 71000, Bosnia and Herzegovina","Zaimovic A., School
of Economics and Business, University of Sarajevo, Trg oslobodjenja—Alija
Izetbegovic 1, Sarajevo, 71000, Bosnia and Herzegovina; Omanovic A., School of
Economics and Business, University of Sarajevo, Trg oslobodjenja—Alija Izetbegovic
1, Sarajevo, 71000, Bosnia and Herzegovina; Arnaut-Berilo A., School of Economics
and Business, University of Sarajevo, Trg oslobodjenja—Alija Izetbegovic 1,
Sarajevo, 71000, Bosnia and Herzegovina","Using extensive and comprehensive
databases to select a subset of research papers, we aim to critically analyze
previous empirical studies to identify certain patterns in determining the optimal
number of stocks in well-diversified portfolios in different markets, and to
compare how the optimal number of stocks has changed over different periods and how
it has been affected by market turmoil such as the Global Financial Crisis (GFC)
and the current COVID-19 pandemic. The main methods used are bibliometric analysis
and systematic literature review. Evaluating the number of assets which lead to
optimal diversification is not an easy task as it is impacted by a huge number of
different factors: the way systematic risk is measured, the investment universe
(size, asset classes and features of the asset classes), the investor’s
characteristics, the change over time of the asset features, the model adopted to
measure diversification (i.e., equally weighted versus optimal allocation), the
frequency of the data that is being used, together with the time horizon,
conditions in the market that the study refers to, etc. Our paper provides
additional support for the fact that (1) a generalized optimal number of stocks
that constitute a well-diversified portfolio does not exist for whichever market,
period or investor. Recent studies further suggest that (2) the size of a well-
diversified portfolio is larger today than in the past, (3) this number is lower in
emerging markets compared to developed financial markets, (4) the higher the stock
correlations with the market, the lower the number of stocks required for a well-
diversified portfolio for individual investors, and (5) machine learning methods
could potentially improve the investment decision process. Our results could be
helpful to private and institutional investors in constructing and managing their
portfolios and provide a framework for future research. © 2021 by the
authors.",asset allocation; diversification; portfolio size; stocks; systematic
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pp. 208-223, (2014)","A. Zaimovic; School of Economics and Business, University of
Sarajevo, Sarajevo, Trg oslobodjenja—Alija Izetbegovic 1, 71000, Bosnia and
Herzegovina; email: [email protected]",,Multidisciplinary Digital
Publishing Institute (MDPI),,,,,,19118074,,,,English,J. Risk. Financ.
Manag.,Review,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85124734637
Salem A.M.; Yakoot M.S.; Mahmoud O.,"Salem, Adel M. (55818722800); Yakoot, Mostafa
S. (56602741400); Mahmoud, Omar (57188984923)",55818722800; 56602741400;
57188984923,Addressing Diverse Petroleum Industry Problems Using Machine Learning
Techniques: Literary Methodology─Spotlight on Predicting Well Integrity
Failures,2022,ACS Omega,7,3,,2504,2519,15,27,10.1021/acsomega.1c05658,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85124096752&doi=10.1021%2facsomega.1c05658&partnerID=40&md5=35a3df37a998f787b728acc
f0bd93af2,"Suez University, Suez, 43511, Egypt; Gulf of Suez Petroleum Co. (GUPCO),
Cairo, 11511, Egypt; Future University in Egypt (FUE), New Cairo, 11835,
Egypt","Salem A.M., Suez University, Suez, 43511, Egypt; Yakoot M.S., Gulf of Suez
Petroleum Co. (GUPCO), Cairo, 11511, Egypt; Mahmoud O., Future University in Egypt
(FUE), New Cairo, 11835, Egypt","Artificial intelligence (AI) and machine learning
(ML) are transforming industries, where low-cost, big data can utilize computing
power to optimize system performance. Oil and gas (O&G) fields are getting mature,
where well integrity (WI) problems become more common and field operations are now
more challenging. Hence, they are good candidates for transformation due to the low
cost of data storage, highlighting the oil market decline, along with dynamic risk
posed during operations. This paper is presenting a comprehensive compilation of
different ML applications in diverse disciplines of the petroleum industry. The
pool of AI and ML with respect to different areas of applications along with
publication years has been categorized. The main focus of this study is classifying
well integrity failures where the authors found that the potential of AI and ML in
predicting well integrity failures has not been efficiently tapped, and there is an
explicit gap in the literature. First, the applications of AI, ML, and data
analytics in the O&G industry are discussed thoroughly, so this paper can be a
comprehensive reference for readers and future researchers. Then data preprocessing
is explained. This includes data gathering, cleaning, and feature engineering.
Next, the different ML models are compared and discussed. Finally, model
performance evaluation and best model selection are described. This study would be
a concrete foundation in the design and construction of ML programs that can be
deployed for WI risk management. The developed model can be simply used for any
well stock, providing quick and easy assessment instead of subjective and tedious
assessment. The layout can be simply adjusted to reflect the risk profile of any
well type or any field. © 2022 The Authors. Published by American Chemical
Society",,,,,,,Gulf of Suez Petroleum Company; Suez University; department of
petroleum engineering,"The authors would like to express appreciation for the
support of the Gulf of Suez Petroleum Company (GUPCO) and permission to publish
this work. The authors would also like to acknowledge Prof. Ahmed A. Elgibaly, who
passed away on January 15, 2021. The second author would like to extend his
appreciation for the faculty members in the department of petroleum engineering,
Suez University, Egypt, for their continuous encouragement and support.","Yakoot
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University, Suez, 43511, Egypt; email: [email protected]; M.S. Yakoot; Gulf
of Suez Petroleum Co. (GUPCO), Cairo, 11511, Egypt; email: [email protected];
O. Mahmoud; Future University in Egypt (FUE), New Cairo, 11835, Egypt; email:
[email protected]",,American Chemical
Society,,,,,,24701343,,,,English,ACS Omega,Review,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85124096752
Lakshminarayanan S.K.; McCrae J.,"Lakshminarayanan, Sai Krishna (57215665192);
McCrae, John (36666801700)",57215665192; 36666801700,A comparative study of SVM and
LSTM deep learning algorithms for stock market prediction,2019,CEUR Workshop
Proceedings,2563,,,446,457,11,26,,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85081603042&partnerID=40&md5=e3cf7e4ee4ff1913e56939f57e0b3843,"National University
of Ireland Galway, Ireland","Lakshminarayanan S.K., National University of Ireland
Galway, Ireland; McCrae J., National University of Ireland Galway, Ireland","The
paper presents a comparative study of the performance of Long Short-Term Memory
(LSTM) neural network models with Support Vector Machine (SVM) regression models.
The framework built as a part of this study comprises of eight models. In this, 4
models are built using LSTM and 4 models using SVM respectively. Two major datasets
are used for this paper. One is the base standard Dow Jones Index (DJI) stock price
dataset and another is the combination of this stock price dataset along with
external added input parameters of crude oil and gold prices. This comparative
study shows the best model in combination with our input dataset. The performance
of the models is measured in terms of their Root Mean Squared Error (RMSE), Mean
Squared Error (MSE), Mean Absolute Error, Mean Absolute Percentage Error (MAPE) and
R squared (R2) score values. The methodologies and the results of the models are
discussed and possible enhancements to this work are also provided. Copyright ©
2019 for this paper by its authors. Use permitted under Creative Commons License
Attribution 4.0 International (CC BY 4.0).",Crude oil price; Deep learning; Dow
jones index; Gold price; Long short-term memory; Machine learning; Moving average;
Support vector machine,Brain; Crude oil price; Deep learning; Electronic trading;
Errors; Learning algorithms; Learning systems; Mean square error; Support vector
machines; Support vector regression; Dow Jones; Gold prices; Mean absolute
percentage error; Moving averages; Neural network model; Root mean squared errors;
Stock market prediction; Support vector machine regressions; Long short-term
memory,,,,,,,"Ahmed N.K., Et al., An empirical comparison of machine learning
models for time series forecasting, Econometric Reviews, 29, pp. 5-6, (2010); Kale
A., Khanvilkar O., Forecasting Indian stock market using artificial neural
networks, Published in 2018 Fourth International Conference on Computing
Communication Control and Automation (ICCUBEA), (2018); Barak, Et al., Developing
an approach to evaluate stocks by forecasting effective features with data mining
methods, 2014 Expert Systems with Applications, (2014); Henrique B.M., Sobreiro
V.A., Kimura H., Stock price prediction using support vector regression on daily
and up to the minute prices, The Journal of Finance and Data Science, 4, 3, pp.
183-201, (2018); Gerlein, Et al., Evaluating machine learning classification for
financial trading: An empirical approach, 2016 Expert Systems with Applications,
(2016); Ma H., Gopalakrishnan E.Ab., Menonab V.K., Soman K.P., NSE stock market
prediction using deep-learning models, 2018 International Journal of Pure and
Applied Mathematics, 118, 20, pp. 217-223, (2018); Ioffe, Et al., Batch
Normalization: Accelerating Deep Network Training by Reducing Internal Covariate
Shift, (2015); Patel J., Et al., Predicting stock and stock price index movement
using Trend Deterministic Data Preparation and machine learning techniques, 2014
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stock market trend reversal analysis for Indian benchmark indices, 2015Applied Soft
Computing Archive, 35, 100, pp. 670-680, (2015); Qian, Et al., Stock prediction
based on LSTM under different stability, 2019 IEEE 4th International Conference on
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prediction using machine learning, 2018 International Research Journal of
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Journal of Computational Intelligence Systems, 6, 1, pp. 96-114, (2013); Xiatao Liu
X., Lai K.K., J Syst Sci Complex, 30, (2017); Liu Y., Python Machine Learning by
Example, (2017)",,Curry E.; Keane M.; Ojo A.; Salwala D.,CEUR-WS,BDVe H2020
Project; Data Science Institute; NUI Galway,"27th AIAI Irish Conference on
Artificial Intelligence and Cognitive Science, AICS 2019",5 December 2019 through 6
December 2019,Galway,157976,16130073,,,,English,CEUR Workshop Proc.,Conference
paper,Final,,Scopus,2-s2.0-85081603042
Ouahilal M.; Mohajir M.E.; Chahhou M.; Mohajir B.E.E.,"Ouahilal, Meryem
(57190161723); Mohajir, Mohammed El (35067957700); Chahhou, Mohamed (36801152800);
Mohajir, Badr Eddine El (55062396400)",57190161723; 35067957700; 36801152800;
55062396400,A novel hybrid model based on Hodrick–Prescott filter and support
vector regression algorithm for optimizing stock market price
prediction,2017,Journal of Big Data,4,1,31,,,,33,10.1186/s40537-017-0092-
5,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85030856570&doi=10.1186%2fs40537-017-0092-
5&partnerID=40&md5=f50e3852ede484d21979407258317f7f,"Faculty of Science, Abdelmalek
Essaadi University, Tetuan, Morocco; Faculty of Science, LIMS, Sidi Mohamed Ben
Abdallah University, Fez, Morocco","Ouahilal M., Faculty of Science, Abdelmalek
Essaadi University, Tetuan, Morocco; Mohajir M.E., Faculty of Science, LIMS, Sidi
Mohamed Ben Abdallah University, Fez, Morocco; Chahhou M., Faculty of Science,
LIMS, Sidi Mohamed Ben Abdallah University, Fez, Morocco; Mohajir B.E.E., Faculty
of Science, Abdelmalek Essaadi University, Tetuan, Morocco","Predicting stock
market price is considered as a challenging task of financial time series analysis,
which is of great interest to stock investors, stock traders and applied
researchers. Many machine learning techniques have been used in this area to
predict the stock market price, including regression algorithms which can be useful
tools to provide good performance of financial time series prediction. Support
Vector Regression is one of the most powerful algorithms in machine learning. There
have been countless successes in utilizing SVR algorithm for stock market
prediction. In this paper, we propose a novel hybrid approach based on machine
learning and filtering techniques. Our proposed approach combines Support Vector
Regression and Hodrick–Prescott filter in order to optimize the prediction of stock
price. To assess the performance of this proposed approach, we have conducted
several experiments using real world datasets. The principle objective of this
paper is to demonstrate the improvement in predictive performance of stock market
and verify the works of our proposed model in comparison with other optimized
models. The experimental results confirm that the proposed algorithm constitutes a
powerful model for predicting stock market prices. © 2017, The Author(s).",Business
analytics; Decision support; Financial time series forecasting; Hodrick–Prescott
filter; Noise filtering techniques; Stock price prediction; Support vector
regression,Artificial intelligence; Bandpass filters; Commerce; Costs; Decision
support systems; Electronic trading; Financial markets; Forecasting; Investments;
Learning algorithms; Learning systems; Regression analysis; Time series; Vectors;
Business analytics; Decision supports; Filtering technique; Financial time series
forecasting; Hodrick-prescott filters; Noise filtering; Noise filtering technique;
Stock market prices; Stock price prediction; Support vector regressions; Time
series analysis,,,,,,,"Mahalakshmi G., Sridevi S., Rajaram S., A survey on
forecasting time series data, Proceeding of the IEEE international conference on
computing technologies and intelligent data engineering, Kovilpatti, India, pp. 7-
9, (2016); Anandhi V., Chezian R.M., Support vector regression in forecasting, Int
J Adv Res Comp Commun Eng, 2, 10, pp. 4148-4151, (2013); Badics M.C., Stock market
time series forecasting with data mining methods, Finan Econ Rev, 13, 4, pp. 205-
225, (2014); Li Z., Li Y., Yu F., Ge D., Adaptively weighted support vector
regression for financial time series prediction, Proceeding of the IEEE
international joint conference on neural networks. Beijing, China, pp. 6-11,
(2014); Vapnik V., The nature of statistical theory, (2000); Vapnik V., Golowich
S., Smola A., Support vector method for function approximation, regression
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Basak D., Pal S., Chandra D., Support vector regression, Neural Inf Process-Lett
Rev, 11, 10, pp. 203-224, (2007); Kim K.J., Financial time series forecasting using
support vector machines, Neurocomputing, 55, 1-2, pp. 307-319, (2003); Lu C.J., Lee
T.S., Chiu C.C., Financial time series forecasting using independent component
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IEEE Iranian joint congress on fuzzy and intelligent systems. Qazvin, Iran, 7–9,
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pp. 25-30; Ouahilal M., Jellouli I., El Mohajir M.A., The proceeding of the third
IEEE international colloquium in information science and technology, Tetuan. 20–22
October, 2014, pp. 68-73; Ouahilal M., El Mohajir M., Chahhou M., El Mohajir B.A.,
comparative study of predictive algorithms for business analytics and decision
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Forecasting gold price using multiple linear regression method, Am J Appl Sci, 6,
8, pp. 1509-1514, (2009); Meesad P., In R.R.I.P., The proceeding of the
international conference on informatics, electronics and vision, Dhaka. 17–18 May,
2013, pp. 1-6; Ouahilal M., El Mohajir M., Chahhou M., El Mohajir B., Optimizing
stock market price prediction using a hybrid approach based on HP filter and
support vector regression, In: The proceeding of the IEEE international colloquium
in information science and technology. Tangier., 24-26, pp. 290-294, (2016); Tsay
R.S., Analysis of financial time series. Wiley Series in probability and
statistics, (2005)","M. Ouahilal; Faculty of Science, Abdelmalek Essaadi
University, Tetuan, Morocco; email:
[email protected]",,SpringerOpen,,,,,,21961115,,,,English,J. Big
Data,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85030856570
Albahli S.; Nazir T.; Mehmood A.; Irtaza A.; Alkhalifah A.; Albattah W.,"Albahli,
Saleh (56548902300); Nazir, Tahira (57210413625); Mehmood, Awais (57193629125);
Irtaza, Aun (54882450900); Alkhalifah, Ali (37080092000); Albattah, Waleed
(56039941700)",56548902300; 57210413625; 57193629125; 54882450900; 37080092000;
56039941700,AEI-DNET: A Novel DenseNet Model with an Autoencoder for the Stock
Market Predictions Using Stock Technical Indicators,2022,Electronics
(Switzerland),11,4,611,,,,29,10.3390/electronics11040611,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85124583478&doi=10.3390%2felectronics11040611&partnerID=40&md5=212c346490d3d425c5ee
fd7605f8837d,"Department of Information Technology, College of Computer, Qassim
University, Buraydah, 51452, Saudi Arabia; Department of Computer Science,
University of Engineering and Technology, Taxila, 47050, Pakistan; Department of
Computer and Electrical Engineering, University of Michigan, Dearborn, 48124, MI,
United States","Albahli S., Department of Information Technology, College of
Computer, Qassim University, Buraydah, 51452, Saudi Arabia; Nazir T., Department of
Computer Science, University of Engineering and Technology, Taxila, 47050,
Pakistan; Mehmood A., Department of Computer Science, University of Engineering and
Technology, Taxila, 47050, Pakistan; Irtaza A., Department of Computer Science,
University of Engineering and Technology, Taxila, 47050, Pakistan, Department of
Computer and Electrical Engineering, University of Michigan, Dearborn, 48124, MI,
United States; Alkhalifah A., Department of Information Technology, College of
Computer, Qassim University, Buraydah, 51452, Saudi Arabia; Albattah W., Department
of Information Technology, College of Computer, Qassim University, Buraydah, 51452,
Saudi Arabia","Predicting stock market prices is an important and interesting task
in academic and financial research. The volatile nature of the stock market means
that predicting stock market prices is a challenging task. However, recent
advancements in machine learning, especially in deep learning techniques, have made
it possible for researchers to use such techniques to predict future stock trends
based on historical financial data, social media news, financial news, and stock
technical indicators (STIs). This work focused on the prediction of closing stock
prices based on using ten years of Yahoo Finance data of ten renowned stocks and
STIs by using 1D DenseNet and an autoencoder. The calculated STIs were first used
as the input for the autoencoder for dimensionality reduction, resulting in less
correlation between the STIs. These STIs, along with the Yahoo finance data, were
then fed into the 1D DenseNet. The resultant features obtained from the 1D DenseNet
were then used as input for the softmax layer residing inside the 1D DenseNet
framework for the prediction of closing stock prices for short-, medium-, and long-
term perspectives. Based on the predicted trends of the stock prices, our model
presented the user with one of three suggested signals, i.e., buy, sell, or hold.
The experimental results showed that the proposed approach outperformed the state-
of-the-art techniques by obtaining a minimum MAPE value of 0.41. © 2022 by the
authors. Licensee MDPI, Basel, Switzerland.",Autoencoder; Deep learning; DenseNet;
STIs; Stock prediction,,,,,,"Qassim University, QU, (10302-coc-2020-1-3-I); Qassim
University, QU; Deanship of Scientific Research, King Saud University","This
research was funded by the Deanship of Scientific Research, Qassim University under
the number (10302-coc-2020-1-3-I) during the academic year 1441 AH/2020
AD.","Nabipour M., Nayyeri P., Jabani H., Mosavi A., Salwana E., Deep learning for
stock market prediction, Entropy, 22, (2020); Asadi S., Hadavandi E., Mehmanpazir
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for equity markets, Annu. Rev. Stat. Its Appl, 5, pp. 265-288, (2018); Hoseinzade
E., Haratizadeh S., CNNpred: CNN-based stock market prediction using a diverse set
of variables, Expert Syst. Appl, 129, pp. 273-285, (2019); Jiang W., Applications
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(2017); Bustos O., Pomares-Quimbaya A., Stock market movement forecast: A
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Stock market analysis: A review and taxonomy of prediction techniques, Int. J.
Financ. Stud, 7, (2019); Olivas E.S., Guerrero J.D.M., Martinez-Sober M.,
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Soft Comput, 11, pp. 2452-2459, (2011); Corbet S., Eraslan V., Lucey B., Sensoy A.,
The effectiveness of technical trading rules in cryptocurrency markets, Financ.
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trading with deep convolutional neural networks: Time series to image conversion
approach, Appl. Soft Comput, 70, pp. 525-538, (2018); Sobolev D., Chan B., Harvey
N., Buy, sell, or hold? A sense-making account of factors influencing trading
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L.-S., Combining corporate governance indicators with stacking ensembles for
financial distress prediction, J. Bus. Res, 120, pp. 137-146, (2020); Shynkevich
Y., McGinnity T.M., Coleman S.A., Belatreche A., Li Y., Forecasting price movements
using technical indicators: Investigating the impact of varying input window
length, Neurocomputing, 264, pp. 71-88, (2017); Chun D., Cho H., Ryu D., Economic
indicators and stock market volatility in an emerging economy, Econ. Syst, 44,
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technical indicators and two-step economic constraint method, N. Am. J. Econ.
Financ, 53, (2020); Fayek M.B., El-Boghdadi H.M., Omran S.M., Multi-objective
optimization of technical stock market indicators using gas, Int. J. Comput. Appl,
68, pp. 41-48, (2013); Maguluri L.P., Ragupathy R., An Efficient Stock Market Trend
Prediction Using the Real-Time Stock Technical Data and Stock Social Media Data,
Int. J. Intell. Eng. Syst, 13, pp. 316-332, (2020); Zhang J., Li L., Chen W.,
Predicting stock price using two-stage machine learning techniques, Comput. Econ,
57, pp. 1237-1261, (2021); Agrawal M., Khan A.U., Shukla P.K., Stock indices price
prediction based on technical indicators using deep learning model, Int. J. Emerg.
Technol, 10, pp. 186-194, (2019); JuHyok U., Lu P., Kim C., Ryu U., Pak K., A new
LSTM based reversal point prediction method using upward/downward reversal point
feature sets, Chaos Solitons Fractals, 132, (2020); Yang C., Zhai J., Tao G., Deep
learning for price movement prediction using convolutional neural network and long
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using reinforcement learning, Proceedings of the 2001 IEEE International Symposium
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Gu Y., Yan D., Yan S., Jiang Z., Price forecast with high-frequency finance data:
An autoregressive recurrent neural network model with technical indicators,
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learning for thai stock market prediction using textual representation and
technical indicators, Proceedings of the 8th International Conference on Computer
and Communications Management, pp. 19-23, (2020); Vargas M.R., dos Anjos C.E.M.,
Bichara G.L.G., Evsukoff A.G., Deep leaming for stock market prediction using
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Stock with Largest Capitalization from pe, Indones. J. Bus. Adm, 2, (2013);
Hernandez-Aguirre A., Villa-Diharce E., Barba-Moreno S., An estimation distribution
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K., Jafari Meimandi K., Heidarysafa M., Mendu S., Barnes L., Brown D., Text
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Proceedings of the 2020 IEEE Symposium on Computers and Communications (ISCC), pp.
1-6, (2020); Chung H., Shin K., Genetic algorithm-optimized long short-term memory
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J., Qin L., A CNN-BiLSTM-AM method for stock price prediction, Neural Comput. Appl,
33, pp. 4741-4753, (2021); Majumder I., Dash P.K., Bisoi R., Short-term solar power
prediction using multi-kernel-based random vector functional link with water cycle
algorithm-based parameter optimization, Neural Comput. Appl, 32, pp. 8011-8029,
(2020)","S. Albahli; Department of Information Technology, College of Computer,
Qassim University, Buraydah, 51452, Saudi Arabia; email:
[email protected]",,MDPI,,,,,,20799292,,,,English,Electronics
(Switzerland),Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85124583478
Patil P.; Wu C.-S.M.; Potika K.; Orang M.,"Patil, Pratik (59027588100); Wu, Ching-
Seh M. (57208034679); Potika, Katerina (22433682400); Orang, Marjan
(57215830766)",59027588100; 57208034679; 22433682400; 57215830766,"Stock market
prediction using ensemble of graph theory, machine learning and deep learning
models",2020,ACM International Conference Proceeding
Series,,,,85,92,7,28,10.1145/3378936.3378972,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85081995845&doi=10.1145%2f3378936.3378972&partnerID=40&md5=59f472d533640eac4e4bcc13
aa60e722,"Computer Science Department, San Jose State University, San Jose, United
States; Economics Department, San Jose State University, San Jose, United
States","Patil P., Computer Science Department, San Jose State University, San
Jose, United States; Wu C.-S.M., Computer Science Department, San Jose State
University, San Jose, United States; Potika K., Computer Science Department, San
Jose State University, San Jose, United States; Orang M., Economics Department, San
Jose State University, San Jose, United States","Efficient Market Hypothesis (EMH)
is the cornerstone of the modern financial theory and it states that it is
impossible to predict the price of any stock using any trend, fundamental or
technical analysis. Stock trading is one of the most important activities in the
world of finance. Stock price prediction has been an age-old problem and many
researchers from academia and business have tried to solve it using many techniques
ranging from basic statistics to machine learning using relevant information such
as news sentiment and historical prices. Even though some studies claim to get
prediction accuracy higher than a random guess, they consider nothing but a proper
selection of stocks and time interval in the experiments. In this paper, a novel
approach is proposed using graph theory. This approach leverages Spatio-temporal
relationship information between different stocks by modeling the stock market as a
complex network. This graph-based approach is used along with two techniques to
create two hybrid models. Two different types of graphs are constructed, one from
the correlation of the historical stock prices and the other is a causation-based
graph constructed from the financial news mention of that stock over a period. The
first hybrid model leverages deep learning convolutional neural networks and the
second model leverages a traditional machine learning approach. These models are
compared along with other statistical models and the advantages and disadvantages
of graph-based models are discussed. Our experiments conclude that both graph-based
approaches perform better than the traditional approaches since they leverage
structural information while building the prediction model. © 2020 Association for
Computing Machinery.",Big data analytics; Deep learning; Financial networks; Graph
theory; Machine learning; Spatiotemporal; Stock market; Time series forecasting,Big
data; Commerce; Complex networks; Computation theory; Convolutional neural
networks; Costs; Data Analytics; Deep neural networks; Electronic trading;
Financial markets; Fintech; Forecasting; Graph theory; Graphic methods; Information
management; Learning systems; Predictive analytics; Software engineering; Efficient
market hypothesis; Financial networks; Machine learning approaches; Spatio-temporal
relationships; Spatiotemporal; Stock market prediction; Time series forecasting;
Traditional approaches; Deep learning,,,,,,,"Michael David R., Machine-learning
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(2010)",,,Association for Computing Machinery,University of Science and Technology
of China,"3rd International Conference on Software Engineering and Information
Management, ICSIM 2020 - and its Workshop 2020 the 3rd International Conference on
Big Data and Smart Computing, ICBDSC 2020",12 January 2020 through 15 January
2020,Sydney,158227,,978-145037690-7,,,English,ACM Int. Conf. Proc. Ser.,Conference
paper,Final,,Scopus,2-s2.0-85081995845
Herrera G.P.; Constantino M.; Su J.-J.; Naranpanawa A.,"Herrera, Gabriel Paes
(57201094012); Constantino, Michel (57191573111); Su, Jen-Je (36459080800);
Naranpanawa, Athula (26221858200)",57201094012; 57191573111; 36459080800;
26221858200,Renewable energy stocks forecast using Twitter investor sentiment and
deep learning,2022,Energy
Economics,114,,106285,,,,29,10.1016/j.eneco.2022.106285,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85137658719&doi=10.1016%2fj.eneco.2022.106285&partnerID=40&md5=524b889ebf62f099bcd4
024f69d262d9,"Department of Accounting, Finance and Economics, Griffith University,
170 Kessels Road, Nathan, 4111, QLD, Australia; Dom Bosco Catholic University -
UCDB, Av. Tamandaré 6000, Campo Grande, Brazil","Herrera G.P., Department of
Accounting, Finance and Economics, Griffith University, 170 Kessels Road, Nathan,
4111, QLD, Australia, Dom Bosco Catholic University - UCDB, Av. Tamandaré 6000,
Campo Grande, Brazil; Constantino M., Dom Bosco Catholic University - UCDB, Av.
Tamandaré 6000, Campo Grande, Brazil; Su J.-J., Department of Accounting, Finance
and Economics, Griffith University, 170 Kessels Road, Nathan, 4111, QLD, Australia;
Naranpanawa A., Department of Accounting, Finance and Economics, Griffith
University, 170 Kessels Road, Nathan, 4111, QLD, Australia","This paper examines
the impact of investor sentiment on forecasting returns and volatility for
renewable energy stocks. We apply a natural language processing technique to
extract investor sentiment from Twitter during both trading and non-trading hours.
Forecasting analyses are conducted using a state-of-the-art hybrid deep learning
technique and benchmark models. Results show that the sentiment variables hold
significant add-on information not captured by standard financial market variables.
Twitter investor sentiment considerably improves return and volatility forecasts of
renewable energy stocks, especially when the deep learning method is employed. Our
results are statistically significant and robust under different settings. © 2022
Elsevier B.V.",Clean energy; LSTM; Stock return; Stock volatility;
Twitter,Forecasting; Investments; Learning systems; Long short-term memory; Natural
language processing systems; Social networking (online); Clean energy; Investor's
sentiments; Language processing techniques; LSTM; Natural languages; Renewable
energies; State of the art; Stock returns; Stock volatility; Twitter; alternative
energy; financial market; forecasting method; machine learning; social media; stock
market; Commerce,,,,,,,"Afkhami M., Cormack L., Ghoddusi H., Google search keywords
that best predict energy price volatility, Energy Econ., 67, pp. 17-27, (2017); Asl
M.G., Canarella G., Miller S.M., Dynamic asymmetric optimal portfolio allocation
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D., The impact of sentiment and attention measures on stock market volatility, Int.
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revisited: Intraday investor sentiment, Twitter activity and individual-level stock
return volatility, J. Bank. Financ., 96, pp. 355-367, (2018); Beysolow T.,
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32-39, (2019)","G.P. Herrera; Department of Accounting, Finance and Economics,
Griffith University, Nathan, 170 Kessels Road, 4111, Australia; email:
[email protected]",,Elsevier
B.V.,,,,,,1409883,,EECOD,,English,Energy Econ.,Article,Final,,Scopus,2-s2.0-
85137658719
Chen Y.; Yu H.; Meng X.; Xie X.; Hou M.; Chevallier J.,"Chen, Yinghao
(57209694313); Yu, Hanyu (57222119905); Meng, Xiangyu (57222117650); Xie, Xiaoliang
(34878025900); Hou, Muzhou (35085032100); Chevallier, Julien
(35316737800)",57209694313; 57222119905; 57222117650; 34878025900; 35085032100;
35316737800,Numerical solving of the generalized Black-Scholes differential
equation using Laguerre neural network,2021,Digital Signal Processing: A Review
Journal,112,,103003,,,,25,10.1016/j.dsp.2021.103003,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85101590563&doi=10.1016%2fj.dsp.2021.103003&partnerID=40&md5=ced56106855e8592e1be2e
4bd4a73cb8,"School of mathematics and statistics, Central South University,
Changsha, 410083, China; Business school, Central South University, Changsha,
410083, China; School of Mathematics and Statistics, Hunan University of Technology
and Business, Changsha, 410205, Hunan, China; IPAG Business School (IPAG Lab), 184
boulevard Saint-Germain, Paris, 75006, France; University Paris 8 (LED), 2 rue de
la Liberté, Saint-Denis, 93526, France","Chen Y., School of mathematics and
statistics, Central South University, Changsha, 410083, China; Yu H., Business
school, Central South University, Changsha, 410083, China; Meng X., School of
mathematics and statistics, Central South University, Changsha, 410083, China; Xie
X., School of Mathematics and Statistics, Hunan University of Technology and
Business, Changsha, 410205, Hunan, China; Hou M., School of mathematics and
statistics, Central South University, Changsha, 410083, China; Chevallier J., IPAG
Business School (IPAG Lab), 184 boulevard Saint-Germain, Paris, 75006, France,
University Paris 8 (LED), 2 rue de la Liberté, Saint-Denis, 93526,
France","Reasonable pricing of options in the financial derivatives market is
crucial. For American options, or when volatility and interest rate are not
constant, it is often difficult to obtain analytical solutions to the Black-Scholes
(BS) equation. In this paper, the Laguerre neural network was proposed as a novel
numerical algorithm with three layers of neurons for solving BS equations. The
validity period and stock price are the input of the network, and the option price
is the only output layer. Laguerre functions are used as the activation function of
the neuron in the hidden layer. The BS equation and boundary conditions are set as
penalty function, the training points are uniformly selected in the domain, and the
improved extreme learning machine algorithm is used to optimize the network
connection weights. Three experiments calculated the numerical solutions of BS
equations for European options and generalized option pricing models. Compared with
existing algorithms such as the finite element method and radial basis function
neural network, the numerical solutions obtained by Laguerre neural network have
higher accuracy and smaller errors, which illustrates the feasibility and
superiority of the proposed method for solving BS equations. © 2021 Elsevier
Inc.",Black-Scholes equation; Finance; Neural network; Numerical solution,Boundary
conditions; Costs; Economics; Electronic trading; Financial markets; Learning
algorithms; Machine learning; Numerical methods; Radial basis function networks;
Activation functions; Extreme learning machine; Financial derivatives; Numerical
algorithms; Numerical solution; Option pricing models; Pricing of options; Radial
basis function neural networks; Multilayer neural networks,,,,,"National Office for
Philosophy and Social Sciences, NPOPSS, (19BTJ011); National Office for Philosophy
and Social Sciences, NPOPSS",This work was supported by Projects of the National
Social Science Foundation of China under Grants No: 19BTJ011 . ,"Alziary B.,
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and statistics, Central South University, Changsha, 410083, China; email:
[email protected]",,Elsevier Inc.,,,,,,10512004,,DSPRE,,English,Digital Signal
Process Rev J,Article,Final,,Scopus,2-s2.0-85101590563
Chaudhari K.; Thakkar A.,"Chaudhari, Kinjal (57205633300); Thakkar, Ankit
(35186617300)",57205633300; 35186617300,Neural network systems with an integrated
coefficient of variation-based feature selection for stock price and trend
prediction,2023,Expert Systems with
Applications,219,,119527,,,,31,10.1016/j.eswa.2023.119527,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85147602967&doi=10.1016%2fj.eswa.2023.119527&partnerID=40&md5=603e9831ca6c1ef1acf14
298c586f0da,"Department of Computer Science and Engineering, Institute of
Technology, Nirma University, Gujarat, Ahmedabad, 382 481, India","Chaudhari K.,
Department of Computer Science and Engineering, Institute of Technology, Nirma
University, Gujarat, Ahmedabad, 382 481, India; Thakkar A., Department of Computer
Science and Engineering, Institute of Technology, Nirma University, Gujarat,
Ahmedabad, 382 481, India","Stock market forecasting has been a subject of interest
for many researchers; the essential market analyses can be integrated with
historical stock market data to derive a set of features. It is crucial to select
features with useful information about the specific aspect. In this article, we
propose coefficient of variation (CV)-based feature selection for stock prediction.
The unitless statistical method, CV, is widely used to obtain variability among
data distributions. We calculate CV for each feature and integrate an existing
method, k-means algorithm, as well as proposed methods, median range and top-M, to
select a set of features with specific characteristics such as features belonging
to the largest cluster, the defined range, and with the highest CV values,
respectively. We apply the set of selected features to models such as
backpropagation neural network (BPNN), long short-term memory (LSTM), gated
recurrent unit (GRU), and convolutional neural network (CNN) for stock price and
trend prediction. We demonstrate the applicability of our proposed approach using
five of the existing feature selection methods, namely, correlation coefficient,
Chi2, mutual information, principal component analysis, and variance threshold;
comparison indicates remarkable performance enhancement using several accuracy-
based, as well as error-based, metrics and the same is statistically supported
using Wilcoxon signed-rank test. © 2023 Elsevier Ltd",Backpropagation neural
network; Coefficient of variation; Convolutional neural network; Deep learning;
Feature selection; Gated recurrent unit; Long short-term memory; Machine learning;
Stock prediction,Backpropagation; Brain; Commerce; Convolution; Convolutional
neural networks; Electronic trading; Feature Selection; Financial markets;
Forecasting; K-means clustering; Principal component analysis; Back-propagation
neural networks; Coefficients of variations; Convolutional neural network; Deep
learning; Features selection; Gated recurrent unit; Machine-learning; Stock
predictions; Stock price prediction; Stock trend prediction; Long short-term
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Thakkar; Department of Computer Science and Engineering, Institute of Technology,
Nirma University, Ahmedabad, Gujarat, 382 481, India; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85147602967
Huang D.; Li J.; Wang L.,"Huang, Dashan (15048011500); Li, Jiangyuan (57210433440);
Wang, Liyao (57214870891)",15048011500; 57210433440; 57214870891,Are disagreements
agreeable? Evidence from information aggregation,2021,Journal of Financial
Economics,141,1,,83,101,18,26,10.1016/j.jfineco.2021.02.006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85101711514&doi=10.1016%2fj.jfineco.2021.02.006&partnerID=40&md5=de7a52f6d88aa37241
e5d46707741ea8,"Lee Kong Chian School of Business, Singapore Management University,
50 Stamford Road, 178899, Singapore; School of Finance, Shanghai University of
Finance and Economics, 777 Guoding Rd., Shanghai, 200433, China; School of
Business, Hong Kong Baptist University, 34 Renfrew Road, Kowloon Tong, Kowloon,
Hong Kong","Huang D., Lee Kong Chian School of Business, Singapore Management
University, 50 Stamford Road, 178899, Singapore; Li J., School of Finance, Shanghai
University of Finance and Economics, 777 Guoding Rd., Shanghai, 200433, China; Wang
L., School of Business, Hong Kong Baptist University, 34 Renfrew Road, Kowloon
Tong, Kowloon, Hong Kong","Disagreement measures are known to predict cross-
sectional stock returns but fail to predict market returns. This paper proposes a
partial least squares disagreement index by aggregating information across
individual disagreement measures and shows that this index significantly predicts
market returns both in- and out-of-sample. Consistent with the theory in Atmaz and
Basak (2018), the disagreement index asymmetrically predicts market returns with
greater power in high-sentiment periods, is positively associated with investor
expectations of market returns, predicts market returns through a cash flow
channel, and can explain the positive volume-volatility relationship. © 2021
Elsevier B.V.",Disagreement; LASSO; Machine learning; PLS; Return
predictability,,,,,,"G. William Schwert; Ministry of Education - Singapore, MOE;
Singapore Management University, SMU, (MSS18B004)","Funding text 1: We are grateful
to G. William Schwert (the editor) and Seth Pruitt (the referee) for very
insightful and helpful comments that improved the paper significantly. We thank
Adem Atmaz, Suleyman Basak, Bong-Geun Choi, Liyuan Cui, Zhi Da, Stefano Giglio,
Shiyang Huang, Tao Li, Weikai Li, Ye Li, Francis Longstaff, Sungjune Pyun, and
Guofu Zhou as well as seminar and conference participants at St. Louis University,
Washington University in St. Louis, 2018 Asian Bureau of Finance and Economic
Research (ABFER) Annual Conference, 2018 AsianFA Annual Meeting, 2018 City
University of Hong Kong International Finance Conference on Corporate Finance and
Financial Markets, 2018 Research in Behavioral Finance Conference, and 2018 SMU
Finance Summer Camp for insightful comments. Dashan Huang acknowledges that this
study was partially funded at the Singapore Management University through a
research grant (MSS18B004) from the Ministry of Education Academic Research Fund
Tier 1.; Funding text 2: We are grateful to G. William Schwert (the editor) and
Seth Pruitt (the referee) for very insightful and helpful comments that improved
the paper significantly. We thank Adem Atmaz, Suleyman Basak, Bong-Geun Choi,
Liyuan Cui, Zhi Da, Stefano Giglio, Shiyang Huang, Tao Li, Weikai Li, Ye Li,
Francis Longstaff, Sungjune Pyun, and Guofu Zhou as well as seminar and conference
participants at St. Louis University, Washington University in St. Louis, 2018
Asian Bureau of Finance and Economic Research (ABFER) Annual Conference, 2018
AsianFA Annual Meeting, 2018 City University of Hong Kong International Finance
Conference on Corporate Finance and Financial Markets, 2018 Research in Behavioral
Finance Conference, and 2018 SMU Finance Summer Camp for insightful comments.
Dashan Huang acknowledges that this study was partially funded at the Singapore
Management University through a research grant (MSS18B004) from the Ministry of
Education Academic Research Fund Tier 1. ","Ajinkya B.B., Atiase R.K., Gift M.J.,
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J., Lockhart R., Tibshirani R., Exact post-selection inference for sequential
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Financ. Econ., 100, pp. 367-381, (2011)","D. Huang; Lee Kong Chian School of
Business, Singapore Management University, 50 Stamford Road, 178899, Singapore;
email: [email protected]",,Elsevier B.V.,,,,,,0304405X,,JFECD,,English,J.
Financ. Econ.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
85101711514
Lai C.Y.; Chen R.-C.; Caraka R.E.,"Lai, Chun Yuan (56134320100); Chen, Rung-Ching
(12759739100); Caraka, Rezzy Eko (57190489490)",56134320100; 12759739100;
57190489490,Prediction Stock Price Based on Different Index Factors Using
LSTM,2019,Proceedings - International Conference on Machine Learning and
Cybernetics,2019-July,,8949162,,,,27,10.1109/ICMLC48188.2019.8949162,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85078538502&doi=10.1109%2fICMLC48188.2019.8949162&partnerID=40&md5=009a03d3f1edd78f
6b162b75bc7afda5,"Machine Learning Center, Faculty of Mathematics and Computer
Science, Hebei University, Baoding, 071002, China; College of Informatics, Chaoyang
University of Technology, Taichung City, 41349, Taiwan","Lai C.Y., Machine Learning
Center, Faculty of Mathematics and Computer Science, Hebei University, Baoding,
071002, China; Chen R.-C., College of Informatics, Chaoyang University of
Technology, Taichung City, 41349, Taiwan; Caraka R.E., College of Informatics,
Chaoyang University of Technology, Taichung City, 41349, Taiwan","Predicting stock
price has been a challenging project for many researchers, investors, and analysts.
Most of them are interested in knowing the stock price trend in the future. To get
a precise and winning model is the wish of them. Recently, Neural Network has been
a prevalent means for stock prediction. However, there are many ways and different
predicting models such as Convolutional Neural Networks (CNN), Recurrent Neural
Network (RNN), Long Short-Term Memory (LSTM), and Gated Recurrent Unit (GRU). In
this paper, we propose a novel idea that average previous five days stock market
information (open, high, low, volume, close) as a new value then use this value to
predict, and use the predicted value as the average of the stock price information
for the next five days. Moreover, we utilize Technical Analysis Indicators to
consider whether to buy stocks or continue to hold stocks or sell stocks. We use
Foxconn company data collected from Taiwan Stock Exchange for testing with the
Neural Network Long Short-Term Memory (LSTM). © 2019 IEEE.",LSTM; Stock price
prediction; Technical analysis indicator,Brain; Financial markets; Forecasting;
Investments; Long short-term memory; Machine learning; Convolutional neural
network; LSTM; Market information; Recurrent neural network (RNN); Stock
predictions; Stock price prediction; Taiwan stock exchanges; Technical analysis;
Electronic trading,,,,,"Ministry of Science and Technology, Taiwan, MOST, (MOST-
107-2221-E-324-018-MY2)","This paper is supported by the Ministry of Science and
Technology, Taiwan, under Grant MOST-107-2221-E-324-018-MY2..","Zhang J., Zheng Y.,
Qi D., Deep spatio-temporal residual networks for citywide crowd flows prediction,
Thirty-First AAAI Conference on Artificial Intelligence., (2017); Lipton Z.C., Et
al., Learning to Diagnose with LSTM Recurrent Neural Networks., (2015); Grover A.,
Kapoor A., Horvitz E., A deep hybrid model for weather forecasting, Proceedings of
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analysis, Telkomnika, 17, 4, pp. 1818-1827, (2019); Ghaderi A., Sanandaji B.M.,
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for load demand time series forecasting, Applied Soft Computing, 54, pp. 246-255,
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Kernel SVR (LMKSVR) in electrical load data using 4 different optimizations,
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N., Et al., Differential privacy preservation for deep auto-encoders: An
application of human behavior prediction, Thirtieth AAAI Conference on Artificial
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with neural networks at uber, International Conference on Machine Learning, 34,
(2017); Toharudin T., Et al., Copula-based feedforward neural network genetic
algorithm cargo forecasting, International Journal of Advances in Soft Computing &
Its Applications, (2019); Zhang J., Zheng Y., Qi D., Deep spatio-temporal residual
networks for citywide crowd flows prediction, Thirty-First AAAI Conference on
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market forecasting techniques-Part II: Soft computing methods, Expert Systems with
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Cognitive Science, 14, 2, pp. 179-211, (1990); Hochreiter S., Schmidhuber J., Long
Short-Term Memory, Neural Comput., (1997)",,,IEEE Computer Society,et al.; Kobe
Convention Bureau; NSK-FAM; SECOM Science and Technology Foundation; The University
Adelaide; University of Hyogo,"18th International Conference on Machine Learning
and Cybernetics, ICMLC 2019",7 July 2019 through 10 July
2019,Kobe,156687,2160133X,978-172812816-0,,,English,Proc. Int. Conf. Mach. Learn.
Cybern.,Conference paper,Final,,Scopus,2-s2.0-85078538502
Gao Z.; Gao Y.; Hu Y.; Jiang Z.; Su J.,"Gao, Ziming (57217047091); Gao, Yuan
(57217049636); Hu, Yi (57217042870); Jiang, Zhengyong (57217047896); Su, Jionglong
(57045140900)",57217047091; 57217049636; 57217042870; 57217047896;
57045140900,Application of Deep Q-Network in Portfolio Management,2020,"2020 5th
IEEE International Conference on Big Data Analytics, ICBDA
2020",,,9101333,268,275,7,34,10.1109/ICBDA49040.2020.9101333,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085920070&doi=10.1109%2fICBDA49040.2020.9101333&partnerID=40&md5=f9319b0b897833cc
39f51b4ba9275769,"Xi'an Jiaotong-Liverpool University, Department of Mathematics,
Suzhou, China","Gao Z., Xi'an Jiaotong-Liverpool University, Department of
Mathematics, Suzhou, China; Gao Y., Xi'an Jiaotong-Liverpool University, Department
of Mathematics, Suzhou, China; Hu Y., Xi'an Jiaotong-Liverpool University,
Department of Mathematics, Suzhou, China; Jiang Z., Xi'an Jiaotong-Liverpool
University, Department of Mathematics, Suzhou, China; Su J., Xi'an Jiaotong-
Liverpool University, Department of Mathematics, Suzhou, China","Machine Learning
algorithms and Neural Networks are widely applied to many different areas such as
stock market prediction, facial recognition and automatic machine translation. This
paper introduces a novel strategy based on the classic Deep Reinforcement Learning
algorithm, Deep QNetwork, for stock market portfolio management. It is a type of
deep neural network which is optimized by Q Learning. To adapt the Deep Q-Network
for stock market production, we first discretize the action space so that portfolio
management becomes a problem that Deep Q-Network can solve. Following this, we
combine the Convolutional Neural Network and dueling Q-Net to enhance the
recognition ability of the algorithm. We choose five low-relevant American stocks
to test our model. It is found that the Deep Q-Network based strategy outperforms
the ten other traditional strategies. The profit of Deep Q-Network algorithm is 30%
more than the profit of other strategies. Moreover, the Sharpe ratio and Max
Drawdown demonstrates that the risk of policy associated with Deep Q-Network is the
lowest. © 2020 IEEE.",convolutional neural network; portfolio management; Q
learning,Advanced Analytics; Big data; Commerce; Convolutional neural networks;
Deep neural networks; Electronic trading; Face recognition; Financial markets;
Investments; Learning algorithms; Profitability; Reinforcement learning; Automatic
machines; Facial recognition; Network algorithms; Network-based strategy; Novel
strategies; Portfolio managements; Recognition abilities; Stock market prediction;
Deep learning,,,,,,,"Jiang Z., Xu D., Liang J., A deep reinforcement learning
framework for the financial, Portfolio Management Problem, (2017); Hasselt H.V.,
Guez A., Silver D., Deep reinforcement learning with double q-learning, National
Conference on Artificial Intelligence, pp. 2094-2100, (2016); Mnih V., Kavukcuoglu
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Atari with Deep Reinforcement Learning, (2013); Schaul T., Quan J., Antonoglou I.,
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Representations, (2016); Wang Z., Schaul T., Hessel M., Hasselt H.V., Lanctot M.,
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citecollect, International Conference on Machine Learning, (2016); Neuneier R.,
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in Deep Reinforcement Learning, (2019); Huang D., Zhou J., Li B., Hoi S.C.H., Zhou
S., Robust median reversion strategy for on-line portfolio selection, Proceedings
of the Twenty-Third International Joint Conference on Artificial Intelligence, pp.
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on-line portfolio selection, Artificial Intelligence, 222, pp. 104-123, (2015); Li
B., Hoi S.C.H., Zhao P., Gopalkrishnan V., Confidence weighted mean reversion
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Technical analysis, Pennsylvania Dental Journal, 77, 2, (2010)",,,Institute of
Electrical and Electronics Engineers Inc.,,"5th IEEE International Conference on
Big Data Analytics, ICBDA 2020",8 May 2020 through 11 May 2020,Xiamen,160233,,978-
172814111-4,,,English,"IEEE Int. Conf. Big Data Anal., ICBDA",Conference
paper,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85085920070
Gálvez R.H.; Gravano A.,"Gálvez, Ramiro H. (57191859443); Gravano, Agustín
(13609187900)",57191859443; 13609187900,Assessing the usefulness of online message
board mining in automatic stock prediction systems,2017,Journal of Computational
Science,19,,,43,56,13,31,10.1016/j.jocs.2017.01.001,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85009230993&doi=10.1016%2fj.jocs.2017.01.001&partnerID=40&md5=05b9df849ca23c680f0da
00670198e1d,"Departamento de Computación, Facultad de Ciencias Exactas y Naturales,
Universidad de Buenos Aires, Argentina; Consejo Nacional de Investigaciones
Científicas y Técnicas (CONICET), Argentina","Gálvez R.H., Departamento de
Computación, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires,
Argentina; Gravano A., Departamento de Computación, Facultad de Ciencias Exactas y
Naturales, Universidad de Buenos Aires, Argentina, Consejo Nacional de
Investigaciones Científicas y Técnicas (CONICET), Argentina","We provide evidence
of the usefulness of exploiting online text data in stock prediction systems. We do
this by mining a popular Argentinian stock message board and empirically answering
two questions. First, is there information in the online stock message board useful
for predicting stock returns? Second, if useful information is found, is it novel
or it is simply a different way of expressing information already available in the
past behavior of stock prices? To address these questions, we build and validate a
series of predictive models using state-of-the-art machine learning and topic
discovery techniques. Running experiments in which the models are trained with
different combinations of features extracted from the past behavior of stock
prices, or mined from the online message boards. Evidence suggests that it is
possible to extract predictive information from stock message boards. Furthermore,
we find that adding this information improves the performance of classification
systems trained solely on technical indicators. Our results suggest that
information from online text data is complementary to the one available in the past
evolution of stock prices. Additionally, we find that highly predictive features
derived from the message board data seem to have an important and relevant semantic
content. © 2017 Elsevier B.V.",Latent semantic analysis; Random forest; Ridge
regression; Stock market; Text mining,Classification (of information); Costs; Data
mining; Decision trees; Electronic trading; Financial markets; Forecasting;
Investments; Learning systems; Regression analysis; Semantics; Classification
system; Latent Semantic Analysis; Predictive information; Predictive models; Random
forests; Ridge regression; Technical indicator; Text mining; Online
systems,,,,,,,"Ginsberg J., Mohebbi M.H., Patel R.S., Brammer L., Smolinski M.S.,
Brilliant L., Detecting influenza epidemics using search engine query data, Nature,
457, 7232, pp. 1012-1014, (2009); Eichstaedt J.C., Schwartz H.A., Kern M.L., Park
G., Labarthe D.R., Merchant R.M., Jha S., Agrawal M., Dziurzynski L.A., Sap M.,
Weeg C., Larson E.E., Ungar L.H., Seligman M.E.P., Psychological language on
twitter predicts county-level heart disease mortality, Psychol. Sci., 26, 2, pp.
159-169, (2015); Yunusoglu M.G., Selim H., A fuzzy rule based expert system for
stock evaluation and portfolio construction: an application to Istanbul stock
exchange, 2nd International Fuzzy Systems Symposium, Expert Syst. Appl., 40, 3, pp.
908-920, (2013); Patel J., Shah S., Thakkar P., Kotecha K., Predicting stock and
stock price index movement using trend deterministic data preparation and machine
learning techniques, Expert Syst. Appl., 42, 1, pp. 259-268, (2015); Guresen E.,
Kayakutlu G., Daim T.U., Using artificial neural network models in stock market
index prediction, Expert Syst. Appl., 38, 8, pp. 10389-10397, (2011); Boyacioglu
M.A., Avci D., An adaptive network-based fuzzy inference system (ANFIS) for the
prediction of stock market return: the case of the Istanbul stock exchange, Expert
Syst. Appl., 37, 12, pp. 7908-7912, (2010); Yao J., Tan C.L., Poh H.-L., Neural
networks for technical analysis: a study on KLCI, Int. J. Theor. Appl. Finance, 2,
2, pp. 221-241, (1999); Kara Y., Boyacioglu M.A., Baykan O.K., Predicting direction
of stock price index movement using artificial neural networks and support vector
machines: the sample of the istanbul stock exchange, Expert Syst. Appl., 38, 5, pp.
5311-5319, (2011); Nardo M., Petracco-Giudici M., Naltsidis M., Walking down wall
street with a tablet: a survey of stock market predictions using the web, J. Econ.
Surv., 30, 2, pp. 356-369, (2016); Bollen J., Mao H., Zeng X., Twitter mood
predicts the stock market, J. Comput. Sci., 2, 1, pp. 1-8, (2011); Lee H., Surdeanu
M., MacCartney B., Jurafsky D., On the importance of text analysis for stock price
prediction, Proceedings of LREC 2014, pp. 1170-1175, (2014); Shynkevich Y.,
McGinnity T., Coleman S.A., Belatreche A., Forecasting movements of health-care
stock prices based on different categories of news articles using multiple kernel
learning, Decis. Support Syst., 85, pp. 74-83, (2016); Schumaker R.P., Chen H.,
Textual analysis of stock market prediction using breaking financial news: the
AZFin text system, ACM Trans. Inf. Syst., 27, 2, (2009); Preis T., Moat H.S.,
Stanley H.E., Quantifying trading behavior in financial markets using google
trends, Sci. Rep., 3, (2013); Moat H.S., Curme C., Avakian A., Kenett D.Y., Stanley
H.E., Preis T., Quantifying wikipedia usage patterns before stock market moves,
Sci. Rep., 3, (2013); Hagenau M., Liebmann M., Neumann D., Automated news reading:
stock price prediction based on financial news using context-capturing features,
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prediction: a systematic review, Expert Syst. Appl., 41, 16, pp. 7653-7670, (2014);
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(2008); Deerwester S., Dumais S.T., Furnas G.W., Landauer T.K., Harshman R.,
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Python, (2009); Dumais S.T., Latent Semantic Analysis, Annu. Rev. Inf. Sci.
Technol., 38, 1, pp. 188-230, (2004); Torgo L., Data Mining with R, Learning with
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Statistical Learning, Springer Series in Statistics, (2001); Alpaydin E.,
Introduction to Machine Learning, (2009); Clements M.P., Hendry D.F., Forecasting
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pp. 1541-1550, (2013); Armano G., Marchesi M., Murru A., A hybrid genetic-neural
architecture for stock indexes forecasting, Inf. Sci., 170, 1, pp. 3-33,
(2005)","R.H. Gálvez; Departamento de Computación, Facultad de Ciencias Exactas y
Naturales, Universidad de Buenos Aires, Argentina; email:
[email protected]",,Elsevier B.V.,,,,,,18777503,,,,English,J. Comput.
Sci.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85009230993
Wu J.; Wang C.; Xiong L.; Sun H.,"Wu, Jia (55356595000); Wang, Chen (59091634600);
Xiong, Lidong (57208230266); Sun, Hongyong (57211273291)",55356595000; 59091634600;
57208230266; 57211273291,Quantitative Trading on Stock Market Based on Deep
Reinforcement Learning,2019,Proceedings of the International Joint Conference on
Neural Networks,2019-July,,8851831,,,,26,10.1109/IJCNN.2019.8851831,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85073249061&doi=10.1109%2fIJCNN.2019.8851831&partnerID=40&md5=baedfe935853bd874998f
de8ba5b535b,"School of Information and Software Engineering, University of
Electronic Science and Technology of China, ChengDu, China","Wu J., School of
Information and Software Engineering, University of Electronic Science and
Technology of China, ChengDu, China; Wang C., School of Information and Software
Engineering, University of Electronic Science and Technology of China, ChengDu,
China; Xiong L., School of Information and Software Engineering, University of
Electronic Science and Technology of China, ChengDu, China; Sun H., School of
Information and Software Engineering, University of Electronic Science and
Technology of China, ChengDu, China","With the development of computer science
technology and artificial intelligence, quantitative trading attracts more
investors due to its efficiency and stable performance. In this paper, we explore
the potential of deep reinforcement learning in quantitative trading. A LSTM-based
agent is proposed to learn the temporal pattern in data and automatically trades
according to the current market condition and the historical data. The input to the
agent is the raw financial data and the output of the agent is decision of trading.
The goal of the agent is to maximize the ultimate profit. Besides, to reduce the
influence of noise in the market and to improve the performance of the agent, we
use several technical indicators as an extra input. The proposed system has been
back-tested on the stock market. The results demonstrate that our method performs
well in most conditions. © 2019 IEEE.",Deep learning; Deep reinforcement learning;
Quantitative trading; Reinforcement learning,Commerce; Electronic trading;
Financial markets; Investments; Long short-term memory; Machine learning;
Reinforcement learning; Historical data; Its efficiencies; Market condition;
Quantitative trading; Science technologies; Stable performance; Technical
indicator; Temporal pattern; Deep learning,,,,,"National Natural Science Foundation
of China, NSFC, (61503059); National Natural Science Foundation of China,
NSFC",This work was supported by The National Natural Science Foundation of China
(grant 61503059).,"Heaton J.B., Polson N.G., Hendrik Witte J., Deep learning for
finance: Deep portfolios, Applied Stochastic Models in Business and Industry, ISSN
1526-4025, (2016); Niaki S., Hoseinzade S., Forecasting s&p 500 index using
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Engineering International, ISSN 2251-712X, (2013); Freitas F.D., Souza De A.F.,
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Tu J., Zhou G., Forecasting the equity risk premium: The role of technical
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reinforcement learning, Chinese Journal of Computers, 40, 1, (2018); Vincent P.,
Larochelle H., Lajoie I., Et al., Stacked denoising autoencoders: Learning useful
representations in a deep network with a local denoising criterion, Journal of
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Taylor G.W., The recurrent temporal restricted boltzmann machine, Proceedings of
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for scalable unsupervised learning of hierarchical representations. Proceedings of
the 26th international conference on machine learning. Montreal, Canada, pp. 609-
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based language model, Proceedings of the Conference of International Speech
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J., Long short-term memory, Neural Computation, 9, 8, pp. 1735-1780, (1997); Sutton
R.S., Barto A.G., Reinforcement Learning: An Introduction; Szepesvari C.,
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(2014)",,,Institute of Electrical and Electronics Engineers Inc.,,"2019
International Joint Conference on Neural Networks, IJCNN 2019",14 July 2019 through
19 July 2019,Budapest,152291,,978-172811985-4,85OFA,,English,Proc Int Jt Conf
Neural Networks,Conference paper,Final,,Scopus,2-s2.0-85073249061
Ma C.; Zhang J.; Liu J.; Ji L.; Gao F.,"Ma, Cong (57214931120); Zhang, Jiangshe
(9737712100); Liu, Junmin (42761838200); Ji, Lizhen (57220180176); Gao, Fei
(57205694731)",57214931120; 9737712100; 42761838200; 57220180176; 57205694731,A
parallel multi-module deep reinforcement learning algorithm for stock
trading,2021,Neurocomputing,449,,,290,302,12,28,10.1016/j.neucom.2021.04.005,https:
//www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105318245&doi=10.1016%2fj.neucom.2021.04.005&partnerID=40&md5=e28e7c83d4cd2e7c65e
ab14beb614938,"School of Mathematics and Statistics, Xi'an Jiaotong University, No.
28, Xianning West Road, Xi'an, Shannxi, China","Ma C., School of Mathematics and
Statistics, Xi'an Jiaotong University, No. 28, Xianning West Road, Xi'an, Shannxi,
China; Zhang J., School of Mathematics and Statistics, Xi'an Jiaotong University,
No. 28, Xianning West Road, Xi'an, Shannxi, China; Liu J., School of Mathematics
and Statistics, Xi'an Jiaotong University, No. 28, Xianning West Road, Xi'an,
Shannxi, China; Ji L., School of Mathematics and Statistics, Xi'an Jiaotong
University, No. 28, Xianning West Road, Xi'an, Shannxi, China; Gao F., School of
Mathematics and Statistics, Xi'an Jiaotong University, No. 28, Xianning West Road,
Xi'an, Shannxi, China","In recent years, deep reinforcement learning (DRL)
algorithm has been widely used in algorithmic trading. Many fully automated trading
systems or strategies have been built using DRL agents, which integrate price
prediction and trading signal generation in one system. However, the previous
agents extract the current state from the market data without considering the long-
term market historical trend when making decisions. Besides, plenty of related and
useful information has not been considered. To address these two problems, we
propose a novel model named Parallel Multi-Module Deep Reinforcement Learning
(PMMRL) algorithm. Here, two parallel modules are used to extract and encode the
feature: one module employing Fully Connected (FC) layers is used to learn the
current state from the market data of the traded stock and the fundamental data of
the issuing company; another module using Long Short-Term Memory (LSTM) layers aims
to detect the long-term historical trend of the market. The proposed model can
extract features from the whole environment by the above two modules
simultaneously, taking the advantages of both LSTM and FC layers. Extensive
experiments on China stock market illustrate that the proposed PMMRL algorithm
achieves a higher profit and a lower drawdown than several state-of-the-art
algorithms. © 2021 Elsevier B.V.",Capital asset pricing model; Long short-term
memory; Parallel multi-module; Reinforcement learning,Brain; Commerce; Data mining;
Electronic trading; Financial markets; Learning algorithms; Reinforcement learning;
'current; Capital asset pricing model; Historical trends; Market data; Multi
modules; Parallel multi-module; Reinforcement learning algorithms; Reinforcement
learnings; Short term memory; Stock trading; article; China; profit; reinforcement
learning (machine learning); short term memory; stock market; Long short-term
memory,,,,,"National Natural Science Award of China; National Natural Science
Foundation of China, NSFC, (61877049, 61976174); Ministry of Education of the
People's Republic of China, MOE; China Scholarship Council, CSC, (201906280201);
National Key Research and Development Program of China, NKRDPC,
(2020AAA0105601)","Funding text 1: This work is supported by the National Key
Research and Development Program of China (No. 2020AAA0105601), in part by the
National Natural Science Foundation of China (Nos. 61976174, 61877049), and part by
the program of China Scholarships Council (No. 201906280201). ; Funding text 2:
Jiangshe Zhang received the B.S., M.S., and Ph.D. degrees in Computational
Mathematics from Xi’an Jiaotong University, Xi’an, China, in 1984, 1987, and 1993,
respectively. He is currently the Director of the Institute of Machine Learning and
Statistical Decision Making, Xi’an Jiaotong University, where he is also a
Professor with the Department of Statistics. He is also the Vice-President of the
Xi’an International Academy for Mathematics and Mathematical Technology, Xi’an. He
has authored and co-authored one monograph and over 100 journal papers. His current
research interests include statistical computing, deep learning, cognitive
representation, and statistical decision making. Dr. Zhang received the National
Natural Science Award of China (Third Place) in 2007 and the First Prize in Natural
Science from the Ministry of Education of China in 2007. He served as the President
of the Shaanxi Mathematical Society and the Executive Director of the China
Mathematical Society. ","Gerlein E.A., McGinnity M., Belatreche A., Coleman S.,
Evaluating machine learning classification for financial trading: an empirical
approach, Expert Syst. Appl., 54, pp. 193-207, (2016); Paiva F.D., Cardoso R.T.N.,
Hanaoka G.P., Duarte W.M., Decision-making for financial trading: a fusion approach
of machine learning and portfolio selection, Expert Syst. Appl., 115, pp. 635-655,
(2019); De Spiegeleer J., Madan D.B., Reyners S., Schoutens W., Machine learning
for quantitative finance: fast derivative pricing, hedging and fitting,
Quantitative Finance, 18, 10, pp. 1635-1643, (2018); Booth A., Gerding E.,
Mcgroarty F., Automated trading with performance weighted random forests and
seasonality, Expert Syst. Appl., 41, 8, pp. 3651-3661, (2014); Nti K.O., Adekoya
A., Weyori B., Random forest based feature selection of macroeconomic variables for
stock market prediction, Am. J. Appl. Sci., 16, 7, pp. 200-212, (2019); Huang W.,
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vector machine, Comput. Oper. Res., 32, 10, pp. 2513-2522, (2005); Chen Y., Hao Y.,
Integrating principle component analysis and weighted support vector machine for
stock trading signals prediction, Neurocomputing, 321, pp. 381-402, (2018); Wang
Q., Xu W., Huang X., Yang K., Enhancing intraday stock price manipulation detection
by leveraging recurrent neural networks with ensemble learning, Neurocomputing,
347, pp. 46-58, (2019); Chen C., Zhang P., Liu Y., Liu J., Financial quantitative
investment using convolutional neural network and deep learning technology,
Neurocomputing, 390, pp. 384-390, (2020); Silver D., Huang A., Maddison C.J., Guez
A., Sifre L., Van Den Driessche G., Schrittwieser J., Antonoglou I., Panneershelvam
V., Lanctot M., Et al., Mastering the game of go with deep neural networks and tree
search, Nature, 529, 7587, pp. 484-489, (2016); Mnih V., Kavukcuoglu K., Silver D.,
Rusu A.A., Veness J., Bellemare M.G., Graves A., Riedmiller M., Fidjeland A.K.,
Ostrovski G., Et al., Human-level control through deep reinforcement learning,
Nature, 518, 7540, pp. 529-533, (2015); Li Z., Xue S., Lin W., Tong M., Training a
robust reinforcement learning controller for the uncertain system based on policy
gradient method, Neurocomputing, 316, pp. 313-321, (2018); Jiang Z., Liang J.,
Cryptocurrency portfolio management with deep reinforcement learning, pp. 905-913,
(2017); Li C., Wei X., Zhao Y., Geng X., An effective maximum entropy exploration
approach for deceptive game in reinforcement learning, Neurocomputing, 403, pp. 98-
108, (2020); Ma C., Li Z., Lin D., Zhang J., Parallel multi-environment shaping
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Stock Market Timing for Maximum Profit, (1976)","J. Zhang; School of Mathematics
and Statistics, Xi'an Jiaotong University, Xi'an, No. 28, Xianning West Road,
China; email: [email protected]",,Elsevier
B.V.,,,,,,9252312,,NRCGE,,English,Neurocomputing,Article,Final,,Scopus,2-s2.0-
85105318245
Lv P.; Shu Y.; Xu J.; Wu Q.,"Lv, Pin (57203396944); Shu, Yating (57419563900); Xu,
Jia (57193312289); Wu, Qinjuan (57420258700)",57203396944; 57419563900;
57193312289; 57420258700,Modal decomposition-based hybrid model for stock index
prediction,2022,Expert Systems with
Applications,202,,117252,,,,29,10.1016/j.eswa.2022.117252,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85129002862&doi=10.1016%2fj.eswa.2022.117252&partnerID=40&md5=ab98805e742db9e751039
f0e98436815,"School of Computer, Electronics and Information, Guangxi University,
Nanning, China","Lv P., School of Computer, Electronics and Information, Guangxi
University, Nanning, China; Shu Y., School of Computer, Electronics and
Information, Guangxi University, Nanning, China; Xu J., School of Computer,
Electronics and Information, Guangxi University, Nanning, China; Wu Q., School of
Computer, Electronics and Information, Guangxi University, Nanning, China","Stock
index prediction is considered one of the most challenging issues in the financial
sector owing to its noise, volatility, and instability. Traditional stock index
prediction methods, such as statistical and machine learning methods, cannot
achieve a high denoising effect, and also cannot mine enough data features from the
stock data, resulting in a poor prediction performance. Deep learning has become an
effective tool to predict non-stationary and nonlinear stock indices with strong
learning ability. However, there is still room for prediction accuracy improvement
if a single deep learning prediction model is replaced with a hybrid model.
Therefore, this study proposes a novel deep learning hybrid model for stock index
prediction named CEEMDAN-DAE-LSTM. In this hybrid model, the stock index is first
decomposed using complete ensemble empirical mode decomposition with adaptive noise
(CEEMDAN) into a series of intrinsic mode functions (IMFs) arranged from high to
low frequency. Next, the deep autoencoder (DAE) is applied to remove redundant data
and extract deep-level features. Then, high-level abstract features are separately
fed into long short-term memory (LSTM) networks to predict the stock returns of the
next trading day. Finally, the final predicted value is obtained by synthesizing
the value of each component. Empirical research results on six stock indices
representing both developed and emerging markets showed that our model is superior
to other reference models in terms of prediction accuracy and stock index trends;
furthermore, it has higher prediction performance for stock indices with greater
volatility. In general, this model could be applicable to various stock markets
with different degrees of development. © 2022 Elsevier Ltd",Adaptive noise complete
ensemble empirical mode decomposition; Deep autoencoder; Deep learning hybrid
prediction model; Long short-term memory; Stock index prediction,Brain; Commerce;
Electronic trading; Financial markets; Forecasting; Investments; Signal processing;
Adaptive noise; Adaptive noise complete ensemble empirical mode decomposition; Auto
encoders; Deep autoencoder; Deep learning hybrid prediction model; Empirical Mode
Decomposition; Hybrid model; Hybrid prediction models; Stock index predictions;
Stock indices; Long short-term memory,,,,,"National Natural Science Foundation of
China, NSFC, (62067001); Natural Science Foundation of Guangxi Province,
(2019JJA170045); Bagui Scholars Program of Guangxi Zhuang Autonomous Region","The
authors are grateful for support from National Natural Science Foundation of China
[grant number 62067001], Guangxi Natural Science Foundation [grant number
2019JJA170045], and Special Funds for Guangxi BaGui Scholars [Jia Xu]. ","Awajan
A.M., Is M.T., A hybrid approach emd-hw for short-term forecasting of daily stock
market time series data, AIP Conference Proceedings. AIP Publishing LLC, 1870, 1,
(2017); Banan A., Nasiri A., Taheri-Garavand A., Deep learning-based appearance
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series analysis, (2015); (2016); Chen K., Zhou Y., Dai F., A LSTM-based method for
stock returns prediction: A case study of China stock market, IEEE International
Conference on Big Data (Big Data), 2015, pp. 2823-2824, (2015); Dutta A.,
Bandopadhyay G., Sengupta S., Prediction of stock performance in the Indian stock
market using logistic regression, International Journal of Business and
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Financial Analysts Journal, 51, 1, pp. 75-80, (1995); Fan Y., Xu K., Wu H., Zheng
Y., Tao B., Spatiotemporal modeling for nonlinear distributed thermal processes
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9, 8, pp. 1735-1780, (1997); Huang N.E., Shen Z., Long S.R., Wu M.C., Shih H.H.,
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Forecasting the volatility of stock price index: A hybrid model integrating LSTM
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stock index price using the CEEMDAN-LSTM model, The North American Journal of
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techniques: Application in wind and solar energy resources, IEEE Access, 7, pp.
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regression, artificial neural networks and support vector machines for predicting
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segmentation approach to financial time series, Engineering Applications of
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Meta search engine, Journal of Central South University, 23, 10, pp. 2604-2615,
(2016); Wang W.C., Xu L., Chau K.W., Xu D.M., Yin-Yang firefly algorithm based on
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Advances in adaptive data analysis, 1, 1, pp. 1-41, (2009); Yan B., Aasma M., A
novel deep learning framework: Prediction and analysis of financial time series
using CEEMD and LSTM, Expert systems with applications, 159, (2020); Yeh J.R.,
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2, pp. 135-156, (2010); Zheng L., He H., Share price prediction of aerospace
relevant companies with recurrent neural networks based on PCA, Expert Systems with
Applications, 183, (2021)","J. Xu; School of Computer, Electronics and Information,
Guangxi University, Nanning, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85129002862
Safari A.; Ghavifekr A.A.,"Safari, Ashkan (57222318518); Ghavifekr, Amir Aminzadeh
(55913108200)",57222318518; 55913108200,International Stock Index Prediction Using
Artificial Neural Network (ANN) and Python Programming,2021,"2021 7th International
Conference on Control, Instrumentation and Automation, ICCIA
2021",,,9403580,,,,25,10.1109/ICCIA52082.2021.9403580,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105005224&doi=10.1109%2fICCIA52082.2021.9403580&partnerID=40&md5=36ffc7f6c198aa74
31b1ee6182d63988,"University of Tabriz, Faculty of Electrical and Computer
Engineering, Tabriz, Iran","Safari A., University of Tabriz, Faculty of Electrical
and Computer Engineering, Tabriz, Iran; Ghavifekr A.A., University of Tabriz,
Faculty of Electrical and Computer Engineering, Tabriz, Iran","The stock market is
one of the best channels for financial development that requires a high accuracy
prediction of the trades. This subject needs some technical skills and experience
to achieve the best result. This paper represents a tuned Python console program
based on the Neural Network (NN), and the Artificial Intelligence (AI) to predict
future price in a qualified and quantized way with high accuracy and close to real.
New ideas implemented in this paper are combining AI and NN model in the Python
console system with a security shell that works with voice and PIN to authenticate
the user. It has Cross-Platform capability and supports cryptocurrencies price and
their predictions. This program enables the user to have a duplication of the final
data in his/her given email. The proposed approach presents the influence of AI and
Machine learning in nearly future predictions. This system can be used in the all
kinds of subjects that include past time databases. © 2021 IEEE.",Artificial
Intelligence; Artificial Neural Network (ANN); International Stock Prediction;
LSTM; Python Programming,Authentication; Commerce; Computer software; Electronic
trading; Finance; Forecasting; High level languages; Console program; Cross-
platform; Financial development; Future predictions; International stocks; Neural
network (nn); Python programming; Technical skills; Neural networks,,,,,,,"Wei D.,
Prediction of stock price based on LSTM neural network, 2019 International
Conference on Artificial Intelligence and Advanced Manufacturing (AIAM), pp. 544-
547, (2019); Abdechiri M., Faez K., Bahrami H., Neural network learning based on
chaotic imperialist competitive algorithm, 2010 2nd International Workshop on
Intelligent Systems and Applications, pp. 1-5, (2010); Mankar T., Hotchandani T.,
Madhwani M., Chidrawar A., Lifna C., Stock market prediction based on social
sentiments using machine learning, 2018 International Conference on Smart City and
Emerging Technology (ICSCET), pp. 1-3, (2018); Sayavong L., Wu Z., Chalita S.,
Research on stock price prediction method based on convolutional neural network,
2019 International Conference on Virtual Reality and Intelligent Systems (ICVRIS),
pp. 173-176, (2019); Billah M., Waheed S., Hanifa A., Stock market prediction using
an improved training algorithm of neural network, 2016 2nd International Conference
on Electrical, Computer & Telecommunication Engineering (ICECTE), pp. 1-4, (2016);
Abbasimehr H., Shabani M., Yousefi M., An optimized model using LSTM network for
demand forecasting, Computers & Industrial Engineering; Motlagh M.T., Khaloozadeh
H., A new architecture for modeling and prediction of dynamic systems using neural
networks: Application in Tehran stock exchange, 2016 4th International Conference
on Control, Instrumentation, and Automation (ICCIA), pp. 196-201, (2016); Moghar
A., Hamiche M., Stock market prediction using LSTM recurrent neural network,
Procedia Computer Science, 170, pp. 1168-1173, (2020); Vijh M., Chandola D.,
Tikkiwal V.A., Kumar A., Stock Closing Price Prediction using Machine Learning
Techniques, Procedia Computer Science, 167, pp. 599-606, (2020)",,,Institute of
Electrical and Electronics Engineers Inc.,,"7th International Conference on
Control, Instrumentation and Automation, ICCIA 2021",23 February 2021 through 24
February 2021,Tabriz,168474,,978-073812405-6,,,English,"Int. Conf. Control,
Instrum. Autom., ICCIA",Conference paper,Final,,Scopus,2-s2.0-85105005224
Saitulasi K.; Deepa N.,"Saitulasi, K. (57226560750); Deepa, N.
(57209685004)",57226560750; 57209685004,Deep belief network and sentimental
analysis for extracting on multi-variable features to predict stock market
performance and accuracy,2021,"2021 International Conference on Computer
Communication and Informatics, ICCCI
2021",2021-January,,9456999,,,,25,10.1109/ICCCI50826.2021.9456999,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85111991774&doi=10.1109%2fICCCI50826.2021.9456999&partnerID=40&md5=02c16c37d9e1c609
135141b5deaadcc3,"Saveetha School of Engineering, Saveetha Institute of Medical and
Technical Sciences, Chennai, India","Saitulasi K., Saveetha School of Engineering,
Saveetha Institute of Medical and Technical Sciences, Chennai, India; Deepa N.,
Saveetha School of Engineering, Saveetha Institute of Medical and Technical
Sciences, Chennai, India","Deep Learning shows a drastic growth in many fields such
as medical, voice recognitions, Siri Alexa and computer vision, so on. Even though
machine learning and deep learning are developing point in data science the back
bone for all these platforms are Big data Analytics. A massive data and
information’s from all the website, social media and other networks produced so
called Big data are focused in day to day life. When these information are
collected from the various chat history such as Whatsapp, Facebook, Twitter and
other for generating numerous development such as privacy policy, investing, stock
markets, business, study process and many more. Professional involvement deals the
deep learning concept to focus on the stock market procedure in particular to
develop the Business enterprise, individual profits, product strategies and other
decision making process also. However the main gap to be filled in this prediction
was to look around the internet sources as well as real time population for stock
market varies its accuracy due to the lack of hidden layer interaction. Here we
propose a deep learning accuracy prediction named as sentimental analysis to
perform an accuracy in a best way by applying Bi-directional long-short term memory
(Bi-LSTM) and Deep belief network to overcome the issues and less accuracy given by
doc2vec, long-short term memory (LSTM) and provides a good model for our
sentimental Bi-LSTM model to find the best stock market analysis. © 2021 IEEE",-
Deep Learning; Bi-LSTM; Deep Belief Network; LSTM; Sentimental analysis; Social
Media; Stock Market,Advanced Analytics; Big data; Brain; Commerce; Data Analytics;
Decision making; Financial markets; Forecasting; Learning systems; Long short-term
memory; Social networking (online); Business enterprise; Decision making process;
Deep belief networks; Learning accuracy; Product strategy; Professional
involvement; Stock market analysis; Stock market performance; Deep
learning,,,,,,,"Ellison N.B., Et al., Social network sites: Definition, history,
and scholarship, J Comput Mediat Commun, 13, 1, pp. 210-230, (2007); Freedman D.A.,
Statistical Models: Theory and Practice, (2009); Socher R., Huang E.H., Pennin J.,
Manning C.D., Ng A.Y., Dynamic pooling and unfolding recursive autoencoders for
paraphrase detection, Adv Neural Inf Process Syst, 24, pp. 801-809, (2011); Graves
A., Mohamed A.R., Hinton G., Speech recognition with deep recurrent neural
networks, 2013 IEEE International Conference on Acoustics, Speech and Signal
Processing (ICASSP), (2013); Itamar A., Rose D.C., Karnowski T.P., Deep machine
learning—a new frontier in artificial intelligence research [research frontier],
IEEE Comput Intell Mag, 5, 4, pp. 13-18, (2010); Najafabadi N.M., Villanustre F.,
Khoshgoftaar T.M., Seliya N., Wald R., Muharemagic E., Deep learning applications
and challenges in big data analytics, J Big Data, 2, (2015); Gao J., Deng L., Gamon
M., He X., Pantel P., Modeling Interestingness with Deep Neural Networks, (2014);
Duyu T., Furu W., Nan Y., Ming Z., Ting L., Bing Q., Learning sentiment-specific
word embedding for twitter sentiment classification, ACL, 1, pp. 1555-1565, (2014);
Geoffrey E., Osindero S., Teh Y.W., A fast learning algorithm for deep belief nets,
Neural Comput, 18, 7, pp. 1527-1554, (2006); Bengio Y., Lamblin P., Popovici D.,
Larochelle H., Greedy layer-wise training of deep networks, Adv Neural Inf Process
Syst, 19, pp. 153-160, (2007)",,,Institute of Electrical and Electronics Engineers
Inc.,,"2021 International Conference on Computer Communication and Informatics,
ICCCI 2021",27 January 2021 through 29 January 2021,Coimbatore,168476,,978-
172815875-4,,,English,"Int. Conf. Comput. Commun. Informatics, ICCCI",Conference
paper,Final,,Scopus,2-s2.0-85111991774
Boonpeng S.; Jeatrakul P.,"Boonpeng, Sabaithip (56669822700); Jeatrakul, Piyasak
(35229992900)",56669822700; 35229992900,Decision support system for investing in
stock market by using OAA-Neural Network,2016,"Proceedings of the 8th International
Conference on Advanced Computational Intelligence, ICACI
2016",,,7449794,1,6,5,32,10.1109/ICACI.2016.7449794,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84966668196&doi=10.1109%2fICACI.2016.7449794&partnerID=40&md5=5b3eeb9a8b18b7ede738b
c0f6d2cf28e,"School of Information Technology, Mae Fah Luang University, Muang,
Chiang Rai, Thailand","Boonpeng S., School of Information Technology, Mae Fah Luang
University, Muang, Chiang Rai, Thailand; Jeatrakul P., School of Information
Technology, Mae Fah Luang University, Muang, Chiang Rai, Thailand","In stock
market, successful investors can earn maximum profits depended on a stock selection
and a suitable time on trading. Generally, investors use two statistical techniques
for making a decision, which are the fundamental analysis and the technical
analysis. Recently, machine learning models which are a part of artificial
intelligence, has been applied to enhance investors for investment. A number of
machine learning models have been investigated for stock prediction such as Genetic
Algorithms (GAs), Support Vector Machines (SVMs) and Neural Network (NN). In this
paper, several multiclass classification techniques using neural networks are
investigated. The multi-binary classification experiments using One-Against-One
(OAO) and One-Against-All (OAA) techniques are tested and they are compared with
the traditional neural network. Furthermore, an alternative data preparation and a
data selection process are proposed. The experimental results show that the multi-
binary classification using OAA technique outperforms other techniques. It can
provide the return on investment greater than the traditional analysis techniques.
© 2016 IEEE.",data mining; financial prediction model; multiclass classification;
neural network,Artificial intelligence; Classification (of information); Commerce;
Data mining; Decision support systems; Electronic trading; Finance; Financial
markets; Genetic algorithms; Learning systems; Neural networks; Profitability;
Support vector machines; Binary classification; Financial prediction; Fundamental
analysis; Genetic algorithm (GAs); Machine learning models; Multi-class
classification; Statistical techniques; Support vector machine (SVMs);
Investments,,,,,,,"Agrawal J.G., Chourasia D.V.S., Mittra D.A.K., State-of - The-
art in stock prediction techniques, International Journal of Advanced Research in
Electrical, Electronics and Instrumentation Engineering, 2, pp. 1360-1366, (2013);
Wind D.K., Concepts in Predictive Machine Learning, pp. 1-129, (2014); Siew H.L.,
Nordin M.J., Regression technique for the prediction of stock price trend,
Statistics in Science, Business, and Engineering (ICSSBE), pp. 1-5, (2012); Bonde
G., Khaled R., Stock Price Prediction Using Genetic Algorithms and Evolution
Strategies; Xu Y., Li Z., Luo L., A study on feature selection for the trend
prediction of stock trading price, Computational and Information Sciences (ICCIS),
pp. 579-582, (2013); Mingtao W., Yong Y., The research on stock price forecast
model based on data mining of BP neural network, Intelligent System Design and
Engineering Application (ISDEA) 2013 Third International Conference Hong Kong, pp.
1526-1529, (2012); Khan A.U., Gour B., Stock market trends prediction using neural
network based hybrid model, Computer Science Engineering and Information Technology
Research (IJCSEITR), 3, pp. 11-18, (2013); Banik S., Khan A.F.M.K., Anwer M., Dhaka
stock market timing decisions by hybrid machine learning technique, ICCIT, 15th
International Conference Chittagong Independent University, pp. 384-389, (2012);
Klassen M., Investigation of some technical indexes in stock forecasting using
neural networks, Computer Science California Lutheran Oaks, (2005); Khan S.S.,
Madden M.G., A survey of recent trends in one class classification, Engineering and
Informatics Ireland; Jeatrakul P., Enhancing Classification Performance over Noise
and Imbalanced Data Problems, (2012); Ou G., Murphey Y.L., Feldkamp L., Multiclass
pattern classification using neural networks, Proceedings of the 17th International
Conference on Pattern Recognition (ICPR'04); Boonpeng S., Jeatrakul P., Enhance the
performance of neural networks for stock market prediction: An analytical study,
Digital Information Management (ICDIM) 2014 Ninth International Conference on, pp.
1-6, (2014); Person J.L., Swing Trading Using Candlestick Charting with Pivot Point
Analysis, (2002); Data Preprocessing, (2001); Wilder J.W., New Concepts in
Technical Trading Systems, (1980); Teixeira L.A., Oliveira A.L.I.D., Predicting
stock trends through technical analysis and nearest neighbor classification,
Proceedings of the 2009 IEEE International Conference on Systems, pp. 3094-3099,
(2009); Appel G., Appel M., A Quick Tutorial in MACD: Basic Concepts,
6",,,Institute of Electrical and Electronics Engineers Inc.,,"8th International
Conference on Advanced Computational Intelligence, ICACI 2016",14 February 2016
through 16 February 2016,Chiang Mai,121180,,978-146737782-9,,,English,"Proc. Int.
Conf. Adv. Comput. Intell., ICACI",Conference paper,Final,,Scopus,2-s2.0-
84966668196
Kumar A.; Alsadoon A.; Prasad P.W.C.; Abdullah S.; Rashid T.A.; Pham D.T.H.; Nguyen
T.Q.V.,"Kumar, Ashish (57216227837); Alsadoon, Abeer (56575128400); Prasad, P.W.C.
(57215215975); Abdullah, Salma (57211141626); Rashid, Tarik A. (57023479100); Pham,
Duong Thu Hang (57219026095); Nguyen, Tran Quoc Vinh (57219026033)",57216227837;
56575128400; 57215215975; 57211141626; 57023479100; 57219026095;
57219026033,Generative adversarial network (GAN) and enhanced root mean square
error (ERMSE): deep learning for stock price movement prediction,2022,Multimedia
Tools and Applications,81,3,,3995,4013,18,32,10.1007/s11042-021-11670-w,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85120062109&doi=10.1007%2fs11042-021-11670-
w&partnerID=40&md5=b11cac1b936058ed50b998c90719d1b5,"School of Computing
Mathematics and Engineering, Charles Sturt University (CSU), Sydney, Australia;
School of Computer Data and Mathematical Sciences, Western Sydney University (WSU),
Sydney, Australia; Kent Institute Australia, Sydney, Australia; Asia Pacific
International College (APIC), Sydney, Australia; Department of Computer
Engineering, University of Technology, Baghdad, Iraq; Computer Science and
Engineering, University of Kurdistan Hewler, KRG, Erbil, Iraq; The University of Da
Nang – University of Science and Education, Faculty of Information Technology, Da
Nang, Viet Nam","Kumar A., School of Computing Mathematics and Engineering, Charles
Sturt University (CSU), Sydney, Australia; Alsadoon A., School of Computing
Mathematics and Engineering, Charles Sturt University (CSU), Sydney, Australia,
School of Computer Data and Mathematical Sciences, Western Sydney University (WSU),
Sydney, Australia, Kent Institute Australia, Sydney, Australia, Asia Pacific
International College (APIC), Sydney, Australia; Prasad P.W.C., School of Computing
Mathematics and Engineering, Charles Sturt University (CSU), Sydney, Australia,
School of Computer Data and Mathematical Sciences, Western Sydney University (WSU),
Sydney, Australia, Asia Pacific International College (APIC), Sydney, Australia;
Abdullah S., Department of Computer Engineering, University of Technology, Baghdad,
Iraq; Rashid T.A., Computer Science and Engineering, University of Kurdistan
Hewler, KRG, Erbil, Iraq; Pham D.T.H., The University of Da Nang – University of
Science and Education, Faculty of Information Technology, Da Nang, Viet Nam; Nguyen
T.Q.V., The University of Da Nang – University of Science and Education, Faculty of
Information Technology, Da Nang, Viet Nam","The prediction of stock price movement
direction is significant in financial circles and academic. Stock price contains
complex, incomplete, and fuzzy information which makes it an extremely difficult
task to predict its development trend. Predicting and analysing financial data is a
nonlinear, time-dependent problem. With rapid development in machine learning and
deep learning, this task can be performed more effectively by a purposely designed
network. This paper aims to improve prediction accuracy and minimizing forecasting
error loss through deep learning architecture by using Generative Adversarial
Networks. It was proposed a generic model consisting of Phase-space Reconstruction
(PSR) method for reconstructing price series and Generative Adversarial Network
(GAN) which is a combination of two neural networks which are Long Short-Term
Memory (LSTM) as Generative model and Convolutional Neural Network (CNN) as
Discriminative model for adversarial training to forecast the stock market. LSTM
will generate new instances based on historical basic indicators information and
then CNN will estimate whether the data is predicted by LSTM or is real. It was
found that the Generative Adversarial Network (GAN) has performed well on the
enhanced root mean square error to LSTM, as it was 4.35% more accurate in
predicting the direction and reduced processing time and RMSE by 78 s and 0.029,
respectively. This study provides a better result in the accuracy of the stock
index. It seems that the proposed system concentrates on minimizing the root mean
square error and processing time and improving the direction prediction accuracy,
and provides a better result in the accuracy of the stock index. © 2021, The
Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of
Springer Nature.",Deep learning; Generative adversarial networks; Phase-space
reconstruction; Stock market prediction,Commerce; Convolutional neural networks;
Electronic trading; Errors; Financial markets; Forecasting; Long short-term memory;
Mean square error; Motion estimation; Phase space methods; Convolutional neural
network; Deep learning; Phase spaces; Phase-space reconstruction; Prediction
accuracy; Processing time; Root mean square errors; Space reconstruction; Stock
indices; Stock market prediction; Generative adversarial networks,,,,,,,"Arora M.,
Kansal V., Character level embedding with deep convolutional neural network for
text normalization of unstructured data for Twitter sentiment analysis, Soc Netw
Anal Min, 9, 1, pp. 1-14, (2019); Derakhshan A., Beigy H., Sentiment analysis on
stock social media for stock price movement prediction, Eng Appl Artif Intell, 85,
pp. 569-578, (2019); Gocken M., Ozcalici M., Boru A., Dosdogru A.T., Stock price
prediction using hybrid soft computing models incorporating parameter tuning and
input variable selection, Neural Comput Appl, 31, 2, pp. 577-592, (2019);
Hoseinzade E., Haratizadeh S., CNNpred: CNN-based stock market prediction using a
diverse set of variables, Expert Syst Appl, 129, pp. 273-285, (2019); Jeon S., Hong
B., Chang V., Pattern graph tracking-based stock price prediction using big data,
Future Gener Comput Syst, 80, pp. 171-187, (2018); Li X., Xie H., Wang R., Cai Y.,
Cao J., Wang F., Min H., Deng X., Empirical analysis: stock market prediction via
extreme learning machine, Neural Comput Appl, 27, 1, pp. 67-78, (2016); Long W., Lu
Z., Cui L., Deep learning-based feature engineering for stock price movement
prediction, Knowl-Based Syst, 164, pp. 163-173, (2019); Ning Y., Wah L.C., Erdan
L., Stock price prediction based on error correction model and granger casuality
test, Clust Comput, pp. 1-10, (2018); Sermpinis G., Karathanasopolulos A., Rosillo
R., Fuente D.D.L., Neural networks in financial trading, Ann Oper Res, pp. 1-16,
(2019); Suryoday B., Kar S., Saha S., Khaidem L., Dey S.R., Predicting the
direction of stock market prices using tree-based classifiers, North Am J Econ
Finance, 47, pp. 552-567, (2019); Werner K.R., Kevin M.V., A stock market risk
forecasting model through integration of switching regime, ANFIS and GARCH
techniques, Appl Soft Comput, 67, pp. 106-116, (2018); Yoojeong S., Jae L., Jongwoo
L., A study on novel filtering and relationship between input-features and target-
vectors in a deep learning model for stock price prediction, Appl Intell, 49, 3,
pp. 897-911, (2019); Zhang X., Li Y., Wang S., Fang B., Yu P., Enhancing stock
market prediction with extended coupled hidden Markov model over multi-sourced
data, Knowl Inf Syst, pp. 1-10, (2018); Zhou X., Pan Z., Hu G., Tang S., Zhao C.,
Stock market prediction on high-frequency data using generative adversarial nets,
Math Probl Eng, 2018, pp. 1-11, (2018); Zhou Z., Xu K., Jichang Z., Tales of
emotion and stock in China: volatility, causality and prediction, World Wide Web,
21, 4, pp. 1093-1116, (2018)","A. Alsadoon; School of Computing Mathematics and
Engineering, Charles Sturt University (CSU), Sydney, Australia; email:
[email protected]",,Springer,,,,,,13807501,,MTAPF,,English,Multimedia Tools
Appl,Article,Final,,Scopus,2-s2.0-85120062109
Hansen K.B.; Borch C.,"Hansen, Kristian Bondo (56966084200); Borch, Christian
(13805595200)",56966084200; 13805595200,Alternative data and sentiment analysis:
Prospecting non-standard data in machine learning-driven finance,2022,Big Data and
Society,9,1,,,,,34,10.1177/20539517211070701,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85122232280&doi=10.1177%2f20539517211070701&partnerID=40&md5=e831dfc875d044c1101cc8
1f5498226a,"Department of Management, Society and Communication, Copenhagen
Business School, Frederiksberg, Denmark; Department of Management, Politics and
Philosophy, Copenhagen Business School, Frederiksberg, Denmark","Hansen K.B.,
Department of Management, Society and Communication, Copenhagen Business School,
Frederiksberg, Denmark; Borch C., Department of Management, Politics and
Philosophy, Copenhagen Business School, Frederiksberg, Denmark","Social media
commentary, satellite imagery and GPS data are a part of ‘alternative data’, that
is, data that originate outside of the standard repertoire of market data but are
considered useful for predicting stock prices, detecting different risk exposures
and discovering new price movement indicators. With the availability of
sophisticated machine-learning analytics tools, alternative data are gaining
traction within the investment management and algorithmic trading industries.
Drawing on interviews with people working in investment management and algorithmic
trading firms utilizing alternative data, as well as firms providing and sourcing
such data, we emphasize social media-based sentiment analytics as one manifestation
of how alternative data are deployed for stock price prediction purposes. This
demonstrates both how sentiment analytics are developed and subsequently utilized
by investment management firms. We argue that ‘alternative data’ are an open-ended
placeholder for every data source potentially relevant for investment management
purposes and harnessing these disparate data sources requires certain
standardization efforts by different market participants. Besides showing how
market participants understand and use alternative data, we demonstrate that
alternative data often undergo processes of (a) prospecting (i.e. rendering such
data amenable to processing with the aid of analytics tools) and (b) assetization
(i.e. the transformation of data into tradable assets). We further contend that the
widespread embracement of alternative data in investment management and trading
encourages a financialization process at the data level which raises new governance
issues. © The Author(s) 2022.",Alternative data; assetization; financial markets;
investment management; machine learning; prospecting,,,,,,"Big Data & Society;
Louise Amoore; Horizon 2020 Framework Programme, H2020, (725706); Horizon 2020
Framework Programme, H2020; European Research Council, ERC; Danmarks Frie
Forskningsfond, DFF, (9131-00115B); Danmarks Frie Forskningsfond, DFF","Funding
text 1: The author(s) disclosed receipt of the following financial support for the
research, authorship and/or publication of this article: This work was supported by
the European Research Council (ERC) under the European Union’s Horizon 2020
Research and Innovation Program (Grant No. 725706) as well as the Independent
Research Fund Denmark (Grant No. 9131-00115B). ; Funding text 2: We thank Bo Hee
Min for preparing Table?1 and Nanna Bonde Thylstrup, Louise Amoore, and Mikkel
Flyverbom for the valuable comments on an earlier version of the article. We also
thank our informants for taking the time to discuss their work with us as well as
the reviewers and Big Data & Society -editor Matthew Zook for their suggestions and
constructive criticism. Finally, we thank Georgina Kate for careful copyediting.
The author(s) disclosed receipt of the following financial support for the
research, authorship and/or publication of this article: This work was supported by
the European Research Council (ERC) under the European Union?s Horizon 2020
Research and Innovation Program (Grant No. 725706) as well as the Independent
Research Fund Denmark (Grant No. 9131-00115B).","Ade-Ojo J., Using the
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(2021); Aaltonen A., Alaimo C., Kallinikos J., The making of data commodities: Data
analytics as an embedded process, Journal of Management Information Systems, 38, 2,
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risk calculus for our times, Theory, Culture & Society, 28, 6, pp. 24-43, (2011);
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Investors, Traders and Risk Managers, (2020); Dourish P., Gomez Cruz E.,
Datafication and data fiction: Narrating data and narrating with data, Big Data &
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New Frontier of Power, (2019)","K.B. Hansen; Department of Management, Society and
Communication, Copenhagen Business School, Frederiksberg, Denmark; email:
[email protected]",,SAGE Publications Ltd,,,,,,20539517,,,,English,Big Data
Soc.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85122232280
Emioma C.C.; Edeki S.O.,"Emioma, C.C. (57222150056); Edeki, S.O.
(56181582400)",57222150056; 56181582400,Stock price prediction using machine
learning on least-squares linear regression basis,2021,Journal of Physics:
Conference Series,1734,1,12058,,,,25,10.1088/1742-6596/1734/1/012058,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85101682527&doi=10.1088%2f1742-
6596%2f1734%2f1%2f012058&partnerID=40&md5=bbadb7bb6e73bcaa01ec280c13b795a2,"Departm
ent of Mathematics, Covenant University, Ota, Nigeria","Emioma C.C., Department of
Mathematics, Covenant University, Ota, Nigeria; Edeki S.O., Department of
Mathematics, Covenant University, Ota, Nigeria","Predicting the future of a stock
price is a difficult task due to the high level of randomness in the movement of
prices. This research aims to use a machine-learning algorithm to estimate the
closing stock price of a dataset to help aid in the prediction of stock prices
leading to higher accuracy in prediction. The intention of the model is for it to
be used as a day trading guide. The algorithm being used is called the least-
squares linear regression model. It takes in a dependent variable, in this case,
would be our closing price of the stock and an independent variable, which is the
day each stock price was recorded. © Published under licence by IOP Publishing
Ltd.",machine learning; prediction; Stock price,Costs; Financial markets; Fintech;
Forecasting; Learning algorithms; Machine learning; Object oriented programming;
Predictive analytics; Regression analysis; Turing machines; Dependent variables;
Independent variables; Least Square; Linear regression models; Stock price; Stock
price prediction; Electronic trading,,,,,Covenant University,All forms of support
from Covenant University and constructive suggestions from the anonymous referee(s)
are appreciated.,"Ahangar R. G., Yahyazadehfar M., Poumaghshband H., The Comparison
of Methods Artificial Neural Network with Linear Regression Using Specific
Variables for Prediction Stock Price in Tehran Stock, Exchange International
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Gonzalez-Gaxiola O.; Edeki S.O.; Owino J.N.; Fotso T.J.; Adinya I.; Jena R.M.;
Zelibe S.C.; Jena S.K.,IOP Publishing Ltd,,"1st International Conference on Recent
Trends in Applied Research, ICoRTAR 2020",14 August 2020 through 15 August
2020,"Virtual, Online",167264,17426588,,,,English,J. Phys. Conf. Ser.,Conference
paper,Final,All Open Access; Gold Open Access; Green Open Access,Scopus,2-s2.0-
85101682527
Ilyas S.H.W.; Soomro Z.T.; Anwar A.; Shahzad H.; Yaqub U.,"Ilyas, Sardar Haider
Waseem (57217248406); Soomro, Zainab Tariq (57217247607); Anwar, Ahmed
(57217247297); Shahzad, Hamza (57217246215); Yaqub, Ussama
(57190848736)",57217248406; 57217247607; 57217247297; 57217246215;
57190848736,Analyzing brexit's impact using sentiment analysis and topic modeling
on twitter discussion,2020,ACM International Conference Proceeding
Series,,,,1,6,5,26,10.1145/3396956.3396973,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85086889947&doi=10.1145%2f3396956.3396973&partnerID=40&md5=4a6e792ea9b464002c639818
fdb7de8d,"Lahore University of Management Sciences, Pakistan","Ilyas S.H.W., Lahore
University of Management Sciences, Pakistan; Soomro Z.T., Lahore University of
Management Sciences, Pakistan; Anwar A., Lahore University of Management Sciences,
Pakistan; Shahzad H., Lahore University of Management Sciences, Pakistan; Yaqub U.,
Lahore University of Management Sciences, Pakistan","In this paper we evaluate
public sentiment and opinion on Brexit during September and October 2019 by
collecting over 16 million user messages from Twitter - world's largest online
micro-blogging service. We perform sentiment analysis using the Python VADER
library, and topic modeling using Latent Dirichlet Allocation function of the
gensim library. Through sentiment analysis, we quantify daily public sentiment
towards Brexit and use it to evaluate Brexit's impact on the British currency
exchange rate and stock markets in Britain. With the aid of topic modeling, we
discover the most popular daily topics of discussion on Twitter using the keyword
""Brexit"". Some of our findings include the discovery of positive correlation
between Twitter sentiment towards Brexit and British pound sterling exchange rate.
We also found daily discussion topics on Twitter, identified through unsupervised
machine learning to be a good proxy of important current events related with
Brexit. © 2020 ACM.",Currency fluctuation; Machine Learning; Sentiment Analysis;
Topic Modeling; Twitter; Unsupervised Learning,Finance; Sentiment analysis;
Statistics; Currency exchange rates; Current events; Exchange rates; Latent
Dirichlet allocation; Micro-blogging services; Positive correlations; Public
sentiments; Unsupervised machine learning; Social networking (online),,,,,,,"Aich
S., Choi K., Kim H., An approach to investigate the impact of political change on
the economy of South Korea using twitter sentiment analysis, Advanced Science
Letters, 23, 10, pp. 10172-10176, (2017); Alvarez-Melis D., Saveski M., Topic
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A., Modeling public mood and emotion: Twitter sentiment and socio-economic
phenomena, Fifth International AAAI Conference on Weblogs and Social Media, (2011);
Bollen J., Mao H., Zeng X., Twitter mood predicts the stock market, Journal of
Computational Science, 2, 1, pp. 1-8, (2011); Breinlich H., Leromain E., Novy D.,
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Weng J., Lee B., 2011.
Event Detection in Twitter. in Fifth International AAAI Conference on Weblogs and
Social Media; Yang S.Y., Liu A., Chen J., Hawkes A., Applications of a multivariate
hawkes process to joint modeling of sentiment and market return events,
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tweets during the us presidential elections, Proceedings of the 18th Annual
International Conference on Digital Government Research., pp. 1-10, (2017); Yaqub
U., Sharma N., Pabreja R., Ae Chun S., Atluri V., Vaidya J., Location-based
sentiment analyses and visualization of twitter election data, Digital Government:
Research and Practice, 1, 2, pp. 1-19, (2020)",,Eom S.-J.; Lee J.,Association for
Computing Machinery,,"21st Annual International Conference on Digital Government
Research: Intelligent Government in the Intelligent Information Society, DGO
2020",15 June 2020 through 19 June 2020,Seoul,161151,,978-145038791-0,,,English,ACM
Int. Conf. Proc. Ser.,Conference paper,Final,,Scopus,2-s2.0-85086889947
Chiu M.C.; Pun C.S.; Wong H.Y.,"Chiu, Mei Choi (15044057200); Pun, Chi Seng
(55623304300); Wong, Hoi Ying (7402864809)",15044057200; 55623304300;
7402864809,Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance
Portfolio Selection and a Remedy,2017,Risk
Analysis,37,8,,1532,1549,17,26,10.1111/risa.12801,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85016954202&doi=10.1111%2frisa.12801&partnerID=40&md5=47c77bff8b10050dbfe2fe81fc03a
932,"Department of Mathematics and Information Technology, The Education University
of Hong Kong, Tai Po, Hong Kong; Division of Mathematical Sciences, Nanyang
Technological University, Singapore; Department of Statistics, The Chinese
University of Hong Kong, Shatin, Hong Kong","Chiu M.C., Department of Mathematics
and Information Technology, The Education University of Hong Kong, Tai Po, Hong
Kong; Pun C.S., Division of Mathematical Sciences, Nanyang Technological
University, Singapore; Wong H.Y., Department of Statistics, The Chinese University
of Hong Kong, Shatin, Hong Kong","Investors interested in the global financial
market must analyze financial securities internationally. Making an optimal global
investment decision involves processing a huge amount of data for a high-
dimensional portfolio. This article investigates the big data challenges of two
mean-variance optimal portfolios: continuous-time precommitment and constant-
rebalancing strategies. We show that both optimized portfolios implemented with the
traditional sample estimates converge to the worst performing portfolio when the
portfolio size becomes large. The crux of the problem is the estimation error
accumulated from the huge dimension of stock data. We then propose a linear
programming optimal (LPO) portfolio framework, which applies a constrained ℓ1
minimization to the theoretical optimal control to mitigate the risk associated
with the dimensionality issue. The resulting portfolio becomes a sparse portfolio
that selects stocks with a data-driven procedure and hence offers a stable mean-
variance portfolio in practice. When the number of observations becomes large, the
LPO portfolio converges to the oracle optimal portfolio, which is free of
estimation error, even though the number of stocks grows faster than the number of
observations. Our numerical and empirical studies demonstrate the superiority of
the proposed approach. © 2017 Society for Risk Analysis",constant-rebalancing
portfolio; constrained ℓ₁ minimization; continuous-time mean-variance
portfolio; high-dimensional portfolio selection; machine learning; sparse
portfolio,Big data; Continuous time systems; Investments; Learning systems; Linear
programming; Empirical studies; Financial security; Global investments; Mean-
variance portfolios; Optimal portfolios; Portfolio selection; Rebalancing; Sparse
portfolio; data set; empirical analysis; financial market; global perspective;
linear programing; machine learning; numerical method; risk assessment; article;
big data; empiricism; machine learning; system analysis; theoretical study;
Financial markets,,,,,"University of California, Los Angeles, UCLA; Research Grants
Council, University Grants Committee, 研究資助局, (14303915, 18200114, 809913)","We are
grateful for the helpful comments from the Editor of this special issue, three
anonymous referees, R. Carmona, J-P. Fouque, G. Papanicolaou, D. Levermore, D. Li,
and the seminar participants at the second CUHK Symposium on Statistics: Financial
Risk Management, the workshop series on “Broad Perspectives and New Directions in
Financial Mathematics” at IPAM of UCLA, the third Asian Quantitative Finance
Conference, and the 2015 INFORMS Annual Meeting. M.C. Chiu acknowledges the support
of the Research Grant Council of Hong Kong via ECS project No. 809913 and GRF
project No. 18200114. H.Y. Wong acknowledges the support of the Research Grant
Council of Hong Kong via GRF project No. 14303915.","Markowitz H.M., Portfolio
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Continuous-time mean-variance portfolio selection: A stochastic LQ framework,
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J., Optimal lot solution to cardinality constrained mean-variance formulation for
portfolio selection, Mathematical Finance, 16, pp. 83-101, (2006); Gao J.J., Li D.,
Optimal cardinality constrained portfolio selection, Operations Research, 61, pp.
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(2011); Vanderbei R., Linear Programming, Foundations and Extensions, (2008);
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Analysis, 36, pp. 30-48, (2016); Lee S., Zou F., Wright F.A., Convergence of sample
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Resolution of degeneracy in Merton's portfolio problem, SIAM Journal on Financial
Mathematics, 7, pp. 786-811, (2016)","M.C. Chiu; Department of Mathematics and
Information Technology, The Education University of Hong Kong, Tai Po, Hong Kong;
email: [email protected]",,Blackwell Publishing
Inc.,,,,,,2724332,,RIAND,28370082,English,Risk Anal.,Article,Final,,Scopus,2-s2.0-
85016954202
Weng F.; Zhu J.; Yang C.; Gao W.; Zhang H.,"Weng, Futian (57203883387); Zhu,
Jianping (55704640400); Yang, Cai (57202155324); Gao, Wang (57223876330); Zhang,
Hongwei (57194513704)",57203883387; 55704640400; 57202155324; 57223876330;
57194513704,Analysis of financial pressure impacts on the health care industry with
an explainable machine learning method: China versus the USA,2022,Expert Systems
with Applications,210,,118482,,,,28,10.1016/j.eswa.2022.118482,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85136532091&doi=10.1016%2fj.eswa.2022.118482&partnerID=40&md5=4bbb383fe92c0e96323d5
cbd5207fd60,"School of Medicine, Xiamen University, Xiamen, 361005, China; National
Institute for Data Science in Health and Medicine, Xiamen University, Xiamen,
361005, China; Data Mining Research Center, Xiamen University, Xiamen, 361005,
China; School of Management, Xiamen University, Xiamen, 361005, China; School of
Business Administration, Hunan University, Changsha, 410082, China; School of
Statistics, Renmin University of China, Beijing, 100872, China; School of
Mathematics and Statistics, Central South University, Changsha, 410083, China;
Institute of Metal Resources Strategy, Central South University, Changsha, 410083,
China","Weng F., School of Medicine, Xiamen University, Xiamen, 361005, China,
National Institute for Data Science in Health and Medicine, Xiamen University,
Xiamen, 361005, China, Data Mining Research Center, Xiamen University, Xiamen,
361005, China; Zhu J., National Institute for Data Science in Health and Medicine,
Xiamen University, Xiamen, 361005, China, Data Mining Research Center, Xiamen
University, Xiamen, 361005, China, School of Management, Xiamen University, Xiamen,
361005, China; Yang C., School of Business Administration, Hunan University,
Changsha, 410082, China; Gao W., School of Statistics, Renmin University of China,
Beijing, 100872, China; Zhang H., School of Mathematics and Statistics, Central
South University, Changsha, 410083, China, Institute of Metal Resources Strategy,
Central South University, Changsha, 410083, China","This study analyzes the role of
financial pressure in forecasting the volatility of health care stock. The main
finding shows that financial pressure helps to improve the volatility forecasting
performance of the health care stock in both China and the USA. Empirical analysis
further suggests that XGBoost performance outperforms other benchmark models,
especially advanced machine learning models. This study also interprets predictions
to help financial institutions and investors make correct decisions using Shapley
additive explanations. The results illustrate that the prediction contribution of
financial pressure is much stronger in China than in the USA. The prediction
contribution distribution of the five-dimensional indicator of financial pressure
in China is more discrete than in the USA. Different lag periods of financial
pressure have an asymmetric predictive contribution to the volatility of the health
care stock. The volatility of Chinese health care stock is mainly influenced by the
five-dimensional indicator of financial pressure at the medium and late period lag
but at the front and medium period lag for the USA. These findings are crucial for
policymakers and investors in promoting the sustained health care stock market
through financial pressure regulation. © 2022 Elsevier Ltd",Financial pressure;
Health care; Machine learning; Shapley additive explanations,Benchmarking;
Forecasting; Health care; Investments; Machine learning; Empirical analysis;
Financial pressure; Forecasting performance; Healthcare industry; Machine learning
methods; Machine-learning; Pressure impact; Shapley; Shapley additive explanation;
Volatility forecasting; Additives,,,,,"National Social Science Fund of China,
NSSFC, (ZD137); National Social Science Fund of China, NSSFC","Our analysis
consists of two variables: financial pressure and the volatility of the health care
stock market. To measure financial pressure, we use the Office of Financial
Research (OFR) Financial Pressure Indexes (FSIs), which capture global financial
markets’ daily market-based snapshots of stress with weighted averages from three
regions: the United States (US), other advanced economies, and emerging markets.
Monin (2017) provided a detailed description. There are five categories of
indicators—credit, equity valuation, funding, safe assets, and volatility—which
come from 33 financial market variables, such as yield spreads, valuation measures,
and interest rates. Credit estimates the degree of the difference in borrowing
costs for firms with different creditworthiness. Credit spreads may widen when
default risk increases, which indicates that investors are less willing to hold
debt. Equity valuation contains several stock market indexes’ stock valuations. It
evaluates the extent of investor confidence and risk appetite. The degree to which
financial institutions easily fund their activities is estimated by the funding
index. The safe assets index includes valuation measures related to assets that are
considered stores of value or have stable cash flows. Together, the measures of
implied and realized volatility from equity, credit, currency, and commodity
markets are denoted as the volatility index. ","Ancona M., Oztireli C., Gross M.,
Explaining deep neural networks with a polynomial time algorithm for shapley value
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Co-movements of returns in the health care sectors from the US, UK, and Germany
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71, pp. 629-648, (2021)","C. Yang; School of Business Administration, Hunan
University, Changsha, 410082, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85136532091
Hyman M.; Mark C.; Imteaj A.; Ghiaie H.; Rezapour S.; Sadri A.M.; Amini
M.H.,"Hyman, Meleik (57226633862); Mark, Calvin (57226632581); Imteaj, Ahmed
(56486117100); Ghiaie, Hamed (57207846049); Rezapour, Shabnam (35218302000); Sadri,
Arif M. (55673568000); Amini, M. Hadi (56682556800)",57226633862; 57226632581;
56486117100; 57207846049; 35218302000; 55673568000; 56682556800,Data analytics to
evaluate the impact of infectious disease on economy: Case study of COVID-19
pandemic,2021,Patterns,2,8,100315,,,,29,10.1016/j.patter.2021.100315,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85112132539&doi=10.1016%2fj.patter.2021.100315&partnerID=40&md5=8e9c2c30489f0ba875f
e3404ac4c5dcb,"Sustainability, Optimization, and Learning for InterDependent
Networks Laboratory (solid lab), Knight Foundation School of Computing and
Information Sciences, Florida International University, Miami, 33199, FL, United
States; Economics and Public Policy at ESCP Business School, Paris, 75011, France;
Enterprise and Logistics Engineering, Florida International University, Miami,
33174, FL, United States; Moss School of Construction, Infrastructure &
Sustainability, Florida International University, Miami, 33174, FL, United
States","Hyman M., Sustainability, Optimization, and Learning for InterDependent
Networks Laboratory (solid lab), Knight Foundation School of Computing and
Information Sciences, Florida International University, Miami, 33199, FL, United
States; Mark C., Sustainability, Optimization, and Learning for InterDependent
Networks Laboratory (solid lab), Knight Foundation School of Computing and
Information Sciences, Florida International University, Miami, 33199, FL, United
States; Imteaj A., Sustainability, Optimization, and Learning for InterDependent
Networks Laboratory (solid lab), Knight Foundation School of Computing and
Information Sciences, Florida International University, Miami, 33199, FL, United
States; Ghiaie H., Economics and Public Policy at ESCP Business School, Paris,
75011, France; Rezapour S., Enterprise and Logistics Engineering, Florida
International University, Miami, 33174, FL, United States; Sadri A.M., Moss School
of Construction, Infrastructure & Sustainability, Florida International University,
Miami, 33174, FL, United States; Amini M.H., Sustainability, Optimization, and
Learning for InterDependent Networks Laboratory (solid lab), Knight Foundation
School of Computing and Information Sciences, Florida International University,
Miami, 33199, FL, United States","SARS-CoV-2 (COVID-19) is a new strain of
coronavirus that is regarded as a respiratory disease and is transmittable among
humans. At present, the disease has caused a pandemic, and COVID-19 cases are
ballooning out of control. The impact of such turbulent situations can be
controlled by tracking the patterns of infected and death cases through accurate
prediction and by taking precautions accordingly. We collected worldwide COVID-19
case information and successfully predicted infected victims and possible death
cases around the world and in the United States. In addition, we analyzed some
leading stock market shares and successfully forecast their trends. We also
scrutinized the share market price by proper reasoning and considered the state of
affairs of COVID-19, including geographical dispersity. We publicly release our
developed dashboard that presents statistical data of COVID-19 cases, shows
predicted results, and reveals the impact of COVID-19 on leading companies and
different countries' job markets. © 2021 The Authors",coronavirus; COVID-19;
dataset; DSML 3: Development/pre-production: Data science output has been rolled
out/validated across multiple domains/problems; economic impact; machine learning;
stock market,Commerce; Competition; Data Analytics; Disease control; Accurate
prediction; Case informations; Coronaviruses; Infectious disease; Market share;
Out-of-control; Share market; Statistical datas; Diseases,,,,,"National Science
Foundation, NSF, (CNS-1851890, IIS-2027360)","This material is based upon work
supported by the National Science Foundation under grants CNS-1851890 and IIS-
2027360 . However, the authors are solely responsible for the findings presented in
this study. ","Atkeson A., What Will Be the Economic Impact of COVID-19 in the US?
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Yang L., Gan H., Mu F., Fan B., He B., Huang S., You B., Yang Y., Antibody response
and viraemia during the course of severe acute respiratory syndrome (SARS)-
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G., Fan Y., Lai Y., Han T., Li Z., Zhou P., Pan P., Wang W., Hu D., Liu X., Zhang
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of SARS-CoV-2 viraemia in a blood donor with COVID-19 post-donation, Transfus. Med.
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Collins A.B., Hunt K., Casey M., Barber A., Butler F., Griffin J., Lane E.A.,
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Optimization, and Learning for InterDependent Networks Laboratory (solid lab),
Knight Foundation School of Computing and Information Sciences, Florida
International University, Miami, 33199, United States; email:
[email protected]",,Cell
Press,,,,,,26663899,,,,English,Patterns,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85112132539
Wu D.; Wang X.; Wu S.,"Wu, Dingming (57219466907); Wang, Xiaolong (57204318567);
Wu, Shaocong (57219469275)",57219466907; 57204318567; 57219469275,A hybrid method
based on extreme learning machine and wavelet transform denoising for stock
prediction,2021,Entropy,23,4,440,,,,30,10.3390/e23040440,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85104201664&doi=10.3390%2fe23040440&partnerID=40&md5=e798478a96de823b5d7c117f9126c9
b2,"College of Computer Science and Technology, Harbin Institute of Technology,
Shenzhen, 518055, China","Wu D., College of Computer Science and Technology, Harbin
Institute of Technology, Shenzhen, 518055, China; Wang X., College of Computer
Science and Technology, Harbin Institute of Technology, Shenzhen, 518055, China; Wu
S., College of Computer Science and Technology, Harbin Institute of Technology,
Shenzhen, 518055, China","The trend prediction of the stock is a main challenge.
Accidental factors often lead to short-term sharp fluctuations in stock markets,
deviating from the original normal trend. The short-term fluctuation of stock price
has high noise, which is not conducive to the prediction of stock trends.
Therefore, we used discrete wavelet transform (DWT)-based denoising to denoise
stock data. Denoising the stock data assisted us to eliminate the influences of
short-term random events on the continuous trend of the stock. The denoised data
showed more stable trend characteris-tics and smoothness. Extreme learning machine
(ELM) is one of the effective training algorithms for fully connected single-
hidden-layer feedforward neural networks (SLFNs), which possesses the advantages of
fast convergence, unique results, and it does not converge to a local minimum.
Therefore, this paper proposed a combination of ELM-and DWT-based denoising to
predict the trend of stocks. The proposed method was used to predict the trend of
400 stocks in China. The prediction results of the proposed method are a good proof
of the efficacy of DWT-based denoising for stock trends, and showed an excellent
performance compared to 12 machine learning algorithms (e.g., recurrent neural
network (RNN) and long short-term memory (LSTM)). © 2021 by the authors. Licensee
MDPI, Basel, Switzerland.",Deep learning; Extreme learning machine; Stock
prediction; Wavelet transform,,,,,,"Science, Technology and Innovation Commission
of Shenzhen Municipality, (JCYJ20190806112210067)",Funding: This work was supported
by the Technology and Innovation Commission of Shenzhen Municipality (Grant No.
JCYJ20190806112210067).,"Ding G., Qin L., Study on the prediction of stock price
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(2011)","X. Wang; College of Computer Science and Technology, Harbin Institute of
Technology, Shenzhen, 518055, China; email: [email protected]",,MDPI
AG,,,,,,10994300,,,,English,Entropy,Article,Final,All Open Access; Gold Open
Access; Green Open Access,Scopus,2-s2.0-85104201664
D’Amato V.; D’Ecclesia R.; Levantesi S.,"D’Amato, Valeria (35239814700);
D’Ecclesia, Rita (6506791520); Levantesi, Susanna (55115681900)",35239814700;
6506791520; 55115681900,Fundamental ratios as predictors of ESG scores: a machine
learning approach,2021,Decisions in Economics and
Finance,44,2,,1087,1110,23,33,10.1007/s10203-021-00364-5,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85118867710&doi=10.1007%2fs10203-021-00364-
5&partnerID=40&md5=d6301fb5b464284b5dc19b4abed85b2c,"University of Salerno,
Fisciano, Italy; Sapienza University of Rome, Roma, Italy","D’Amato V., University
of Salerno, Fisciano, Italy; D’Ecclesia R., Sapienza University of Rome, Roma,
Italy; Levantesi S., Sapienza University of Rome, Roma, Italy","Sustainable and
responsible finance incorporates Environmental, Social, and Governance (ESG)
principles into business decisions and investment strategies. In recent years,
investors have rushed to Sustainable and Responsible Investments in response to
growing concerns about the risks of climate change. Asset managers look for some
assessment of sustainability for guidance and benchmarking, for instance, $30
trillion of assets are invested using some ESG ratings. Several studies argue that
good ESG ratings helped to prop up stock returns during the 2008 Global Financial
Crisis (Lins et al. J Finance 72(4):1785–1824, 2017). The ESG score represents a
benchmark of disclosures on public and private firms, it is based on different
characteristics which are not directly related to the financial performance
(Harvard Law School Forum on Corporate Governance, ESG reports and ratings:what
they are, why they matter. https://corpgov.law.harvard.edu/2017/07/27/esg-reports-
and-ratings-what-they-are-why-they-matter/, 2017). The role of ESG ratings and
their reliability have been widely discussed (Berg et al. Aggregate confusion: the
divergence of ESG ratings, MIT Sloan Research Paper No. 5822-19, 2019). Sustainable
investment professionals are unsatisfied with publicly traded companies’ climate-
related disclosure. This negative sentiment is particularly strong in the USA, and
within asset managers who do not believe that markets are consistently and
correctly pricing climate risks into company and sector valuations. We believe that
ESG ratings, when available, still affect business and finance strategies and may
represent a crucial element in the company’s fundraising process and on shares
returns. We aim to assess how structural data as balance sheet items and income
statements items for traded companies affect ESG scores. Using the Bloomberg ESG
scores, we investigate the role of structural variables adopting a machine learning
approach, in particular, the Random Forest algorithm. We use balance sheet data for
a sample of the constituents of the Euro Stoxx 600 index, referred to the last
decade, and investigate how these explain the ESG Bloomberg ratings. We find that
financial statements items represent a powerful tool to explain the ESG score. ©
2021, The Author(s), under exclusive licence to Associazione per la Matematica
Applicata alle Scienze Economiche e Sociali (AMASES).",ESG investments; Firm
performance; Machine learning,,,,,,,,"Improving factor-based quantitative investing
by forecasting company fundamentals. Working paper, Cornell University, Available
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prices: evidence from green bonds, J. Bank. Finance, 98, pp. 39-60, (2019)","S.
Levantesi; Sapienza University of Rome, Roma, Italy; email:
[email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,15938883,,,,English,Decis. Econ. Financ.,Article,Final,,Scopus,2-s2.0-
85118867710
Gorenc Novak M.; Velušček D.,"Gorenc Novak, Marija (56845588200); Velušček, Dejan
(6506595003)",56845588200; 6506595003,Prediction of stock price movement based on
daily high prices,2016,Quantitative
Finance,16,5,,793,826,33,34,10.1080/14697688.2015.1070960,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84941702661&doi=10.1080%2f14697688.2015.1070960&partnerID=40&md5=9bebc436fec3c0485d
31e9cf2139aac3,"XLAB d.o.o, Pot za Brdom 100, Ljubljana, 1000, Slovenia; Faculty of
Mathematics and Physics, University of Ljubljana, Jadranska 19, Ljubljana, 1000,
Slovenia; Institute of Mathematics, Physics and Mechanics, University of Ljubljana,
Jadranska 19, Ljubljana, 1000, Slovenia; J. Stefan Institute, Jamova cesta 39,
Ljubljana, 1000, Slovenia","Gorenc Novak M., XLAB d.o.o, Pot za Brdom 100,
Ljubljana, 1000, Slovenia, Faculty of Mathematics and Physics, University of
Ljubljana, Jadranska 19, Ljubljana, 1000, Slovenia; Velušček D., Faculty of
Mathematics and Physics, University of Ljubljana, Jadranska 19, Ljubljana, 1000,
Slovenia, Institute of Mathematics, Physics and Mechanics, University of Ljubljana,
Jadranska 19, Ljubljana, 1000, Slovenia, J. Stefan Institute, Jamova cesta 39,
Ljubljana, 1000, Slovenia","Prediction of stock close price movements has attracted
a lot of research interest. Using machine learning techniques, especially
statistical classifiers, for day ahead forecasting of the movement of daily close
prices of a broad range of several hundreds of liquid stocks is generally not very
successful. We suspect that one of the reasons for failure is the relatively high
volatility of prices in the last minutes before the market closes. There have been
some attempts to use less volatile daily high prices instead, but the studies
concentrated only on a specific non-statistical machine learning approach on a
small number of specific securities. We show that incorporating statistical
classifiers for day ahead daily high price movement predictions in to some simple
portfolio management techniques significantly increases their performance. Tests
performed on S&P 500 stocks show that such a strategy is robust, i.e. the
difference in reliability for different stocks does not vary significantly, and
that such a strategy greatly outperforms the S&P 500 index and several other
benchmarks while increasing the risk only by a small amount. © 2015 Taylor &
Francis.",Daily high price; Linear discriminant analysis; Naïve Bayes; Stock price
movement prediction; Support vector machines; Trading strategy,,,,,,"European
Commission, EC; Javna Agencija za Raziskovalno Dejavnost RS, ARRS, (L1-4292, P1-
0222); European Social Fund, ESF, (P-MR-10/134)","This study was funded in part by
the European Union, European Social Fund, Operational Programme for Human
Resources, Development for the Period 2007–2013 [P-MR-10/134] and Slovenian
Research Agency [programme number P1-0222] and [programme number L1-4292]","Abu-
Mostafa Y.S., Atiya A.F., Introduction to financial forecasting, Appl. Intell., 6,
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100, 1000, Slovenia; email:
[email protected]",,Routledge,,,,,,14697688,,,,English,Quant.
Financ.,Article,Final,,Scopus,2-s2.0-84941702661
Fan M.-H.; Chen M.-Y.; Liao E.-C.,"Fan, Min-Hsuan (38761319100); Chen, Mu-Yen
(57211856395); Liao, En-Chih (56521131100)",38761319100; 57211856395; 56521131100,A
deep learning approach for financial market prediction: utilization of Google
trends and keywords,2021,Granular Computing,6,1,,207,216,9,28,10.1007/s41066-019-
00181-7,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-
s2.0-85106471168&doi=10.1007%2fs41066-019-00181-
7&partnerID=40&md5=0841dfdc2442a074eac755a2b9e8d843,"National Taichung University
of Science and Technology, Taichung, Taiwan","Fan M.-H., National Taichung
University of Science and Technology, Taichung, Taiwan; Chen M.-Y., National
Taichung University of Science and Technology, Taichung, Taiwan; Liao E.-C.,
National Taichung University of Science and Technology, Taichung, Taiwan","This
study used the amount of Internet search on Google Trend and analyzed the
correlation between the search volume on Google Trend and Taiwan Weighted Stock
Index. The keyword search volume provided by Google Trend was used in the
correlation test and the unit root test. Then, the keywords obtained were analyzed
in two experiments—first, machine learning, and second, search trend. After
empirical analysis, it was found that neural network in experiment one performed
better than support vector machine and decision trees. Therefore, neural network
was selected to compare with the search trend in the second experiment. Through
comparative analysis of calculation of return values, it was found that the return
value in search trend is higher than that of the neural network. Therefore, this
paper revealed that there was a correlation between using company names of Taiwan
50 Index as search keywords and the rise and fall of TAIEX index. © 2019, Springer
Nature Switzerland AG.",Artificial neural network; Google trends; Search volume;
TAIEX,Decision trees; Deep learning; Financial markets; Neural networks; Support
vector machines; Google trends; Internet searches; Keyword search; Learning
approach; Market prediction; Neural-networks; Return value; Search volume; Stock
indices; TAIEX; Search engines,,,,,"Ministry of Science and Technology, Taiwan,
MOST, (MOST107-2410-H-025-011, MOST107-2634-F-025-001)",,"Bijl L., Kringhaug G.,
Molnar P., Sandvik E., Google searches and stock returns, Int Rev Financ Anal, 45,
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Wakao T., Google search intensity and its relationship with returns and trading
volume of Japanese stocks, Pacific-Basin Finance J, 27, pp. 1-18, (2014); Yu L.,
Zhao Y., Tang L., Yang Z., Online big data-driven oil consumption forecasting with
Google trends, Int J Forecast, 35, 1, pp. 213-223, (2019); Zadeh L.A., Fuzzy sets,
Inf Control, 8, 3, pp. 338-353, (1965); Zeng S., Chen S.M., Teng M.O., Fuzzy
forecasting based on linear combinations of independent variables, subtractive
clustering algorithm and artificial bee colony algorithm, Inf Sci, 484, pp. 350-
366, (2019)","M.-Y. Chen; National Taichung University of Science and Technology,
Taichung, Taiwan; email: [email protected]",,Springer
Nature,,,,,,23644966,,,,English,Granul. Comp.,Article,Final,,Scopus,2-s2.0-
85106471168
Gomathi S.; Kohli R.; Soni M.; Dhiman G.; Nair R.,"Gomathi, S. (55324593200);
Kohli, Rashi (56828926500); Soni, Mukesh (57202986134); Dhiman, Gaurav
(23049229800); Nair, Rajit (57203125821)",55324593200; 56828926500; 57202986134;
23049229800; 57203125821,Pattern analysis: predicting COVID-19 pandemic in India
using AutoML,2022,World Journal of Engineering,19,1,,21,28,7,28,10.1108/WJE-09-
2020-0450,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?
eid=2-s2.0-85097310236&doi=10.1108%2fWJE-09-2020-
0450&partnerID=40&md5=f7bca99bb9a397f2b36f47a5ffda7ed2,"UK International
Qualifications Ltd, Coimbatore, India; Senior member IEEE, Pooler, United States;
Department of Computer Engineering, Smt Sr Patel Engineering College, Shihi, India;
Government Bikram College of Commerce, Patiala, India; Jagran Lakecity University,
Bhopal, India","Gomathi S., UK International Qualifications Ltd, Coimbatore, India;
Kohli R., Senior member IEEE, Pooler, United States; Soni M., Department of
Computer Engineering, Smt Sr Patel Engineering College, Shihi, India; Dhiman G.,
Government Bikram College of Commerce, Patiala, India; Nair R., Jagran Lakecity
University, Bhopal, India","Purpose: Since December 2019, global attention has been
drawn to the rapid spread of COVID-19. Corona was discovered in India on 30 January
2020. To date, in India, 178,014 disease cases were reported with 14,011 deaths by
the Indian Government. In the meantime, with an increasing spread speed, the COVID-
19 epidemic occurred in other countries. The survival rate for COVID-19 patients
who suffer from a critical illness is efficiently and precisely predicted as more
fatal cases can be affected in advanced cases. However, over 400 laboratories and
clinically relevant survival rates of all present critically ill COVID-19 patients
are estimated manually. The manual diagnosis inevitably results in high
misdiagnosis and missed diagnosis owing to a lack of experience and prior
knowledge. The chapter presents an option for developing a machine-based prognostic
model that exactly predicts the survival of individual severe patients with
clinical data from different sources such as Kaggle data.gov and World Health
Organization with greater than 95% accuracy. The data set and attributes are shown
in detail. The reasonableness of such a mere three elements may depend,
respectively, on their representativeness in the indices of tissue injury, immunity
and inflammation. The purpose of this paper is to provide detailed study from the
diagnostic aspect of COVID-19, the work updates the cost-effective and prompt
criticality classification and prediction of survival before the targeted
intervention and diagnosis, in particular the triage of the vast COVID-19 explosive
epidemic. Design/methodology/approach: Automated machine learning (ML) provides
resources and platforms to render ML available to non-ML experts, to boost
efficiency in ML and to accelerate research in machine learning. H2O AutoML is used
to generate the results (Dulhare et al., 2020). ML has achieved major milestones in
recent years, and it is on which an increasing range of disciplines depend. But
this performance is crucially dependent on specialists in human ML to perform the
following tasks: preprocess the info and clean it; choose and create the
appropriate apps; choose a family that fits the pattern; optimize hyperparameters
for layout; and models of computer learning post processes. Review of the findings
collected is important. Findings: These days, the concept of automated ML
techniques is being used in every field and domain, for example, in the stock
market, education institutions, medical field, etc. ML tools play an important role
in harnessing the massive amount of data. In this paper, the data set relatively
holds a huge amount of data, and appropriate analysis and prediction are necessary
to track as the numbers of COVID cases are increasing day by day. This prediction
of COVID-19 will be able to track the cases particularly in India and might help
researchers in the future to develop vaccines. Researchers across the world are
testing different medications to cure COVID; however, it is still being tested in
various labs. This paper highlights and deploys the concept of AutoML to analyze
the data and to find the best algorithm to predict the disease. Appropriate tables,
figures and explanations are provided. Originality/value: As the difficulty of such
activities frequently goes beyond non-ML-experts, the exponential growth of ML
implementations has generated a market for off-the-shelf ML solutions that can be
used quickly and without experience. We name the resulting work field which is
oriented toward the radical automation of AutoML machine learning. The third class
is that of the individuals who have illnesses such as diabetes, high BP, asthma,
malignant growth, cardiovascular sickness and so forth. As their safe frameworks
have been undermined effectively because of a common ailment, these individuals
become obvious objectives. Diseases experienced by the third classification of
individuals can be lethal (Shinde et al., 2020). Examining information is
fundamental in having the option to comprehend the spread and treatment adequacy.
The world needs a lot more individuals investigating the information. The
understanding from worldwide data on the spread of the infection and its conduct
will be key in limiting the harm. The main contributions of this study are as
follows: predicting COVID-19 pandemic in India using AutoML; analyzing the data set
predicting the patterns of the virus; and comparative analysis of predictive
algorithms. The organization of the paper is as follows, Sections I and II describe
the introduction and the related work in the field of analyzing the COVID pandemic.
Section III describes the workflow/framework for AutoML using the components with
respect to the data set used to analyze the patterns of COVID-19 patients. © 2020,
Emerald Publishing Limited.",AutoML; COVID-19; Data analysis; Data processing;
India; Kaggle; Laboratory; Machine learning; Pandemic WHO,,,,,,,,"Ait-Sahalia Y.,
Xiu D., Principal component analysis of high-frequency data, Journal of the
American Statistical Association, 114, 525, pp. 287-303, (2019); BarstuganOzkaya
M., Ozturk S., Coronavirus (covid-19) classification using ct images by machine
learning methods, (2020); Chen X., Gupta A., Webly supervised learning of
convolutional networks, Proceedings of the IEEE International Conference on
Computer Vision, pp. 1431-1439, (2015); Cui Z., Li F., Zhang W., Bat algorithm with
principal component analysis, International Journal of Machine Learning and
Cybernetics, 10, 3, pp. 603-622, (2019); Dulhare U.N., Mubeen A., Ahmad K., Hands‐
on H2O machine learning tool, Machine Learning and Big Data: Concepts, Algorithms,
Tools and Applications, 1, pp. 423-453, (2020); El ShawiMaher R., Sakr S.,
Automated machine learning: state-of-the-art and open challenges, (2019); Elaziz
M.A., Hosny K.M., Salah A., Darwish M.M., Lu S., Sahlol A.T., New machine learning
method for image-based diagnosis of COVID-19, PLoS One, 15, 6, (2020); Elmousalami
H.H., Hassanien A.E., Day level forecasting for coronavirus disease (COVID-19)
spread: analysis, modeling and recommendations, (2020); Ezzat D., Ella H.A., GSA-
DenseNet121-COVID-19: a hybrid deep learning architecture for the diagnosis of
COVID-19 disease based on gravitational search optimization algorithm, (2020);
Feurer M., Eggensperger K., Falkner S., Lindauer M., Hutter F., Practical automated
machine learning for the automl challenge 2018, Proc. Int. Workshop Autom. Mach.
Learn. (ICML), pp. 1189-1232, (2018); GijsbersLeDellThomasPoirierBischl P.,
Vanschoren J., An open source AutoML benchmark, (2019); HeZhao X., Chu X., Automl:
a survey of the state-of-the-art, (2019); Ilyas F., Effective data cleaning with
continuous evaluation, IEEE Data Eng. Bull, 39, 2, pp. 38-46, (2016); KarrasLaine
T., Aila T., A style-based generator architecture for generative adversarial
networks, (2020); Mahdavi M., Neutatz F., Visengeriyeva L., Abedjan Z., Toward
automated data cleaning workflows, Machine Learning, 15, (2019); Shinde G.R.,
Kalamkar A.B., Mahalle P.N., Dey N., Chaki J., Hassanien A.E., Forecasting models
for coronavirus disease (COVID-19): a survey of the state-of-the-art, SN Computer
Science, 1, 4, (2020); Sidey-Gibbons J., Sidey-Gibbons C., Machine learning in
medicine: a practical introduction, BMC Medical Research Methodology, 19, 1,
(2019); Sujath R., Chatterjee J.M., Hassanien A.E., A machine learning forecasting
model for COVID-19 pandemic in India, Stochastic Environmental Research and Risk
Assessment, 34, 7, pp. 959-972, (2020); Truong A., Walters A., Goodsitt J., Hines
K., Bruss C.B., Farivar R., Toward automated machine learning: evaluation and
comparison of automl approaches and tools, IEEE 31st International Conference on
Tools with Artificial Intelligence (ICTAI), (2019); Xu Z., Huang S., Zhang Y., Tao
D., Augmenting strong supervision using web data for fine-grained categorization,
Proceedings of the IEEE international conference on computer vision, pp. 2524-2532,
(2015); Yang J., Sun X., Lai Y.-K., Zheng L., Cheng M.-M., Recog- nition from web
data: a progressive filtering approach, IEEE Transactions on Image Processing, 27,
11, pp. 5303-5315, (2018); Zhao S., Lin Q., Ran J., Musa S.S., Yang G., Wang W.,
Lou Y., Gao D., Yang L., He D., Preliminary estimation of the basic reproduction
number of novel coronavirus (2019-ncov) in china, from 2019 to 2020: a data-driven
analysis in the early phase of the outbreak, International Journal of Infectious
Diseases, 92, pp. 214-217, (2020); Zoller M.-A., Huber M.F., Benchmark and survey
of automated machine learning frameworks, (2019)","M. Soni; Department of Computer
Engineering, Smt Sr Patel Engineering College, Shihi,
India; email: [email protected]",,Emerald Group Holdings
Ltd.,,,,,,17085284,,,,English,World J. Eng.,Article,Final,,Scopus,2-s2.0-
85097310236
Liang Q.; Rong W.; Zhang J.; Liu J.; Xiong Z.,"Liang, Qiubin (57196025487); Rong,
Wenge (14058941800); Zhang, Jiayi (57196021216); Liu, Jingshuang (57196027850);
Xiong, Zhang (7202955989)",57196025487; 14058941800; 57196021216; 57196027850;
7202955989,Restricted Boltzmann machine based stock market trend
prediction,2017,Proceedings of the International Joint Conference on Neural
Networks,2017-May,,7966014,1380,1387,7,27,10.1109/IJCNN.2017.7966014,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85031004231&doi=10.1109%2fIJCNN.2017.7966014&partnerID=40&md5=1a377cb0868f0268e3196
45e08820e8c,"Sino-French Engineer School, Beihang University, Beijing, 100191,
China; School of Computer Science and Engineering, Beihang University, Beijing,
100191, China","Liang Q., Sino-French Engineer School, Beihang University, Beijing,
100191, China; Rong W., School of Computer Science and Engineering, Beihang
University, Beijing, 100191, China; Zhang J., Sino-French Engineer School, Beihang
University, Beijing, 100191, China; Liu J., School of Computer Science and
Engineering, Beihang University, Beijing, 100191, China; Xiong Z., School of
Computer Science and Engineering, Beihang University, Beijing, 100191, China","For
the past decades, stock prediction has been a popular topic in financial
applications. Many approaches including machine learning based and statistical
models have been employed to forecast price changes in stock market. Considering
the power of Restricted Bolztmann Machine (RBM) for feature extraction, we propose
to incorporate RBM and several classifiers to predict short-term stock market
trend. In this paper, eleven technical indicators are firstly inferred by using
trading data, e.g., close price, lowest price, open price and highest price.
Afterwards, these technical indicators are conveyed to binary values by using a
trend deterministic preparation layer. We apply a RBM to extract features from
binary valued features from the last step. The experimental study demonstrates this
model's effectiveness compared with several traditional methods. © 2017
IEEE.",Restricted Boltzmann Machine; Stock Market; Trend Prediction,Commerce;
Costs; Finance; Forecasting; Learning systems; Binary values; Financial
applications; Market trends; Price changes; Restricted boltzmann machine; Stock
predictions; Technical indicator; Trend prediction; Financial markets,,,,,"National
Department Public Benefit Research Foundation of China; National Natural Science
Foundation of China, NSFC, (61472021)","This work was partially supported by the
National Natural Science Foundation of China (No. 61472021), the National
Department Public Benefit Research Foundation of China (No.","Boyacioglu M.A., Avci
D., An adaptive network-based fuzzy inference system (ANFIS) for the prediction of
stock market return: The case of the istanbul stock exchange, Expert Systems with
Applications, 37, 12, pp. 7908-7912, (2010); Bisoi R., Dash P.K., A hybrid
evolutionary dynamic neural network for stock market trend analysis and prediction
using unscented kalman filter, Applied Soft Computing, 19, 6, pp. 41-56, (2014);
Bengio Y., Courville A., Vincent P., Representation learning: A review and new
perspectives, IEEE Transactions on Pattern Analysis & Machine Intelligence, 35, 8,
pp. 1798-1828, (2013); Huang C.J., Yang D.X., Chuang Y.T., Application of wrapper
approach and composite classifier to the stock trend prediction, Expert Systems
with Applications, 34, 4, pp. 2870-2878, (2008); Tsai C.F., Hsiao Y.C., Combining
multiple feature selection methods for stock prediction: Union, intersection, and
multi-intersection approaches, Decision Support Systems, 50, 1, pp. 258-269,
(2010); Ni L.-P., Ni Z.-W., Gao Y.-Z., Stock trend prediction based on fractal
feature selection and support vector machine, Expert Systems with Applications, 38,
5, pp. 5569-5576, (2011); Zhang X., Hu Y., Xie K., Wang S., Ngai E., Liu M., A
causal feature selection algorithm for stock prediction modeling, Neurocomputing,
142, pp. 48-59, (2014); Tao Z., Qinke P., Stock price prediction method based on
cluster of trend vectors, Proceedings of 2012 International Conference on Automatic
Control and Artificial Intelligence, pp. 1930-1936, (2012); Patel J., Shah S.,
Thakkar P., Kotecha K., Predicting stock and stock price index movement using trend
deterministic data preparation and machine learning techniques, Expert Systems with
Applications, 42, 1, pp. 259-268, (2015); Fischer A., Igel C., An introduction to
restricted boltzmann machines, Proceedings of 17th Iberoamerican Congress on
Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications,
pp. 14-36, (2012); Hinton G.E., A practical guide to training restricted boltzmann
machines, Neural Networks: Tricks of the Trade, pp. 599-619, (2012); Malkiel B.G.,
Fama E.F., Efficient capital markets: A review of theory and empirical work,
Journal of Finance, 25, 2, pp. 383-417, (1970); Shiller R.J., From efficient
markets theory to behavioral finance, The Journal of Economic Perspectives, 17, 1,
pp. 83-104, (2003); Daniel K., Titman S., Market efficiency in an irrational world,
Financial Analysts Journal, 55, 6, pp. 28-55, (2000); Nassirtoussi A.K., Wah T.Y.,
Ling D.N.C., A novel forex prediction methodology based on fundamental data,
African Journal of Business Management, 5, 20, pp. 8322-8330, (2011); Ariyo A.A.,
Adewumi A.O., Ayo C.K., Stock price prediction using the arima model, Proceedings
of 16th International Conference on Computer Modelling and Simulation, pp. 106-112,
(2014); Lahmiri S., Entropy-based technical analysis indicators selection for
international stock markets fluctuations prediction using support vector machines,
Fluctuation & Noise Letters, 13, 2, (2014); Saad E.W., Prokhorov D.V., Wunsch D.C.,
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Rahman M., Maruf Hossain M., A hmm-based adaptive fuzzy inference system for stock
market forecasting, Neurocomputing, 104, pp. 10-25, (2013); Imandoust S.B.,
Bolandraftar M., Forecasting the direction of stock market index movement using
three data mining techniques: The case of Tehran stock exchange, International
Journal of Engineering Research and Applications, 4, 6, pp. 106-117, (2014);
Hadavandi E., Shavandi H., Ghanbari A., Integration of genetic fuzzy systems and
artificial neural networks for stock price forecasting, Knowledge-Based Systems,
23, 8, pp. 800-808, (2010); Wei L.-Y., Chen T.-L., Ho T.-H., A hybrid model based
on adaptivenetwork-based fuzzy inference system to forecast Taiwan stock market,
Expert Systems with Applications, 38, 11, pp. 13625-13631, (2011); Chen S.-M.,
Manalu G.M.T., Pan J.-S., Liu H.-C., Fuzzy forecasting based on two-factors second-
order fuzzy-trend logical relationship groups and particle swarm optimization
techniques, IEEE Transactions on Cybernetics, 43, 3, pp. 1102-1117, (2013); Pai P.-
F., Lin C.-S., A hybrid arima and support vector machines model in stock price
forecasting, Omega, 33, 6, pp. 497-505, (2005); Bisoi R., Dash P.K., A hybrid
evolutionary dynamic neural network for stock market trend analysis and prediction
using unscented kalman filter, Applied Soft Computing, 19, pp. 41-56, (2014); Kim
M.-J., Min S.-H., Han I., An evolutionary approach to the combination of multiple
classifiers to predict a stock price index, Expert Systems with Applications, 31,
2, pp. 241-247, (2006); Barak S., Modarres M., Developing an approach to evaluate
stocks by forecasting effective features with data mining methods, Expert Systems
with Applications, 42, 3, pp. 1325-1339, (2015); Chang P.-C., Fan C.-Y., A hybrid
system integrating a wavelet and tsk fuzzy rules for stock price forecasting, IEEE
Transactions on Systems, Man, and Cybernetics, Part C (Applications and Reviews),
38, 6, pp. 802-815, (2008); Wang J.-Z., Wang J.-J., Zhang Z.-G., Guo S.-P.,
Forecasting stock indices with back propagation neural network, Expert Systems with
Applications, 38, 11, pp. 14346-14355, (2011); Hsieh T.-J., Hsiao H.-F., Yeh W.-C.,
Forecasting stock markets using wavelet transforms and recurrent neural networks:
An integrated system based on artificial bee colony algorithm, Applied Soft
Computing, 11, 2, pp. 2510-2525, (2011); Babu C.N., Reddy B.E., A moving-average
filter based hybrid arima-ann model for forecasting time series data, Applied Soft
Computing, 23, pp. 27-38, (2014); Heaton J.B., Polson N., Witte J.H., Deep learning
for finance: Deep portfolios, Applied Stochastic Models in Business and Industry,
33, 1, pp. 3-12, (2017); Yoshihara A., Fujikawa K., Seki K., Uehara K., Predicting
stock market trends by recurrent deep neural networks, Proceedings of 13th Pacific
Rim International Conference on Artificial Intelligence, pp. 759-769, (2014); Cai
X., Hu S., Lin X., Feature extraction using restricted boltzmann machine for stock
price prediction, Proceedings of 2012 IEEE International Conference on Computer
Science and Automation Engineering, pp. 80-83, (2012); Fischer A., Igel C.,
Training restricted boltzmann machines: An introduction, Pattern Recognition, 47,
1, pp. 25-39, (2014); Yasuda M., Relationship between pretraining and maximum
likelihood estimation in deep boltzmann machines, Proceedings of 19th International
Conference on Artificial Intelligence and Statistics, pp. 582-590, (2016); Hinton
G.E., Osindero S., Teh Y.-W., A fast learning algorithm for deep belief nets,
Neural Computation, 18, 7, pp. 1527-1554,
(2006); Hinton G.E., Training products of experts by minimizing contrastive
divergence, Neural Computation, 14, 8, pp. 1771-1800, (2002); Tieleman T., Training
restricted boltzmann machines using approximations to the likelihood gradient,
Proceedings of 25th International Conference on Machine Learning, pp. 1064-1071,
(2008); Huang C.L., Tsai C.Y., A hybrid sofm-svr with a filter-based feature
selection for stock market forecasting, Expert Systems with Applications, 36, 2,
pp. 1529-1539, (2009); Zheng X., Wu Z., Meng H.M., Li W., Cai L., Feature Learning
with Gaussian Restricted Boltzmann Machine for Robust Speech Recognition, (2013);
Bhattacharya D., Konar A., Das P., Secondary factor induced stock index time-series
prediction using self-adaptive interval type-2 fuzzy sets, Neurocomputing, 171, pp.
551-568, (2015)",,,Institute of Electrical and Electronics Engineers Inc.,Brain-
Mind Institute (BMI); Budapest Semester in Cognitive Science (BSCS); Intel,"2017
International Joint Conference on Neural Networks, IJCNN 2017",14 May 2017 through
19 May 2017,Anchorage,128847,,978-150906181-5,85OFA,,English,Proc Int Jt Conf
Neural Networks,Conference paper,Final,,Scopus,2-s2.0-85031004231
Kanungsukkasem N.; Leelanupab T.,"Kanungsukkasem, Nont (56205725200); Leelanupab,
Teerapong (35203370100)",56205725200; 35203370100,Financial Latent Dirichlet
Allocation (FinLDA): Feature Extraction in Text and Data Mining for Financial Time
Series Prediction,2019,IEEE
Access,7,,8726415,71645,71664,19,28,10.1109/ACCESS.2019.2919993,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85067393429&doi=10.1109%2fACCESS.2019.2919993&partnerID=40&md5=2291e505ba8c7543da61
a043c3f4be5a,"Faculty of Information Technology, King Mongkut's Institute of
Technology Ladkrabang, Bangkok, 10520, Thailand","Kanungsukkasem N., Faculty of
Information Technology, King Mongkut's Institute of Technology Ladkrabang, Bangkok,
10520, Thailand; Leelanupab T., Faculty of Information Technology, King Mongkut's
Institute of Technology Ladkrabang, Bangkok, 10520, Thailand","News has been an
important source for many financial time series predictions based on fundamental
analysis. However, digesting a massive amount of news and data published on the
Internet to predict a market can be burdensome. This paper introduces a topic model
based on latent Dirichlet allocation (LDA) to discover features from a combination
of text, especially news articles and financial time series, denoted as Financial
LDA (FinLDA). The features from FinLDA are served as additional input features for
any machine learning algorithm to improve the prediction of the financial time
series. We provide posterior distributions used in Gibbs sampling for two variants
of the FinLDA and propose a framework for applying the FinLDA in a text and data
mining for financial time series prediction. The experimental results show that the
features from the FinLDA empirically add value to the prediction and give better
results than the comparative features including topic distributions from the common
LDA. © 2013 IEEE.",Bayesian method; data mining; data preparation; data processing;
feature extraction; financial time series; information processing; latent Dirichlet
allocation; news; prediction; stock market; text mining; topic modeling,Bayesian
networks; Commerce; Data handling; Data processing; Extraction; Feature extraction;
Finance; Financial data processing; Financial markets; Forecasting; Learning
algorithms; Machine learning; Time series; Time series analysis; Bayesian methods;
Data preparation; Financial time series; Latent Dirichlet allocation; news; Text
mining; Topic Modeling; Data mining,,,,,"Faculty of Information Technology; King
Mongkut's Institute of Technology Ladkrabang, KMITL, (2560-06-003)","This work was
partially supported by the Faculty of Information Technology, King Mongkut’s
Institute of Technology Ladkrabang, Thailand, (IT.KMITL funded project 2017) under
the project number: 2560-06-003. The funding was given to T. Leelanupab for mainly
sub-granting N. Kanungsukkasem for his Ph.D. study.","Fama E.F., Efficient capital
markets: A review of theory and empirical work, J. Finance, 25, 2, pp. 383-417,
(1970); Fama E.F., Efficient capital markets: II, J. Finance, 46, 5, pp. 1575-1617,
(1991); Shiller R.J., Speculative prices and popular models, J. Econ. Perspect., 4,
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technical analysis: The role of volume, J. Finance, 49, 1, pp. 153-181, (1994);
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classification and level estimation models, Int. J. Fore-casting, 16, 2, pp. 173-
190, (2000); Ince H., Trafalis T.B., Kernel principal component analysis and
support vector machines for stock price prediction, Proc. IEEE Int. Joint Conf.
Neural Netw., 3, pp. 2053-2058, (2004); Tsay R.S., Analysis of Financial Time
Series (Series in Probability and Statistics), (2005); Tsai C.-F., Hsiao Y.-C.,
Combining multiple feature selection methods for stock prediction: Union,
intersection, and multi-intersection approaches, Decis. Support Syst., 50, 1, pp.
258-269, (2010); Wuthrich B., Permunetilleke D., Leung S., Cho V., Zhang J., Lam
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104, (2003); Fung G.P.C., Yu J.X., Lam W., News sensitive stock trend prediction,
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underlying topics in financial news affect stock prices using latent Dirichlet
allocation, Proc. 49th Hawaii Int. Conf. Syst. Sci. (HICSS), pp. 1072-1081, (2016);
Tay F.E.H., Cao L.J., Improved financial time series forecasting by combining
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S., Shen C., Li Y., Yin X., Bai Y., An adaptive SVR for high-frequency stock price
forecasting, IEEE Access, 6, pp. 11397-11404, (2018); Chen T., Guestrin C.,
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Data Analysis (Chapman &Hall/CRC Texts in Statistical Science), (2013); Griffiths
T.L., Steyvers M., Finding Scientific topics, Proc. Nat. Acad. Sci. USA, 101, 1,
pp. 5228-5235, (2004); (2018); Cheeseman P., Oldford R.W., Selecting Models from
Data: Artificial Intelligence and Statistics IV, 89, (2012); (2018); Kanungsukkasem
N., Leelanupab T., The Link to Archived News Arti-cles by Reuters Has Been Changed
since January 2019, (2018); Bird S., Klein E., Loper E., Natural Language
Processing with Python: Analyzing Text with the Natural Language Toolkit, (2009);
Fehek R., Sojka P., Class Dictionary in Gensim, (2019); Fehek R., Sojka P.,
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Class SVR in Scikit-Learn Library, (2019); Chang C.-C., Lin C.-J., LIBSVM: A
library for support vector machines, ACM Trans. Intell. Syst. Technol., 2, 3, pp.
271-2727, (2011); Issam Laradji H.J.Q., Mueller A., Class MLPRegressor in Scikit-
Learn Library, (2019); Pedregosa F., Varoquaux G., Gramfort A., Michel V., Thirion
B., Grisel O., Blondel M., Prettenhofer P., Weiss R., Dubourg V., Vanderplas J.,
Passos A., Cournapeau D., Brucher M., Perrot M., Duchesnay E., Scikit-learn:
Machine learning
in Python, J. Mach. Learn. Res., 12, pp. 2825-2830, (2011); Buitinck L., Louppe
G., Blondel M., Pedregosa F., Mueller A., Grisel O., Niculae V., Prettenhofer P.,
Gramfort A., Grobler J., Layton R., Vanderplas J., Joly A., Holt B., Varoquaux G.,
API design for machine learning software: Experiences from the scikit-learn
project, Proc. ECML PKDD Workshop, Lang. Data Mining Mach. Learn., pp. 108-122,
(2013); Gramfort A., Blondel M., Grisel O., Joly A., Wersdorfer J., Buitinck L.,
Nothman J., Desai K., Dawe N., Kumar M., Eickenberg M., Shmelkov K., Mean Squared
Error Function in Scikit-Learn Library, (2019); Gramfort A., Blondel M., Grisel O.,
Joly A., Wersdorfer J., Buitinck L., Nothman J., Desai K., Dawe N., Kumar M.,
Eickenberg M., Shmelkov K., Mean Absolute Error Function in Scikit-Learn Library,
(2019); McKinney W., Mad Function in Class DataFrame in Pandas, (2019); McKinney
W., Pandas: A foundational Python library for data analysis and statistics, Proc.
Workshop Python High Perform. Sci. Comput., pp. 1-9, (2011); Tahmassebi A.,
Regression Error Characteristic Curve in Python, (2019); Tahmassebi A., IDeepLe:
Deep learning in a flash, Proc. SPIE, (2018); Tahmassebi A., Gandomi A.H., Meyer-
Baese A., A Pareto front based evolutionary model for airfoil self-noise
prediction, Proc. IEEE Congr. Evol. Comput. (CEC), pp. 1-8, (2018)","T. Leelanupab;
Faculty of Information Technology, King Mongkut's Institute of Technology
Ladkrabang, Bangkok, 10520, Thailand; email: [email protected]",,Institute
of Electrical and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85067393429
Cao H.; Lin T.; Li Y.; Zhang H.,"Cao, Hongduo (7403345906); Lin, Tiantian
(57209270040); Li, Ying (56664552300); Zhang, Hanyu (57209270802)",7403345906;
57209270040; 56664552300; 57209270802,Stock Price Pattern Prediction Based on
Complex Network and Machine
Learning,2019,Complexity,2019,,4132485,,,,33,10.1155/2019/4132485,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85067090935&doi=10.1155%2f2019%2f4132485&partnerID=40&md5=a84cdda5d3e033f4ce8ba3be8
03b52ee,"Business School, Sun Yat-sen University, Guangzhou, 510275, China","Cao
H., Business School, Sun Yat-sen University, Guangzhou, 510275, China; Lin T.,
Business School, Sun Yat-sen University, Guangzhou, 510275, China; Li Y., Business
School, Sun Yat-sen University, Guangzhou, 510275, China; Zhang H., Business
School, Sun Yat-sen University, Guangzhou, 510275, China","Complex networks in
stock market and stock price volatility pattern prediction are the important issues
in stock price research. Previous studies have used historical information
regarding a single stock to predict the future trend of the stock's price, seldom
considering comovement among stocks in the same market. In this study, in order to
extract the information about relation stocks for prediction, we try to combine the
complex network method with machine learning to predict stock price patterns.
Firstly, we propose a new pattern network construction method for multivariate
stock time series. The price volatility combination patterns of the Standard &
Poor's 500 Index (S&P 500), the NASDAQ Composite Index (NASDAQ), and the Dow Jones
Industrial Average (DJIA) are transformed into directed weighted networks. It is
found that network topology characteristics, such as average degree centrality,
average strength, average shortest path length, and closeness centrality, can
identify periods of sharp fluctuations in the stock market. Next, the topology
characteristic variables for each combination symbolic pattern are used as the
input variables for K-nearest neighbors (KNN) and support vector machine (SVM)
algorithms to predict the next-day volatility patterns of a single stock. The
results show that the optimal models corresponding to the two algorithms can be
found through cross-validation and search methods, respectively. The prediction
accuracy rates for the three indexes in relation to the testing data set are
greater than 70%. In general, the prediction ability of SVM algorithms is better
than that of KNN algorithms. © 2019 Hongduo Cao et al.",,Commerce; Complex
networks; Electronic trading; Forecasting; Learning algorithms; Machine learning;
Nearest neighbor search; Statistical tests; Support vector machines; Topology;
Closeness centralities; Dow Jones Industrial averages; Historical information; K
nearest neighbor (KNN); Prediction accuracy; Stock price volatilities; Support
vector machine algorithm; Topology characteristics; Financial markets,,,,,"National
Natural Science Foundation of China, NSFC, (71071167, 71071168, 71371200)","This
work was supported, in part, by the National Natural Science Foundation of China
(Grants nos. 71371200, 71071167, and 71071168).","Teixeira L.A., De Oliveira
A.L.I., A method for automatic stock trading combining technical analysis and
nearest neighbor classification, Expert Systems with Applications, 37, 10, pp.
6885-6890, (2010); Ballings M., Poel Den D.Van, Hespeels N., Gryp R., Evaluating
multiple classifiers for stock price direction prediction, Expert Systems with
Applications, 42, 20, pp. 7046-7056, (2015); Huang W., Nakamori Y., Wang S.-Y.,
Forecasting stock market movement direction with support vector machine,
Computers&Operations Research, 32, 10, pp. 2513-2522, (2005); Cheung Y.-W., Chinn
M.D., Pascual A.G., Empirical exchange rate models of the nineties: Are any fit to
survive?, Journal of International Money and Finance, 24, 7, pp. 1150-1175, (2005);
Armano G., Murru A., Roli F., Stock market prediction by a mixture of genetic-
neural experts, International Journal of Pattern Recognition and Artificial
Intelligence, 16, 5, pp. 501-526, (2002); Moghaddam A.H., Moghaddam M.H.,
Esfandyari M., Stock market index prediction using artificial neural network,
Journal of Economics, Finance and Administrative Science, 21, 41, pp. 89-93,
(2016); Choudhry R., Garg K., A Hybrid Machine Learning System for Stock Market
Forecasting, 39, (2008); Kwon Y.K., Choi S.S., Moon B.R., Stock prediction based on
financial correlation, Proceedings of the Conference on Genetic Evolutionary
Computation, (2005); Lacasa L., Nicosia V., Latora V., Network structure of
multivariate time series, Scientific Reports, 5, (2015); Wang M., Chen Y., Tian L.,
Jiang S., Tian Z., Du R., Fluctuation behavior analysis of international crude oil
and gasoline price based on complex network perspective, Applied Energy, 175, 2016,
pp. 109-127; Tabak B.M., Serra T.R., Cajueiro D.O., Topological properties of
stockmarket networks: The case of Brazil, Physica A: StatisticalMechanics and Its
Applications, 389, 16, pp. 3240-3249, (2010); Lacasa L., Luque B., Ballesteros F.,
Luque J., Nuno J.C., From time series to complex networks: The visibility graph,
Proceedings of the National Academy of Sciences of the United States of America,
105, 13, pp. 4972-4975, (2008); Gao Z., Cai Q., Yang Y., Dang W., Zhang S.,
Multiscale limited penetrable horizontal visibility graph for analyzing nonlinear
timeseries, Scientific Reports, 6, 1, (2016); Zhuang E., Small M., Feng G., Time
series analysis of the developed financialmarkets integration using visibility
graphs, Physica A: StatisticalMechanics and Its Applications, 410, pp. 483-495,
(2014); Donner R.V., Zou Y., Donges J.F., Marwan N., Kurths J., Recurrence
networks-A novel paradigm for nonlinear time series analysis, New Journal of
Physics, 12, 3, (2010); Li Y., Cao H., Tan Y., Novel method of identifying time
series based on network graphs, Complexity, 17, 1, pp. 13-34, (2011); Marwan N.,
Donges J.F., Zou Y., Donner R.V., Kurths J., Complex network approach for
recurrence analysis of time series, Physics Letters A, 373, 46, pp. 4246-4254,
(2009); Li Y., Cao H., Tan Y., A comparison of two methods for modeling large-scale
data from time series as complex networks, AIP Advances, 1, 1, (2011); Yang Y.,
Yang H., Complex network-based time series analysis, Physica A: Statistical
Mechanics and Its Applications, 387, 5-6, pp. 1381-1386, (2008); Wang M., Vilela
A.L.M., Tian L., Xu H., Du R., Anew time series prediction method based on complex
network theory, Proceedings of the 5th IEEE International Conference on Big Data,
(Big Data) 2017, pp. 4170-4175; Shimada Y., Kimura T., Ikeguchi T., Analysis of
Chaotic Dynamics Using Measures of the Complex Network Theory, (2008); Xu X., Zhang
J., Small M., Superfamily phenomena and motifs of networks induced fromtime series,
Proceedings of the National Acadamy of Sciences of the United States of America,
105, 50, pp. 19601-19605, (2008); Ming Z., Er-Hong W., Ming-Yuan Z., Qing-Hao M.,
Directed weighted complex networks based on time series symbolic pattern
representation, Acta Physica Sinica, 66, 21, (2017); Huang W.-Q., Yao S., Zhuang
X.-T., A network dynamic model based on SSE composite index and trading volume
fluctuation, Journal of Northeastern University, 31, 10, pp. 1516-1520, (2010); Kim
S.H., Chun S.H., Graded forecasting using an array of bipolar predictions:
Application of probabilistic neural networks to a stock market index, International
Journal of Forecasting, 14, 3, pp. 323-337, (1998); Patel J., Shah S., Thakkar P.,
Kotecha K., Predicting stock and stock price index movement using trend
deterministic data preparation and machine learning techniques, Expert Systems with
Applications, 42, 1, pp. 259-268, (2015); Wu M.-C., Lin S.-Y., Lin C.-H., An
effective application of decision tree to stock trading, Expert
SystemswithApplications, 31, 2, pp. 270-274, (2006); Subha M.V., Nambi S.T.,
Classification of stock index movement using k-nearest neighbours (k-NN) algorithm,
WSEAS Transactions on Information Science and Applications, 9, 9, pp. 261-270,
(2012); Atkeson C.G., Moore A.W., Schaal S., Locally weighted learning, Artificial
Intelligence Review, 11, 1-5, pp. 11-73, (1997); Huang C.-J., Yang D.-X., Chuang
Y.-T., Application of wrapper approach and composite classifier to the stock trend
prediction, Expert Systems with Applications, 34, 4, pp. 2870-2878, (2008); Mitra
S., Acharya T., Data Mining: Multimedia, Soft Computing, and Bioinformatics,
JohnWiley & Sons, (2005); Cherkassky V., The nature of statistical learning theory,
Technometrics, 38, 4, (1996); Lin W.-M., Wu C.-H., Lin C.-H., Cheng F.-S.,
Classification of multiple power quality disturbances using support vectormachine
and one-versus-one approach, Proceedings of the 2006 International Conference on
Power System Technology, POWERCON2006; Li F., Xiao J., How to get effective slide-
window size in time series similarity search, Journal of Frontiers of Computer
Science & Technology, 3, 1, pp. 105-112, (2009); Sun X., Small M., Zhao Y., Xue X.,
Characterizing system dynamics with a weighted and directed network constructed
from time series data, Chaos: An Interdisciplinary Journal of Nonlinear Science,
24, 2, (2014); Freeman L.C., Centrality in social networks conceptual
clarification, Social Networks, 1, 3, pp. 215-239, (1978); Wolfe A.W., Social
network analysis: Methods and applications, American Ethnologist, 24, 4, pp. 136-
137, (1995); Shin K., Lee T.S., Kim H., An application of support vector machines
in bankruptcy prediction model, Expert Systems with Applications, 28, 1, pp. 127-
135, (2005); Arlot S., Celisse A., A survey of cross-validation procedures for
model selection, Statistics Surveys, 4, pp. 40-79, (2010); Cawley G.C., Talbot
N.L.C., Efficient leave-one-out crossvalidation of kernel fisher discriminant
classifiers,
Pattern Recognition, 36, 11, pp. 2585-2592, (2003); Xia L., You D., Jiang X.,
Guobc Q., Comparison between global financial crisis and local stock disaster on
top of Chinese stock network, Physica A Statistical Mechanics Its Applications,
490, pp. 222-230, (2017); Zhou Z., Yu Y., Machine Learning and Its Application,
(2011); Wang X., Xue H., Jia W., Prediction Model of Stocks Rosing and Felling
Based on BP Neural Network, (2010); Diether K.B., Lee K.-H., Werner I.M., Short-
sale strategies and return predictability, Review of Financial Studies, 22, 2, pp.
575-607, (2009)","H. Cao; Business School, Sun Yat-sen University, Guangzhou,
510275, China; email: [email protected]",,Hindawi
Limited,,,,,,10762787,,,,English,Complexity,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85067090935
Mukwazvure A.; Supreethi K.P.,"Mukwazvure, Addlight (57188590757); Supreethi, K.P.
(23986240100)",57188590757; 23986240100,A hybrid approach to sentiment analysis of
news comments,2015,"2015 4th International Conference on Reliability, Infocom
Technologies and Optimization: Trends and Future Directions, ICRITO
2015",,,7359282,,,,27,10.1109/ICRITO.2015.7359282,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84961773462&doi=10.1109%2fICRITO.2015.7359282&partnerID=40&md5=acb18afb0a699d662487
7c433cca7a08,"Department of Computer Science and Engineering, JNTU College of
Engineering Hyderabad, Kukatpally, Hyderabad, Telangana, 500 085,
India","Mukwazvure A., Department of Computer Science and Engineering, JNTU College
of Engineering Hyderabad, Kukatpally, Hyderabad, Telangana, 500 085, India;
Supreethi K.P., Department of Computer Science and Engineering, JNTU College of
Engineering Hyderabad, Kukatpally, Hyderabad, Telangana, 500 085, India","Today,
the web hosts quite a voluminous amount of information. Among such information is
user generated content which plays an important role in analyzing different
business aspects. Sentiment analysis therefore becomes an effective way of
understanding public opinions. Businesses, particularly in ecommerce, stock market,
social networks and also political entities can use sentiment analysis for decision
making. Traditional methods of opinion gathering involved the use of questioners
and interviews which solely depend on the good will of the people to be
interviewed. Most research on sentiment analysis focused on social networks,
product reviews and also on the stock market. Less research has been covered on
analysis of news comments. This research embarks on a hybrid approach to sentiment
analysis of news comments which involves using sentiment lexicon for polarity
detection (polarity will be classified as positive, negative and neutral). The
results from the lexicon based method are then used to train machine learning
algorithms. Two algorithms employed in this research are the Support Vector Machine
(SVM) and K-Nearest Neighbour (kNN). Experimental results show that SVM performs
better than kNN on news comments. © 2015 IEEE.",kNN; polarity; sentiment analysis;
sentiment lexicon; SVM; User generated content,Artificial intelligence; Behavioral
research; Commerce; Data mining; Decision making; Electronic trading; Finance;
Financial markets; Learning systems; Nearest neighbor search; Optimization; Social
networking (online); Support vector machines; Amount of information; Business
aspects; K nearest neighbours (k-NN); polarity; Product reviews; Sentiment
analysis; Sentiment lexicons; User-generated content; Learning
algorithms,,,,,,,"Pang B., Lee L., Opinion mining and sentiment analysis,
Foundations and Trends® in Information Retrieval, 2, 1-2, pp. 1-135, (2008); Liu
B., Zhang L., A survey of opinion mining and sentiment analysis, Min. Text Data,
pp. 415-463, (2012); Medhat W., Hassan A., Korashy H., Sentiment analysis
algorithms and applications: A survey, Ain Shams Eng. J, 5, 4, pp. 1093-1113,
(2014); Turney P.D., Thumbs up or thumbs down?, Proc. 40th Annu. Meet. Assoc.
Comput. Linguist.-ACL '02, (2001); Magadza T., Tirivangani B.H., Mukwazvure A.,
Supreethi P., Exploring sentiment classification techniques in news articles,
IJITKM, 8, 1, pp. 55-58, (2014); Fan W., Sun S., Sentiment classification for
online comments on Chinese news, InSentiment Classification for Online Comments on
Chinese NewsComputer Application and System Modeling (ICCASM), 2010 International
Conference on, 4, pp. 740-745, (2010); Raina P., Sentiment analysis in news
articles using sentic computing, 2013 IEEE 13th Int. Conf. Data Min. Work, pp. 959-
962, (2013); Cambria E., Livingstone A., Hussain A., The hourglass of emotions,
Lect. Notes Comput. Sci. (Including Subser. Lect. Notes Artif. Intell. Lect. Notes
Bioinformatics), 7403, pp. 144-157, (2012); Plutchik R., Nature of emotions, Am.
Sci, 89, pp. 344-350, (2001); Fung G.P.C., Yu J.X., Lam W., News sensitive stock
trend prediction, Adv. Knowl. Discov. Data Min, 2336, pp. 481-493, (2002); Wiebe
J.M., Ellen R., Creating subjective and objective sentence classifiers from
unannotated texts, Comput. Linguist. Intell. Text Process, 3406, pp. 486-497,
(2005); Riloff E., Automatically generating extraction patterns from untagged text,
Proc. Natl. Conf. Artif. Intell, 2, pp. 1044-1049, (1996); Bird S., Klein E., Loper
E., Natural Language Processing with Python, 43, (2009); Joakim C., Explore python,
machine learning , and the NLTK library, IBM Developer Works, (2012); Nielsen F.A.,
AFFINN, Informatics Math. Model, (2011); Brownlee J., An Introduction to Feature
Selection, (2014); Roelleke T., Wang J., TF-IDF uncovered: A study of theories and
probabilities, InProceedings of the 31st Annual International ACM SIGIR Conference
on Research and Development in Information Retrieval, pp. 435-442, (2008); Aggarwal
C., Zhai C., Mining Text Data, 4, 2, (2012); Han J., Kamber M., Pei J., Data
Mining: Concepts and Techniques, (2006); Mountassir A., Benbrahim H., Berrada I.,
Some methods to address the problem of unbalanced sentiment classification in an
Arabic context, 2012 Colloq. Inf. Sci. Technol, pp. 43-48, (2012); Namburu S.M.,
Pattipati K.R., Experiments on supervised learning algorithms for text
categorization, 2005 IEEE Aerospace Conference, pp. 1-8, (2005)",,,Institute of
Electrical and Electronics Engineers Inc.,,"4th International Conference on
Reliability, Infocom Technologies and Optimization, ICRITO 2015",2 September 2015
through 4 September 2015,Noida,118505,,978-146737231-2,,,English,"Int. Conf.
Reliab., Infocom Technol. Optim.: Trends Future Dir., ICRITO",Conference
paper,Final,,Scopus,2-s2.0-84961773462
Ji G.; Yu J.; Hu K.; Xie J.; Ji X.,"Ji, Gang (57553416900); Yu, Jingmin
(57202049607); Hu, Kai (56732360400); Xie, Jie (56701376900); Ji, Xunsheng
(14015744600)",57553416900; 57202049607; 56732360400; 56701376900; 14015744600,An
adaptive feature selection schema using improved technical indicators for
predicting stock price movements,2022,Expert Systems with
Applications,200,,116941,,,,25,10.1016/j.eswa.2022.116941,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85127164384&doi=10.1016%2fj.eswa.2022.116941&partnerID=40&md5=c6479a4417462f2d7ff17
64251dec8fd,"Key Laboratory of Advanced Process Control for Light Industry,
Ministry of Education, Jiangnan University, Wuxi, China; Wuhan Geomatics Institute,
Wuhan, China","Ji G., Key Laboratory of Advanced Process Control for Light
Industry, Ministry of Education, Jiangnan University, Wuxi, China; Yu J., Wuhan
Geomatics Institute, Wuhan, China; Hu K., Key Laboratory of Advanced Process
Control for Light Industry, Ministry of Education, Jiangnan University, Wuxi,
China; Xie J., Key Laboratory of Advanced Process Control for Light Industry,
Ministry of Education, Jiangnan University, Wuxi, China; Ji X., Key Laboratory of
Advanced Process Control for Light Industry, Ministry of Education, Jiangnan
University, Wuxi, China","Accurate stock market forecasts can bring high returns
for investors. There have been a growing number of studies employing machine
learning technology to perform stock prediction tasks with the development of
machine learning and artificial intelligence technologies. However, accurately
predicting stock price trends still is an elusive goal, not only because the stock
market is affected by policies, market environment, market sentiment, etc., but
also because stock price data is inherently complex, noisy, and nonlinear. Many
technical indicators have been used as input features to stock prediction models,
but the quality of technical indicators has always been a neglected issue, thus the
application of feature engineering in stock prediction tasks needs to be further
expanded. Using 18 technical indicators as the original features, this paper
presents improved technical indicators based on wavelet denoising and a novel two-
stage adaptive feature selection method. Finally, the random forest model is used
as the stock prediction model. Experiments show that in contrast to the original
technical indicators, the improved technical indicators significantly enhance the
performance of the model (e.g., F1 scores increased by 34.48% on the SSE Composite
Index (SSEC) data set, 41.56% on the Hang Seng Index (HSI) data set, 34.48% on the
Dow Jones Industrial Average (DJI) data set, 32.75% on the Standard & Poor's 500
Index (S&P 500) data set). The experimental results verify the importance of the
quality of technical indicators in the task of stock prediction. Meanwhile, the
results also demonstrate the effectiveness of the feature selection method, which
can achieve higher prediction accuracy with fewer features. In addition, we
established multiple data sets according to the size-varied time windows to study
the influence of the size-varied time windows. The results show that properly
increasing the size of the time window can exert a positive impact on the model.
Finally, by utilizing our two-stage adaptive feature selection method, we remove
redundant features, and achieve excellent results on data sets from four different
stock markets (e.g., F1 scores reached 0.754 on the SSEC data set, 0.794 on the HSI
data set, 0.789 on the DJI data set, 0.821 on the S&P 500 data set). Overall, this
study experimentally verifies that improving feature quality can positively impact
model performance, and that choosing an appropriate combination of input features
can not only improve model performance, but reduces the negative impact of the
curse of dimensionality as well. © 2022 Elsevier Ltd",Feature selection; Stock
price movement direction forecasting; Time window; Wavelet denoising,Commerce;
Decision trees; Feature extraction; Financial markets; Investments; Machine
learning; Wavelet analysis; Adaptive feature selection; Data set; Feature selection
methods; Features selection; Stock predictions; Stock price movement direction
forecasting; Stock price movements; Technical indicator; Time windows; Wavelet
denoising; Forecasting,,,,,"National Natural Science Foundation of China, NSFC,
(71904064); Natural Science Foundation of Jiangsu Province, (BK20190580);
Fundamental Research Funds for the Central Universities, (JUSRP11922); Higher
Education Discipline Innovation Project",This work is supported by The National
Natural Science Foundation of China (no. 71904064) and The Natural Science
Foundation of Jiangsu Province (no. BK20190580) partially supports this research.
The research is also supported by the 111 Project and the Fundamental Research
Funds for the Central Universities (Grant No: JUSRP11922).,"Ballings M., Van den
Poel D., Hespeels N., Gryp R., Evaluating multiple classifiers for stock price
direction prediction, Expert Systems with Applications, 42, 20, pp. 7046-7056,
(2015); Bartiromo R., Non linear behaviour of stock market volatility, (2004);
Basak S., Kar S., Saha S., Khaidem L., Dey S.R., Predicting the direction of stock
market prices using tree-based classifiers, The North American Journal of Economics
and Finance, 47, pp. 552-567, (2019); Bollerslev T., Marrone J., Xu L., Zhou H.,
Stock Return Predictability and Variance Risk Premia: Statistical Inference and
International Evidence, The Journal of Financial and Quantitative Analysis, 49, 3,
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Ensemble Data Mining Techniques and Feature Selection Method—a Comparative Study,
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T., (2017); Wu D., Wang X., Wu S., A Hybrid Method Based
on Extreme Learning Machine and Wavelet Transform Denoising for Stock Prediction,
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Zhang J., Cui S., Xu Y., Li Q., Li T., A novel data-driven stock price trend
prediction system, Expert Systems with Applications, 97, pp. 60-69, (2018)","K. Hu;
Key Laboratory of Advanced Process Control for Light Industry, Ministry of
Education, Jiangnan University, Wuxi, China; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85127164384
Biswas M.; Shome A.; Islam M.A.; Nova A.J.; Ahmed S.,"Biswas, Milon (57188669162);
Shome, Atanu (56495170200); Islam, Md. Ashraful (57195512015); Nova, Arafat Jahan
(57224477313); Ahmed, Shamim (55456824200)",57188669162; 56495170200; 57195512015;
57224477313; 55456824200,Predicting stock market price: A logical strategy using
deep learning,2021,ISCAIE 2021 - IEEE 11th Symposium on Computer Applications and
Industrial
Electronics,,,9431817,218,223,5,27,10.1109/ISCAIE51753.2021.9431817,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107622098&doi=10.1109%2fISCAIE51753.2021.9431817&partnerID=40&md5=adb1cd7c83cc58a
257075e981495edd9,"Computer Science and Engineering, Bangladesh University of
Business and Technology, Dhaka, Bangladesh; Computer Science and Engineering,
Khulna University, Khulna, Bangladesh","Biswas M., Computer Science and
Engineering, Bangladesh University of Business and Technology, Dhaka, Bangladesh;
Shome A., Computer Science and Engineering, Khulna University, Khulna, Bangladesh;
Islam M.A., Computer Science and Engineering, Bangladesh University of Business and
Technology, Dhaka, Bangladesh; Nova A.J., Computer Science and Engineering,
Bangladesh University of Business and Technology, Dhaka, Bangladesh; Ahmed S.,
Computer Science and Engineering, Bangladesh University of Business and Technology,
Dhaka, Bangladesh","In time series data analysis, stock market prediction is
particularly hard. In addition, for the best estimation of stock prices, proper
tuning of the model is crucial. This research work uses the frequently used
algorithms Long Short Term Memory, Extreme Gradient Boosting (XGBoost), Linear
Regression, Moving Average, and Last Value model on more than twelve months of
historical stock data to build up a prediction model for forecasting stock price.
For the purpose of comparing among the models, the measurement of Mean Absolute
Percentage Error (MAPE) is used and it is observed that the LSTM method exceeds all
the other methods with a MAPE of 0.635. Furthermore, the highest error rate among
the five models is found for Moving Average for our case. © 2021 IEEE.",Deep
Learning; Last Value Model; Linear Regression; LSTM; Machine Learning; Moving
Average; Stock Market Prediction; XGBoost,Commerce; Financial markets; Forecasting;
Industrial electronics; Long short-term memory; Predictive analytics; Time series
analysis; Forecasting stock prices; Gradient boosting; Mean absolute percentage
error; Moving averages; Prediction model; Stock market prediction; Stock market
prices; Time series data analysis; Deep learning,,,,,,,"Patel J., Shah S., Thakkar
P., Kotecha K., Predicting stock and stock price index movement using Trend
Deterministic Data Preparation and machine learning techniques, Expert Systems with
Applications, 42, 1, pp. 259-268, (2015); Hsu M.W., Lessmann S., Sung M.C., Et al.,
Bridging the divide in financial market forecasting: Machine learners vs financial
economists, Expert Syst Appl, 61, pp. 215-234, (2016); Selvin S., Vinayakumar R.,
Gopalakrishnan E.A., Menon V.K., Soman K.P., Stock price prediction using lstm, rnn
andcnn-sliding window model, International Conference on Advances in Computing,
Communications and Informatics, pp. 1643-1647, (2017); Nelson D.M.Q., Pereira
A.C.M., De Oliveira R.A., Stock market's price movement prediction with LSTM neural
networks, 2017 International Joint Conference on Neural Networks (IJCNN), pp. 1419-
1426, (2017); Dai Y., Zhao P., A hybrid load forecasting model based on support
vector machine with intelligent methods for feature selection and parameter
optimization, Applied Energy., 279, (2020); Xie X., Sun S., General multi-view
semi-supervised least squares support vector machines with multi-manifold
regularization, Information Fusion, 62, pp. 63-72, (2020); Chun C., Qinghua M.,
Shuqiang L., Research on supportvector regression in the stock market
forecasting""©springer, Advances in Intelligent and Soft Computing, 148, pp. 607-
612, (2012); Wang Y., Guo Y., Forecasting method of stock market volatility in time
series data based on mixed model of arima and xgboost, China Communications, 17, 3,
pp. 20b5-221, (2020); Roy S.S., Mittal D., Basu A., Abraham A., Stock market
forecasting using lasso linear regression model, Afro-European Conference for
Industrial Advancement. Advances in Intelligent Systems and Computing, 334, (2015);
Boyacioglu M., Avci D., An adaptive network-based fuzzy inference system (ANFIS)
for the prediction of stock market return: The case of the istanbul stock exchange,
Expert Systems with Applications, 37, 12, pp. 7908-7912, (2010); Freisleben B.,
Stock market prediction with backpropagation networks, Industrial and Engineering
Applications of Artificial Intelligence and Expert Systems. IEA/AIE 1992. Lecture
Notes in Computer Science (Lecture Notes in Artificial Intelligence, 604, (1992);
Hassan M.R., Nath B., Kirley M., A fusion model of hmm, ann and ga for stock market
forecasting, Expert Systems with Applications, 33, pp. 171-180, (2007); Murphy
J.J., Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading
Methods and Applications, (1999); Nelson D.M., Pereira A.C., De Oliveira R.A.,
Stock market's price movement prediction with LSTM neural networks, 2017
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method for automatic stock trading combining technical analysis and nearest
neighbor classification, Expert Syst Appl, 37, pp. 6885-6890, (2010); Cakra Y.E.,
Trisedya B.D., Stock price prediction using linear regression based on sentiment
analysis, 2015 International Conference on Advanced Computer Science and
Information Systems (ICACSIS), Depok, pp. 147-154, (2015); Dey S., Kumar Y., Saha
S., Basak S., Forecasting to Classification: Predicting the Direction of Stock
Market Price Using Xtreme Gradient Boosting, (2016); Ariyo A.A., Adewumi A.O., Ayo
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stock market prediction, International Journal of Computer Science and
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stock market index using the hybrid neural network based on multiple time scale
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Conference on Knowledge Discovery and Data Mining, pp. 785-794, (2016); Brownlee
J., A Gentle Introduction to XGBoost for Applied MachineLearning; Bini B.S., Mathew
T., Clustering and regression techniques for stock prediction, Procedia Technology,
24, pp. 1248-1255, (2016); Costa L.A., Sanches P.L.M., Amorim R.R.J., Nascimento
S.L.D., Souza S.M.V., Monitoring academic performance based on learning analytics
and ontology: A systematic review, Informatics in Education, 19, 3, pp. 361-397,
(2020); Portia A.C., Data Mining and Neural Networks from a Commercial Perspective;
Biswas M., Mahi M., Nayeen J., Hossen R., Acharjee U.K., Md W., BUVOTS: A
Blockchain Based Unmanipulated Voting Scheme; Mukherjee P.P., Boshra A.A., Ashraf
M.M., Biswas M., A hyper-ledger fabric framework as a service for improved quality
e-voting system, In2020 Ieee Region 10 Symposium (TENSYMP), pp. 394-397, (2020);
Al-Amin S., Sharkar S.R., Kaiser M.S., Biswas M., Towards a blockchain-based supply
chain management for e-agro business system, InProceedings of International
Conference on Trends in Computational and Cognitive Engineering, pp. 329-339,
(2021); Akib A.A., Ferdous M.F., Biswas M., Khondokar H.M., Artificial intelligence
humanoid bongo robot in Bangladesh, In2019 1st International Conference on Advances
in Science, Engineering and Robotics Technology (ICASERT), pp. 1-6, (2019); Hossain
M.P., Khaled M., Saju S.A., Roy S., Biswas M., Vehicle registra-tion and
information management using blockchain based distributed ledger frombangladesh
perspective, 2020 Ieee Region 10 Symposium (TENSYMP; Datta P., Bhowmik A., Shome
A., Biswas M., A Secured Smart National Identity Card Management Design using
Blockchain, In2020 2nd International Conference on Advanced Information and
Communication Technology (ICAICT), pp. 291-296, (2020); Mahi M.J., Hossain K.M.,
Biswas M., Whaiduzzaman M., SENTRAC: A novel real time sentiment analysis approach
through twitter cloud environment, InAdvances in Electrical and Computer
Technologies, pp. 21-32, (2020); Khatun S., Sarkar S., Biswas M., SecureIT-A Weapon
to Protect You, (2020); Islam M., Biswas M., Mahi M., Nayeen J., Whaiduzzaman M.,
LBRP: A resilient energy harvesting noise aware routing protocol for under water
sensor networks (uwsns), International Journal in Foundations of Computer Science
Technology (IJFCST), 8, (2018); Biswas M., Whaiduzzaman M.D., Efficient mobile
cloud computing through computation offloading, Int. J. Adv. Technol, 10, 2,
(2018); Rahman M.T., Mahi M.J.N., Biswas M., Kaiser M.S., Al-Mamun S., Performance
evaluation of a portable PABX system through developing new bandwidth optimization
technique, 2015 International Conference on Electrical Engineering and Information
Communication Technology (ICEEICT), pp. 1-5, (2015); Mahi M.J., Rahad K.A., Biswas
M., Islam R., Chowdhury Z.I., An accident detection system for a single vanet at
low cost module, IEEE, TechSym, 4, 1, pp. 44-45, (2016); Qiu M., Song Y., Akagi F.,
Application of artificial neural network for the prediction of stock market
returns: The case of the Japanese stock market, Chaos, Solitons &Fractals, 85, pp.
1-7,
(2016); Li X., Wu P., Wang W., Incorporating stock prices and news sentiments for
stock market prediction: A case of Hong Kong, Information Processing &Management,
57, 5, (2020); Nabipour M., Nayyeri P., Jabani H., Mosavi A., Salwana E., Deep
learning for stock market prediction, Entropy, 22, 8, (2020)",,,Institute of
Electrical and Electronics Engineers Inc.,,"11th IEEE Symposium on Computer
Applications and Industrial Electronics, ISCAIE 2021",3 April 2021 through 4 April
2021,Penang,169143,,978-166540338-2,,,English,ISCAIE - IEEE Symp. Comput. Appl.
Ind. Electron.,Conference paper,Final,,Scopus,2-s2.0-85107622098
Song H.; Choi H.,"Song, Hyunsun (57410404400); Choi, Hyunjun
(58186754400)",57410404400; 58186754400,"Forecasting Stock Market Indices Using the
Recurrent Neural Network Based Hybrid Models: CNN-LSTM, GRU-CNN, and Ensemble
Models",2023,Applied Sciences
(Switzerland),13,7,4644,,,,27,10.3390/app13074644,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85152701309&doi=10.3390%2fapp13074644&partnerID=40&md5=7d5638ef5f0d6397e4bc005212e5
5590,"Department of Nano & Semiconductor Engineering, Tech University of Korea,
Siheung-si, 15073, South Korea","Song H., Department of Nano & Semiconductor
Engineering, Tech University of Korea, Siheung-si, 15073, South Korea; Choi H.,
Department of Nano & Semiconductor Engineering, Tech University of Korea, Siheung-
si, 15073, South Korea","Various deep learning techniques have recently been
developed in many fields due to the rapid advancement of technology and computing
power. These techniques have been widely applied in finance for stock market
prediction, portfolio optimization, risk management, and trading strategies.
Forecasting stock indices with noisy data is a complex and challenging task, but it
plays an important role in the appropriate timing of buying or selling stocks,
which is one of the most popular and valuable areas in finance. In this work, we
propose novel hybrid models for forecasting the one-time-step and multi-time-step
close prices of DAX, DOW, and S&P500 indices by utilizing recurrent neural network
(RNN)–based models; convolutional neural network-long short-term memory (CNN-LSTM),
gated recurrent unit (GRU)-CNN, and ensemble models. We propose the averaging of
the high and low prices of stock market indices as a novel feature. The
experimental results confirmed that our models outperformed the traditional
machine-learning models in 48.1% and 40.7% of the cases in terms of the mean
squared error (MSE) and mean absolute error (MAE), respectively, in the case of
one-time-step forecasting and 81.5% of the cases in terms of the MSE and MAE in the
case of multi-time-step forecasting. © 2023 by the authors.",convolutional neural
networks; deep learning; ensemble model; feature engineering; gated recurrent unit;
long short-term memory; recurrent neural networks,,,,,,"Ministry of Science, ICT
and Future Planning, MSIP, (NRF-2020R1G1A1A01006808); National Research Foundation
of Korea, NRF","This work was supported by the Basic Science Research Program
through the National Research Foundation of Korea (NRF) grant funded by the
Ministry of Science and ICT (MSIT, Korea) (No. NRF-2020R1G1A1A01006808).","Tan T.,
Quek C., Ng G., Brain-inspired genetic complementary learning for stock market
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Mysore Sub Section International Conference, pp. 263-271; McKinney W., Data
Structures for Statistical Computing in Python, Proceedings of the 9th Python in
Science Conference, pp. 56-61; Granger C.W.J., Strategies for Modelling Nonlinear
Time-Series Relationships, Econ. Rec, 69, pp. 233-238, (1993); Python: A Dynamic,
Open Source Programming Language. Python Software Foundation, (2019); (2015); Abadi
M., Agarwal A., Barham P., Brevdo E., Chen Z., Citro C., Corrado G.S., Davis A.,
Dean J., Devin M., Et al., TensorFlow: Large-Scale Machine Learning on
Heterogeneous Systems, arXiv, (2015); van der Walt S., Colbert S.C., Varoquaux G.,
The NumPy Array: A Structure for Efficient Numerical Computation, Comput. Sci. Eng,
13, pp. 22-30, (2011); Pedregosa F., Varoquaux G., Gramfort A., Michel V., Thirion
B., Grisel O., Blondel M., Prettenhofer P., Weiss R., Dubourg V., Et al., Scikit-
Learn: Machine Learning in Python, J. Mach. Learn. Res, 12, pp. 2825-2830, (2011);
Huber P.J., Robust Estimation of a Location Parameter, Ann. Math. Stat, 35, pp. 73-
101, (1964); Ku J., Mozifian M., Lee J., Harakeh A., Waslander S.L., Joint 3D
Proposal Generation and Object Detection from View Aggregation, Proceedings of the
2018 IEEE/RSJ International Conference on Intelligent Robots and Systems (IROS),
pp. 1-8; Glorot X., Bengio Y., Understanding the difficulty of training deep
feedforward neural networks, Proceedings of the 13th International Conference on
Artificial Intelligence and Statistics, 9, pp. 249-256; Zaremba W., Sutskever I.,
Vinyals O., Recurrent Neural Network Regularization, arXiv, (2014); Gal Y.,
Ghahramani Z., A Theoretically Grounded Application of Dropout in Recurrent Neural
Networks, Advances in Neural Information Processing Systems, 29, (2016); Yao Y.,
Rosasco L., Caponnetto A., On Early Stopping in Gradient Descent Learning, Constr.
Approx, 26, pp. 289-315, (2007); Tieleman T., Hinton G., Lecture 6.5-rmsprop:
Divide the gradient by a running average of its recent magnitude, COURSERA Neural
Netw. Mach. Learn, 4, pp. 26-31, (2012); van den Oord A., Dieleman S., Zen H.,
Simonyan K., Vinyals O., Graves A., Kalchbrenner N., Senior A.W., Kavukcuoglu K.,
WaveNet: A Generative Model for Raw Audio, Proceedings of the 9th ISCA Speech
Synthesis Workshop; van den Oord A., Kalchbrenner N., Espeholt L., Koray K.,
Vinyals O., Graves A., Conditional Image Generation with PixelCNN Decoders,
Advances in Neural Information Processing Systems, 29, (2016)","H. Song; Department
of Nano & Semiconductor Engineering, Tech University of Korea, Siheung-si, 15073,
South Korea; email: [email protected]",,MDPI,,,,,,20763417,,,,English,Appl.
Sci.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85152701309
Kavinnilaa J.; Hemalatha E.; Jacob M.S.; Dhanalakshmi R.,"Kavinnilaa, J.
(57272058400); Hemalatha, E. (57271368800); Jacob, Minu Susan (57226791592);
Dhanalakshmi, R. (35753163100)",57272058400; 57271368800; 57226791592;
35753163100,Stock Price Prediction Based on LSTM Deep Learning Model,2021,"2021
International Conference on System, Computation, Automation and Networking, ICSCAN
2021",,,,,,,32,10.1109/ICSCAN53069.2021.9526491,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85115709163&doi=10.1109%2fICSCAN53069.2021.9526491&partnerID=40&md5=e482a913168084e
2316fa2b6ce229467,"KCG College of Technology, Tamilnadu, Chennai,
India","Kavinnilaa J., KCG College of Technology, Tamilnadu, Chennai, India;
Hemalatha E., KCG College of Technology, Tamilnadu, Chennai, India; Jacob M.S., KCG
College of Technology, Tamilnadu, Chennai, India; Dhanalakshmi R., KCG College of
Technology, Tamilnadu, Chennai, India","Predicting the stock market is either the
easiest or the toughest task in the field of computations. There are many factors
related to prediction, physical factors vs. physiological, rational and
irrational , capitalist sentiment, market , etc. All these aspects combine to make
stock costs volatile and are extremely tough to predict with high accuracy. The
prices of a stock market depend very much on demand and supply. High demand stocks
will increase in price while heavy selling stocks will decrease. Fluctuations in
stock prices affect investor perception and thus there is a need to predict future
share prices and to predict stock market prices to make more acquaint and precise
investment decisions. We examine data analysis in this domain as a game-changer.
This paper proposes that historical value bears the impact of all other market
events and can be used to predict future movement. Machine Learning techniques can
detect paradigms and insights that can be used to construct surprisingly correct
predictions. We propose the LSTM (Long Short Term Memory) model to examine the
future price of a stock. This paper is to predict stock market prices to make more
acquaint and precise investment decisions. © 2021 IEEE.",Deep Learning; LSTM;
Machine Learning; RNN,Commerce; Costs; Deep learning; Financial markets;
Forecasting; Learning systems; Long short-term memory; High-accuracy; Investment
decisions; Learning models; Machine learning techniques; Physical factors; Stock
market prices; Stock price; Stock price prediction; Investments,,,,,,,"Sharma A.,
Bhuriya D., Kaushal G., Singh U., Stock Market Prediction Using A Linear
Regression, International Conference on Electronics, Communication and Aerospace
Technology ICECA, (2017); Bairavel S., Krishnamurthy D.M., User preference and
reviews analysis with neural networks for travel recommender systems, International
Journal of Engineering Research and Technology, 13, 8, pp. 1896-1900, (2020); Devi
T.S., Dhanalakshmi R., Sankar S., An improved framework for sentiment analysis for
college reviews, International Journal of Advanced Trends in Computer Science and
Engineering, 9, 2, pp. 1959-1963, (2020); Dhanalakshmi R., Sri Devi T., Adaptive
cognitive intelligence in analyzing employee feedback using LSTM, Journal of
Intelligent and Fuzzy Systems, 39, 6, pp. 8069-8078, (2020); Mohmood H., Hossain
M.S., Short-term load forecasting using an lstm neural network, IEEE Network,
(2020); Shin H., Ra I., Choi Y., A Deep multimodal reinforcement learning system
combined with cnn and lstm for stock trading, International Conference on
Information and Communication Technology Convergence (ICTC), Korea, pp. 16-18,
(2019); Johnson M., Dhanalakshmi R., Predictive analysis based efficient routing of
smart garbage bins for effective waste management, International Journal of Recent
Technology and Engineering, 8, 3, pp. 5733-5739, (2019); Kalpana K., Kanipriya M.,
Krishnamurthy M., Bairavel S., Aspect based sentiment analysis for textual reviews
using fuzzy c-means clustering algorithm, International Journal of Applied
Engineering Research, 10, 10, pp. 25819-25829, (2015); Pahwa K., Agarwal N., Stock
market analysis using supervised machine learning, International Conference on
Machine Learning, Big Data, Cloud and Parallel Computing (Com-IT-Con), India,
(2019); Chen M., Gupta R., Sentiment analysis for stock price prediction, Computing
and Software Systems, School of STEM University of Washington Bothell Bothell,
(2020); Silva T.R., Li A.W., Pamplona E.O., Automated trading system for stock
index using lstm neural networks and risk management, International Joint
Conference on Neural Networks (IJCNN), United Kingdom, (2020); Praveen J.I.R.,
Varalakshmi P., An analysis on web-service-generated data to facilitate service
retrieval, Applied Mathematics & Information Sciences, 13, 1, pp. 47-55, (2019);
Zhang Y., Yang S., Prediction on the highest price of the stock based on pso-lstm
neural network, 3rd International Conference on Electronic Information Technology
and Computer Engineering (EITCE), China, (2019)",,,Institute of Electrical and
Electronics Engineers Inc.,,"2021 International Conference on System, Computation,
Automation and Networking, ICSCAN 2021",30 July 2021 through 31 July
2021,Puducherry,171607,,978-166543986-2,,,English,"Int. Conf. Syst., Comput.,
Autom. Netw., ICSCAN",Conference paper,Final,,Scopus,2-s2.0-85115709163
Pathak A.; Shetty N.P.,"Pathak, Ashish (57202954652); Shetty, Nisha P.
(57194613775)",57202954652; 57194613775,Indian Stock Market Prediction Using
Machine Learning and Sentiment Analysis,2019,Advances in Intelligent Systems and
Computing,711,,,595,603,8,30,10.1007/978-981-10-8055-5_53,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85049949998&doi=10.1007%2f978-981-10-8055-
5_53&partnerID=40&md5=c7d73b282094d97399a6f774a39c208f,"Manipal Institute of
Technology, Manipal University, Manipal, 576104, India","Pathak A., Manipal
Institute of Technology, Manipal University, Manipal, 576104, India; Shetty N.P.,
Manipal Institute of Technology, Manipal University, Manipal, 576104, India","Stock
market is a very volatile in-deterministic system with vast number of factors
influencing the direction of trend on varying scales and multiple layers. Efficient
Market Hypothesis (EMH) states that the market is unbeatable. This makes predicting
the uptrend or downtrend a very challenging task. This research aims to combine
multiple existing techniques into a much more robust prediction model which can
handle various scenarios in which investment can be beneficial. Existing techniques
like sentiment analysis or neural network techniques can be too narrow in their
approach and can lead to erroneous outcomes for varying scenarios. By combing both
techniques, this prediction model can provide more accurate and flexible
recommendations. Embedding technical indicators will guide the investor to minimize
the risk and reap better returns. © 2019, Springer Nature Singapore Pte
Ltd.",Machine learning; Sentiment analysis; Stock market; SVM,Artificial
intelligence; Commerce; Data mining; Financial markets; Forecasting; Learning
systems; Sentiment analysis; Deterministic systems; Efficient market hypothesis;
Neural network techniques; Number of factors; Prediction model; Robust predictions;
Stock market prediction; Technical indicator; Investments,,,,,,,"Hellstrom T.,
Holmstrom K., Predicting the Stock Market, (1998); Usmani M., Adil S.H., Raza K.,
Ali S.S.A., Stock market prediction using machine learning techniques, 3Rd
International Conference on Computer and Information Sciences (ICCOINS), Kuala
Lumpur, 2016, pp. 322-327, (2016); Cavalcante R.C., Oliveira A.L.I., An autonomous
trader agent for the stock market based on online sequential extreme learning
machine ensemble, International Joint Conference on Neural Networks (IJCNN),
Beijing, 2014, pp. 1424-1431, (2014); Yoo P.D., Kim M.H., Jan T., Financial
Forecasting: Advanced Machine Learning Techniques in Stock Market Analysis, 2005
Pakistan Section Multitopic Conference, pp. 1-7, (2005); Porshnev A., Redkin I.,
Shevchenko A., Machine Learning in Prediction of Stock Market Indicators Based on
Historical Data and Data from Twitter Sentiment Analysis, 2013 IEEE 13Th
International Conference on Data Mining Workshops, pp. 440-444, (2013); Rao D.,
Deng F., Jiang Z., Zhao G., Qualitative Stock Market Predicting with Common
Knowledge Based Nature Language Processing: A Unified View and Procedure, 2015 7Th
International Conference on Intelligent Human-Machine Systems and Cybernetics,
Hangzhou, pp. 381-384, (2015); Yoo P.D., Kim M.H., Jan T., Machine Learning
Techniques and Use of Event Information for Stock Market Prediction: A Survey and
Evaluation, International Conference on Computational Intelligence for Modelling,
Control and Automation and International Conference on Intelligent Agents, Web
Technologies and Internet Commerce (CIMCA-IAWTIC’06), pp. 835-841, (2005); Qasem
M., Thulasiram R., Thulasiram P., Twitter sentiment classification using machine
learning techniques for stock markets, 2015 International Conference on Advances in
Computing, Communications and Informatics (ICACCI), pp. 834-840, (2015)","A.
Pathak; Manipal Institute of Technology, Manipal University, Manipal, 576104,
India; email: [email protected]",Abraham A.; Behera H.S.; Naik B.; Nayak
J.,Springer Verlag,,"4th International Conference on Computational Intelligence in
Data Mining, ICCIDM 2017",11 November 2017 through 12 November
2017,Sambalpur,215679,21945357,978-981108054-8,,,English,Adv. Intell. Sys.
Comput.,Conference paper,Final,,Scopus,2-s2.0-85049949998
Tyagi A.K.; Abraham A.,"Tyagi, Amit Kumar (58100922500); Abraham, Ajith
(7202760099)",58100922500; 7202760099,Recurrent Neural Networks: Concepts and
Applications,2022,Recurrent Neural Networks: Concepts and
Applications,,,,1,396,395,27,10.1201/9781003307822,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85141063604&doi=10.1201%2f9781003307822&partnerID=40&md5=b566713bb58419c6dab9968b91
532d90,"School of Computer Science and Engineering, Vellore Institute of
Technology, Tamil Nadu, Chennai, India","Tyagi A.K., School of Computer Science and
Engineering, Vellore Institute of Technology, Tamil Nadu, Chennai, India; Abraham
A.","The text discusses recurrent neural networks for prediction and offers new
insights into the learning algorithms, architectures, and stability of recurrent
neural networks. It discusses important topics including recurrent and folding
networks, long short-term memory (LSTM) networks, gated recurrent unit neural
networks, language modeling, neural network model, activation function, feed-
forward network, learning algorithm, neural turning machines, and approximation
ability. The text discusses diverse applications in areas including air pollutant
modeling and prediction, attractor discovery and chaos, ECG signal processing, and
speech processing. Case studies are interspersed throughout the book for better
understanding. FEATURES Covers computational analysis and understanding of natural
languages Discusses applications of recurrent neural network in e-Healthcare
Provides case studies in every chapter with respect to real-world scenarios
Examines open issues with natural language, health care, multimedia (Audio/Video),
transportation, stock market, and logistics The text is primarily written for
undergraduate and graduate students, researchers, and industry professionals in the
fields of electrical, electronics and communication, and computer
engineering/information technology. © Ron Waddams / Bridgeman
Images.",,,,,,,,,,,,CRC Press,,,,,,,978-100062616-2; 978-103208164-
9,,,English,Recurrent Neural Networks: Concepts and
Applications,Book,Final,,Scopus,2-s2.0-85141063604
Gupta R.; Yadav A.K.; Jha S.K.; Pathak P.K.,"Gupta, Rahul (57695804100); Yadav,
Anil Kumar (37058062500); Jha, S.K. (37057283800); Pathak, Pawan Kumar
(57203080893)",57695804100; 37058062500; 37057283800; 57203080893,Time Series
Forecasting of Solar Power Generation Using Facebook Prophet and XG
Boost,2022,"2022 IEEE Delhi Section Conference, DELCON
2022",,,,,,,31,10.1109/DELCON54057.2022.9752916,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85129429087&doi=10.1109%2fDELCON54057.2022.9752916&partnerID=40&md5=1215dd1db7df74c
004016546c8d59d24,"Nsut, Department of Electrical Engineering, New Delhi, 110078,
India; Nit Hamirpur, Department of Electrical Engineering, (H.P.), Hamirpur,
177005, India; Nsut, Department of Ice, New Delhi, 110078, India; Banasthali
Vidyapith, School of Automation, Rajasthan, 304022, India","Gupta R., Nsut,
Department of Electrical Engineering, New Delhi, 110078, India; Yadav A.K., Nit
Hamirpur, Department of Electrical Engineering, (H.P.), Hamirpur, 177005, India;
Jha S.K., Nsut, Department of Ice, New Delhi, 110078, India; Pathak P.K.,
Banasthali Vidyapith, School of Automation, Rajasthan, 304022, India","In recent
years solar energy penetration in local grids is increasing, resulting in a
reduction in reliability, so smart grid planning is required to improve grid
reliability and leverage the grid's capabilities. Due to the increasing, no of
solar power plants, day by day in the energy sector, and reduction of dependency on
fossil fuels, prediction of solar power generation is necessary for future planning
for smart grid integration. Forecasting techniques are employed to tackle a wide
range of problems, such as renewable energy generation, electric load and price,
demand-side management, the financial & banking sector, healthcare, stock market,
and cyberspace security prediction, etc. In the time-series dataset, there is
information related to the time that can be used to predict and analyze data.
Machine Learning algorithms such as Facebook (FB) Prophet and Extreme Gradient
Boost (XGB) are used for predicting solar energy generation on a monthly and weekly
basis. From this proposed research, it concluded that the XGB model is efficient to
forecast in terms of better prediction and better fitting than the FB prophet
model. RMSE, MAPE, and MAE parameters are calculated to check the performance of
the time series model. © 2022 IEEE.",Facebook Prophet; Time series forecasting; XG
Boost,Electric power transmission networks; Energy policy; Fossil fuels; Learning
algorithms; Machine learning; Power markets; Smart power grids; Social networking
(online); Solar energy; Solar power generation; Solar power plants; Time series; %
reductions; Energy sector; Facebook; Facebook prophet; Grid planning; Grid
reliability; Local grids; Smart grid; Time series forecasting; XG boost;
Forecasting,,,,,,,"Bansal M., Kumar A., Virmani A., Green IoT: Current Scenario &
Future Prospects, Journal of trends in Computer Science and Smart technology
(TCSST), 2, 4, pp. 173-180, (2020); Shah R., Mithulananthan N., Bansal R.C.,
Ramachandaramurthy V.K., A review of key power system stability challenges for
large-scale PV integration, Renewable and Sustainable Energy Reviews, 41, pp. 1423-
1436, (2015); Hossain E., Hossain J., Un-Noor F., Utility grid: Present challenges
and their potential solutions, IEEE Access, 6, pp. 60294-60317, (2018); Agoua X.G.,
Girard R., Kariniotakis G., Short-term spatiotemporal forecasting of photovoltaic
power production, IEEE Transactions on Sustainable Energy, 9, 2, pp. 538-546,
(2017); Nespoli A., Ogliari E., Leva S., Massi Pavan A., Mellit A., Lughi V.,
Dolara A., Day-ahead photovoltaic forecasting: A comparison of the most effective
techniques, Energies, 12, 9, (2019); Li Y., He Y., Su Y., Shu L., Forecasting the
daily power output of a grid-connected photovoltaic system based on multivariate
adaptive regression splines, Applied Energy, 180, pp. 392-401, (2016); Malvoni M.,
De Giorgi M.G., Congedo P.M., Data on Support Vector Machines (SVM) model to
forecast photovoltaic power, Data in brief, 9, pp. 13-16, (2016); Pathak P.K.,
Yadav A.K., Alvi P.A., Advanced solar MPPT techniques under uniform and non-uniform
irradiance: A comprehensive review, Journal of Solar Energy Engineering, 142, 4,
(2020); Siami-Namini S., Tavakoli N., Siami Namin A., A Comparison of ARIMA and
LSTM in Forecasting Time Series, Proceedings-17th IEEE International Conference on
Machine Learning and Applications, ICMLA, pp. 1394-1401, (2018); Zang H., Cheng L.,
Ding T., Cheung K.W., Wei Z., Sun G., Day-ahead photovoltaic power forecasting
approach based on deep convolutional neural networks and meta learning,
International Journal of Electrical Power & Energy Systems, 118, (2020); Ananthu
D.P., Neelashetty K., A study of 100kWp PV Plant Output Power Forecasting: A case
study, 2021 5th International Conference on Computing Methodologies and
Communication (ICCMC), pp. 723-728, (2021); Wang F., Yu Y., Zhang Z., Li J., Zhen
Z., Li K., Wavelet decomposition and convolutional LSTM networks based improved
deep learning model for solar irradiance forecasting, applied sciences, 8, 8,
(2018); Husein M., Chung I.Y., Day-ahead solar irradiance forecasting for
microgrids using a long short-term memory recurrent neural network: A deep learning
approach, Energies, 12, 10, (2019); Sharma A., Kakkar A., Forecasting daily global
solar irradiance generation using machine learning, Renewable and Sustainable
Energy Reviews, 82, pp. 2254-2269, (2018); Agbulut U., Gurel A.E., Bicen Y.,
Prediction of daily global solar radiation using different machine learning
algorithms: Evaluation and comparison, Renewable and Sustainable Energy Reviews,
135, (2021); Tang N., Mao S., Wang Y., Nelms R.M., Solar power generation
forecasting with a LASSO-based approach, IEEE Internet of Things Journal, 5, 2, pp.
1090-1099, (2018); Wang J., Zhong H., Lai X., Xia Q., Wang Y., Kang C., Exploring
key weather factors from analytical modeling toward improved solar power
forecasting, IEEE Transactions on Smart Grid, 10, 2, pp. 1417-1427, (2017); Oneto
L., Laureri F., Robba M., Delfino F., Anguita D., Data-driven photovoltaic power
production nowcasting and forecasting for polygeneration microgrids, IEEE Systems
Journal, 12, 3, pp. 2842-2853, (2017); Pathak P.K., Yadav A.K., Alvi P.A., A state-
of-the-art review on shading mitigation techniques in solar photovoltaics via
metaheuristic approach, Neural Computing and Applications, 34, 1, pp. 171-209,
(2022); Pathak P.K., Padmanaban S., Yadav A.K., Alvi P.A., Khan B., Modified
incremental conductance MPPT algorithm for SPV-based grid-tied and stand-alone
systems, IET Generation, Transmission & Distribution, 16, 4, pp. 776-791, (2022);
Antonanzas J., Osorio N., Escobar R., Urraca R., Martinez-De-Pison F.J.,
Antonanzas-Torres F., Review of photovoltaic power forecasting, Solar energy, 136,
pp. 78-111, (2016); Li L.L., Wen S.Y., Tseng M.L., Wang C.S., Renewable energy
prediction: A novel short-term prediction model of photovoltaic output power,
Journal of Cleaner Production, 228, pp. 359-375, (2019); Taylor S.J., Letham B.,
Forecasting at scale, (2017); Chen T., He T., Benesty M., Khotilovich V., Tang Y.,
Cho H., Li Y., xgboost: Extreme gradient boosting. R package version 0. 90, (2019);
Al-Rakhami M., Gumaei A., Alsanad A., Alamri A., Hassan M.M., An ensemble learning
approach for accurate energy load prediction in residential buildings, IEEE Access,
7, pp. 48328-48338, (2019); Pathak P.K., Yadav A.K., Tyagi P., Design of three
phase grid tied solar photovoltaic system based on three phase VSI, 2018 8th IEEE
India International Conference on Power Electronics (IICPE), pp. 1-6,
(2018)",,,Institute of Electrical and Electronics Engineers Inc.,,"2022 IEEE Delhi
Section Conference, DELCON 2022",11 February 2022 through 13 February
2022,"Virtual, Online",178847,,978-166545883-2,,,English,"IEEE Delhi Sect. Conf.,
DELCON",Conference paper,Final,,Scopus,2-s2.0-85129429087
Kabulova J.; Stankevičienė J.,"Kabulova, Jelena (57220482515); Stankevičienė,
Jelena (55632120400)",57220482515; 55632120400,Valuation of FinTech innovation
based on patent applications,2020,Sustainability
(Switzerland),12,23,10158,1,14,13,25,10.3390/su122310158,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85097321493&doi=10.3390%2fsu122310158&partnerID=40&md5=9e9b01512349f99a4eaaf94a1d75
36ec,"Faculty of Business Management, Vilnius Gediminas Technical University,
Faculty of Business Management, Saulėtekio al. 11, Vilnius, LT-10223,
Lithuania","Kabulova J., Faculty of Business Management, Vilnius Gediminas
Technical University, Faculty of Business Management, Saulėtekio al. 11, Vilnius,
LT-10223, Lithuania; Stankevičienė J., Faculty of Business Management, Vilnius
Gediminas Technical University, Faculty of Business Management, Saulėtekio al. 11,
Vilnius, LT-10223, Lithuania","The financial services sector, perhaps more than any
other, is being disrupted by advances in technology. The purpose of this study is
to provide comprehensive data and evidence on value of the FinTech innovation
event. First, a text-based filtering method for identifying FinTech patent
applications is provided. Using machine learning applications, innovations are
classified into major technology groups. The methodology for valuation of FinTech
innovation is based on data of stock price changes. To assess the value impact,
Poisson flow rates and stock price movements were combined. Further, to evaluate
the effect of FinTech patents on the company's value, a combination of CAR of
patent application and Poisson intensities were used. Research findings provide
evidence that FinTech innovations bring significant value for innovators and
Blockchain being especially valuable. Such innovations as blockchain, robo-advising
and mobile transactions are the most valuable for the financial sector. On one side
of the spectrum, the financial industry can be affected more negatively by the
innovation of nonfinancial startups that carry disruptive technology at their core.
However, on the other side of the spectrum, market leaders who make significant
investments in their innovations can evade most of these negative effects. This
helped to form an overall view of FinTech innovations. © 2020 by the authors.
Licensee MDPI, Basel, Switzerland.",FinTech innovation; Patent application;
Valuation,financial services; innovation; machine learning; price dynamics; stock
market; valuation,,,,,,,"Buehler K., Chiarella D., Heidegger H., Lemerle M., Lal
A., Moon J., Beyond the Hype: Blockchains in Capital Markets, (2015); Harrist M.,
How Fintech Is Powering The Global Economy, (2017); The Fintech Revolution. A Wave
of Startups Is Changing Finance for the Better. The Economist, (2015); Nash K.S.,
Big Banks Stake Fintech Claims with Patent Application Surge, Wall Street Journal,
(2016); Russo C., Goldman and Google are among the most Active Blockchain
Investors, (2017); Pollari I., Ruddenklau A., The Pulse of Fintech H1 2019, 2019
bi-Annual Analysis of Global Investment Trends in the Fintech Sector, (2019); Bates
S., Ellis A., A Changing Perspective. Harvey Nash CIO Survey 2019; Casey M., Crane
J., Gensler G., Johnson S., Narula N., The Impact of Blockchain Technology on
Finance: A Catalyst for Change, (2019); Gonzalez L.O., Gil L.I.R., Cunill O.M.,
Lindahl J.M.M., The effect of financial innovation on European banks' risk, J. Bus.
Res, 69, pp. 4781-4786, (2016); Beck T., Chen T., Lin C., Song F., Financial
innovation: The bright and the dark sides, J. Bank. Finance, 72, pp. 28-51, (2016);
Yang M., He Y., How does the stock market react to financial innovation
regulations?, Finance Res. Lett, 30, pp. 259-265, (2019); Lerner J., Patent
protection and innovation over 150 years, Natl. Bur. Econ. Res, 97, pp. 1-40,
(2002); Citanna A., Schmedders K., Excess price volatility and financial
innovation, Econ. Theory, 26, pp. 559-587, (2005); Innovation Impacts: Measurement
and Assessment, The Expert Panel on the Socio-Eco-Nomic Impacts of Innovation
Investments, pp. 1-148, (2015); What Is FinTech?, (2019); Chan R., Asian Regulators
Seek FinTech Balance, (2018); Decentralised Financial Technologies: Report on
Financial Stability, Regulatory and Governance Implications, (2019); FinTech Action
Plan: For a More Competitive and Innovative European Financial Sector, (2018);
Lavender J., Pollari I., Raisbeck M., Hughes B., Speier A., The Pulse of Fintech Q4
2017—Global Analysis of Investment in Fintech, pp. 1-80, (2017); Christensen C.,
Raynor M., The Innovator's Solution: Creating and Sustaining Successful Growth,
(2013); Nicholas T., Does Innovation Cause Stock Market Runups? Evidence from the
Great Crash, Am. Econ. Rev, 98, pp. 1370-1396, (2008); Kogan L., Papanikolaou D.,
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Pezzotta G., Pinto R., A Patent Review on Machine Learning Techniques and
Applications: Depicting Main Players, Relations and Technology Landscapes,
Proceedings of the XXIII Summer School Francesco Turco, (2018)","J. Kabulova;
Faculty of Business Management, Vilnius Gediminas Technical University, Faculty of
Business Management, Vilnius, Saulėtekio al. 11, LT-10223, Lithuania; email:
[email protected]",,Multidisciplinary Digital Publishing Institute
(MDPI),,,,,,20711050,,,,English,Sustainability,Article,Final,All Open Access; Gold
Open Access,Scopus,2-s2.0-85097321493
Chang V.; Li T.; Zeng Z.,"Chang, Victor (56926234700); Li, Taiyu (57209346187);
Zeng, Zhiyang (57210553641)",56926234700; 57209346187; 57210553641,Towards an
improved Adaboost algorithmic method for computational financial
analysis,2019,Journal of Parallel and Distributed
Computing,134,,,219,232,13,27,10.1016/j.jpdc.2019.07.014,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85070903370&doi=10.1016%2fj.jpdc.2019.07.014&partnerID=40&md5=a4cbc6fee830d026596ed
c91dfb0c87c,"School of Computing and Digital Technologies, Teesside University,
Middlesbrough, United Kingdom; International Business School Suzhou, Xi'an
Jiaotong-Liverpool University, Suzhou, China","Chang V., School of Computing and
Digital Technologies, Teesside University, Middlesbrough, United Kingdom; Li T.,
International Business School Suzhou, Xi'an Jiaotong-Liverpool University, Suzhou,
China; Zeng Z., International Business School Suzhou, Xi'an Jiaotong-Liverpool
University, Suzhou, China","Machine learning can process data intelligently,
perform learning tasks and predict possible outputs in time series. This paper
presents the use of our proposed machine learning algorithm; an Adaptive Boosting
(Adaboost) algorithm, in analyzing and forecasting financial nonstationary data,
and demonstrating its feasibility in financial trading. The data of future
contracts are used in our analysis. The future used to test the Adaboost algorithm
is a contract chosen to study future IF1711, which is combined by “HS300 index and
Rb”, the deformed steel bar future in Chinese stock market. The predicted data is
compared with real world data to calculate accuracy and efficiency. The Adaboost
algorithm is combined with an Average True Range–Relative Strength Index (ATR–RSI)
strategy, so that it can be applied in automatic trading and therefore demonstrate
its practical application We develop three additional algorithms to enable
optimization, large sale simulations and comparing both the predicted and actual
pricing values. We performed experiments and large scale simulations to justify our
work. We have tested the accuracy and validity of our approach to improve its
quality. In summary, our analysis and results show that our improved Adaboost
algorithms may have useful and practical implications in nonstationary data
analysis. © 2019 Elsevier Inc.",Adaptive boosting algorithm; ATR–RSI strategy;
Back-propagation algorithm; Machine learning; Nonstationary data; Nonstationary
time series,Adaptive boosting; Backpropagation algorithms; Commerce; Electronic
trading; Financial markets; Learning systems; Time series; Adaptive boosting
algorithms; Algorithmic methods; Chinese stock market; Deformed steel bar; Large
scale simulations; Non-stationary time series; Nonstationary data; Relative
strength index; Machine learning,,,,,,,"Auer P., Cesa-Bianchi N., Freund Y.,
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(2016)","V. Chang; School of Computing and Digital Technologies, Teesside
University, Middlesbrough, United Kingdom; email:
[email protected]",,Academic Press
Inc.,,,,,,7437315,,JPDCE,,English,J. Parallel Distrib. Comput.,Article,Final,All
Open Access; Green Open Access,Scopus,2-s2.0-85070903370
Drobetz W.; Otto T.,"Drobetz, Wolfgang (22034332900); Otto, Tizian
(57211918297)",22034332900; 57211918297,Empirical asset pricing via machine
learning: evidence from the European stock market,2021,Journal of Asset
Management,22,7,,507,538,31,26,10.1057/s41260-021-00237-x,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85119007473&doi=10.1057%2fs41260-021-00237-
x&partnerID=40&md5=d4d136306a05261932879da9150f5bb9,"Faculty of Business
Administration, University of Hamburg, Moorweidenstr. 18, Hamburg, 20148,
Germany","Drobetz W., Faculty of Business Administration, University of Hamburg,
Moorweidenstr. 18, Hamburg, 20148, Germany; Otto T., Faculty of Business
Administration, University of Hamburg, Moorweidenstr. 18, Hamburg, 20148,
Germany","This paper evaluates the predictive performance of machine learning
methods in forecasting European stock returns. Compared to a linear benchmark
model, interactions and nonlinear effects help improve the predictive performance.
But machine learning models must be adequately trained and tuned to overcome the
high dimensionality problem and to avoid overfitting. Across all machine learning
methods, the most important predictors are based on price trends and fundamental
signals from valuation ratios. However, the models exhibit substantial variation in
statistical predictive performance that translate into pronounced differences in
economic profitability. The return and risk measures of long-only trading
strategies indicate that machine learning models produce sizeable gains relative to
our benchmark. Neural networks perform best, also after accounting for transaction
costs. A classification-based portfolio formation, utilizing a support vector
machine that avoids estimating stock-level expected returns, performs even better
than the neural network architecture. © 2021, The Author(s).",Active trading
strategy; Machine learning; Stock return prediction,,,,,,,,"Asgharian H., Karlsson
S., Evaluating a Non-Linear Asset Pricing Model on International Data,
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Administration, University of Hamburg, Hamburg, Moorweidenstr. 18, 20148, Germany;
email: [email protected]",,Palgrave Macmillan,,,,,,14708272,,,,English,J.
Asset Manage.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85119007473
Fabbri M.; Moro G.,"Fabbri, Mirco (57210791230); Moro, Gianluca
(8702087400)",57210791230; 8702087400,Dow Jones Trading with Deep Learning: The
Unreasonable Effectiveness of Recurrent Neural Networks,2018,"DATA 2018 -
Proceedings of the 7th International Conference on Data Science, Technology and
Applications",,,,142,153,11,27,10.5220/0006922101420153,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85063988007&doi=10.5220%2f0006922101420153&partnerID=40&md5=44da4abe8769a9ddca39989
073844062,"Department of Computer Science and Engineering (DISI), University of
Bologna, Via Cesare Pavese, Cesena, I-47522, Italy","Fabbri M., Department of
Computer Science and Engineering (DISI), University of Bologna, Via Cesare Pavese,
Cesena, I-47522, Italy; Moro G., Department of Computer Science and Engineering
(DISI), University of Bologna, Via Cesare Pavese, Cesena, I-47522, Italy","Though
recurrent neural networks (RNN) outperform traditional machine learning algorithms
in the detection of long-term dependencies among the training instances, such as in
term sequences in sentences or among values in time series, surprisingly few
studies so far have deployed concrete solutions with RNNs for the stock market
trading. Presumably the current difficulties of training RNNs have contributed to
discourage their wide adoption.This work presents a simple but effective solution,
based on a deep RNN, whose gains in trading with Dow Jones Industrial Average
(DJIA) outperform the state-of-the-art, moreover the gain is 50% higher than that
produced by similar feed forward deep neural networks. The trading actions are
driven by the predictions of the price movements of DJIA, using simply its publicly
available historical series. To improve the reliability of results with respect to
the literature, we have experimented the approach on a long consecutive period of
18 years of historical DJIA series, from 2000 to 2017. In 8 years of trading in the
test set period from 2009 to 2017, the solution has quintupled the initial capital,
moreover since DJIA has on average an increasing trend, we also tested the approach
with a decreasing averagely trend by simply inverting the same historical series of
DJIA. In this extreme case, in which hardly any investor would risk money, the
approach has more than doubled the initial capital. Copyright © 2018 by SCITEPRESS-
Science and Technology Publications, Lda. All rights reserved.",Deep learning; Dow
jones; Lstm; Quantitative finance; Recurrent neural network; Stock market
prediction; Trading,Commerce; Deep learning; Deep neural networks; Electronic
trading; Feedforward neural networks; Financial markets; Investments; Learning
algorithms; Machine learning; Dow Jones; Dow Jones Industrial averages; Long-term
dependencies; Lstm; Recurrent neural network (RNN); Reliability of results; Stock
market prediction; Trading; Recurrent neural networks,,,,,"Horizon 2020 Framework
Programme, H2020, (688797)",,"Abe M., Nakayama H., Deep learning for forecasting
stock returns in the cross-section, ArXiv Preprint ArXiv:1801.01777, (2018); Akita
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123-131, (2010); Tetlock P.C., Giving content to investor sentiment: The role of
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(2017); Financial Statement-Wikipedia, the Free Encyclopedia, (2018); Dow Jones
Industrial Average, (2000)",,Bernardino J.; Quix C.,SciTePress,"Institute for
Systems and Technologies of Information, Control and Communication (INSTICC)","7th
International Conference on Data Science, Technology and Applications, DATA
2018",26 July 2018 through 28 July 2018,Porto,150353,,978-989758318-
6,,,English,"DATA - Proc. Int. Conf. Data Sci., Technol. Appl.",Conference
paper,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-85063988007
Subasi A.; Amir F.; Bagedo K.; Shams A.; Sarirete A.,"Subasi, Abdulhamit
(8327241200); Amir, Faria (57386671000); Bagedo, Kholoud (57386306300); Shams,
Asmaa (57219692143); Sarirete, Akila (24822942100)",8327241200; 57386671000;
57386306300; 57219692143; 24822942100,Stock Market Prediction Using Machine
Learning,2021,Procedia Computer
Science,194,,,173,179,6,27,10.1016/j.procs.2021.10.071,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85121799440&doi=10.1016%2fj.procs.2021.10.071&partnerID=40&md5=fe12c8b27ce27e6fe8cd
db16101d734c,"Department of Computer Science, College of Engineering, Effat
University, Jeddah, 21478, Saudi Arabia","Subasi A., Department of Computer
Science, College of Engineering, Effat University, Jeddah, 21478, Saudi Arabia;
Amir F., Department of Computer Science, College of Engineering, Effat University,
Jeddah, 21478, Saudi Arabia; Bagedo K., Department of Computer Science, College of
Engineering, Effat University, Jeddah, 21478, Saudi Arabia; Shams A., Department of
Computer Science, College of Engineering, Effat University, Jeddah, 21478, Saudi
Arabia; Sarirete A., Department of Computer Science, College of Engineering, Effat
University, Jeddah, 21478, Saudi Arabia","Due to the complex nature of stock market
prediction, it has been a trending area of interest. This paper presents a
comparison of the prediction by inputting different classifiers. Furthermore, the
results of the comparison are done on an accuracy basis. Each machine learning
algorithm is tested against the National Association of Securities Dealers
Automated Quotations System (NASDAQ), New York Stock Exchange (NYSE), Nikkei, and
Financial Times Stock Exchange (FTSE). Furthermore, several machine learning
algorithms are compared with a normal and a leaked data set. © 2021 The Authors.
Published by Elsevier B.V.",FTSE; Machine learning; NASDAQ; Nikkei; NYSE; Stock
market,Commerce; Electronic trading; Financial markets; Learning algorithms;
Machine learning; Complex nature; Financial time stock exchanges; Machine learning
algorithms; Machine-learning; National association of security dealer automated
quotation system; New York Stock Exchange; Nikkei; Quotation systems; Stock market;
Stock market prediction; Forecasting,,,,,"Effat University, EFFAT","The authors
gratefully acknowledge the support from the College of Engineering at Effat
University, Jeddah, Arabia as well as the technical support by Dr. Tayeb
Brahimi.","Alpaydin E., Introduction to Machine Learning, (2014); Ballings M., Van
Den Poel D., Hespeels N., Gryp R., Evaluating multiple classifiers for stock price
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Explained Using R, (2014); Fischer T., Krauss C., Deep learning with long short-
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procedure for daily stock market return forecasting, Neurocomputing, 267, pp. 152-
168, (2017)","A. Subasi; Department of Computer Science, College of Engineering,
Effat University, Jeddah, 21478, Saudi Arabia; email:
[email protected]",Sarirete A.; Balfagih Z.; Brahimi T.; Mousa
M.E.A.,Elsevier B.V.,,"18th International Learning and Technology Conference, L and
T 2021",28-Jan-21,"Virtual, Online",175363,18770509,,,,English,Procedia Comput.
Sci.,Conference paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85121799440
Qiu Y.; Yang H.-Y.; Lu S.; Chen W.,"Qiu, Yue (57214161452); Yang, Hao-Yu
(57215845653); Lu, Shan (55017206600); Chen, Wei (57212625483)",57214161452;
57215845653; 55017206600; 57212625483,A novel hybrid model based on recurrent
neural networks for stock market timing,2020,Soft
Computing,24,20,,15273,15290,17,27,10.1007/s00500-020-04862-3,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85082068728&doi=10.1007%2fs00500-020-04862-
3&partnerID=40&md5=4141b8859e20db9b56f30084be786b6a,"School of Management and
Engineering, Capital University of Economics and Business, Beijing, China","Qiu Y.,
School of Management and Engineering, Capital University of Economics and Business,
Beijing, China; Yang H.-Y., School of Management and Engineering, Capital
University of Economics and Business, Beijing, China; Lu S., School of Management
and Engineering, Capital University of Economics and Business, Beijing, China; Chen
W., School of Management and Engineering, Capital University of Economics and
Business, Beijing, China","Stock market timing is regarded as a challenging task of
financial prediction. An accurate prediction of stock trend can yield great profits
for investors. At present, recurrent neural networks (RNNs) have a good performance
in stock market forecasting. However, there has been a relative lack of research in
the stock market timing using RNNs. In this paper, a novel model named hybrid RNN
model is proposed for stock market timing by incorporating multi-layer long short-
term memory, multi-layer gated recurrent unit and one-layer ReLU layer. Moreover,
based on five popular benchmark datasets from UCI Machine Learning Repository and
six daily securities from Shanghai Stock Exchange, comparisons with 12 state-of-
the-art models are conducted to verify the superiority of the proposed hybrid RNN
model in terms of nine technical indicators. The findings from the experiment
demonstrate that: (1) as opposed to 12 models, the average accuracy, MSE and AUC of
hybrid RNN model (0.7406, 0.2592, 0.7368) are significantly better than other
comparison models, and (2) the proposed hybrid RNN classification procedure can be
considered as a feasible and effective tool for stock market timing. © 2020,
Springer-Verlag GmbH Germany, part of Springer Nature.",Classification; Deep
learning; GRU; LSTM; RNN; Stock market timing,Classification (of information);
Commerce; Deep learning; Electronic trading; Financial markets; Forecasting;
Investments; Timing circuits; Classification procedure; Financial prediction; LSTM;
Recurrent neural network (RNNs); Shanghai stock exchanges; Stock market
forecasting; Stock market timings; UCI machine learning repository; Long short-term
memory,,,,,"GreatWall Scholar Training Program of Beijing Municipality,
(CIT&TCD20190338); Humanity and Social Science Foundation of Ministry of Education
of China; Beijing Social Science Fund, (18YJB007); Humanities and Social Sciences
Youth Foundation, Ministry of Education of the People's Republic of China,
(19YJAZH005)","Funding text 1: This research was supported by the GreatWall Scholar
Training Program of Beijing Municipality (CIT&TCD20190338), the Humanity and Social
Science Foundation of Ministry of Education of China (No. 19YJAZH005), the Beijing
Social Science Fund (No. 18YJB007).; Funding text 2: This research was supported by
the GreatWall Scholar Training Program of Beijing Municipality (CIT&TCD20190338),
the Humanity and Social Science Foundation of Ministry of Education of China (No.
19YJAZH005), the Beijing Social Science Fund (No. 18YJB007). ","Ahmadi E., Jasemi
M., Monplaisir L., Nabavi M.A., Mahmoodi A., Jam P.A., New efficient hybrid
candlestick technical analysis model for stock market timing on the basis of the
Support Vector Machine and Heuristic Algorithms of Imperialist Competition and
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Knowl-Based Syst, 164, pp. 163-173, (2019); Luo C., Jiang Z.P., Zheng Y.J., A novel
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X.G., Wen F.H., Zhong M.R., A new approach for stock price analysis and prediction
based on SSA and SVM, Int J Inf Technol Decis Mak, 18, 1, pp. 287-310, (2019); Xu
Q.F., Zhuo X.X., Jiang C.X., Liu Y.E., An artificial neural network for mixed
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1658-1674, (2019)","W. Chen; School of Management and Engineering, Capital
University of Economics and Business, Beijing, China; email:
[email protected]",,Springer Science and Business Media Deutschland
GmbH,,,,,,14327643,,,,English,Soft Comput.,Article,Final,,Scopus,2-s2.0-85082068728
Rana M.; Uddin Md.M.; Hoque Md.M.,"Rana, Masud (57205303004); Uddin, Md. Mohsin
(57215586209); Hoque, Md. Mohaimnul (57215816220)",57205303004; 57215586209;
57215816220,Effects of activation functions and optimizers on stock price
prediction using LSTM recurrent networks,2019,ACM International Conference
Proceeding Series,,,,354,358,4,27,10.1145/3374587.3374622,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85081984782&doi=10.1145%2f3374587.3374622&partnerID=40&md5=69b9aec116133b97d931de64
af03040f,"Department of Computer Science and Engineering, East West University,
Dhaka, Bangladesh","Rana M., Department of Computer Science and Engineering, East
West University, Dhaka, Bangladesh; Uddin Md.M., Department of Computer Science and
Engineering, East West University, Dhaka, Bangladesh; Hoque Md.M., Department of
Computer Science and Engineering, East West University, Dhaka, Bangladesh","In
stock exchange market, investors need to decide which shares to buy based on their
future market value. Because of the variable market, it is obligatory to have a
reliable prediction of the values of the stocks. Now-a-days the machine learning
system can forecast well than the contemporary stock prediction methods. Machine
learning system provides a scientific demonstration based on sample data to
forecast. In this work, Linear Regression (LR), Support Vector Regression (SVR)
and, Long Short-Term Memory (LSTM) algorithms are used to predict stock market
prediction. Among the several features, the most important feature has been
selected by using the feature selection algorithm, which is closing price. The
effects of different activation functions and optimizers are experimented on stock
price prediction using LSTM networks. © 2019 Association for Computing
Machinery.",Activation function; Closing price; Feature selection; Linear
regression; LSTM; Optimizer; Support vector regression,Chemical activation;
Commerce; Electronic trading; Feature extraction; Financial markets; Forecasting;
Investments; Linear regression; Machine learning; Multimedia systems; Support
vector regression; Activation functions; Closing price; Feature selection
algorithm; LSTM; Optimizers; Stock market prediction; Stock price prediction;
Support vector regression (SVR); Long short-term memory,,,,,,,"Ray R., Khandelwal
P., Baranidharan B., A survey on stock market prediction using artificial
intelligence techniques, 2018 International Conference on Smart Systems and
Inventive Technology (ICSSIT). IEEE, pp. 594-598, (2018); Ghaemi M., Feizi-
Derakhshi M., Feature selection using forest optimization algorithm, Pattern
Recognition, 60, pp. 121-129, (2016); Bhuriya D., Kaushal G., Sharma A., Singh U.,
Stock market predication using a linear regression, 2017 International Conference
of Electronics, Communication and Aerospace Technology (ICECA), 2, pp. 510-513,
(2017); Yeh C., Huang C., Lee S., A multiple-kernel support vector regression
approach for stock market price forecasting, Expert Systems with Applications, 38,
3, pp. 2177-2186, (2011); Heryadi Y., Warnars H.L.H.S., Learning temporal
representation of transaction amount for fraudulent trans-action recognition using
cnn, stacked lstm, and cnn-lstm, 2017 IEEE International Conference on Cybernetics
and Computational Intelligence (CyberneticsCom). IEEE, pp. 84-89, (2017); Lee S.,
Ha J., Zokhirova M., Moon H., Lee J., Background information of deep learning for
structural engineering, Archives of Computational Methods in Engineer-ing, 25, 1,
pp. 121-129, (2018); Viet Hung T., Quang Viet V., Van Thuat D., A deep learning-
based procedure for estimation of ultimate load carrying of steel trusses using
advanced analysis, Journal of Science and Technology in Civil Engineering (STCE)-
NUCE13, 3, pp. 113-123, (2019); Bouktif S., Fiaz A., Ouni A., Serhani M., Optimal
deep learning lstm model for electric load forecasting using feature selection and
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for Computing Machinery,Beijing Computer Federation,"3rd International Conference
on Computer Science and Artificial Intelligence, CSAI 2019 and its Workshop - The
11th International Conference on Information and Multimedia Technology, ICIMT
2019",6 December 2019 through 8 December 2019,Beijing,158076,,978-145037627-
3,,,English,ACM Int. Conf. Proc. Ser.,Conference paper,Final,,Scopus,2-s2.0-
85081984782
Alsubaie Y.; Hindi K.E.; Alsalman H.,"Alsubaie, Yazeed (59014925200); Hindi, Khalil
El (8361746000); Alsalman, Hussain (57193675119)",59014925200; 8361746000;
57193675119,Cost-Sensitive Prediction of Stock Price Direction: Selection of
Technical Indicators,2019,IEEE
Access,7,,8861031,146876,146892,16,32,10.1109/ACCESS.2019.2945907,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85078915445&doi=10.1109%2fACCESS.2019.2945907&partnerID=40&md5=69c6416501e70e96b5b4
b61978939f16,"Department of Computer Science, College of Computer and Information
Sciences, King Saud University, Riyadh, 11543, Saudi Arabia","Alsubaie Y.,
Department of Computer Science, College of Computer and Information Sciences, King
Saud University, Riyadh, 11543, Saudi Arabia; Hindi K.E., Department of Computer
Science, College of Computer and Information Sciences, King Saud University,
Riyadh, 11543, Saudi Arabia; Alsalman H., Department of Computer Science, College
of Computer and Information Sciences, King Saud University, Riyadh, 11543, Saudi
Arabia","Stock market forecasting using technical indicators (TIs) is widely
applied by investors and researchers. Using a minimal number of input features is
crucial for successful prediction. However, there is no consensus about what
constitutes a suitable collection of TIs. The choice of TIs suitable for a given
forecasting model remains an area of active research. This study presents a
detailed investigation of the selection of a minimal number of relevant TIs with
the aim of increasing accuracy, reducing misclassification cost, and improving
investment return. Fifty widely used TIs were ranked using five different feature
selection methods. Experiments were conducted using nine classifiers, with several
feature selection methods and various alternatives for the number of TIs. A
proposed cost-sensitive fine-tuned naïve Bayes classifier managed to achieve better
overall investment performance than other classifiers. Experiments were conducted
on datasets consisting of daily time series of 99 stocks and the TASI market index.
© 2019 IEEE.",Cost-sensitive; feature selection; machine learning; market trend;
prediction; stock market; technical indicators,Commerce; Feature extraction;
Financial markets; Forecasting; Investments; Learning systems; Cost-sensitive;
Feature selection methods; Forecasting modeling; Investment performance; Market
trends; Misclassification costs; Stock market forecasting; Technical indicator;
Costs,,,,,"Deanship of Scientific Research; RSSU; King Saud University, KSU, (RG-
1439-035); King Saud University, KSU; Deanship of Scientific Research, King Saud
University","This work was supported by the Deanship of Scientific Research and
RSSU, King Saud University through the Research Group under Grant RG-1439-
035.","Board R.S., Artificial Intelligence and Machine Learning in Financial
Services; Shynkevich Y., McGinnity T.M., Coleman S.A., Belatreche A., Li Y.,
Forecasting price movements using technical indicators: Investigating the impact of
varying input window length, Neurocomputing, 264, pp. 71-88, (2017); Kara Y.,
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237-246, (2014)","K.E. Hindi; Department of Computer Science, College of Computer
and Information Sciences, King Saud University, Riyadh, 11543, Saudi Arabia; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85078915445
Fathali Z.; Kodia Z.; Ben Said L.,"Fathali, Zahra (57204520428); Kodia, Zahra
(36170558500); Ben Said, Lamjed (57388710300)",57204520428; 36170558500;
57388710300,Stock Market Prediction of NIFTY 50 Index Applying Machine Learning
Techniques,2022,Applied Artificial
Intelligence,36,1,2111134,,,,28,10.1080/08839514.2022.2111134,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85138198358&doi=10.1080%2f08839514.2022.2111134&partnerID=40&md5=6a6472980118f65318
d095d07578a4b7,"Institut Supérieur de Gestion de Tunis, SMART LAB, University of
Tunis, Tunis, Tunisia","Fathali Z.; Kodia Z.; Ben Said L., Institut Supérieur de
Gestion de Tunis, SMART LAB, University of Tunis, Tunis, Tunisia","The stock market
is viewed as an unpredictable, volatile, and competitive market. The prediction of
stock prices has been a challenging task for many years. In fact, many analysts are
highly interested in the research area of stock price prediction. Various
forecasting methods can be categorized into linear and non-linear algorithms. In
this paper, we offer an overview of the use of deep learning networks for the
Indian National Stock Exchange time series analysis and prediction. The networks
used are Recurrent Neural Network, Long Short-Term Memory Network, and
Convolutional Neural Network to predict future trends of NIFTY 50 stock prices.
Comparative analysis is done using different evaluation metrics. These analysis led
us to identify the impact of feature selection process and hyper-parameter
optimization on prediction quality and metrics used in the prediction of stock
market performance and prices. The performance of the models was quantified using
MSE metric. These errors in the LSTM model are found to be lower compared to RNN
and CNN models. © 2022 The Author(s). Published with license by Taylor & Francis
Group, LLC.",,Commerce; Convolutional neural networks; Costs; Financial markets;
Forecasting; Long short-term memory; Quality control; Competitive markets;
Forecasting methods; Linear algorithms; Machine learning techniques; Non linear;
Research areas; Stock market prediction; Stock price; Stock price prediction;
Volatile markets; Time series analysis,,,,,,,"AbdelKawy R., Abdelmoez W.M., Shoukry
A., A synchronous deep reinforcement learning model for automated multi-stock
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volume causality among nifty50 stocks: The toda yamamoto method, 2016 International
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architectures of deep convolutional neural networks, Entropy, 19, 6, (2017);
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returns priced in the indian stock market?, Borsa Istanbul Review, 18, 1, pp. 76-
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pp. 25-40, (2020)","Z. Fathali; Institut Supérieur de Gestion de Tunis, SMART LAB,
University of Tunis, Tunisia; email: [email protected]",,Taylor and Francis
Ltd.,,,,,,8839514,,AAINE,,English,Appl Artif Intell,Article,Final,All Open Access;
Gold Open Access,Scopus,2-s2.0-85138198358
He Q.-Q.; Pang P.C.-I.; Si Y.-W.,"He, Qi-Qiao (57211168249); Pang, Patrick Cheong-
Iao (56414245300); Si, Yain-Whar (11640258200)",57211168249; 56414245300;
11640258200,Transfer Learning for Financial Time Series Forecasting,2019,Lecture
Notes in Computer Science (including subseries Lecture Notes in Artificial
Intelligence and Lecture Notes in Bioinformatics),11671
LNAI,,,24,36,12,28,10.1007/978-3-030-29911-8_3,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85072864543&doi=10.1007%2f978-3-030-29911-
8_3&partnerID=40&md5=b931b6260821ff5d173960ad4a68198c,"Department of Computer and
Information Science, University of Macau, Taipa, Macao; School of Computing and
Information Systems, The University of Melbourne, Parkville, Australia","He Q.-Q.,
Department of Computer and Information Science, University of Macau, Taipa, Macao;
Pang P.C.-I., School of Computing and Information Systems, The University of
Melbourne, Parkville, Australia; Si Y.-W., Department of Computer and Information
Science, University of Macau, Taipa, Macao","Time-series are widely used for
representing non-stationary data such as weather information, health related data,
economic and stock market indexes. Many statistical methods and traditional machine
learning techniques are commonly used for forecasting time series. With the
development of deep learning in artificial intelligence, many researchers have
adopted new models from artificial neural networks for forecasting time series.
However, poor performance of applying deep learning models in short time series
hinders the accuracy in time series forecasting. In this paper, we propose a novel
approach to alleviate this problem based on transfer learning. Existing work on
transfer learning uses extracted features from a source dataset for prediction task
in a target dataset. In this paper, we propose a new training strategy for time-
series transfer learning with two source datasets that outperform existing
approaches. The effectiveness of our approach is evaluated on financial time series
extracted from stock markets. Experiment results show that transfer learning based
on 2 data sets is superior than other base-line methods. © 2019, Springer Nature
Switzerland AG.",Artificial neural networks; Financial time series; Forecasting;
Transfer learning,Commerce; Electronic trading; Financial markets; Forecasting;
Neural networks; Time series; Time series analysis; Financial time series;
Financial time series forecasting; Forecasting time series; Machine learning
techniques; Nonstationary data; Time series forecasting; Transfer learning; Weather
information; Deep learning,,,,,"Research Committee of University of Macau,
(MYRG2018-00246-FST)","The research was funded by the Research Committee of
University of Macau, Grant MYRG2018-00246-FST.","(2015); Abadi M., Et al.,
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Figueras J.A., Prieto L., Short-term wind speed prediction in wind farms based on
banks of support vector machines, Wind Energy, 14, 2, pp. 193-207, (2011); Pan
S.J., Yang Q., A survey on transfer learning, IEEE Trans. Knowl. Data Eng., 22, 10,
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sequence to sequence learning, Proceedings of the 2017 Conference on Empirical
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Z., Kaelbling L.P., Dietterich T.G., To transfer or not to transfer, NIPS 2005
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are features in deep neural networks?, Advances in Neural Information Processing
Systems, pp. 3320-3328, (2014)","Y.-W. Si; Department of Computer and Information
Science, University of Macau, Taipa, Macao; email: [email protected]",Nayak A.C.;
Sharma A.,Springer Verlag,,"16th Pacific Rim International Conference on Artificial
Intelligence, PRICAI 2019",26 August 2019 through 30 August 2019,Yanuka
Island,230969,3029743,978-303029910-1,,,English,Lect. Notes Comput. Sci.,Conference
paper,Final,,Scopus,2-s2.0-85072864543
Du J.,"Du, Juan (57226594547)",57226594547,Mean–variance portfolio optimization
with deep learning based-forecasts for cointegrated stocks,2022,Expert Systems with
Applications,201,,117005,,,,25,10.1016/j.eswa.2022.117005,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85128329625&doi=10.1016%2fj.eswa.2022.117005&partnerID=40&md5=1cfee37dc66cace092165
6ec7f150e9d,"School of Finance, Shandong University of Finance and Economics,
Jinan, China","Du J., School of Finance, Shandong University of Finance and
Economics, Jinan, China","Most mean–variance (MV) models construct a portfolio
based on nonstationary stocks. This study presents a new MV model constructed using
stationary portfolios composed of cointegrated stocks. The expected return of this
new model is predicted by using machine learning models, such as support vector
machine, random forest, and attention-based long short-term memory (LSTM) network.
The proposed model is evaluated using data on stocks in the CSI 300 and the S&P
500, with 42 features over 8 years from May 4, 2012 to August 4, 2020. The
empirical results show that the portfolio constructed based on the stationary
portfolios in both the Chinese and the US stock markets delivers significant
profits. Further, the attention-based LSTM network can more accurately model the
spread return using technical indicators, financial investment information, and
lagged returns, and can successfully select pairs of cointegrated stocks for
constructing a more profitable MV portfolio, than can conventional machine learning
models. Using the attention-based LSTM to predict 20-day return movement results in
model accuracy of up to 92.59% for the CSI 300 and 88.52% for the S&P 500, and a
corresponding Sharpe ratio of 9.31 and 2.77, respectively. © 2022 Elsevier
Ltd",Attention-based LSTM network; Mean-reverting spread prediction; Mean–variance
portfolio optimization; Pairs trading; Stationary portfolio,Commerce; Decision
trees; Electronic trading; Financial markets; Investments; Long short-term memory;
Profitability; Support vector machines; Attention-based long short-term memory
network; Machine learning models; Mean variance model; Mean-reverting spread
prediction; Mean-variance portfolio optimization; Memory network; Modeling
construct; Nonstationary; Pairs trading; Stationary portfolio;
Forecasting,,,,,"Natural Science Foundation of Shandong Province, (ZR2021QG065)",We
acknowledge the financial support from Shandong Provincial Natural Science
Foundation (Grant Reference Number: ZR2021QG065 ).,"Alonso-Monsalve S., Suarez-
Cetrulo A.L., Cervantes A., Quintana D., Convolution on neural networks for high-
frequency trend prediction of cryptocurrency exchange rates using technical
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nearest neighbor algorithm for stock market indices prediction, Expert Systems with
Applications, 80, pp. 340-355, (2017); Chen W., Zhang H., Mehlawat M.K., Jia L.,
Mean–variance portfolio optimization using machine learning-based stock price
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variance portfolio selection of cointegrated assets, Journal of Economic Dynamics
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asset–liability management: Cointegrated assets and insurance liability, European
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Methodology, data representations, and case studies, Expert Systems with
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Pairs trading: Quantitative methods and analysis, vol. 217, (2004); Wang W., Li W.,
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machine learning approach for hedge fund return prediction and selection,
Management Science, 67, 7, pp. 4577-4601, (2021); Yu J.R., Chiou W.-J.P., Lee W.Y.,
Lin S.J., Portfolio models with return forecasting and transaction costs,
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guarantees, European Journal of Operational Research, 210, 2, pp. 410-424,
(2011)",,,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85128329625
Kalra S.; Prasad J.S.,"Kalra, Sneh (57210282608); Prasad, Jay Shankar
(57192099529)",57210282608; 57192099529,Efficacy of News Sentiment for Stock Market
Prediction,2019,"Proceedings of the International Conference on Machine Learning,
Big Data, Cloud and Parallel Computing: Trends, Prespectives and Prospects,
COMITCon 2019",,,8862265,491,496,5,30,10.1109/COMITCon.2019.8862265,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074169252&doi=10.1109%2fCOMITCon.2019.8862265&partnerID=40&md5=e43ac24ac0d560f09b
409bbe4652ce51,"Department of Computer Science Engineering, MVN University, Palwal,
India","Kalra S., Department of Computer Science Engineering, MVN University,
Palwal, India; Prasad J.S., Department of Computer Science Engineering, MVN
University, Palwal, India","Stock Market trend prediction will always remain a
challenging task due to stochastic nature. The enormous amount of data generated by
the news, blogs, reviews, financial reports and social media are considered a
treasure of knowledge for researchers and investors. The present work focuses to
observe fluctuations in stock prices with respect to the relevant news articles of
a company. In this paper, a daily prediction model is proposed using historical
data and news articles to predict the Indian stock market movements. Classifier
Naïve Bayes is used to categorize the news text having negative or positive
sentiment. The count of the positive and negative sentiment of news articles for
each day and variance of adjacent days close price along with historical data is
used for prediction purpose and an accuracy ranging from 65.30 to 91.2 % achieved
with various machine learning techniques. © 2019 IEEE.",Machine learning; News
Sentiment; Sentiment analysis; social media analytics; Stock price prediction,Big
data; Commerce; Financial markets; Forecasting; Learning systems; Machine learning;
Sentiment analysis; Social networking (online); Stochastic systems; Financial
reports; Machine learning techniques; Negative sentiments; News Sentiment; Social
media analytics; Stochastic nature; Stock market prediction; Stock price
prediction; Investments,,,,,,,"Bogle S.A., Potter W.D., Sentamal-a sentiment
analysis machine learning stock predictive model, Proc. of Int. Conf. of Data
Mining and Knowledge Engineering, (2015); Pagolu V.S., Reddy K.N., Panda G., Majhi
B., Sentiment analysis of twitter data for predicting stock market movements, Int.
Conf. on Signal Processing, Communication, Power and Embedded System(SCOPUS,
(2016); Mittal A., Goel A., Stock Prediction Using Twitter Sentiment Analysis,
(2012); Michael Rechenthin P.S., Street W.N., Stock chatter: Using stock sentiment
to predict price direction, Algorithmic Finance, 2, 3-4, pp. 169-196, (2013); Khedr
A.E., Salama S.E., Yaseen N., Predicting stock market behavior using data mining
technique and news sentiment analysis, Int. J. Intelligent Systems and
Applications, pp. 22-30, (2017); Trisedya B.D., Cakra Y.E., Stock price prediction
using linear regression based on sentiment analysis, Int. Conf. Adv. Computer. Sci.
Inf. Syst., pp. 147-154, (2015); Bing L.I., Chan K.C.C., Ou C., Public sentiment
analysis in twitter data for prediction of a company's stock price movements, IEEE
11th Int. Conf. E-bus. Eng., pp. 232-239, (2014); Kalyanaraman V., Kazi S.,
Tondulkar R., Oswal S., Sentiment analysis on news articles for stocks, 8th Asia
Modelling Symposium, (2014); Li Q., Wanga T., Li P., Liu L., Gonga Q., Chenb Y.,
The effect of news and public mood on stock movements, Information Science, 278,
pp. 826-840, (2014); Nayak A., Manohara Pai M.M., Pai R.M., Prediction models for
Indian stock market, Procedia Computer Science, 89, pp. 441-449, (2016); Kirange
D.K., Ratnadeep D., Deshmukh R., Sentiment analysis of news headlines for stock
price prediction, COMPUSOFT Int J. Advanced Computer Technology, 5, 3, (2016);
Garcia-Lopez F.J., Batyrshin I., Gelbukh A., Analysis of relationships between
tweets and stock market trends, Journal of Intelligent and Fuzzy Systems, (2018);
Porshnev A., Redkin I., Shevchenko A., Machine learning in prediction of stock
market indicators based on historical data and data from twitter sentiment
analysis, IEEE 13th International Conference on Data Mining Workshops, (2013); Kim
Y., Jeong S.R., Ghani I., Text opinion mining to analyze news for stock market
prediction, Int. J. Adv. Soft Comput. Its Appl, 6, 1, pp. 1-13, (2014); Khadjeh A.,
Aghabozorgi R.N.S., Teh Y.W., Ling Ngo D.C., Text mining for market prediction: A
systematic review, Expert System Appl, 41, pp. 7653-7670, (2014); Bernardo I.,
Henriques R., Lobo V., Social market: Stock market and twitter correlation, Int.
Conf. on Intelligent Decision Technologies, (2017); Al-Radaideh Q.A., Assaf A.A.,
Alnagi E., Predicting stock prices using data mining techniques, Int. Arab Conf. on
Information Technology, (2013); Ahuja R., Rastogi H., Choudhuri A., Garg B., Stock
market forecast using sentiment analysis, 2nd Int. Conf. on Computing for
Sustainable Global Development, pp. 1008-1010, (2015); Ingle V., Deshmukh S.,
Hidden markov model implementation for prediction of stock prices with tf-idf
features, Proc. of the Int. Conf. on Advances in Information Communication
Technology & Computing, (2016); Ertuna L., Stock Market Prediction Using Neural
Network Time Series Forecasting, (2016)",,,Institute of Electrical and Electronics
Engineers Inc.,,"2019 International Conference on Machine Learning, Big Data, Cloud
and Parallel Computing, COMITCon 2019",14 February 2019 through 16 February
2019,Faridabad,152705,,978-172810211-5,,,English,"Proc. Int. Conf. Mach. Learn.,
Big Data, Cloud Parallel Comput.: Trends, Prespectives Prospect.,
COMITCon",Conference paper,Final,,Scopus,2-s2.0-85074169252
Kim S.; Kim S.,"Kim, Saejoon (23389887400); Kim, Soong (57204816877)",23389887400;
57204816877,Index tracking through deep latent representation
learning,2020,Quantitative
Finance,20,4,,639,652,13,26,10.1080/14697688.2019.1683599,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85075210868&doi=10.1080%2f14697688.2019.1683599&partnerID=40&md5=4a0572a3248e186f40
683477e10fb77b,"Department of Computer Science and Engineering, Sogang University,
35 Baekbeom-ro, Mapo-gu, 04107, Seoul, South Korea","Kim S., Department of Computer
Science and Engineering, Sogang University, 35 Baekbeom-ro, Mapo-gu, 04107, Seoul,
South Korea; Kim S., Department of Computer Science and Engineering, Sogang
University, 35 Baekbeom-ro, Mapo-gu, 04107, Seoul, South Korea","We consider the
problem of index tracking whose goal is to construct a portfolio that minimizes the
tracking error between the returns of a benchmark index and the tracking portfolio.
This problem carries significant importance in financial economics as the tracking
portfolio represents a parsimonious index that facilitates a practical means to
trade the benchmark index. For this reason, extensive studies from various
optimization and machine learning-based approaches have ensued. In this paper, we
solve this problem through the latest developments from deep learning.
Specifically, we associate a deep latent representation of asset returns, obtained
through a stacked autoencoder, with the benchmark index's return to identify the
assets for inclusion in the tracking portfolio. Empirical results indicate that to
improve the performance of previously proposed deep learning-based index tracking,
the deep latent representation needs to be learned in a strictly hierarchical
manner and the relationship between the returns of the index and the assets should
be quantified by statistical measures. Various deep learning-based strategies have
been tested for the stock market indices of the S&P 500, FTSE 100 and HSI, and it
is shown that our proposed methodology generates the best index tracking
performance. © 2019, © 2019 Informa UK Limited, trading as Taylor & Francis
Group.",Deep autoencoder; Deep learning; Index replication; Index tracking; Stacked
autoencoder,,,,,,"Ministry of Education, MOE, (NRF-2017R1D1A1B03032722); National
Research Foundation of Korea, NRF",This work was supported by Basic Science
Research Program through the National Research Foundation of Korea (NRF) funded by
the Ministry of Education (NRF-2017R1D1A1B03032722). The authors would like to
express sincere gratitude to the anonymous reviewers for the detailed and
constructive comments that helped to improve the presentation of the
paper.,"Andriosopoulos K., Nomikos N., Performance replication of the Spot Energy
Index with optimal equity portfolio selection: Evidence from the UK, US and
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Bank. Finance, 30, 8, pp. 2215-2233, (2006); Dorocakova M., Comparison of ETF's
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small portfolios, J. Portfolio Manag., 28, 2, pp. 33-39, (2002); Kim S., Volatility
forecasting for low-volatility portfolio selection in the US and the Korean equity
markets, J. Exp. Theor. Artif. Intell., 30, 1, pp. 71-88, (2018); Kim S., Enhancing
the momentum strategy through deep regression, Quant. Finance, 19, 7, pp. 1121-
1133, (2019); Kim S., Kim S., Artificial Intelligence–Emerging Trends and
Applications; Kingma D.P., Ba J., International Conference on Learning
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to 1991, J. Finance, 50, 2, pp. 549-572, (1995); Montfort K.V., Visser E., van
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2, pp. 143-152, (2008); Mutunge P., Haugland D., Minimizing the tracking error of
cardinality constrained portfolio, Comput. Oper. Res., 90, pp. 33-42, (2018); Oh
K.J., Kim T.Y., Min S., Using genetic algorithm to support portfolio optimization
for index fund management, Expert. Syst. Appl., 28, 2, pp. 371-379, (2005); Ouyang
H., Zhang X., Yan H., Index tracking based on deep neural network, Cogn. Syst.
Res., 57, pp. 107-114, (2019); Paszke A., Gross S., Chintala S., Chanan G., Yang
E., DeVito Z., Lin Z., Desmaison A., Antiga L., Lerer A., Neural Information
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(2018)","S. Kim; Department of Computer Science and Engineering, Sogang University,
Mapo-gu, 35 Baekbeom-ro, 04107, South Korea; email:
[email protected]",,Routledge,,,,,,14697688,,,,English,Quant.
Financ.,Article,Final,,Scopus,2-s2.0-85075210868
Gajamannage K.; Park Y.; Jayathilake D.I.,"Gajamannage, Kelum (56415087200); Park,
Yonggi (57202132357); Jayathilake, Dilhani I. (57211850908)",56415087200;
57202132357; 57211850908,Real-time forecasting of time series in financial markets
using sequentially trained dual-LSTMs,2023,Expert Systems with
Applications,223,,119879,,,,26,10.1016/j.eswa.2023.119879,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85151014480&doi=10.1016%2fj.eswa.2023.119879&partnerID=40&md5=28c2fc2c6d79169598de9
7aba7d5d23d,"Department of Mathematics and Statistics, Texas A&M University -
Corpus Christ, 6300 Ocean Dr., Corpus Christi, 78412, TX, United States; Department
of Physical and Environmental Sciences, Texas A&M University - Corpus Christ, 6300
Ocean Dr., Corpus Christi, 78412, TX, United States","Gajamannage K., Department of
Mathematics and Statistics, Texas A&M University - Corpus Christ, 6300 Ocean Dr.,
Corpus Christi, 78412, TX, United States; Park Y., Department of Mathematics and
Statistics, Texas A&M University - Corpus Christ, 6300 Ocean Dr., Corpus Christi,
78412, TX, United States; Jayathilake D.I., Department of Physical and
Environmental Sciences, Texas A&M University - Corpus Christ, 6300 Ocean Dr.,
Corpus Christi, 78412, TX, United States","Financial markets are highly complex and
volatile; thus, accurate forecasting of such markets is vital to make early alerts
about crashes and subsequent recoveries. People have been using learning tools from
diverse fields such as financial mathematics and machine learning to make
trustworthy forecasting on such markets. However, the accuracy of such techniques
had not been adequate until artificial neural network frameworks such as long
short-term memory (LSTM) were utilized. Moreover, making accurate real-time
forecasting, also known as nowcasting, of financial time series is highly
subjective to the LSTM's architecture in use and the procedure of training it.
Herein, we forecast financial markets in real-time by training a dual version of
LSTM which forecasts only one time step at each iteration so that the forecast for
this iteration will be in the input for the next iteration. Semi-convergence is a
prominent issue in a recurrent LSTM setup as the error could propagate through
iterations; however, the duality of this LSTM aids in dwindling this issue.
Especially, we employ one LSTM to find the best number of epochs associated with
the least loss and train the second LSTM only through that many epochs to make
forecasting. We treat the current forecast as a part of the training set for the
next forecast and train the same LSTM. While classic ways of training cause more
error when the forecast is made further away through the test period, our approach
offers superior accuracy as the training increases when it proceeds through the
testing period. The forecasting accuracy of our approach is validated using three
time series from each of the three diverse financial markets: stock,
cryptocurrency, and commodity. The results are compared with those of a single
LSTM, an extended Kalman filter, and an autoregressive integrated moving average
model. © 2023 Elsevier Ltd",Financial markets; Many-to-one LSTM; Real-time
forecasting; Sequential training; Time series,Commerce; Electronic trading;
Financial markets; Forecasting; Iterative methods; Kalman filters; Learning
systems; Time series; Diverse fields; Early alerts; Financial mathematics; Learning
tool; Many-to-one; Many-to-one long short-term memory; Mathematics learning; Real-
time forecasting; Sequential training; Times series; Long short-term
memory,,,,,,,"Allen-Zhu Z., Li Y., Song Z., On the convergence rate of training
recurrent neural networks, Advances in neural information processing systems, Vol.
32, pp. 1310-1318, (2019); Baek Y., Kim H.Y., Modaugnet: A new forecasting
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markets, Proceedings - 2019 IEEE international conference on big data, big data
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K.R., Khatri R.K., Predicting stock market index using lstm, Machine Learning with
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forecasting of financial time series based on adaptive lstm-bn network, Expert
Systems with Applications, 213, (2023); Gajamannage K., Butail S., Porfiri M.,
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Mathematics and Statistics, Texas A&M University - Corpus Christ, Corpus Christi,
6300 Ocean Dr., 78412, United States; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85151014480
Dang Q.-V.,"Dang, Quang-Vinh (57190680700)",57190680700,Reinforcement Learning in
Stock Trading,2020,Advances in Intelligent Systems and Computing,1121
AISC,,,311,322,11,34,10.1007/978-3-030-38364-0_28,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85077499761&doi=10.1007%2f978-3-030-38364-
0_28&partnerID=40&md5=d070e9d9003906612e9703b8014b631a,"Industrial University of Ho
Chi Minh city, Ho Chi Minh City, Viet Nam","Dang Q.-V., Industrial University of Ho
Chi Minh city, Ho Chi Minh City, Viet Nam","Using machine learning techniques in
financial markets, particularly in stock trading, attracts a lot of attention from
both academia and practitioners in recent years. Researchers have studied different
supervised and unsupervised learning techniques to either predict stock price
movement or make decisions in the market. In this paper we study the usage of
reinforcement learning techniques in stock trading. We evaluate the approach on
real-world stock dataset. We compare the deep reinforcement learning approach with
state-of-the-art supervised deep learning prediction in real-world data. Given the
nature of the market where the true parameters will never be revealed, we believe
that the reinforcement learning has a lot of potential in decision-making for stock
trading. © Springer Nature Switzerland AG 2020.",Machine learning; Reinforcement
learning; Stock trading,Commerce; Decision making; Deep learning; Financial
markets; Learning algorithms; Learning systems; Machine learning; Machine learning
techniques; Real-world; Reinforcement learning approach; Reinforcement learning
techniques; State of the art; Stock price movements; Stock trading; Supervised and
unsupervised learning; Reinforcement learning,,,,,,,"Azhikodan A.R., Bhat A.G.,
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evolutionary dynamic neural network for stock market trend analysis and prediction
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Ho Chi Minh city, Ho Chi Minh City, Viet Nam; email: [email protected]",Le
Thi H.A.; Le H.M.; Pham Dinh T.; Nguyen N.T.,Springer,,"6th International
Conference on Computer Science, Applied Mathematics and Applications, ICCSAMA
2019",19 December 2019 through 20 December 2019,Hanoi,235329,21945357,978-
303038363-3,,,English,Adv. Intell. Sys. Comput.,Conference paper,Final,,Scopus,2-
s2.0-85077499761
Wang Z.-J.; Zhao L.-T.,"Wang, Zi-Jie (57211429678); Zhao, Lu-Tao
(50662424700)",57211429678; 50662424700,The impact of the global stock and energy
market on EU ETS: A structural equation modelling approach,2021,Journal of Cleaner
Production,289,,125140,,,,30,10.1016/j.jclepro.2020.125140,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85096835312&doi=10.1016%2fj.jclepro.2020.125140&partnerID=40&md5=4c737c8a23e572c196
0a795a57b1c349,"School of Mathematics and Physics, University of Science and
Technology Beijing, Beijing, China; HSBC Business School, Peking University,
Shenzhen, China; Center for Energy and Environmental Policy Research, Beijing
Institute of Technology, Beijing, China","Wang Z.-J., School of Mathematics and
Physics, University of Science and Technology Beijing, Beijing, China, HSBC
Business School, Peking University, Shenzhen, China; Zhao L.-T., School of
Mathematics and Physics, University of Science and Technology Beijing, Beijing,
China, Center for Energy and Environmental Policy Research, Beijing Institute of
Technology, Beijing, China","The industrial revolution has brought about great
development in the economy, but it has also increased the dependence on fossil
energy. The emissions of CO2 and other greenhouse gases have contradicted economic
development and the ecological environment. The establishment of the EU Emission
Trading System (EU ETS) has improved the global carbon emission price mechanism,
but as a new commodity, its price trend will affect buyers’ risk evaluation.
Therefore, it is influential to master the driving factors behind carbon emission
prices and make effective predictions. First, the paper points out that the driving
factors are divided into macroeconomic risk factors and energy factors. Second, the
Bayesian Network is used to select variables and make prediction of carbon prices.
The results show that its accuracy exceeds other machine learning algorithms.
Third, a structural equation model is used to study the impact of the selected
markets on the carbon market. Finally, from the perspective of global carbon
emission reduction, the relationship between driving factors and the carbon futures
market is explained. The empirical results show that Cotation Assistée en Continu
40, natural gas and Brent crude oil will directly affect the yield of European
Union Allowances and Certified Emission Reduction futures, and the Standard Poor
500 and Global Clean Energy Index will indirectly affect the yield of European
Union Allowances and Certified Emission Reduction futures. The energy market will
affect the carbon market through the intermediary effect of the stock market, in
which the clean energy index is the most relevant factor. From the perspective of
how to improve the carbon trading system, this paper proposes suggestions for the
sustainable development of the world to promote the virtuous cycle of the global
carbon emission market and the high-quality development of the global economy. ©
2020 Elsevier Ltd",Bayesian network; Carbon price; EU ETS; Structural equation
model,Bayesian networks; Carbon; Costs; Emission control; Gas emissions; Greenhouse
gases; International law; Learning algorithms; Machine learning; Power markets;
Sustainable development; Carbon emission prices; Certified emission reductions;
Ecological environments; Global carbon emission; Global economies; Industrial
revolutions; Structural equation modeling; Structural equation modelling; Economic
and social effects,,,,,"National Natural Science Foundation of China, NSFC,
(71521002, 71871020); National Natural Science Foundation of China, NSFC","The
authors gratefully acknowledge the financial support from the National Natural
Science Foundation of China under Grant Nos. 71871020 , 71521002 . ","Anupam D.,
Elie B., Hasib N.M., Return and volatility linkages between CO2 emission and clean
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lasso: a retrospective, Journal of the Royal Statal Society, 58, pp. 267-288,
(1996); Tolliver C., Keeley A.R., Managi S., Drivers of green bond market growth:
the importance of Nationally Determined Contributions to the Paris Agreement and
implications for sustainability, J. Clean. Prod., 244, (2020); Zeqiraj V., Sohag
K., Soytas U., Stock market development and low-carbon economy: the role of
innovation and renewable energy, Energy Econ., 91, (2020); Zhang K., Downey D.,
Chen Z., A probabilistic graphical model for brand reputation assessment in social
networks, IEEE/ACM International Conference on Advances in Social Networks Analysis
& Mining, pp. 223-230, (2013); Zhang Y.-J., Sun Y.-F., The dynamic volatility
spillover between European carbon trading market and fossil energy market, J.
Clean. Prod., 112, pp. 2654-2663, (2016); Zhang Y., Zhang S.F., The impacts of GDP,
trade structure, exchange rate and FDI inflows on China's carbon emissions, Energy
Pol., 120, pp. 347-353, (2018)","L.-T. Zhao; University of Science and Technology
Beijing, Beijing, China; email: [email protected]; Z.-J. Wang; HSBC Business
School, Peking University, University Town of Shenzhen, Shenzhen, Nanshan District,
518055, China; email: [email protected]",,Elsevier
Ltd,,,,,,9596526,,JCROE,,English,J. Clean. Prod.,Article,Final,,Scopus,2-s2.0-
85096835312
Heckens A.J.; Krause S.M.; Guhr T.,"Heckens, Anton J. (57219741367); Krause,
Sebastian M. (7102584529); Guhr, Thomas (7003669055)",57219741367; 7102584529;
7003669055,Uncovering the dynamics of correlation structures relative to the
collective market motion,2020,Journal of Statistical Mechanics: Theory and
Experiment,2020,10,103402,,,,29,10.1088/1742-5468/abb6e2,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85096069854&doi=10.1088%2f1742-
5468%2fabb6e2&partnerID=40&md5=49c25dcf1bb0accb600c69f336879de5,"Fakultät für
Physik, Universität Duisburg-Essen, Duisburg, Germany","Heckens A.J., Fakultät für
Physik, Universität Duisburg-Essen, Duisburg, Germany; Krause S.M., Fakultät für
Physik, Universität Duisburg-Essen, Duisburg, Germany; Guhr T., Fakultät für
Physik, Universität Duisburg-Essen, Duisburg, Germany","The measured correlations
of financial time series in subsequent epochs change considerably as a function of
time. When studying the whole correlation matrices, quasi-stationary patterns,
referred to as market states, are seen by applying clustering methods. They emerge,
disappear or reemerge, but they are dominated by the collective motion of all
stocks. In the jargon, one speaks of the market motion, it is always associated
with the largest eigenvalue of the correlation matrices. Thus the question arises,
if one can extract more refined information on the system by subtracting the
dominating market motion in a proper way. To this end we introduce a new approach
by clustering reduced-rank correlation matrices which are obtained by subtracting
the dyadic matrix belonging to the largest eigenvalue from the standard correlation
matrices. We analyze daily data of 262 companies of the S&P 500 index over a period
of almost 15 years from 2002 to 2016. The resulting dynamics is remarkably
different, and the corresponding market states are quasi-stationary over a long
period of time. Our approach adds to the attempts to separate endogenous from
exogenous effects. © 2020 IOP Publishing Ltd and SISSA Medialab srl.",Clustering
techniques; Machine learning; Models of financial markets; Quantitative
finance,,,,,,,,"Campbell J Y, Lo A W, MacKinlay A C, The Econometrics of Financial
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Learn. Res, 11, (2010); Fraley C, Raftery A, Scrucca L, Murphy T B, Fop M, Scrucca
M L, Package mclust","A.J. Heckens; Fakultät für Physik, Universität Duisburg-
Essen, Duisburg, Germany; email: [email protected]",,IOP Publishing
Ltd,,,,,,17425468,,,,English,J. Stat. Mech. Theory Exp.,Article,Final,All Open
Access; Green Open Access,Scopus,2-s2.0-85096069854
Yin L.; Li B.; Li P.; Zhang R.,"Yin, Lili (37020744900); Li, Benling (57359045500);
Li, Peng (56440455400); Zhang, Rubo (7404861962)",37020744900; 57359045500;
56440455400; 7404861962,Research on stock trend prediction method based on
optimized random forest,2023,CAAI Transactions on Intelligence
Technology,8,1,,274,284,10,30,10.1049/cit2.12067,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85120436141&doi=10.1049%2fcit2.12067&partnerID=40&md5=57eb4ced7a0879a8b5a45336e7371
157,"School of Computer and Science and Technology, Harbin University of Science
and Technology, Harbin, China; Department of Computer Science and Engineering,
Dalian Nationalities University, Dalian, China","Yin L., School of Computer and
Science and Technology, Harbin University of Science and Technology, Harbin, China;
Li B., School of Computer and Science and Technology, Harbin University of Science
and Technology, Harbin, China; Li P., School of Computer and Science and
Technology, Harbin University of Science and Technology, Harbin, China; Zhang R.,
Department of Computer Science and Engineering, Dalian Nationalities University,
Dalian, China","As a complex hot problem in the financial field, stock trend
forecasting uses a large amount of data and many related indicators; hence it is
difficult to obtain sustainable and effective results only by relying on empirical
analysis. Researchers in the field of machine learning have proved that random
forest can form better judgements on this kind of problem, and it has an auxiliary
role in the prediction of stock trend. This study uses historical trading data of
four listed companies in the USA stock market, and the purpose of this study is to
improve the performance of random forest model in medium- and long-term stock trend
prediction. This study applies the exponential smoothing method to process the
initial data, calculates the relevant technical indicators as the characteristics
to be selected, and proposes the D-RF-RS method to optimize random forest. As the
random forest is an ensemble learning model and is closely related to decision
tree, D-RF-RS method uses a decision tree to screen the importance of features, and
obtains the effective strong feature set of the model as input. Then, the parameter
combination of the model is optimized through random parameter search. The
experimental results show that the average accuracy of random forest is increased
by 0.17 after the above process optimization, which is 0.18 higher than the average
accuracy of light gradient boosting machine model. Combined with the performance of
the ROC curve and Precision–Recall curve, the stability of the model is also
guaranteed, which further demonstrates the advantages of random forest in medium-
and long-term trend prediction of the stock market. © 2021 The Authors. CAAI
Transactions on Intelligence Technology published by John Wiley & Sons Ltd on
behalf of The Institution of Engineering and Technology and Chongqing University of
Technology.",ensemble learning; finance; random forest; random search; technical
indicator,Commerce; Financial markets; Forecasting; Learning systems; Optimization;
Random forests; Empirical analysis; Ensemble learning; Large amounts of data;
Performance; Prediction methods; Random forests; Random searches; Stock trend
prediction; Technical indicator; Trend forecasting; Decision trees,,,,,"Fundamental
Research Foundation for Universities of Heilongjiang Province, (LGYC2018JC017);
National Natural Science Foundation of China, NSFC, (61673084)","This project was
supported by the National Natural Science Foundation of China (No.61673084), and
the Fundamental Research Foundation for Universities of Heilongjiang Province (No.
LGYC2018JC017). ","Komariah K.S., Et al., A study on efficient market hypothesis to
predict exchange rate trends using sentiment analysis of Twitter data, J. Korea
Multimedia Soc., 19, 7, pp. 1107-1115, (2016); Singh R., Srivastava S., Stock
prediction using deep learning, Multimedia Tools Appl., 76, 18, pp. 18569-18584,
(2017); Mehtab S., Sen J., A robust predictive model for stock price prediction
using deep learning and natural language processing, ArXiv: Statistical Finance,
(2019); Kim H., Han S.T., The enhanced classification for the stock index
prediction, Procedia Comput. Sci, 91, pp. 284-286, (2016); Sharma N., Juneja A.,
Combining of random forest estimates using LSboost for stock market index
prediction, 2017 2nd International Conference for Convergence in Technology (I2CT),
pp. 1199-1202, (2017); Misra P., Chaurasia S., Forecasting direction of stock index
using two stage hybridization of machine learning models, 2018 7th International
Conference on Reliability, Infocom Technologies and Optimization (Trends and Future
Directions) (ICRITO), pp. 533-537, (2018); Sharafati A., Asadollah S., Hosseinzadeh
M., The potential of new ensemble machine learning models for effluent quality
parameters prediction and related uncertainty, Process Saf. Environ. Prot, 140, pp.
68-78, (2020); Sharafati A., Et al., Application of newly developed ensemble
machine learning models for daily suspended sediment load prediction and related
uncertainty analysis, Hydrol. Sci. Journal/Journal des Sci. Hydrol., (2020);
Sharafati A., Asadollah S., Neshat A., A new artificial intelligence strategy for
predicting the groundwater level over the Rafsanjan aquifer in Iran, J. Hydrol,
591, (2020); Asadollah S., Et al., River water quality index prediction and
uncertainty analysis: a comparative study of machine learning models-ScienceDirect,
J. Environ. Chem. Eng, 91, (2020); Tan Z., Yan Z., Zhu G., Stock selection with
random forest: an exploitation of excess return in the Chinese stock market,
Heliyon, 58, (2019); Nti K.O., Adekoya A., Benjamin W., Random forest based feature
selection of macroeconomic variables for stock market prediction, Am. J. Appl. Sci,
167, pp. 200-212, (2019); Ballings M., Et al., Evaluating multiple classifiers for
stock price direction prediction, Expert Syst. Appl, 42, 20, pp. 7046-7056, (2015);
Basak S., Et al., Predicting the direction of stock market prices using tree-based
classifiers, North Am. J. Econ. Finance, 47, pp. 552-567, (2019); Chen Y., Et al.,
Financial trading strategy system based on machine learning, Math. Problems Eng,
2020, pp. 1-13, (2020); Sharma M., Sharma S., Singh G., Performance analysis of
statistical and supervised learning techniques in stock data mining, Data, 34,
(2018); Kaur P., Sharma M., Diagnosis of human psychological disorders using
supervised learning and nature-inspired computing techniques: a meta-analysis, J.
Med. Syst, 437, pp. 1-30, (2019); Zhou F., Et al., Cascading logistic regression
onto gradient boosted decision trees for forecasting and trading stock indices,
Appl. Soft Comput, 84, (2019); Al-Zamzami F., Hoda M., El-Saddik A., Light gradient
boosting machine for general sentiment classification on short texts: a comparative
evaluation, IEEE Access, 8, pp. 101840-101858, (2020); Efendi R., Arbaiy N., Deris
M.M., A new procedure in stock market forecasting based on fuzzy random auto-
regression time series mode, Inf. Sci, 441, pp. 113-132, (2018); Patel J., Et al.,
Predicting stock and stock price index movement using trend deterministic data
preparation and machine learning techniques, Expert Syst. Appl, 42, 1, pp. 259-268,
(2015); Zhang G., Zhang X., Feng H., Forecasting financial time series using a
methodology based on autoregressive integrated moving average and Taylor expansion,
Expert Syst, 33, 5, pp. 501-516, (2016); Kim H.Y., Won C.H., Forecasting the
volatility of stock price index: a hybrid model integrating LSTM with multiple
GARCH-Type models, Expert Syst. Appl, 103, pp. 25-37, (2018); Guerard J.B.,
Markowitz H., Xu G., Earnings forecasting in a global stock selection model and
efficient portfolio construction and management, Int. J. Forecast, 31, 2, pp. 550-
560, (2015); NekoeiQachkanloo H., Et al., Artificial counselor system for stock
investment, Natl. Conf. Artif. Intell, 33, 1, pp. 9558-9564, (2019); Loke K.S.,
Impact of financial ratios and technical analysis on stock price prediction using
random forests, 2017 International Conference on Computer and Drone Applications
(IConDA), pp. 38-42, (2017); Beyaz E., Et al., Comparing technical and fundamental
indicators in stock price Forecasting, 2018 IEEE 20th International Conference on
High Performance Computing and Communications; IEEE 16th International Conference
on Smart City; IEEE 4th International Conference on Data Science and Systems
(HPCC/SmartCity/DSS), pp. 1607-1613, (2018); Oriani F.B., Coelho G.P., Evaluating
the impact of technical indicators on stock forecasting, 2016 IEEE Symposium Series
on Computational Intelligence (SSCI), pp. 1-8, (2016); Laborda R., Laborda J., Can
tree-structured classifiers add value to the investor?, Finance Res. Lett, 22, pp.
211-226, (2017); Bergstra J., Bengio Y., Random search for hyper-parameter
optimization, J. Mach. Learn. Res, 13, 1, pp. 281-305, (2012)","L. Yin; School of
Computer and Science and Technology, Harbin University of Science and Technology,
Harbin, China; email: [email protected]",,John Wiley and Sons
Inc,,,,,,24686557,,,,English,CAAI Trans. Intell. Technol.,Article,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85120436141
Chandar S.K.; Sumathi M.; Sivanadam S.N.,"Chandar, S. Kumar (56523334700); Sumathi,
M. (57222177351); Sivanadam, S.N. (57212074038)",56523334700; 57222177351;
57212074038,Forecasting gold prices based on extreme learning
machine,2016,"International Journal of Computers, Communications and
Control",11,3,,372,380,8,34,10.15837/ijccc.2016.3.2009,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84962439513&doi=10.15837%2fijccc.2016.3.2009&partnerID=40&md5=fa9701d9ed74c52a195f9
c916daddd6e,"Christ University, Bangalore, India; Sri Meenakshi Government College
For Arts For Women (Autonomous), Madurai, India; Karpagam College Of Engineering,
Coimbatore, India","Chandar S.K., Christ University, Bangalore, India; Sumathi M.,
Sri Meenakshi Government College For Arts For Women (Autonomous), Madurai, India;
Sivanadam S.N., Karpagam College Of Engineering, Coimbatore, India","In recent
years, the investors pay major attention to invest in gold market because of huge
profits in the future. Gold is the only commodity which maintains its value even in
the economic and financial crisis. Also, the gold prices are closely related with
other commodities. The future gold price prediction becomes the warning system for
the investors due to unforeseen risk in the market. Hence, an accurate gold price
forecasting is required to foresee the business trends. This paper concentrates on
forecasting the future gold prices from four commodities like historical data's of
gold prices, silver prices, Crude oil prices, Standard and Poor's 500 stock index
(S & P500) index and foreign exchange rate. The period used for the study is from
1st January 2000 to 31st April 2014. In this paper, a learning algorithm for single
hidden layered Feed forward neural networks called Extreme Learning Machine (ELM)
is used which has good learning ability. Also, this study compares the five models
namely Feed forward networks without feedback, Feed forward back propagation
networks, Radial basis function, ELMAN networks and ELM learning model. The results
prove that the ELM learning performs better than the other methods. © 2006-2016 by
CCC Publications.",Extreme learning machine; Feed forward neural networks; Gold
price forecasting,,,,,,,,"Grudnitski G., Osburn L., Forecasting S & P and Gold
Futures Prices: An Application of Neural Networks, The Journal of Futures Markets,
13, 6, pp. 631-643, (1993); Malliaris A.G., Malliaris M., Time Series and Neural
Networks Comparison on Gold, Oil and the Euro, Proceedings of International Joint
Conference on Neural Networks, (2009); Bijari M., Ardali G.A., Improvement of Auto-
Regressive Integrated Moving Average models using Fuzzy logic and Artificial Neural
Networks (ANNs), Neurocomputing, 72, pp. 956-967, (2009); Ghezelbash A., Predicting
Changes in Stock Index and Gold prices to Neural Network approach, The Journal of
Mathematics and Computer Science, 4, pp. 227-236, (2012); Deepika M.G., Nambiar G.,
Rajkumar M., Forecasting price and analysing factors influencing the price of gold
using ARIMA model and multiple regression analysis, International Journal of
Research in Management, Economics and Commerce, 2, 11, (2012); Abdullah L., ARIMA
model for gold bullion coin selling prices forecasting, International Journal of
Advances in Applied Sciences, 1, 4, pp. 153-158, (2012); Asmoro T.H., Exploring
Gold Equivalency for forecasting steel prices on Pipeline projects, 2, 5, pp. 1-22,
(2013); Massarrat Ali Khan M., Forecasting of Gold Prices (Box Jenkins Approach),
International Journal of Emerging Technology and Advanced Engineering, 3, 3,
(2013); Li B., Research on WNN Modelling for Gold Price Forecasting Based on
Improved Artificial Bee Colony Algorithm, Hindawi Publishing Corporation
Computational Intelligence and Neuroscience, 2014, pp. 1-10, (2014); Zhang F., Liao
Z., Gold price forecasting based on RBF neural network and hybrid fuzzy clustering
algorithm, Proceedings of the seventh International Conference on Mangement Science
and Engineering Management, 1, pp. 73-84, (2014); Mombeini H., Yazdani-Chamzini A.,
Modeling Gold price via Artificial Neural Network, Journal of Economics, Business
and Management, 3, 7, (2015); Huang G.-B., Chen L., Siew C.-K., Universal
Approximation Using Incremental Networks with Random Hidden Computational Nodes,
IEEE Transactions on Neural Networks, 17, 4, pp. 879-892, (2006); Huang G.-B., Zhu
Q.-Y., Siew C.-K., Extreme Learning Machine: Theory and Applications,
Neurocomputing, 70, pp. 489-501, (2006); Huanga G.-B., Chena L., Convex Incremental
Extreme Learning Machine, Neurocomputing, 70, pp. 3056-3062, (2007)","S.K. Chandar;
Christ University, Bangalore, India; email:
[email protected]",,Agora University,,,,,,18419836,,,,English,Int.
J. Comput. Commun. Control,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-84962439513
Chandra R.; He Y.,"Chandra, Rohitash (35106707300); He, Yixuan
(57226041234)",35106707300; 57226041234,Bayesian neural networks for stock price
forecasting before and during COVID-19 pandemic,2021,PLoS ONE,16,07-
Jul,e0253217,,,,32,10.1371/journal.pone.0253217,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85110251020&doi=10.1371%2fjournal.pone.0253217&partnerID=40&md5=9c04fca0f7bcb581b2d
c0f8afdbb6f93,"School of Mathematics and Statistics, University of New South Wales,
Sydney, Australia","Chandra R., School of Mathematics and Statistics, University of
New South Wales, Sydney, Australia; He Y., School of Mathematics and Statistics,
University of New South Wales, Sydney, Australia","Recently, there has been much
attention in the use of machine learning methods, particularly deep learning for
stock price prediction. A major limitation of conventional deep learning is
uncertainty quantification in predictions which affect investor confidence.
Bayesian neural networks feature Bayesian inference for providing inference
(training) of model parameters that provides a rigorous methodology for uncertainty
quantification in predictions. Markov Chain Monte Carlo (MCMC) sampling methods
have been prominent in implementing inference of Bayesian neural networks; however
certain limitations existed due to a large number of parameters and the need for
better computational resources. Recently, there has been much progress in the area
of Bayesian neural networks given the use of Langevin gradients with parallel
tempering MCMC that can be implemented in a parallel computing environment. The
COVID-19 pandemic had a drastic impact in the world economy and stock markets given
different levels of lockdowns due to rise and fall of daily infections. It is
important to investigate the performance of related forecasting models during the
COVID-19 pandemic given the volatility in stock markets. In this paper, we use
novel Bayesian neural networks for multi-step-ahead stock price forecasting before
and during COVID-19. We also investigate if the pre-COVID-19 datasets are useful of
modelling stock price forecasting during COVID-19. Our results indicate due to high
volatility in the stock-price during COVID-19, it is more challenging to provide
forecasting. However, we found that Bayesian neural networks could provide
reasonable predictions with uncertainty quantification despite high market
volatility during the first peak of the COVID-19 pandemic. © 2021 Chandra, He. This
is an open access article distributed under the terms of the Creative Commons
Attribution License, which permits unrestricted use, distribution, and reproduction
in any medium, provided the original author and source are credited.",,"Bayes
Theorem; COVID-19; Forecasting; Humans; Investments; Marketing; Neural Networks,
Computer; Pandemics; Article; Bayesian network; coronavirus disease 2019; economic
aspect; forecasting; gross national product; lockdown; machine learning; pandemic;
prediction; stock market; stock price; Bayes theorem; epidemiology; forecasting;
human; investment; marketing; pandemic",,,,,,,"Ding X, Zhang Y, Liu T, Duan J.,
Deep learning for event-driven stock prediction, Twenty-fourth international joint
conference on artificial intelligence, (2015); Devadoss AV, Ligori TAA., Stock
prediction using artificial neural networks, International Journal of Web
Technology, 2, 2, pp. 42-48, (2013); Zhang L, Aggarwal C, Qi GJ., Stock price
prediction via discovering multi-frequency trading patterns, Proceedings of the
23rd ACM SIGKDD international conference on knowledge discovery and data mining,
pp. 2141-2149, (2017); Simon S, Raoot AD, Lake V., Accuracy driven artificial
neural networks in stock market prediction, International Journal of Soft
Computing, 3, pp. 35-44, (2012); Refenes A, Zapranis A, Francis G., Stock
Performance Modeling Using Neural Networks: A Comparative Study With Regression
Models, Neural Networks, 7, pp. 375-388, (1994); Yoon Y, Margavio TM., A Comparison
of Discriminant Analysis versus Artificial Neural Networks, Journal of the
Operational Research Society, 44, 1, pp. 51-60, (1993); MacKay DJ.,
Hyperparameters: Optimize, or integrate out?, Maximum entropy and Bayesian methods,
pp. 43-59, (1996); Freedman DA., On the Asymptotic Behavior of Bayes' Estimates in
the Discrete Case, The Annals of Mathematical Statistics, 34, 4, pp. 1386-1403,
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predictions with rolling window analysis, (2019)","R. Chandra; School of
Mathematics and Statistics, University of New South Wales, Sydney, Australia;
email: [email protected]",,Public Library of
Science,,,,,,19326203,,POLNC,34197473,English,PLoS ONE,Article,Final,All Open
Access; Gold Open Access,Scopus,2-s2.0-85110251020
Roy S.S.; Chopra R.; Lee K.C.; Spampinato C.; Mohammadi-Ivatlood B.,"Roy, Sanjiban
Sekhar (55476505900); Chopra, Rohan (57205444297); Lee, Kun Chang (35330125000);
Spampinato, Concetto (23391134800); Mohammadi-Ivatlood, Behnam
(57195631360)",55476505900; 57205444297; 35330125000; 23391134800;
57195631360,"Random forest, gradient boosted machines and deep neural network for
stock price forecasting: A comparative analysis on South Korean
companies",2020,International Journal of Ad Hoc and Ubiquitous
Computing,33,1,,62,71,9,27,10.1504/IJAHUC.2020.104715,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85078867532&doi=10.1504%2fIJAHUC.2020.104715&partnerID=40&md5=18457bec571ecd92372fd
00827ef010e,"School of Computer Science and Engineering, Vellore Institute of
Technology, SJT, TN, 116-A29, India; SKK Business School, Sungkyunkwan University,
Seoul, South Korea; University of Catania, Catania, Italy; Faculty of Electrical
and Computer Engineering, University of Tabriz, Tabriz, Iran","Roy S.S., School of
Computer Science and Engineering, Vellore Institute of Technology, SJT, TN, 116-
A29, India; Chopra R., School of Computer Science and Engineering, Vellore
Institute of Technology, SJT, TN, 116-A29, India; Lee K.C., SKK Business School,
Sungkyunkwan University, Seoul, South Korea; Spampinato C., University of Catania,
Catania, Italy; Mohammadi-Ivatlood B., Faculty of Electrical and Computer
Engineering, University of Tabriz, Tabriz, Iran","Predicting the final closing
price of a stock is a challenging task and even modest improvements in predictive
outcome can be very profitable. Many computer-aided techniques based on either
machine learning or statistical models have been adopted to estimate price changes
in the stock market. One of the major challenges with traditional machine learning
models is the feature extraction process. Indeed, extracting relevant features from
data and identifying hidden nonlinear relationships without relying on econometric
assumptions and human expertise is extremely complex and makes deep learning
particularly attractive. In this paper, we propose a deep neural network-based
approach to predict if the stock price will increase by 25% for the following year,
same quarter or not. We also compare our deep learning method against 'shallow'
approaches, random forest and gradient boosted machines. To test the proposed
methods, KIS-VALUE database consisting of the Korea Composite Stock Price Index
(KOSPI) of companies for the period 2007 to 2015 was considered. All the methods
yielded satisfactory performance, namely, deep neural network achieved an AUC of
0.806. 'Shallow' approaches, random forest and gradient boosted machines have been
used for comparisons. Copyright © 2020 Inderscience Enterprises Ltd.",Deep neural
network; DNN; Financial markets; GBM; Gradient boosted machine; Korea Composite
Stock Price Index; KOSPI; Random forest,Commerce; Computer aided instruction;
Decision trees; Deep learning; Deep neural networks; Electronic trading; Financial
markets; Fintech; Forecasting; Learning systems; Random forests; Comparative
analysis; Computer aided technique; KOSPI; Machine learning models; Network-based
approach; Non-linear relationships; Stock price; Stock price forecasting; Neural
networks,,,,,,,"Atsalakis G.S., Valavanis K.P., Forecasting stock market short-term
trends using a neuro-fuzzy based methodology, Expert Systems with Applications, 36,
7, pp. 10696-10707, (2009); Ballings M., van Den Poel D., Hespeels N., Gryp R.,
Evaluating multiple classifiers for stock price direction prediction, Expert
Systems with Applications, 42, 20, pp. 7046-7056, (2015); Barak S., Arjmand A.,
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studies, Expert Systems with Applications, 83, pp. 187-205, (2017); Click C.,
Malohlava M., Candel A., Roark H., Parmar V., Gradient Boosting Machine with H2O,
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of Vibration and Control, 22, 19, pp. 3986-3997, (2016)","S.S. Roy; School of
Computer Science and Engineering, Vellore Institute of Technology, SJT, TN, 116-
A29, India; email: [email protected]",,Inderscience
Publishers,,,,,,17438225,,,,English,Int. J. Ad Hoc Ubiquitous
Comput.,Article,Final,,Scopus,2-s2.0-85078867532
Naik N.; Mohan B.R.,"Naik, Nagaraj (57208816923); Mohan, Biju R.
(23482323800)",57208816923; 23482323800,Optimal Feature Selection of Technical
Indicator and Stock Prediction Using Machine Learning Technique,2019,Communications
in Computer and Information Science,985,,,261,268,7,31,10.1007/978-981-13-8300-
7_22,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-
s2.0-85066087578&doi=10.1007%2f978-981-13-8300-
7_22&partnerID=40&md5=09b2e4fc3441dde0423b2efa88d24859,"Department of Information
Technology, National Institute of Technology, Karnataka, Surathkal, India","Naik
N., Department of Information Technology, National Institute of Technology,
Karnataka, Surathkal, India; Mohan B.R., Department of Information Technology,
National Institute of Technology, Karnataka, Surathkal, India","Short-term trading
is a difficult task due to fluctuating demand and supply in the stock market. These
demands and supply are reflected in stock prices. The stock prices may be predicted
using technical indicators. Most of the existing literature considered the limited
technical indicators to measure short-term prices. We have considered 33 different
combinations of technical indicators to predict the stock prices. The paper has two
objectives, first is the technical indicator feature selection and identification
of the relevant technical indicators by using Boruta feature selection technique.
The second objective is an accurate prediction model for stocks. To predict stock
prices we have proposed ANN (Artificial Neural Network) Regression prediction model
and model performance is evaluated using metrics is Mean absolute error (MAE) and
Root mean square error (RMSE). The experimental results are better than the
existing method by decreasing the error rate in the prediction to 12%. We have used
the National Stock Exchange, India (NSE) data for the experiment. © 2019, Springer
Nature Singapore Pte Ltd.",ANN; Boruta feature selection; Stock prediction,Advanced
Analytics; Big data; Commerce; Costs; Electronic trading; Errors; Feature
extraction; Forecasting; Machine learning; Mean square error; Neural networks; ANN
(artificial neural network); Machine learning techniques; Mean absolute error;
Optimal feature selections; Regression predictions; Root mean square errors;
Selection techniques; Stock predictions; Financial markets,,,,,departments of
MeitY,"Acknowledgment. This work has been supported by the Visvesvaraya Ph.D Scheme
for Electronics and IT (Media Lab Asia), the departments of MeitY, Government of
India. The Task carried out at the Department of Information Technology, NITK
Surathkal, Mangalore, India.","Alexander S.S., Price movements in speculative
markets: Trends or random walks, Ind. Manag. Rev., 2, 2, (1961); Berutich J.M.,
Lopez F., Luna F., Quintana D., Robust technical trading strategies using GP for
algorithmic portfolio selection, Expert Syst. Appl., 46, pp. 307-315, (2016); Chen
Y., Hao Y., Integrating principle component analysis and weighted support vector
machine for stock trading signals prediction, Neurocomputing, 321, pp. 381-402,
(2018); Chourmouziadis K., Chatzoglou P.D., An intelligent short term stock trading
fuzzy system for assisting investors in portfolio management, Expert Syst. Appl.,
43, pp. 298-311, (2016); Kara Y., Boyacioglu M.A., Baykan O.K., Predicting
direction of stock price index movement using artificial neural networks and
support vector machines: The sample of the Istanbul stock exchange, Expert Syst.
Appl., 38, 5, pp. 5311-5319, (2011); Macedo L.L., Godinho P., Alves M.J., Mean-
semivariance portfolio optimization with multiobjective evolutionary algorithms and
technical analysis rules, Expert Syst. Appl., 79, pp. 33-43, (2017); Malkiel B.G.,
Fama E.F., Efficient capital markets: A review of theory and empirical work, J.
Financ., 25, 2, pp. 383-417, (1970); Mousavi S., Esfahanipour A., Zarandi M.H.F., A
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Takahashi S., Generalized exponential moving average (EMA) model with particle
filtering and anomaly detection, Expert Syst. Appl., 73, pp. 187-200, (2017); Patel
J., Shah S., Thakkar P., Kotecha K., Predicting stock market index using fusion of
machine learning techniques, Expert Syst. Appl., 42, 4, pp. 2162-2172, (2015);
Preis T., Moat H.S., Stanley H.E., Quantifying trading behavior in financial
markets using Google trends, Sci. Rep., 3, 1684, (2013); Rubio A., Bermudez J.D.,
Vercher E., Improving stock index forecasts by using a new weighted fuzzy-trend
time series method, Expert Syst. Appl., 76, pp. 12-20, (2017); Ticknor J.L., A
Bayesian regularized artificial neural network for stock market forecasting, Expert
Syst. Appl., 40, 14, pp. 5501-5506, (2013); Tsai C.-F., Hsiao Y.-C., Combining
multiple feature selection methods for stock prediction: Union, intersection, and
multi-intersection approaches, Decis. Support Syst., 50, 1, pp. 258-269, (2010);
Tsai C.-F., Lin Y.-C., Yen D.C., Chen Y.-M., Predicting stock returns by classifier
ensembles, Appl. Soft Comput., 11, 2, pp. 2452-2459, (2011); Vaisla K.S., Bhatt
A.K., An analysis of the performance of artificial neural network technique for
stock market forecasting, Int. J. Comput. Sci. Eng., 2, 6, pp. 2104-2109, (2010);
Zhang Y., Lenan W., Stock market prediction of S&P 500 via combination of improved
BCO approach and BP neural network, Expert Syst. Appl., 36, 5, pp. 8849-8854,
(2009)","N. Naik; Department of Information Technology, National Institute of
Technology, Karnataka, Surathkal, India; email:
[email protected]",Ramakrishna S.; Somani A.K.; Chaudhary A.; Choudhary
C.; Agarwal B.,Springer Verlag,,"2nd International Conference on Emerging
Technologies in Computer Engineering: Microservices in Big Data Analytics, ICETCE
2019",1 February 2019 through 2 February 2019,Jaipur,226309,18650929,978-981138299-
4,,,English,Commun. Comput. Info. Sci.,Conference paper,Final,,Scopus,2-s2.0-
85066087578
Pasupulety U.; Abdullah Anees A.; Anmol S.; Mohan B.R.,"Pasupulety, Ujjwal
(57205444449); Abdullah Anees, Aiman (57210785875); Anmol, Subham (57210790523);
Mohan, Biju R. (23482323800)",57205444449; 57210785875; 57210790523;
23482323800,Predicting stock prices using ensemble learning and sentiment
analysis,2019,"Proceedings - IEEE 2nd International Conference on Artificial
Intelligence and Knowledge Engineering, AIKE
2019",,,8791689,215,222,7,26,10.1109/AIKE.2019.00045,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071464729&doi=10.1109%2fAIKE.2019.00045&partnerID=40&md5=df059168d4d1a9e9a7cd28a2
3e783362,"Department of Information Technology, National Institute of Technology
Karnataka, Surathkal, Mangaluru, 575025, India","Pasupulety U., Department of
Information Technology, National Institute of Technology Karnataka, Surathkal,
Mangaluru, 575025, India; Abdullah Anees A., Department of Information Technology,
National Institute of Technology Karnataka, Surathkal, Mangaluru, 575025, India;
Anmol S., Department of Information Technology, National Institute of Technology
Karnataka, Surathkal, Mangaluru, 575025, India; Mohan B.R., Department of
Information Technology, National Institute of Technology Karnataka, Surathkal,
Mangaluru, 575025, India","The recent success of the application of Artificial
Intelligence in the financial sector has resulted in more firms relying on
stochastic models for predicting the behaviour of the market. Everyday,
quantitative analysts strive to attain better accuracies from their machine
learning models for forecasting returns from stocks. Support Vector Machine (SVM)
and Random Forest based regression models are known for their effectiveness in
accurately predicting closing prices. In this work, we propose a technique for
analyzing and predicting stock prices of companies using the aforementioned
algorithms as an ensemble. Datasets from India's National Stock Exchange (NSE)
containing basic market price information are preprocessed to include well known
leading technical indicators as features. Feature selection, which ranks features
based on their degree of influence on the final closing price has been incorporated
to reduce the size of the training dataset. Additionally, we evaluate the
effectiveness of considering the public opinion of a company by employing sentiment
analysis. Using a trained Word2Vec model, company specific hash-tagged posts from
Twitter are classified as positive or negative. Our proposed ensemble model is then
trained on a new dataset which combines the technical indicator data along with the
aggregated number of positive/negative tweets of a company over time. Our
experiments indicate that in some scenarios, the ensemble model performs better
than the constituent models and is highly dependent of the nature and size of the
training data. However, combining technical indicator data with aggregated
positive/negative tweet counts has a negligible effect on the performance of the
ensemble model. © 2019 IEEE.",Ensemble regressors; Machine learning; Sentiment
analysis; Stock market prediction,Commerce; Costs; Decision trees; Electronic
trading; Financial markets; Forecasting; Knowledge engineering; Learning systems;
Machine learning; Regression analysis; Sentiment analysis; Social aspects;
Stochastic systems; Support vector machines; Ensemble learning; Ensemble modeling;
Ensemble regressors; Financial sectors; Machine learning models; Positive/negative;
Stock market prediction; Technical indicator; Stochastic models,,,,,,,"Kumar I.,
Dogra K., Utreja C., Yadav P., A comparative study of supervised machine learning
algorithms for stock market trend prediction, 2018 Second International Conference
on Inventive Communication and Computational Technologies (ICICCT), 04, pp. 1003-
1007, (2018); Jaiwang G., Jeatrakul P., A forecast model for stock trading using
support vector machine, 2016 International Computer Science and Engineering
Conference (ICSEC), pp. 1-6, (2016); Li W., Liao J., A comparative study on trend
forecasting approach for stock price time series, 11th IEEE International
Conference on Anti-counterfeiting, Security, and Identification (ASID), 10, pp. 74-
78, (2017); Wendong Y., Zhengzheng L., Bo J., A multi-factor analysis model of
quantitative investment based on ga and SVM, 2017 2nd International Conference on
Image, Vision and Computing (ICIVC), pp. 1152-1155, (2017); Twitter Api
Documentation; Yujun Y., Yimei Y., Jianping L., Research on financial time series
forecasting based on SVM, 2016 13th International Computer Conference on Wavelet
Active Media Technology and Information Processing (ICCWAMTIP), pp. 346-349,
(2016); Manojlovi T., Tajduhar I., Predicting stock market trends using random
forests: A sample of the zagreb stock exchange, 2015 38th International Convention
on Information and Communication Technology, Electronics and Microelectronics
(MIPRO), pp. 1189-1193, (2015); Ye T., Stock forecasting method based on wavelet
analysis and arimasvr model, 2017 3rd International Conference on Information
Management (ICIM), pp. 102-106, (2017); Yang J., Rao R., Hong P., Ding P., Ensemble
model for stock price movement trend prediction on different investing periods,
2016 12th International Conference on Computational Intelligence and Security
(CIS), pp. 358-361, (2016); Labiad B., Berrado A., Benabbou L., Machine learning
techniques for short term stock movements classification for moroccan stock
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Sentiment analysis for effective stock market prediction, International Journal of
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Frameworks, pp. 45-50, (2010)",,,Institute of Electrical and Electronics Engineers
Inc.,,"2nd IEEE International Conference on Artificial Intelligence and Knowledge
Engineering, AIKE 2019",3 June 2019 through 5 June 2019,"Cagliari,
Sardinia",150750,,978-172811488-0,,,English,"Proc. - IEEE Int. Conf. Artif. Intell.
Knowl. Eng., AIKE",Conference paper,Final,,Scopus,2-s2.0-85071464729
Sheth D.; Shah M.,"Sheth, Dhruhi (58046990000); Shah, Manan
(57200131797)",58046990000; 57200131797,Predicting stock market using machine
learning: best and accurate way to know future stock prices,2023,International
Journal of System Assurance Engineering and
Management,14,1,,1,18,17,32,10.1007/s13198-022-01811-1,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85145885411&doi=10.1007%2fs13198-022-01811-
1&partnerID=40&md5=d6da2df3cb14f23e52f520b71566f642,"Delhi Public School, Bopal,
Gujarat, Ahmedabad, India; Department of Chemical Engineering, School of Energy
Technology, Pandit Deendayal Energy University, Gujarat, Gandhinagar, 382426,
India","Sheth D., Delhi Public School, Bopal, Gujarat, Ahmedabad, India; Shah M.,
Department of Chemical Engineering, School of Energy Technology, Pandit Deendayal
Energy University, Gujarat, Gandhinagar, 382426, India","Dissatisfaction is the
first step of progress, this statement serves to be the base of using Artifcial
Intelligence in predicting stock prices. A great deal of people dreamed of
predicting stock prices faultlessly but it remained only as a dream for those
visionaries at that time. The legacy of those visionaries led to the discovery of
something concrete and made that dream come to reality, and due to this we can use
machine learning methods in today’s era for predicting accurate stock prices. These
methods have proved to be extremely beneficial and an easy way for common man to
earn quick money if done appropriately. These methods still have drawbacks that are
being worked upon and it confirmations immense improvement in the future unlike the
prior methods of predicting stock market prices like time-series forecasting that
didn’t provide results that satisfying the needs of an investor. As a result, to
deal with the volatile and dynamic nature of the market, a link between stock
market and Artificial Intelligence was founded that brought about wonders. The
three methods that were implemented in the prediction process were Artificial
Neural Network (ANN), Support Vector Machine (SVM) and Long Short-Term Memory
(LSTM). ANN works on neural network, SVM works using Kernel method and LSTM works
using Keras LSTM. Various techniques offered by each methodology are carefully
analyzed and it was found that ANN based on neural network provides best results
because it considers complex, non-linear relationships and recognizes patterns.
While SVM is comparatively a new method and capable of providing better results in
the future and LSTM gives good results only when large dataset is given which can
be considered a drawback. © 2023, The Author(s) under exclusive licence to The
Society for Reliability Engineering, Quality and Operations Management (SREQOM),
India and The Division of Operation and Maintenance, Lulea University of
Technology, Sweden.",Machine learning (ML); Prediction; Stock market,Commerce;
Costs; Financial markets; Investments; Large dataset; Learning systems; Long short-
term memory; Support vector machines; Dynamic nature; Machine learning; Machine
learning methods; Machine-learning; Network support; Neural-networks; Stock market
prices; Stock price; Support vectors machine; Time series forecasting;
Forecasting,,,,,"Delhi Public School; Pandit Deendayal Energy University; School of
Energy Technology; Department of Chemical Engineering, Universiti Teknologi
Petronas","The authors are grateful to Delhi Public School and Department of
Chemical Engineering, School of Energy Technology, Pandit Deendayal Energy
University for the permission to publish this research.","Abiodun O., Jantan A.,
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Prediction and Quantitative Trading, (2020)","M. Shah; Department of Chemical
Engineering, School of Energy Technology, Pandit Deendayal Energy University,
Gandhinagar, Gujarat, 382426, India; email:
[email protected]",,Springer,,,,,,9756809,,,,English,Intl. J. Syst. Assur.
Eng. Manage.,Review,Final,,Scopus,2-s2.0-85145885411
Kazmaier J.; van Vuuren J.H.,"Kazmaier, Jacqueline (57216924965); van Vuuren, Jan
H. (6603546639)",57216924965; 6603546639,A generic framework for sentiment
analysis: Leveraging opinion-bearing data to inform decision making,2020,Decision
Support Systems,135,,113304,,,,29,10.1016/j.dss.2020.113304,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085350570&doi=10.1016%2fj.dss.2020.113304&partnerID=40&md5=03e47e61dcc1517d73f53f
10a963f3e2,"Stellenbosch Unit for Operations Research in Engineering, Department of
Industrial Engineering, Stellenbosch University, Private Bag XI, Matieland, 7602,
South Africa","Kazmaier J., Stellenbosch Unit for Operations Research in
Engineering, Department of Industrial Engineering, Stellenbosch University, Private
Bag XI, Matieland, 7602, South Africa; van Vuuren J.H., Stellenbosch Unit for
Operations Research in Engineering, Department of Industrial Engineering,
Stellenbosch University, Private Bag XI, Matieland, 7602, South Africa","The
increased exposure of the average citizen and customer to polarised content from
various sources has been of significant consequence for companies and governmental
organisations. Such content has, for example, served as a catalyst for violent
uprisings and shifts in stock market prices. The collection and study of opinion
have therefore become a necessity in many industries. Due to the vast nature of
such data, manual approaches to this problem are no longer feasible. Several
computational approaches have been proposed within the field of sentiment analysis,
which successfully address many aspects of this problem, such as the classification
of data into one of several sentiment categories. The research in the field is
lacking, however, with respect to the integration and application of these
techniques in practice, as well as their incorporation into the decision-making
process of affected entities. In this paper, a generic framework for sentiment
analysis is proposed, with a focus on facilitating the model development process
for a user in a manner such that good performance may be achieved irrespective of
the problem domain, as well as facilitating a flexible, exploratory analysis of
model results in combination with existing structured attributes in order to gain
actionable insights. The objective of the framework is to aid organisations in
successfully leveraging unstructured, opinion-bearing data in combination with
structured data sources to inform decision making. © 2020 Elsevier B.V.",Decision
Support Systems; Machine learning; Natural language processing; Sentiment
analysis,Sentiment analysis; Classification of data; Computational approach;
Decision making process; Exploratory analysis; Generic frameworks; Model
development; Stock market prices; Structured data; Decision making,,,,,,,"Liu B.,
Sentiment analysis and opinion mining, Synthesis Lectures on Human Language
Technologies, vol. 1 5), pp. 1-168, (2012); Bannister K., (2015); Vargas J.A.,
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Meeting of the Association for Computational Linguistics, Jeju Island, pp. 90-94,
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Eng., 28, 3, pp. 813-830, (2016)","J. Kazmaier; Stellenbosch Unit for Operations
Research in Engineering, Department of Industrial Engineering, Stellenbosch
University, Matieland, Private Bag XI, 7602, South Africa; email:
[email protected]",,Elsevier B.V.,,,,,,1679236,,DSSYD,,English,Decis Support
Syst,Article,Final,,Scopus,2-s2.0-85085350570
Zhou D.; Zheng L.; Zhu Y.; Li J.; He J.,"Zhou, Dawei (57001852100); Zheng, Lecheng
(57208900351); Zhu, Yada (35323529600); Li, Jianbo (57203396867); He, Jingrui
(7404984811)",57001852100; 57208900351; 35323529600; 57203396867; 7404984811,Domain
Adaptive Multi-Modality Neural Attention Network for Financial
Forecasting,2020,"The Web Conference 2020 - Proceedings of the World Wide Web
Conference, WWW 2020",,,,2230,2240,10,28,10.1145/3366423.3380288,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85086570975&doi=10.1145%2f3366423.3380288&partnerID=40&md5=dd025bb84832f6c487098a51
9257292d,"University of Illinois, Urbana-Champaign, United States; IBM Research,
United States; Three Bridges Capital, United States","Zhou D., University of
Illinois, Urbana-Champaign, United States; Zheng L., University of Illinois,
Urbana-Champaign, United States; Zhu Y., IBM Research, United States; Li J., Three
Bridges Capital, United States; He J., University of Illinois, Urbana-Champaign,
United States","Financial time series analysis plays a central role in optimizing
investment decision and hedging market risks. This is a challenging task as the
problems are always accompanied by dual-level (i.e, data-level and task-level)
heterogeneity. For instance, in stock price forecasting, a successful portfolio
with bounded risks usually consists of a large number of stocks from diverse
domains (e.g, utility, information technology, healthcare, etc.), and forecasting
stocks in each domain can be treated as one task; within a portfolio, each stock is
characterized by temporal data collected from multiple modalities (e.g, finance,
weather, and news), which corresponds to the data-level heterogeneity. Furthermore,
the finance industry follows highly regulated processes, which require prediction
models to be interpretable, and the output results to meet compliance. Therefore, a
natural research question is how to build a model that can achieve satisfactory
performance on such multi-modality multi-task learning problems, while being able
to provide comprehensive explanations for the end users. To answer this question,
in this paper, we propose a generic time series forecasting framework named
Dandelion, which leverages the consistency of multiple modalities and explores the
relatedness of multiple tasks using a deep neural network. In addition, to ensure
the interpretability of the framework, we integrate a novel trinity attention
mechanism, which allows the end users to investigate the variable importance over
three dimensions (i.e, tasks, modality and time). Extensive empirical results
demonstrate that Dandelion achieves superior performance for financial market
prediction across 396 stocks from 4 different domains over the past 15 years. In
particular, two interesting case studies show the efficacy of Dandelion in terms of
its profitability performance, and the interpretability of output results to end
users. © 2020 ACM.",Heterogeneous Learning; Interpretable Machine Learning; Time
Series Forecasting,Commerce; Deep neural networks; Financial data processing;
Forecasting; Investments; Learning systems; Multi-task learning; Risk assessment;
Time series analysis; World Wide Web; Attention mechanisms; Financial forecasting;
Financial time series; Investment decisions; Multiple modalities; Stock price
forecasting; Time series forecasting; Variable importances; Financial
markets,,,,,"IBM AI Horizons Network; National Science Foundation, NSF, (2002540,
IIS-1552654, IIS-1813464); U.S. Department of Homeland Security, DHS,
(17STQAC00001-02-00, HSHQDC-16-A-B0001); International Business Machines
Corporation, IBM; Center for Cognitive Computing Systems Research, C3SR","This work
is supported by National Science Foundation under Grant No. IIS-1552654 and Grant
No. IIS-1813464, the U.S. Department of Homeland Security under Grant Award Number
17STQAC00001-02-00 and Ordering Agreement Number HSHQDC-16-A-B0001, an IBM Faculty
Award, and IBM-ILLINOIS Center for Cognitive Computing Systems Research (C3SR) - a
research collaboration as part of the IBM AI Horizons Network. The views and
conclusions are those of the authors and should not be interpreted as representing
the official policies of the funding agencies or the government.","Bao W., Yue J.,
Rao Y., A deep learning framework for financial time series using stacked
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He J., Learning from multi-modality multi-resolution data: An optimization
approach, SDM, (2017)",,,"Association for Computing Machinery, Inc",Chunghwa
Telecom; et al.; Microsoft; Quanta Computer; Taiwan Mobile; ZOOM,"29th
International World Wide Web Conference, WWW 2020",20 April 2020 through 24 April
2020,Taipei,160505,,978-145037023-3,,,English,"Web Conf. - Proc. World Wide Web
Conf., WWW",Conference paper,Final,,Scopus,2-s2.0-85086570975
Jamalpur B.; Korra S.N.; Rajanala V.P.; Sudarshan E.; Yadav B.P.,"Jamalpur, Bhavana
(57215217495); Korra, Seena Naik (57220983855); Rajanala, Vijaya Prakash
(57189342121); Sudarshan, E. (57200107200); Yadav, Bonthala Prabhanjan
(57220992713)",57215217495; 57220983855; 57189342121; 57200107200;
57220992713,Machine learning intersections and challenges in deep learning,2020,IOP
Conference Series: Materials Science and
Engineering,981,2,22072,,,,31,10.1088/1757-899X/981/2/022072,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85098003409&doi=10.1088%2f1757-899X
%2f981%2f2%2f022072&partnerID=40&md5=e6635097f861765f98309712209f5fbf,"Department
of Computer Science and Engineering, S R Engineering College, Warangal, India;
Department of Computer Science and Engineering, S R University, Warangal, India;
Department of Computer Science and Engineering, Sumathi Reddy Institute of
Technology for Women, Warangal, India","Jamalpur B., Department of Computer Science
and Engineering, S R Engineering College, Warangal, India; Korra S.N., Department
of Computer Science and Engineering, S R Engineering College, Warangal, India;
Rajanala V.P., Department of Computer Science and Engineering, S R University,
Warangal, India; Sudarshan E., Department of Computer Science and Engineering,
Sumathi Reddy Institute of Technology for Women, Warangal, India; Yadav B.P.,
Department of Computer Science and Engineering, Sumathi Reddy Institute of
Technology for Women, Warangal, India","Deep learning is certainly not a limited
finding tactic, however, it follows several procedures and also topographies which
could be associated with a huge speculum of complex problems. The strategy knows
the illustrator in addition to differential attributes in a stratified way. Deep
learning strategies have created a notable innovation along with sizable
effectiveness in an assortment of applications with useful protection units. It is
taken into account to become the greatest choice for revealing the architecture in
high-dimensional relevant information by using a backpropagation process and
concepts analysis. As deep learning has assisted help make significant advancements
and also significant performance in many therapies, the wide-spread domain names of
deep learning are service, scientific study, cancer cells diagnosis, natural
language processing, medical diagnosis, handwriting recognition, trumpet call
recognition, stock market study. This paper provides the intersections towards
machine learning and also the challenges of deep learning. © Published under
licence by IOP Publishing Ltd.",back propagation; concept analysis; Deep Learning;
high dimensional; intersections; Machine Learning; recognition,,,,,,,,"Kumar Naresh
S., Et al., Opportunities for Applying Deep Learning Networks to Tumour
Classification, Indian Journal of Public Health Research & Development, (2018);
Bhavana Bhavana, Analysis of Noise Reduction of Large Data sets Using Mathematical
Tools in Data, Mining International Journal of Pure and Applied Mathematics, 6, pp.
7061-7070, (2018); Bhavana J., Komuravelly Sudheer Kumar, A Study on the Enhanced
Approach of Data Mining Towards Providing Security for Cloud Computing, Indian
Journal of Public Health Research & Development, pp. 1176-1179, (2018); Jamalpur
Jamalpur, Komuravelly Sudheer Kumar, Implementation of Bovw Model Towards Obtaining
Discriminative Features of the Images, International Journal of Advanced Science
and Technology, pp. 9-15, (2019); Bhavana J, Komuravelly Sudheer Kumar, A Study on
Data Mining Towards Cloud Computing, Indian Journal of Public Health Research &
Development, pp. 1166-1169, (2018); Carpineto, Romano G., Concept Data Analysis
Theory and Applications, (2007); Pfalz J. L, Representing numeric Values in concept
lattices, Fifth International Conference on Concept Lattices and their
Applications, (2007); Lahcen B, Kwuida L, Lattice Miner A Tool for Concept Lattice
Construction and Exploration; Ganter Stumme, Wille, Formal Concept Analysis,
Foundations and Applications Lecture Notes in Computer Science, (2005); Pramod
Kumar P., Naresh Kumar S., Thirupathi V., Ch Sandeep, qos and security problems in
4g networks and qos mechanisms offered by 4g, International Journal of Advanced
Science and Technology, pp. 600-606, (2019); Ramesh D., Syed Nawaz Pasha,
Sallauddin M. D., Advances in Intelligent Systems and Computing 815 (Springer)
Cognitive Based Adaptive Path Planning for Mobile Robot in Dynamic Environment,
(2018); Ramesh D., Kodhandaraman D., Salauddin M D., A Research to Enhance the Old
Manuscript Resolution using Deep Learning Mechanism, International Journal of
Innovative Technology and Exploring Engineering, 8, pp. 1597-1599, (2019); Pramod
Kumar P., Sagar K., Flexible Vertical Handover Decision Algorithm For Heterogenous
Wireless Networks In 4g, Journal Of Mechanics Of Continua And Mathematical
Sciences, pp. 54-66, (2019); Jamalpur Jamalpur, Data Exploration As A Process Of
Knowledge Finding And The Role Of Mining Data Towards Information Security, Journal
Of Mechanics Of Continua And Mathematical Sciences, (2020); Mohammed Ali Shaik, A
Survey on Text Classification methods through Machine Learning Methods,
International Journal of Control and Automation (IJCA), pp. 390-396, (2019);
Mohammed Ali Shaik, Time Series Forecasting using Vector quantization,
International Journal of Advanced Science and Technology (IJAST), pp. 169-175,
(2020); Harshavardhan A, Babu Dr Suresh, Dr T, Brain tumor segmentation method-A
Survey, Jour of Adv Research in Dynamical & Control Systems, 11, pp. 240-245,
(2017); Harshavardhan A, Babu Dr Suresh, Dr T, conference International Conference
on Advanced Computing and Intelligent Engineering Proceedings of ICACIE 1
(Springer) 3D Surface Measurement through Easy-snap Phase Shift Fringe Projection,
pp. 179-186, (2016); Harshavardhan A, Dr Suresh Babu, Dr T, 2017 2nd International
Conference On Emerging Computation and Information Technologies (ICECIT) (IEEE) An
Improved Brain Tumor Segmentation Method from MRI Brain Images, pp. 1-7, (2017);
Harshavardhan A., Syed Nawaz Pasha, Sallauddin M. D., Ramesh D., Techniques used
for clustering data and integrating cluster analysis within mathematical
programming, journal of mechanics of continua and mathematical science s, 14, pp.
546-557, (2019); Reddy Reddy, Vinay Vinay, Rajasri I, An Overview Towards The Tip-
Rubbing Event And Usage Of Abradable Materials To Minimize The Occurrence Of Tip-
Rubbing, Journal Of Mechanics Of Continua And Mathematical Sciences, 14, pp. 665-
675, (2019); Mahender K, Ramesh KS, Kumar TA, An efficient ofdm system with reduced
papr for combating multipath fading, Journal of Advanced Research in Dynamical and
Control Systems, 9, pp. 1939-1948, (2017); Harshavardhan A., Shruthi K., An
effective implementation of faulty node detection in mobile wireless network,
International Journal of Advanced Research in Computer Science, 8, pp. 705-708,
(2017); Seena Naik K, Sudarshan E, Smart healthcare monitoring system using
raspberry Pi on IoT platform, ARPN Journal of Engineering and Applied Sciences, 14,
pp. 872-876, (2019)","B. Jamalpur; Department of Computer Science and Engineering,
S R Engineering College, Warangal, India; email: [email protected]",,IOP
Publishing Ltd,,"2020 International Conference on Recent Advancements in
Engineering and Management, ICRAEM 2020",9 October 2020 through 10 October
2020,"Warangal, Virtual",165675,17578981,,,,English,IOP Conf. Ser. Mater. Sci.
Eng.,Conference paper,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-
85098003409
Manjula K.A.; Karthikeyan P.,"Manjula, K.A. (57215325350); Karthikeyan, P.
(57197551525)",57215325350; 57197551525,Gold price prediction using ensemble based
machine learning techniques,2019,"Proceedings of the International Conference on
Trends in Electronics and Informatics, ICOEI 2019",2019-
April,,,1360,1364,4,28,10.1109/icoei.2019.8862557,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85075855071&doi=10.1109%2ficoei.2019.8862557&partnerID=40&md5=67f178cefedfada0f33ec
3a1a00f9e88,"Department of Computer Science, University of Calicut, India;
Department of Management Studies, Kannur University, India","Manjula K.A.,
Department of Computer Science, University of Calicut, India; Karthikeyan P.,
Department of Management Studies, Kannur University, India","This article is based
on a study conducted to understand the relationship between gold price and selected
factors influencing it, namely stock market, crude oil price, rupee dollar exchange
rate, inflation and interest rate. Monthly price data for the period January 2000
to December 2018 was used for the study. The data was further split into two
periods, period I from January 2000 to October 2011 during which the gold price
exhibits a raising trend and period II from November 2011 to December 2018 where
the gold price is showing a horizontal trend. Three machine learning algorithms,
linear regression, random forest regression and gradient boosting regression were
used in analyzing these data. It is found that the correlation between the
variables is strong during the period I and weak during period II. While these
models show good fit with data during period I, the fitness is not good during the
period II. While random forest regression is found to have better prediction
accuracy for the entire period, gradient boosting regression is found to give
better accuracy for the two periods taken separately. ©2019 IEEE.",Machine
Learning; Prediction; Regression,Adaptive boosting; Decision trees; Finance;
Forecasting; Gold; Learning systems; Regression analysis; Crude oil prices;
Exchange rates; Gradient boosting; Interest rates; Machine learning techniques;
Prediction accuracy; Random forests; Regression; Machine learning,,,,,,,"Du W.,
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Yazdani-Chamzini A., Modeling gold price via artificial neural network, J. Econ.
Bus. Manag., 3, 7, pp. 699-703, (2015)",,,Institute of Electrical and Electronics
Engineers Inc.,,"3rd International Conference on Trends in Electronics and
Informatics, ICOEI 2019",23 April 2019 through 25 April
2019,Tirunelveli,152706,,978-153869439-8,,,English,"Proc. Int. Conf. Trends
Electron. Informatics, ICOEI",Conference paper,Final,,Scopus,2-s2.0-85075855071
Yang C.; Abedin M.Z.; Zhang H.; Weng F.; Hajek P.,"Yang, Cai (57202155324); Abedin,
Mohammad Zoynul (57193336983); Zhang, Hongwei (57194513704); Weng, Futian
(57203883387); Hajek, Petr (56894360000)",57202155324; 57193336983; 57194513704;
57203883387; 56894360000,An interpretable system for predicting the impact of
COVID-19 government interventions on stock market sectors,2023,Annals of Operations
Research,,,,,,,26,10.1007/s10479-023-05311-8,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85153336466&doi=10.1007%2fs10479-023-05311-
8&partnerID=40&md5=b7deff74441099afe93b3572cf979481,"School of Business
Administration, Hunan University, Changsha, 410082, China; School of Management,
Swansea University, Bay Campus, Fabian Way, Wales, Swansea, SA1 8EN, United
Kingdom; Department of Finance, Performance and Marketing, Teesside University
International Business School, Teesside University, Tees Valley, Middlesbrough, TS1
3BX, United Kingdom; School of Mathematics and Statistics, Central South
University, Hunan, Changsha, 410083, China; Institute of Metal Resources Strategy,
Central South University, Changsha, 410083, China; School of Medicine, Xiamen
University, Xiamen, 361005, China; National Institute for Data Science in Health
and Medicine, Xiamen University, Xiamen, 361005, China; Data Mining Research
Center, Xiamen University, Xiamen, 361005, China; Science and Research Centre,
Faculty of Economics and Administration, University of Pardubice, Studentska 84,
Pardubice, 532 10, Czech Republic","Yang C., School of Business Administration,
Hunan University, Changsha, 410082, China; Abedin M.Z., School of Management,
Swansea University, Bay Campus, Fabian Way, Wales, Swansea, SA1 8EN, United
Kingdom, Department of Finance, Performance and Marketing, Teesside University
International Business School, Teesside University, Tees Valley, Middlesbrough, TS1
3BX, United Kingdom; Zhang H., School of Mathematics and Statistics, Central South
University, Hunan, Changsha, 410083, China, Institute of Metal Resources Strategy,
Central South University, Changsha, 410083, China; Weng F., School of Medicine,
Xiamen University, Xiamen, 361005, China, National Institute for Data Science in
Health and Medicine, Xiamen University, Xiamen, 361005, China, Data Mining Research
Center, Xiamen University, Xiamen, 361005, China; Hajek P., Science and Research
Centre, Faculty of Economics and Administration, University of Pardubice,
Studentska 84, Pardubice, 532 10, Czech Republic","Evaluating and understanding the
financial impacts of COVID-19 has emerged as an urgent research agenda.
Nevertheless, the impacts of government interventions on stock markets remain
poorly understood. This study explores, for the first time, the impact of COVID-19
related government intervention policies on different stock market sectors using
explainable machine learning-based prediction models. The empirical findings
suggest that the LightGBM model provides excellent prediction accuracy while
preserving computationally efficient and easy explainability of the model. We also
find that COVID-19 government interventions are better predictors of stock market
volatility than stock market returns. We further show that the observed effects of
government intervention on the volatility and returns of ten stock market sectors
are heterogeneous and asymmetrical. Our findings have important implications for
policymakers and investors in terms of promoting balance and sustaining prosperity
across industry sectors through government interventions. © 2023, Crown.",COVID-19;
Government interventions; SHapley Additive exPlanations; Stock
market,,,,,,"European Cooperation in Science and Technology, COST, (CA19130);
scientific research project of the Czech Sciences Foundation, (22-22586S)",This
article was supported by the scientific research project of the Czech Sciences
Foundation Grant No. 22-22586S and by the European Cooperation in Science &
Technology COST Action Grant CA19130—Fintech and Artificial Intelligence in Finance
—Towards a transparent financial industry. ,"Abdin A.F., Fang Y.P., Caunhye A.,
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1479-1500, (2021)","M.Z. Abedin; School of Management, Swansea University, Swansea,
Bay Campus, Fabian Way, Wales, SA1 8EN, United Kingdom; email:
[email protected]; F. Weng; School of Medicine, Xiamen University, Xiamen,
361005, China; email:
[email protected]",,Springer,,,,,,2545330,,,,English,Ann. Oper.
Res.,Article,Article in press,All Open Access; Bronze Open Access; Green Open
Access,Scopus,2-s2.0-85153336466
Das S.P.; Padhy S.,"Das, Shom Prasad (57188829073); Padhy, Sudarsan
(16408199000)",57188829073; 16408199000,A new hybrid parametric and machine
learning model with homogeneity hint for European-style index option
pricing,2017,Neural Computing and
Applications,28,12,,4061,4077,16,24,10.1007/s00521-016-2303-y,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84963642541&doi=10.1007%2fs00521-016-2303-
y&partnerID=40&md5=4dc44cb4a28ab8e4ab7ce691e5f19ba9,"Department of Computer Science
and Engineering, National Institute of Science and Technology, Palur Hills, 761008,
Berhampur, Odisha, India; Silicon Institute of Technology, Silicon Hills,
Bhubaneswar, 751024, Odisha, India","Das S.P., Department of Computer Science and
Engineering, National Institute of Science and Technology, Palur Hills, 761008,
Berhampur, Odisha, India; Padhy S., Silicon Institute of Technology, Silicon Hills,
Bhubaneswar, 751024, Odisha, India","Here, we propose and investigate a hybrid
model that combines parametric option pricing models such as Black–Scholes (BS)
option pricing model, Monte Carlo option pricing model, and finite difference
method with nonparametric machine learning techniques such as support vector
regression (SVR) and extreme learning machine-based regression models. The purpose
of this model is to support better investment decisions by forecasting the option
price with high predictive accuracy. To further reduce the forecasting error, we
incorporate a homogeneity hint (i.e., training the model by categorizing the
options data based on moneyness and time-to-maturity of the option contract) into
the model. We examine the feasibility and effectiveness of this model using a case
study to predict the one-day-ahead price of index options traded in the National
Stock Exchange of India Limited. Our experimental results show that the proposed
new hybrid model is viable and effective and provides better predictive performance
as compared with our benchmark models (standard BS Model, standard Monte Carlo,
standard finite difference model, and standard SVR Model). For example, the
proposed hybrid model using SVR improved, respectively, the root-mean-square error
and mean absolute error by 83.66 and 85.46 % (D1 dataset), 78.02 and 76.0 % (D2
dataset), 91.86 and 90.62 % (D3 dataset), and 87.7 and 90.29 % (D4 dataset), when
compared with the benchmarked BS model. We observe similar improvements over the
other benchmarked models. Therefore, the proposed new hybrid model is a suitable
alternative model for option pricing when higher predictive accuracy is desired. ©
2016, The Natural Computing Applications Forum.",Extreme learning machines (ELMs);
Homogeneity hint; Nonparametric methods; Option pricing; Parametric methods;
Support vector regression (SVR),Artificial intelligence; Benchmarking; Costs;
Errors; Financial markets; Finite difference method; Forecasting; Investments;
Knowledge acquisition; Learning systems; Mean square error; Monte Carlo methods;
Regression analysis; Extreme learning machine; Homogeneity hint; Nonparametric
methods; Option pricing; Parametric method; Support vector regression (SVR);
Economics,,,,,,,"Adhikari R., Agrawal R.K., A combination of artificial neural
network and random walk models for financial time forecasting, Neural Comput Appl,
24, 6, pp. 1441-1449, (2014); Bakshi G., Cao C., Chen Z., Empirical performance of
alternative option pricing models, J Financ, 52, 5, pp. 2003-2049, (1997); Black
F., Scholes M., The pricing of options and corporate liabilities, J Polit Econ, 81,
3, pp. 637-654, (1973); Boyle P.P., Options: a monte carlo approach, J Financ Econ,
4, 3, pp. 323-338, (1977); Brown C.A., Robinson D.M., Skewness and kurtosis implied
by option prices: a correction, J Financ Res, 25, 2, pp. 279-282, (2002); Can M.,
Fadda S., Using neural networks to forecast the implied volatility: the case of
S&P100 XEO, SouthEast Eur J Soft Comput, 3, 1, pp. 10-17, (2014); Chang C.C., Lin
C.J., LIBSVM: a library for support vector machines, ACM Trans Intell Syst Technol,
2, 3, (2011); Chen W.-H., Shih J.-Y., Wu S., Comparison of support-vector machines
and back propagation neural networks in forecasting the six major Asian stock
markets, Int J Electron Financ, 1, 1, pp. 49-67, (2006); Chiarella C., Kang B.,
Meyer G.H., The evaluation of barrier option prices under stochastic volatility,
Comput Math Appl, 64, 6, pp. 2034-2048, (2012); Cox J.C., Ross S.A., Rubinstein M.,
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Das S.P., Padhy S., A novel hybrid model using teaching–learning-based optimization
and a support vector machine for commodity futures index forecasting, Int J Mach
Learn Cybernet, (2015); Diebold F.X., Mariano R.S., Comparing predictive accuracy,
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hedging derivative securities with neural networks and a homogeneity hint, J
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style index options, IEEE Trans Neural Netw, 18, 1, pp. 193-202, (2007); Gencay R.,
Qi M., Pricing and hedging derivative securities with neural networks: Bayesian
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price forecasts with neural networks and support vector regressions,
Neurocomputing, 72, 13, pp. 3055-3065, (2009); Mert I., Karakus C., Unes F.,
Estimating the energy production of the wind turbine using artificial neural
network, Neural Comput Appl, (2015); Park H., Kim N., Lee J., Parametric models and
non-parametric machine learning models for predicting option prices: empirical
comparison study over KOSPI 200 Index options, Expert Syst Appl, 41, 11, pp. 5227-
5237, (2014); Park H., Lee J., Forecasting nonnegative option price distributions
using Bayesian kernel methods, Expert Syst Appl, 39, 18, pp. 13243-13252, (2012);
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D., Randall C., Pricing financial instruments: the finite difference method,
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Syst Appl, 36, 1, pp. 564-570, (2009)","S.P. Das; Department of Computer Science
and Engineering, National Institute of Science and Technology, Berhampur, Palur
Hills, 761008, India; email: [email protected]",,Springer
London,,,,,,9410643,,,,English,Neural Comput. Appl.,Article,Final,,Scopus,2-s2.0-
84963642541
Kamley S.; Jaloree S.; Thakur R.S.,"Kamley, Sachin (56906965100); Jaloree, Shailesh
(56906959900); Thakur, R.S. (25823494300)",56906965100; 56906959900;
25823494300,Performance forecasting of share market using machine learning
techniques: A review,2016,International Journal of Electrical and Computer
Engineering,6,6,,3196,3204,8,21,10.11591/ijece.v6i6.13323,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85012025852&doi=10.11591%2fijece.v6i6.13323&partnerID=40&md5=b51766c6f264f2af9383a7
96163151e8,"Department of Computer Applications, S.A.T.I., B.T.I. Road, Sherpura,
Vidisha, 464001, MP, India; Department of Applied Math's and Computer Science,
S.A.T.I., Vidisha, India; Department of Computer Applications, M.A.N.I.T., Bhopal,
India","Kamley S., Department of Computer Applications, S.A.T.I., B.T.I. Road,
Sherpura, Vidisha, 464001, MP, India; Jaloree S., Department of Applied Math's and
Computer Science, S.A.T.I., Vidisha, India; Thakur R.S., Department of Computer
Applications, M.A.N.I.T., Bhopal, India","Forecasting share performance becomes
more challenging issue due to the enormous amount of valuable trading data stored
in the stock database. Currently, existing forecasting methods are insufficient to
analyze the share performance accurately. There are two main reasons for that:
First, the study of existing forecasting methods is still insufficient to identify
the most suitable methods for share price prediction. Second, the lack of
investigations made on the factors affecting the share performance. In this regard,
this study presents a systematic review of the last fifteen years on various
machine learning techniques in order to analyze share performance accurately. The
only objective of this study is to provide an overview of the machine learning
techniques that have been used to forecast share performance. This paper also
highlights a how the prediction algorithms can be used to identify the most
important variables in a share market dataset. Finally, we could have succeeded to
analyze share performance effectively. It could bring benefits and impacts to
researchers, society, brokers and financial analysts. Copyright © 2016 Institute of
Advanced Engineering and Science. All rights reserved.",Machine learning;
Performance forecasting; Share market,,,,,,,,"Das A.P., Security analysis and
portfolio Management, I.K. International Publication, (2008); Phua P.K., Et al.,
Forecasting stock index increments using neural networks with trust region methods,
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al., Price prediction of share market using artificial neural network (ANN),
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T.S., A comparative study of artificial neural networks and decision trees for
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support vector machine and decision tree: A case study in Iran stock exchange,
International Journal of Economy, Management and Social Sciences, 2, 9, pp. 746-
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for stock price variation in Taiwan, Journal of the Chinese Institute of Industrial
Engineering, 21, 4, pp. 358-368, (2004); Gepp A., Et al., Predicting financial
distress: A comparison of survival analysis and decision tree techniques, Eleventh
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application of decision tree to stock trading, Expert Systems with Applications,
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decision tree based classification approach to rule extraction for security
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1, pp. 227-240, (2006); Tsai C.F., Et al., Determinants of intangible assets value:
The data mining approach, Knowledge Based Systems, 31, pp. 67-77, (2012); Chun
S.H., Et al., Automated generation of new knowledge to support managerial decision
making: Case study in forecasting a stock market, Expert Systems, 21, 4, pp. 192-
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support vector machines, International Joint Conference on Neural Networks, 3, pp.
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ISE national-100 index with back propagation trained neural network, Journal of
Istanbul Stock Exchange, 7, 25, pp. 65-81, (2003); Kara Y., Et al., Predicting
direction of stock price index movement using artificial neural networks and
support vector machines: The sample of the istanbul stock exchange, Expert Systems
with Applications, 38, pp. 5311-5319, (2011); Bola A.A., Et al., Forecasting
movement of the Nigerian stock exchange all share index using artificial neural and
Bayesian networks, Journal of Finance and Investment Analysis, 2, 1, pp. 41-59,
(2013); Oliveira D., Et al., Applying artificial neural networks to prediction of
stock price and improvement of the directional prediction index-case study of
PETR4, Petrobras, Brazil, Expert System with Applications, 40, pp. 7596-7606,
(2013); Cheng J.H., Et al., A hybrid forecast marketing timing model based on
probabilistic neural network (PNN), rough set and C4.5, Expert Systems with
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with adaptive parameters in financial time series forecasting, IEEE Transactions on
Neural Networks, 14, 6, pp. 1506-1518, (2003); Karazmodeh M., Et al., Stock price
forecasting using support vector machines and improved particle swarm optimization,
Journal of Automation and Control Engineering, 1, 2, pp. 173-176, (2013); Rivera
R.A., Et al., Genetic algorithms and Darwinian approaches in financial
applications: A survey, Expert Systems with Applications, 42, 21, pp. 7684-7697,
(2015); Kim K., Et al., Genetic algorithms approach to feature discretization in
artificial neural networks for the prediction of stock price index, Expert Systems
with Applications, 19, 2, pp. 125-132, (2000); Kita E., Et al., Application of
Bayesian network to stock price prediction, Artificial Intelligence Research, 1, 2,
pp. 171-184, (2012); Tsai C.F., Et al., Stock price forecasting by hybrid machine
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and Computer Scientists, 1, pp. 57-64, (2009); Tsang P.M., Et al., Design and
implementation of NN5 for Hong Kong stock price forecasting, Engineering
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al., Forecasting the direction of change in sector stock indexes: An application of
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Et al., Application of neural networks to an emerging financial market: Forecasting
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index future prices, Journal of Business Research, 57, 10, pp. 1116-1125, (2004);
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pp. 794-799, (2004); Huang C.Y., Et al., Application of integrated data mining
techniques in stock market forecasting, Cogent Economics and Finance, 2, 9295, pp.
1-18, (2014); Tsai C.F., Et al., Determinants of intangible assets value: The data
mining approach, Knowledge Based Systems, 31, pp. 67-77, (2012); Masoud N.,
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networks: The case of Libyan financial market, British Journal of Economics,
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55, pp. 307-319, (2003); Huanga W., Et al., Forecasting stock market movement
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A new support vector machine-genetic algorithm (SVMGA) based method for stock
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machines, Neural Comput & Applic, 10, pp. 184-192, (2001); Cao L.G., Et al.,
Improved financial time series forecasting by combining support vector machines
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(2009); Timor M., Et al., Performance comparison of artificial neural network (ANN)
and support vector machines (SVM) models for the stock selection problem: An
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of financial performance using genetic algorithm and associative rule mining,
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1045, (2015); Yu L., Et al., Mining stock market tendency using GA-based support
vector machines, LNCS (Springer), 3828, pp. 336-345, (2005); Sheta A.F., Et al., A
genetic programming model for S&P 500 stock market prediction, International
Journal of Control and Automation, 6, 5, pp. 303-314, (2013); Majhi B., Et al., On
the development and performance evaluation of a multi objective GA-based RBF
adaptive model for the prediction of stock indices, Journal of King Saud
University-Computer and Information Sciences, 26, pp. 319-331, (2014); Wei L.Y., A
hybrid model based on ANFIS and adaptive expectation genetic algorithm to forecast
TAIEX, Economic Modelling, 33, pp. 893-899, (2013); Sexton R.S., Et al.,
Comparative evaluation of genetic algorithm and backpropagation for training neural
networks, Information Sciences, 129, 1, pp. 45-59, (2000); Fallahi S., Et al.,
Applying GMDH-type neural network and genetic algorithm for stock price prediction
of Iranian cement sector, Applications and Applied Mathematics: An International
Journal (AAM), 6, 2, pp. 572-591, (2011); Hassan M.R., Et al., A fusion model of
HMM, ANN and GA for stock market forecasting, Expert Systems with Applications, 33,
1, pp. 171-180, (2007); Zuo Y., Et al., Up/down analysis of stock index by using
Bayesian network, Engineering Management Research, 1, 2, pp. 46-52, (2012);
Naslmosavi S., Et al., Comparing the ability of Bayesian networks and adaboost for
predicting financial distress of firms listed on Tehran stock exchange (TSE),
Australian Journal of Basic and Applied Sciences, 5, 10, pp. 629-634, (2011); Bogle
S.A., Et al., A machine learning predictive model for the Jamaica frontier market,
Proceedings of the World Congress on Engineering, (2015); Patel J., Et al.,
Predicting stock and stock index price movement using trend deterministic data
preparation and machine learning techniques, Expert Systems with Applications, 42,
1, pp. 259-268, (2015)","S. Kamley; Department of Computer Applications, S.A.T.I.,
Sherpura, Vidisha, B.T.I. Road, 464001, MP, India; email:
[email protected]",,Institute of Advanced Engineering and
Science,,,,,,20888708,,,,English,Int. J. Electr. Comput.
Eng.,Review,Final,,Scopus,2-s2.0-85012025852
Guo Y.,"Guo, Yuqiao (57224470290)",57224470290,Stock Price Prediction Based on LSTM
Neural Network: The Effectiveness of News Sentiment Analysis,2020,"Proceedings -
2020 2nd International Conference on Economic Management and Model Engineering,
ICEMME 2020",,,9434810,1018,1024,6,22,10.1109/ICEMME51517.2020.00206,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85107673652&doi=10.1109%2fICEMME51517.2020.00206&partnerID=40&md5=200f5c16c22b9db3f
de8b1e55d7b8fae,"University of Illinois at Urbana-Champaign, Champaign, 61820, IL,
United States","Guo Y., University of Illinois at Urbana-Champaign, Champaign,
61820, IL, United States","This paper retrieves news articles from the New York
Times and conducts sentiment analysis for news headline and text body, then combine
quantitative sentiment score with stock historical stock basic features together,
using LSTM neural network to predict both future stock close price and stock
return. The main purpose is to compare the prediction result of model which
includes sentiment factors with that only considers historical stock basic
features. LSTM neural network shows a good ability in long-term prediction, the
experiment is based on LSTM model for three representative large companies in the
US. The final results confirm that the prediction accuracy is higher for model that
consider sentiment influence from website news article. © 2020 IEEE.","LSTM,
machine learning; machine learning; NLP; NLP; sentiment analysis; sentiment
analysis; stock market prediction; LSTM; stock market prediction",Electronic
trading; Financial markets; Forecasting; Investments; Predictive analytics;
Sentiment analysis; Large companies; Long-term prediction; New york time; News
articles; Prediction accuracy; Sentiment scores; Stock price prediction; Stock
returns; Long short-term memory,,,,,,,"Fama E., The behavior of stock-market
prices, The Journal of Business, 38, 1, pp. 34-105, (1965); Schumaker R., Chen H.,
A quantitative stock prediction system based on financial news, Information
Processing & Management, 45, 5, pp. 571-583, (2009); Mian G., Sankaraguruswamy S.,
Investor sentiment and stock market response to earnings news, The Accounting
Review, 87, 4, pp. 1357-1384, (2012); Ashraf B.N., Stock markets' reaction to
covid-19: Cases or fatalities?, Research in International Business and Finance, 54,
(2020); Nguyen T.H., Shirai K., Velcin J., Sentiment analysis on social media for
stock movement prediction, Expert Systems with Applications, 42, 24, pp. 9603-9611,
(2015); Matthias W., Reuters sentiment and stock returns, KOF Swiss Economic
Institute, (2011); Ranco G., Aleksovski D., Caldarelli G., Grcar M., Mozetic I.,
The effects of twitter sentiment on stock price returns, PLoS. ONE, 10, 9, (2015);
Nikou M., Mansourfar G., Bagherzadeh J., Stock price prediction using deep learning
algorithm and its comparison with machine learning algorithms, Intelligent Systems
in Accounting, Finance and Management, 26, 4, pp. 164-174, (2019); Deng S.,
Mitsubuchi T., Shioda K., Shimada T., Sakurai A., A. combining technical analysis
with sentiment analysis for stock price prediction, 2011 IEEE Ninth International
Conference on Dependable, Autonomic and Secure Computing, Sydney, NSW, pp. 800-807,
(2011); Jin Z., Yang Y., Liu Y., Stock closing price prediction based on sentiment
analysis and lstm, Neural Comput & Applic, 32, pp. 9713-9729, (2020); Bontempi G.,
Taieb S.B., Borgne Y., Machine learning strategies for time series forecasting,
Business Intelligence, (2013); Pak A., Paroubek P., Twitter as a corpus for
sentiment analysis and opinion mining, Conference: Proceedings of the International
Conference on Language Resources and Evaluation, LREC, pp. 17-23, (2010); Hutto
C.J., Gilbert E.E., VADER: A parsimonious rule-based model for sentiment analysis
of social media text, Eighth International Conference on Weblogs and Social Media
(ICWSM-14), (2014)",,,Institute of Electrical and Electronics Engineers Inc.,,"2nd
International Conference on Economic Management and Model Engineering, ICEMME
2020",20 November 2020 through 22 November 2020,Chongqing,169155,,978-172819144-
7,,,English,"Proc. - Int. Conf. Econ. Manag. Model Eng., ICEMME",Conference
paper,Final,,Scopus,2-s2.0-85107673652
Labiad B.; Berrado A.; Benabbou L.,"Labiad, Badre (57193055595); Berrado, Abdelaziz
(8987185400); Benabbou, Loubna (55838121500)",57193055595; 8987185400;
55838121500,Machine learning techniques for short term stock movements
classification for Moroccan stock exchange,2016,SITA 2016 - 11th International
Conference on Intelligent Systems: Theories and
Applications,,,7772259,,,,22,10.1109/SITA.2016.7772259,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85010402977&doi=10.1109%2fSITA.2016.7772259&partnerID=40&md5=b4b2693cac1400a8b8ac3c
350a3bf958,"Equipe MOAD-SCM, Ecole Mohammadia d'Ingénieurs, Mohammed v University
in Rabat, Morocco; Equipe AMIPS, Ecole Mohammadia d'Ingénieurs, Mohammed v
University in Rabat, Morocco; Intermediaries and Custodians Unit, Moroccan
Authority of Capital Market, Rabat, Morocco","Labiad B., Equipe MOAD-SCM, Ecole
Mohammadia d'Ingénieurs, Mohammed v University in Rabat, Morocco, Intermediaries
and Custodians Unit, Moroccan Authority of Capital Market, Rabat, Morocco; Berrado
A., Equipe AMIPS, Ecole Mohammadia d'Ingénieurs, Mohammed v University in Rabat,
Morocco; Benabbou L., Equipe MOAD-SCM, Ecole Mohammadia d'Ingénieurs, Mohammed v
University in Rabat, Morocco","Accurate stock price forecasting is important for
investors and traders to make informed trading decision. However, prices have a
complex behavior due to their nonlinearity and nonstationarity. In this paper three
Machine learning techniques are implemented to predict a very short term (10
minutes ahead) variations of the Moroccan stock market: Random Forest (RF),
Gradient Boosted Trees (GBT) and Support Vector Machine (SVM). A selection of
technical indicators was used as inputs variables and a feature selection and
samples selection steps were performed to improve prediction accuracy and training
time. An eight-year period of intraday prices (tick-by-tick data) of Maroc Telecom
(IAM) stocks is employed as experimental database to evaluate the performances of
the selected models. The experimental results have shown that RF and GBT are
superior to SVM for our dataset. Further, the low computational complexity and
reduced training time of RF and GBT are suitable for short term forecasting. © 2016
IEEE.",Gradient Boosted Trees; Random Forest; Stock Market Prediction; Support
Vector Machine,Artificial intelligence; Commerce; Costs; Decision trees; Finance;
Financial markets; Forestry; Intelligent systems; Investments; Learning algorithms;
Learning systems; Support vector machines; Experimental database; Low computational
complexity; Machine learning techniques; Prediction accuracy; Random forests;
Short-term forecasting; Stock market prediction; Stock price forecasting;
Forecasting,,,,,,,"Malkiel B.G., A Random Walk Down Wall Street: Including A
Lifecycle Guide to Personal Investing, Completely Rev. and Updated, (1999); Hu Y.,
Liu K., Zhang X., Su L., Ngai E.W.T., Liu M., Application of evolutionary
computation for rule discovery in stock algorithmic trading: A literature review,
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D.S., Methodologies for prediction of stock market: An artificial neural network,
International Journal of Statistika and Mathematika, 1, 1, pp. 08-15, (2011);
Achelis S.B., Technical Analysis from A to Z, (2001); Abraham A., Nath B., Mahanti
P.K., Hybrid intelligent systems for stock market analysis, Computational Science-
ICCS 2001, pp. 337-345, (2001); Chang P.-C., Liu C.-H., Lin J.-L., Fan C.-Y., Ng
C.S.P., A neural network with a case based dynamic window for stock trading
prediction, Expert Systems with Applications, 36, pp. 6889-6898, (2009); Cao Q.,
Leggio K.B., Schniederjans M.J., A comparison between Fama and French's model and
artificial neural networks in predicting the Chinese stock market, Computers &
Operations Research, 32, pp. 2499-2512, (2005); Wei L.-Y., Chen T.-L., Ho T.-H., A
hybrid model based on adaptive-network-based fuzzy inference system to forecast
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Khan A.F.M., Anwer M., Banik S., Khodadad Khan A.F.M., Anwer M., Hybrid machine
learning technique for forecasting Dhaka stock market timing decisions,
computational intelligence and neuroscience, Computational Intelligence and
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Predicting stock returns by classifier ensembles, Applied Soft Computing, 11, pp.
2452-2459, (2011); Koutanaei F.N., Sajedi H., Khanbabaei M., A hybrid data mining
model of feature selection algorithms and ensemble learning classifiers for credit
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M., A hybrid procedure with feature selection for resolving stock/futures price
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E., Kayakutlu G., Daim T.U., Using artificial neural network models in stock market
index prediction, Expert Systems with Applications, 38, pp. 10389-10397, (2011);
Amjady N., Keynia F., Day ahead price forecasting of electricity markets by a mixed
data model and hybrid forecast method, International Journal of Electrical Power &
Energy Systems, 30, pp. 533-546, (2008); Hassan M.R., Nath B., Kirley M., A fusion
model of HMM, ANN and GA for stock market forecasting, Expert Systems with
Applications, 33, pp. 171-180, (2007); Hsu C.-M., A hybrid procedure for stock
price prediction by integrating self-organizing map and genetic programming, Expert
Systems with Applications, (2011); Boser B.E., Guyon I.M., Vapnik V.N., A training
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with a filter-based feature selection for stock market forecasting, Expert Systems
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Huang X., Deng X., Zhu S., Enhancing quantitative intraday stock return prediction
by integrating both market news and stock prices information, Neurocomputing, 142,
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value prediction using support vector machines with particle swarm optimization,
Evolutionary Computation (CEC), 2015 IEEE Congress on, pp. 3327-3331, (2015); Yeh
C.-Y., Huang C.-W., Lee S.-J., A multiple-kernel support vector regression approach
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and technical indicators in daily stock price trends prediction, Advances in Neural
Networks-ISNN 2007, pp. 1087-1096, (2007); (2016); (2016)",,,Institute of
Electrical and Electronics Engineers Inc.,,"11th International Conference on
Intelligent Systems: Theories and Applications, SITA 2016",19 October 2016 through
20 October 2016,Mohammedia,125374,,978-150905781-8,,,English,SITA - Int. Conf.
Intel. Syst.: Theor. Appl.,Conference paper,Final,,Scopus,2-s2.0-85010402977
Saura J.R.; Ribeiro-Navarrete S.; Palacios-Marqués D.; Mardani A.,"Saura, Jose
Ramon (57200338646); Ribeiro-Navarrete, Samuel (56676383100); Palacios-Marqués,
Daniel (36739545300); Mardani, Abbas (56285319300)",57200338646; 56676383100;
36739545300; 56285319300,Impact of extreme weather in production economics:
Extracting evidence from user-generated content,2023,International Journal of
Production Economics,260,,108861,,,,23,10.1016/j.ijpe.2023.108861,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85151805518&doi=10.1016%2fj.ijpe.2023.108861&partnerID=40&md5=3d1ae482f84e875f900af
e4bc7d11307,"Rey Juan Carlos University, Madrid, Spain; University of Valencia,
Valencia, Spain; Politechnic University of Valencia, Valencia, Spain; Business
School, Worcester Polytechnic Institute, Worcester, MA, United States; ESIC
University, Madrid, Spain; University of Economics and Human Sciences, Warsaw,
Poland","Saura J.R., Rey Juan Carlos University, Madrid, Spain; Ribeiro-Navarrete
S., University of Valencia, Valencia, Spain, ESIC University, Madrid, Spain,
University of Economics and Human Sciences, Warsaw, Poland; Palacios-Marqués D.,
Politechnic University of Valencia, Valencia, Spain; Mardani A., Business School,
Worcester Polytechnic Institute, Worcester, MA, United States","The last decade has
witnessed an increase in the number of extreme weather events globally. In
addition, the economic output around the world is at all-time high in terms of
production and profitability. However, global warming and extreme weather are
modifying the natural ecosystem and the human social system, leading to the
appearance of extreme climate events that have an adverse impact on the world
economy. To address this challenge, the present study identifies the main impacts
of extreme weather on production economics based on the analysis of user-generated
content (UGC) on the social network Twitter. Methodologically, a sentiment analysis
with machine learning is developed and applied to analyze a sample of 1.4 m tweets;
in addition, computing experiments to calculate the accuracy with Support Vector
Classifier, Multinomial Naïve Bayes, Logistic Regression, and Random Forest
Classifier are conducted. Second, a topic modeling known as latent Dirichlet
allocation is applied to divide sentiment-classified tweets into topics. To
complement these approaches, we also use the technique of textual analysis. These
approaches are used under the framework of computer-aided test analysis system and
natural language processing. The results are discussed and linked to appraisal
theory. A total of 7 topics are identified, including positive (Sustainable
energies and Green Entrepreneurs), neutral (Climate economy, Producer's
productivity and Stock market), and negative (Economy and policy and Climate
emergence). Finally, the present study discusses how the recent trend of an
increase in extreme weather conditions has significantly impacted international
markets, leading companies to adapt their business models and production systems
accordingly. The results show that the climate economy and policy, producers'
productivity, and the stock market are all heavily influenced by extreme weather
and can have significant effects on the global economy. © 2023 The Authors",Data-
driven method; Extreme weather; Production economics; User-generated
content,Computation theory; Computer aided analysis; Forestry; Global warming;
Investments; Sentiment analysis; Data-driven methods; Economic output; Extreme
weather; Extreme weather events; Human social system; Natural ecosystem; Production
and profitabilities; Production economics; User-generated; User-generated content;
International trade,,,,,,,"Abbas M., Memon K.A., Jamali A.A., Memon S., Ahmed A.,
Multinomial Naive Bayes classification model for sentiment analysis.IJCSNS Int. J.
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the British social attitudes survey 2015, Social Media+ Society, 3, 1, (2017);
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Comparing twitter and traditional media using topic models, InEuropean conference
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Silbernagel J., A guided latent Dirichlet allocation approach to investigate real-
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Zhu Q., Sarkis J., Relationships between operational practices and performance
among early adopters of green supply chain management practices in Chinese
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Abbasi A., Zeng D., Chen H., The state-of-the-art in Twitter sentiment analysis: a
review and benchmark evaluation, ACM Transactions on Management Information Systems
(TMIS), 9, 2, pp. 1-29, (2018); Zinecker M., Skalicka M., Balcerzak A.P., Pietrzak
M.B., Identifying the impact of external environment on business angel activity,
Economic Research-Ekonomska Istraživanja, 35, 1, pp. 83-105, (2022)","J.R. Saura;
Rey Juan Carlos University, Madrid, Spain; email:
[email protected]",,Elsevier B.V.,,,,,,9255273,,IJPCE,,English,Int J Prod
Econ,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85151805518
Zhang Y.; Li Z.; Zhang Y.,"Zhang, Yi (57196204047); Li, Zhe (57215231789); Zhang,
Yongchao (58405578900)",57196204047; 57215231789; 58405578900,Validation and
Calibration of an Agent-Based Model: A Surrogate Approach,2020,Discrete Dynamics in
Nature and Society,2020,,6946370,,,,22,10.1155/2020/6946370,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85079072405&doi=10.1155%2f2020%2f6946370&partnerID=40&md5=9c72efd08eec8cd739d83627b
faf2dbd,"School of Economics, Northeastern University at Qinhuangdao, Qinhuangdao,
066004, China; College of Business Administration, Northeastern University,
Shenyang, 110819, China; School of Mathematics and Statistics, Northeastern
University at Qinhuangdao, Qinhuangdao, 066004, China","Zhang Y., School of
Economics, Northeastern University at Qinhuangdao, Qinhuangdao, 066004, China,
College of Business Administration, Northeastern University, Shenyang, 110819,
China; Li Z., School of Economics, Northeastern University at Qinhuangdao,
Qinhuangdao, 066004, China; Zhang Y., School of Mathematics and Statistics,
Northeastern University at Qinhuangdao, Qinhuangdao, 066004, China","Agent-based
modelling has been proved to be extremely useful for learning about real world
societies through the analysis of simulations. Recent agent-based models usually
contain a large number of parameters that capture the interactions among
microheterogeneous subjects and the multistructure of the complex system. However,
this can result in the ""curse of dimensionality"" phenomenon and decrease the
robustness of the model's output. Hence, it is still a great challenge to
efficiently calibrate agent-based models to actual data. In this paper, we present
a surrogate analysis method for calibration by combining supervised machine-
learning and intelligent iterative sampling. Without any prior assumptions
regarding the distribution of the parameter space, the proposed method can learn a
surrogate model as the approximation of the original system with a relatively small
number of training points, which will serve the needs of further sensitivity
analysis and parameter calibration research. We take the heterogeneous asset
pricing model as an example to evaluate the model's performance using actual
Chinese stock market data. The results demonstrate the good capabilities of the
surrogate model at modelling the observed reality, as well as the remarkable
reduction of the computational time for validating the agent-based model. © 2020 Yi
Zhang et al.",,,,,,,,,"Wang Z., Bauch C.T., Bhattacharyya S., Onofrio A., Manfredi
P., Perc M., Perra N., Salathe M., Zhao D., Statistical physics of vaccination,
Physics Reports, 664, 9, pp. 1-113, (2016); Perc M., Jordan J.J., Rand D.G., Wang
Z., Boccaletti S., Szolnoki A., Statistical physics of human cooperation, Physics
Reports, 687, 8, pp. 1-51, (2017); Samitas A., Polyzos S., Siriopoulos C., Brexit
and financial stability: An agent-based simulation, Economic Modelling, 69, 3, pp.
181-192, (2018); Cardinot M., O'Riordan C., Griffith J., Perc M., Evoplex: A
platform for agent-based modeling on networks, SoftwareX, 9, 1, pp. 199-204,
(2019); Perc M., Stability of subsystem solutions in agent-based models, European
Journal of Physics, 39, 1, pp. 1-13, (2017); Shalizi C.R., Methods and techniques
of complex systems science: An overview, Complex Systems Science in Biomedicine,
pp. 33-114, (2006); Bankes S.C., Agent-based modeling: A revolution, Proceedings of
the National Academy of Sciences, 99, 3, pp. 7199-7200, (2002); Caiani A., Godin
A., Caverzasi E., Gallegati M., Kinsella S., Stiglitz J.E., Agent based-stock flow
consistent macroeconomics: Towards a benchmark model, Journal of Economic Dynamics
and Control, 82, 11, pp. 375-408, (2016); Assenza T., Gatti D.D., Grazzini J.,
Emergent dynamics of a macroeconomic agent based model with capital and credit,
Journal of Economic Dynamics and Control, 50, 3, pp. 5-28, (2015); Popoyan L.,
Napoletano M., Roventini A., Taming macroeconomic instability: Monetary and macro-
prudential policy interactions in an agent-based model, Journal of Economic
Behavior & Organization, 134, 2, pp. 117-140, (2017); Leal S.J., Napoletano M.,
Roventini A., Fagiolo G., Rock around the clock: An agent-based model of low-and
high-frequency trading, Journal of Evolutionary Economics, 26, 1, pp. 49-76,
(2016); Lamperti F., Roventini A., Sani A., Agent-based model calibration using
machine learning surrogates, Journal of Economic Dynamics and Control, 90, 10, pp.
366-389, (2018); Lee J.S., Filatova T., Zielinska A.L., Mahmooei B.H., Stonedahl
F., Lorscheid I., Voinov A., Polhill G., Sun Z., Parker D.C., The complexities of
agent-based modeling output analysis, Journal of Artificial Societies and Social
Simulation, 18, 4, pp. 1-26, (2015); Grazzini J., Richiardi M.G., Tsionas M.,
Bayesian estimation of agent-based models, Journal of Economic Dynamics and
Control, 77, 4, pp. 26-47, (2017); Fagiolo G., Birchenhall C., Windrum P.,
Empirical validation in agent-based models: Introduction to the special issue,
Computational Economics, 30, 3, pp. 189-194, (2007); Gilli M., Winker P., A global
optimization heuristic for estimating agent based models, Computational Statistics
& Data Analysis, 42, 3, pp. 299-312, (2003); Khashanah K., Alsulaiman T., Network
theory and behavioral finance in a heterogeneous market environment, Complexity,
21, S2, pp. 530-554, (2016); Franke R., Westerhoff F., Structural stochastic
volatility in asset pricing dynamics: Estimation and model contest, Journal of
Economic Dynamics and Control, 36, 8, pp. 1193-1211, (2012); Recchioni M.C.,
Tedeschi G., Gallegati M., A calibration procedure for analyzing stock price
dynamics in an agent-based framework, Journal of Economic Dynamics and Control, 60,
11, pp. 1-25, (2015); Fievet L., Sornette D., Calibrating emergent phenomena in
stock markets with agent based models, PLoS One, 13, 3, (2018); Amilon H.,
Estimation of an adaptive stock market model with heterogeneous agents, Journal of
Empirical Finance, 15, 2, pp. 342-362, (2008); Lamperti F., Roventini A., Sani A.,
Agent-based model calibration using machine learning surrogates, Journal of
Economic Dynamics & Control, 90, 3, pp. 366-389, (2018); Hoog S.V.D., Surrogate
modelling in (and of) agent-based models: A prospectus, Computational Economics,
53, 3, pp. 1245-1263, (2019); Fawcett T., An introduction to ROC analysis, Pattern
Recognition Letters, 27, 8, pp. 861-874, (2006); Brock W.A., Hommes C.H.,
Heterogeneous beliefs and routes to chaos in a simple asset pricing model, Journal
of Economic Dynamic and Control, 22, 8-9, pp. 1235-1274, (1998); Arifovic J., Duffy
J., Heterogeneous agent modeling: Experimental evidence, Handbook of Computational
Economics, 4, 9, pp. 491-540, (2018); Alizadeh A.H., Thanopoulou H., Yip T.L.,
Investors' behavior and dynamics of ship prices: A heterogeneous agent model,
Transportation Research Part E: Logistics and Transportation Review, 106, 7, pp.
98-114, (2017); Boppart T., Krusell P., Mitman K., Exploiting MIT shocks in
heterogeneous-agent economies: The impulse response as a numerical derivative,
Journal of Economic Dynamics and Control, 89, 4, pp. 68-92, (2018)","Y. Zhang;
School of Economics, Northeastern University at Qinhuangdao, Qinhuangdao, 066004,
China; email: [email protected]",,Hindawi Limited,,,,,,10260226,,,,English,Discrete
Dyn. Nat. Soc.,Article,Final,All Open Access; Gold Open Access; Green Open
Access,Scopus,2-s2.0-85079072405
Gupta A.; Parmar R.; Suri P.; Kumar R.,"Gupta, Ashulekha (57218391146); Parmar,
Rishabh (57545186800); Suri, Pradeep (58331793900); Kumar, Rajiv
(57214462148)",57218391146; 57545186800; 58331793900; 57214462148,Determining
Accuracy Rate of Artificial Intelligence Models using Python and R-
Studio,2021,"Proceedings - 2021 3rd International Conference on Advances in
Computing, Communication Control and Networking, ICAC3N
2021",,,,889,894,5,21,10.1109/ICAC3N53548.2021.9725687,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85126992824&doi=10.1109%2fICAC3N53548.2021.9725687&partnerID=40&md5=e51b4675e73069f
7b7404207850a9931,"Graphic Era Deemed to Be University, Department of Management
Studies, Uttarakhand, Dehradun, India; Uttaranchal University, Dehradun, India;
Uttaranchal University, Business Studies, Uttaranchal Institute of Management,
Dehradun, India; Uttaranchal University, Department of Computer Application,
Dehradun, India","Gupta A., Graphic Era Deemed to Be University, Department of
Management Studies, Uttarakhand, Dehradun, India; Parmar R., Uttaranchal
University, Dehradun, India; Suri P., Uttaranchal University, Business Studies,
Uttaranchal Institute of Management, Dehradun, India; Kumar R., Uttaranchal
University, Department of Computer Application, Dehradun, India","Research
investigation in this study, an Artificial-Neural-Network (ANN) castoff to
conjecture monetary market conduct. Our primary objective is to build up a neural
system to see whether a stock pays a profit or not utilizing RStudio and Python. We
propose and execute Artificial Neural Network to estimate monetary market conduct.
This apparatus can be utilized for top to bottom examination of the securities
exchange. Utilizing ANN, we foresee the reliance of the needy variable profit on
the other autonomous factors like free income per share (fcfps), profit
development, obligation to value proportion (de), showcase capitalization (mcap),
and current proportion. We have prepared the neural system utilizing the neuralnet
library and tried the precision of the model. We make the perplexity framework to
think about the true/false positives and negatives. We yield an exactness rate of
the neural system that estimate in deciding if a stock pays a profit or not. ©
2021 IEEE.",Artificial neural network; BSE; machine learning; stock
market,Commerce; Electronic trading; Financial markets; High level languages;
Machine learning; Profitability; 'current; Accuracy rate; BSE; False negatives;
False positive; Intelligence models; Monetary markets; Neural systems; Primary
objective; Stock market; Neural networks,,,,,,,"Guresen E., Kayakutlu G., Daim
T.U., Using artificial neural network models in stock market index prediction,
Expert Systems with Applications, 38, 8, pp. 10389-10397, (2011); Hajek P.,
Municipal credit rating modelling by neural networks, Decision Support Systems, 51,
1, pp. 108-118, (2011); Khera S.N., Divya, Predictive Modelling of Employee
Turnover in Indian IT Industry Using Machine Learning Techniques, Vision, 23, 1,
pp. 12-21, (2018); Kuo R.J., Chen C., Hwang Y., An intelligent stock trading
decision support system through integration of genetic algorithm based fuzzy neural
network and artificial neural network, Fuzzy Sets and Systems, 118, pp. 21-45,
(2001); Lingireddy S., Brion G.M., Artificial Neural Networks in Water Supply
Engineering, (2005); Moghaddam A.H., Moghaddam M.H., Esfandyari M., Stock market
index prediction using artificial neural network, Journal of Economics, Finance and
Administrative Science, 21, 41, pp. 89-93, (2016); Phung A., Behavioral Finance,
(2010); Quah T.S., Srinivasan B., Improving returns on stock investment through
neural network selection, Expert Systems with Applications, 17, pp. 295-301,
(1999); Singh M., Singh M.M., Singhal N., Emotion Recognition along Valence Axis
Using Naïve Bayes Classifier, International Journal of Information Technology &
Knowledge Management, 7, 1, pp. 51-55, (2013); Vijayarani S., Dhayanand S., Liver
disease prediction using SVM and Naïve Bayes algorithms, International Journal of
Science, Engineering and Technology Research (IJSETR), 4, 4, pp. 816-820, (2015);
Goel H., Pal Singh N., Dynamic Prediction of Indian Stock Market: An Artificial
Neural Network Approach, (2021); Ikonomakis M., Kotsiantis S., Tampakas V., Text
Classification Using Machine Learning TechniquesWSEAS TRANSACTIONS on COMPUTERS, 8,
pp. 966-974, (2005); Chitra Laoh L., Dividend Payout Forecast : Multiple Linear
Regression vs Genetic Algorithm-Neural Network, Cogito Smart Journal, 5, 2, (2019);
Genetic Algorithms and Machine Learning, (1988); Pang B., Lee L., Vaithyanathan S.,
Sentiment classification using machine learning techniques, Conf. on Empirical
Methods in Natural Language Processing (EMNLP), (2002); Wagstaff K.L., Machine
Learning That Matters; Jordan M.I., Mitchell T.M., ML: Trends, Perspectives and
Prospects; Investopedia; Scikit-learn Userguide 0. 24. 2; Kumar R., An experimental
analysis of explorative and exploited operators of genetic algorithm for operating
system process scheduling problem, International Journal of Engineering and
Technology, 2, 6, pp. 472-476, (2010); Kumar R., Efficient Genetic Operators Based
on Permutation Encoding under OSPSP, International Journal of Latest Research in
Science and Technology, 1, 1, pp. 55-59, (2012); Kumar R., Memoria M., Proposed
selection technique of evolutionary algorithm and its implementation for
combinatorial problems, The Proceedings-2020 International Conference on Advances
in Computing, Communication and Materials, ICACCM 2020, (2020); Kumar R., Memoria
M., Chandel A., Performance analysis of proposed mutation operator of genetic
algorithm under scheduling problem, The Proceedings of International Conference on
Intelligent Engineering and Management, ICIEM 2020, pp. 193-197, (2020); Kumar R.,
A survey on memetic algorithm and machine learning approach to traveling salesman
problem, International Journal on Emerging Technologies, 11, 1, pp. 500-503,
(2020); Kumar R., Memoria M., Analysis of available selection techniques and
recommendation for memetic algorithm and its application to TSP, International
Journal on Emerging Technologies, 11, 2, pp. 1116-1121, (2020); Kumar R., Memoria
M., A review of memetic algorithm and its application in traveling salesman
problem, International Journal on Emerging Technologies, 11, 2, pp. 1110-1115,
(2020)",,Sharma V.; Srivastava R.; Singh M.,Institute of Electrical and Electronics
Engineers Inc.,,"3rd International Conference on Advances in Computing,
Communication Control and Networking, ICAC3N 2021",17 December 2021 through 18
December 2021,Greater Noida,177627,,978-166543811-7,,,English,"Proc. - Int. Conf.
Adv. Comput., Commun. Control Netw., ICAC3N",Conference paper,Final,,Scopus,2-s2.0-
85126992824
Lyons T.; Ni H.; Oberhauser H.,"Lyons, Terry (7101688817); Ni, Hao (56499922900);
Oberhauser, Harald (26041008500)",7101688817; 56499922900; 26041008500,A feature
set for streams and an application to high-frequency financial tick data,2014,ACM
International Conference Proceeding Series,04-07-August-
2014,,2644157,,,,25,10.1145/2640087.2644157,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84985944489&doi=10.1145%2f2640087.2644157&partnerID=40&md5=1f7808957be73611aa878e8e
5bfc9f64,"Oxford-Man Institute, University of Oxford Eagle House, Walton Well Rd,
Oxford, United Kingdom","Lyons T., Oxford-Man Institute, University of Oxford Eagle
House, Walton Well Rd, Oxford, United Kingdom; Ni H., Oxford-Man Institute,
University of Oxford Eagle House, Walton Well Rd, Oxford, United Kingdom;
Oberhauser H., Oxford-Man Institute, University of Oxford Eagle House, Walton Well
Rd, Oxford, United Kingdom","We propose a set of features to study the effects of
data streams on complex systems. This feature set is called the the signature
representation of a stream. It has its origin in pure mathematics and relies on a
relationship between non-commutative polynomials and paths. This representation had
already significant impact on algebraic topology, control theory, numerics for
PDEs, stochastic analysis and the theory of rough paths; more recently first steps
have been taken to apply such methods to the study of big data streams. We show
that the signature representation can provide an efficient summary of a stream and
its effects. We then show that it can be combined with standard tools from machine
learning. After introducing the signature for streams and some theoretical
background, we apply this approach to a challenging real-world example: high-
frequency financial data streams. In this context, the streams are tickby-tick
market data of a stock traded at the New York stock exchange NYSE and the effect of
the stream is the profit and loss of complex investment strategies (i.e. a
nonlinear functional of the stream). Our numerical results (applied to Thomson-
Reuters tick data of several full trading days for IBM stocks) show that the
signature of the price stream efficiently captures the necessary information to
learn the return of an investment strategy. However, we emphasize that the
underlying ideas are not limited to financial data streams and have the potential
to be applied to many other areas in data mining where the non-commutative nature
of streams is of importance, like text mining, bioinformatics or click history. ©
Copyright 2014 ACM.",Data streams; Finance; Rough paths; Signature; Time
series,Algebra; Artificial intelligence; Bioinformatics; Commerce; Computation
theory; Control theory; Data communication systems; Data mining; Finance;
Investments; Learning systems; Planning; Stochastic systems; Strategic planning;
Time series; Topology; Algebraic topology; Data stream; Investment strategy; New
York Stock Exchange; Numerical results; Rough paths; Signature; Stochastic
analysis; Big data,,,,,,,"Agrachev A.A., Introduction to optimal control theory,
Mathematical Control Theory, Part 1, 2 (Trieste, 2001), pp. 453-513, (2002); Chen
K.-T., Integration of paths, geometric invariants and a generalized Baker-Hausdorff
formula, Ann. of Math. (2), 65, pp. 163-178, (1957); Chen K.-T., Integration of
paths-a faithful representation of paths by non-commutative formal power series,
Trans. Amer. Math. Soc., 89, pp. 395-407, (1958); Cover T.M., Universal portfolios,
Mathematical Finance, 1, 1, pp. 1-29, (1991); Delbaen F., Schachermayer W., A
general version of the fundamental theorem of asset pricing, Math. Ann., 300, 3,
pp. 463-520, (1994); Flint G., Hambly B., Lyons T., Discretely Sampled Signals and
the Rough Hoff Process, (2013); Gaber M.M., Zaslavsky A., Krishnaswamy S., Mining
data streams: A review, ACM Sigmod Record, 34, 2, pp. 18-26, (2005); Gergely Gyurko
L., Lyons T., Kontkowski M., Field J., Extracting Information from the Signature of
a Financial Data Stream, (2013); Graham B., Sparse Arrays of Signatures for Online
Character Recognition; Hambly B., Lyons T., Uniqueness for the signature of a path
of bounded variation and the reduced path group, Ann. of Math. (2), 171, 1, pp.
109-167, (2010); Levin D., Lyons T., Ni H., Learning from the Past, Predicting the
Statistics for the Future, Learning an Evolving System, (2013); Lyons T., CoRoPa: A
C++ Package for Computational Rough Paths; Lyons T.J., Caruana M., Levy T.,
Differential equations driven by rough paths, 2007, Lectures from the 34th Summer
School on Probability Theory Held in Saint-flour, (2004); Oxford-Man, Oxford-man
Institute Realised Library; Perold A.F., Sharpe W.F., Dynamic strategies for asset
allocation, Financial Analysts Journal, pp. 16-27, (1988); Rajaraman A., Ullman
J.D., Mining of Massive Datasets, (2012); Reutenauer C., Free Lie Algebras, (1993);
Rotando L.M., Thorp E.O., The kelly criterion and the stock market, American
Mathematical Monthly, 99, (1992)",,,Association for Computing Machinery,ASE; DICE;
et al.; HPC Advisory Council; ILAB NCAT; Tsinghua University,"3rd ASE International
Conference on Big Data Science and Computing, BIGDATASCIENCE 2014",4 August 2014
through 7 August 2014,Beijing,113714,,978-145032891-3,,,English,ACM Int. Conf.
Proc. Ser.,Conference paper,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
84985944489
Cao Y.; Li Y.; Coleman S.; Belatreche A.; McGinnity T.M.,"Cao, Yi (56028645600);
Li, Yuhua (55719077900); Coleman, Sonya (7201402808); Belatreche, Ammar
(15043716600); McGinnity, T.M. (7003792410)",56028645600; 55719077900; 7201402808;
15043716600; 7003792410,Detecting price manipulation in the financial
market,2014,"IEEE/IAFE Conference on Computational Intelligence for Financial
Engineering, Proceedings
(CIFEr)",,,6924057,77,84,7,23,10.1109/CIFEr.2014.6924057,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84908130423&doi=10.1109%2fCIFEr.2014.6924057&partnerID=40&md5=73f7eb99a7502cf4c410d
f08c282dc87,"Intelligent Systems Research Centre, University of Ulster,
Londonderry, United Kingdom","Cao Y., Intelligent Systems Research Centre,
University of Ulster, Londonderry, United Kingdom; Li Y., Intelligent Systems
Research Centre, University of Ulster, Londonderry, United Kingdom; Coleman S.,
Intelligent Systems Research Centre, University of Ulster, Londonderry, United
Kingdom; Belatreche A., Intelligent Systems Research Centre, University of Ulster,
Londonderry, United Kingdom; McGinnity T.M., Intelligent Systems Research Centre,
University of Ulster, Londonderry, United Kingdom","Market abuse has attracted much
attention from financial regulators around the world but it is difficult to fully
prevent. One of the reasons is the lack of thoroughly studies of the market abuse
strategies and the corresponding effective market abuse approaches. In this paper,
the strategies of reported price manipulation cases are analysed as well as the
related empirical studies. A transformation is then defined to convert the time-
varying financial trading data into pseudo-stationary time series, where machine
learning algorithms can be easily applied to the detection of the price
manipulation. The evaluation experiments conducted on four stocks from NASDAQ show
a promising improved performance for effectively detecting such manipulation cases.
© 2014 IEEE.",,Financial markets; Intelligent computing; Learning algorithms;
Machine learning; Metadata; Empirical studies; Evaluation experiments; Financial
trading; Price manipulation; Stationary time series; Time varying;
Commerce,,,,,,,"Allen F., Gale D., Stock-price manipulation, Review of Financial
Studies, 5, 3, pp. 503-529, (1992); Aggarwal R.K., Wu G., Stock market
manipulations, The Journal of Business, 79, 4, pp. 1915-1953, (2006); Allen F.,
Gorton G., Stock price manipulation, market microstructure and asymmetric
information, European Economic Review, 36, pp. 624-630, (1992); Lee E.J., Eom K.S.,
Park K.S., Microstructure-based manipulation: Strategic behavior and performance of
spoofing traders, Journal of Financial Markets, 16, 2, pp. 227-252, (2013); Jarrow
R.A., Market manipulation, bubbles, corners, and short squeezes, Journal of
Financial and Quantitative Analysis, 3, (1992); Jianping M., Wu G., Zhou C.,
Behavior Based Manipulation: Theory and Prosecution Evidence, (2004); Slama M.,
Strmma E., Trade-based stock price manipulation and sample entropy, Stockholm
School of Economics, (2008); Otut H., Dotanay M.M., Aktas R., Detecting stock-price
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Data Description Toolbox for Matlab Version 2.0 1, (2013); Fawcett T., An
introduction to ROC analysis, Pattern Recognition Letters, 27, (2006)",,Serguieva
A.; Maringer D.; Palade V.; Almeida R.J.,Institute of Electrical and Electronics
Engineers Inc.,,"2014 IEEE Conference on Computational Intelligence for Financial
Engineering and Economics, CIFEr 2014",27 March 2014 through 28 March
2014,London,108516,,978-147992380-9,,,English,IEEE IAFE Conf Comput Intell Fin Eng
CIFEr,Conference paper,Final,All Open Access; Green Open Access,Scopus,2-s2.0-
84908130423
Maini S.S.; Govinda K.,"Maini, Sahaj Singh (57202967752); Govinda, K.
(36570310500)",57202967752; 36570310500,Stock market prediction using data mining
techniques,2018,"Proceedings of the International Conference on Intelligent
Sustainable Systems, ICISS
2017",,,,654,661,7,23,10.1109/ISS1.2017.8389253,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85050025549&doi=10.1109%2fISS1.2017.8389253&partnerID=40&md5=237778101cf837dc32b746
a20c488ddc,"SCOPE, VIT, Vellore, India","Maini S.S., SCOPE, VIT, Vellore, India;
Govinda K., SCOPE, VIT, Vellore, India","Stock market prediction has been an area
of interest for investors as well as researchers for many years due to its
volatile, complex and regularly changing in nature, making it difficult to make
reliable predictions This paper proposes an approach towards prediction of stock
market trends using machine learning models like Random Forest model and Support
Vector Machine. The Random Forest model is an ensemble learning method that has
been an exceedingly successful model for classification and regression. Support
vector machine is a machine learning model for classification. However, this model
is mostly used for classification. These techniques are used to forecast whether
the price of a stock in the future will be higher than its price on a given day,
based on historical data while providing an in-depth understanding of the models
being used. © 2017 IEEE.",Machine Learning; Random Forest Model; Stock Market;
Support Vector Machine,Artificial intelligence; Commerce; Data mining; Decision
trees; Financial markets; Forecasting; Learning systems; Support vector machines;
Area of interest; Ensemble learning; Historical data; In-depth understanding;
Machine learning models; Market trends; Random forest modeling; Stock market
prediction; Investments,,,,,,,"Breiman L., Random forests, Machine Learning, 45, 1,
pp. 5-32, (2001); Hearst M.A., Dumais S.T., Osuna E., Platt J., Scholkopf B.,
Support vector machines, IEEE Intelligent Systems and Their Applications, 13, 4,
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L.M.C., Using support vector machines for time series prediction, C Hemometrics and
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C.J., A Practical Guide to Support Vector Classification, (2003); Burges C.J., A
tutorial on support vector machines for pattern recognition, Data Mining and
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regression by randomForest, R News, 2, 3, pp. 18-22, (2002); Scholkopf B., Smola
A.J., L Earning with Kernels: Support Vector Machines, Regularization,
Optimization, and beyond, (2002); Du W., Zhan Z., Building decision tree classifier
on private data, Proceedings of the IEEE International Conference on Privacy,
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events extracted from twitter posts, SBP, 12, pp. 231-238, (2012); Si J., Mukherjee
A., Liu B., Li Q., Li H., Deng X., Exploiting Topic based Twitter Sentiment for
Stock Prediction, ACL, 2013, 2, pp. 24-29, (2013); Mittal A., Goel A., Stock
Prediction Using Twitter Sentiment Analysis, CS229, 2011, (2012); Gidofalvi G.,
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Computer Science and Engineering, (2001)",,,Institute of Electrical and Electronics
Engineers Inc.,,"2017 International Conference on Intelligent Sustainable Systems,
ICISS 2017",7 December 2017 through 8 December 2017,Palladam,137314,,978-153861959-
9,,,English,"Proc. Int. Conf. Intell. Sustain. Syst., ICISS",Conference
paper,Final,,Scopus,2-s2.0-85050025549
Ghazanfar M.A.; Alahmari S.A.; Aldhafiri Y.F.; Mustaqeem A.; Maqsood M.; Azam
M.A.,"Ghazanfar, Mustansar Ali (36023331300); Alahmari, Saad Ali (36552096700);
Aldhafiri, Yasmeen Fahad (57197823211); Mustaqeem, Anam (57196078797); Maqsood,
Muazzam (57197810097); Azam, Muhammad Awais (57190946338)",36023331300;
36552096700; 57197823211; 57196078797; 57197810097; 57190946338,Using machine
learning classifiers to predict stock exchange index,2017,International Journal of
Machine Learning and
Computing,7,2,,24,29,5,23,10.18178/ijmlc.2017.7.2.614,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85034989454&doi=10.18178%2fijmlc.2017.7.2.614&partnerID=40&md5=5ac81a29f65d4ec96963
1ca3103fe110,"University of Engineering and Technology Taxila, Pakistan; Department
of Computer Science, Shaqra University, Saudi Arabia; Department of Business
Administration, Jubail University College, Saudi Arabia","Ghazanfar M.A.,
University of Engineering and Technology Taxila, Pakistan; Alahmari S.A.,
Department of Computer Science, Shaqra University, Saudi Arabia; Aldhafiri Y.F.,
Department of Business Administration, Jubail University College, Saudi Arabia;
Mustaqeem A., University of Engineering and Technology Taxila, Pakistan; Maqsood
M., University of Engineering and Technology Taxila, Pakistan; Azam M.A.,
University of Engineering and Technology Taxila, Pakistan","Predicting stock
exchange index is an attractive research topic in the field of machine learning.
Numerous studies have been conducted using various techniques to predict stock
market volume. This paper presents first detailed study on data of Karachi Stock
Exchange (KSE) and Saudi Stock Exchange (SSE) to predict the stock market volume of
ten different companies. In this study, we have applied and compared salient
machine learning algorithms to predict stock exchange volume. The performance of
these algorithms have been compared using accuracy metrics on the dataset,
collected over the period of six months, by crawling the KSE and SSE website.",Ada-
boost; Bayesian network; Machine learning; Neural networks; Stock exchange
prediction; SVM,,,,,,,,"Daseand R.K., Pawar D.D., Application of Artificial Neural
Network for stock market predictions: A review of literature, , International
Journal of Machine Intelligence, 2, 2, pp. 14-17, (2010); White H., Economic
prediction using neural networks: The case of IBM daily stock returns; Yao J.T.,
Tan C.L., Guidelines for Financial Prediction with Artificial Neural Networks;
Tiffany H.-K.Y., Huarng K.-H., A neural network-based fuzzy time series model to
improve forecasting, , Elsevier, pp. 3366-3372, (2010); Akinwale A.T., Arogundade
O.T., Adekoya A.F., Translated Nigeria stock market price using artificial neural
network for effective prediction, , Journal of Theoretical and Applied Information
Technology, (2009); Enke D., Thawornwong S., 'The use of data mining and neural
networks for forecasting stock market returns, ', (2005); Olaniyi A.S., Et al.,
Stock trend prediction using regression analysis-A data mining approach, , AJSS
Journal, (2010); Huang K.Y., Jane C.-J., A hybrid model stock market forecasting
and portfolio selection based on ARX, grey system and RS theories, , Expert Systems
with Applications, pp. 5387-5392, (2009); Hassan M.R., Nath B., Kirley M., A fusion
model of HMM, ANN and GA for stock market forecasting, , Expert Systems with
Applications, pp. 171-180, (2007); Wang Y.-F., Cheng S.M., Hsu M.-H., Incorporating
the Markov chain concepts into fuzzy stochastic prediction of stock indexes, ,
Applied Soft Computing, pp. 613-617, (2010); Wong H.-L., Tu Y.-H., Wang C.-C.,
Application of fuzzy time series models for forecasting the amount of Taiwan
export, , Experts Systems with Applications, pp. 1456-1470, (2010); Johan B., Mao
H., Jun Zeng X., Twitter mood predicts the stock market., Journal of Computational
Science, 2, 1, pp. 1-8, (2011); Shen S.R., Jiang H.M., Zhang T.D., Stock Market
Forecasting Using Machine Learning Algorithms, (2012); Osman H., Soliman O.S.,
Salam M.A., A machine learning model for stock market prediction, , International
Journal of Computer Science and Telecommunications, 4, 12, (2013); Fenghua W.E.N.,
Et al., Stock price prediction based on SSA and SVM, , Procedia Computer Science,
31, pp. 625-631, (2014); Ali G.M., Adam P.-B., The advantage of careful imputation
sources in sparse data-environment of recommender systems: generating improved SVD-
based recommendations, , Informatica, 37, 1, pp. 61-92, (2013); Ying S., Fengting
Z., Tao Z., China's stock index futures regression prediction research based on
SVM, , China Journal of Management Science, 3, pp. 35-39, (2013); Ali G.M., Adam
P.-B., Exploiting context in kernel-mapping recommender system algorithms, , Proc.
Sixth International Conference on Machine Vision, (2013); Ali G.M., Adam P.-B.,
Sandor S., Kernel mapping recommender systems, , Information Sciences, 208, pp. 81-
104, (2012)","M.A. Ghazanfar; University of Engineering and Technology Taxila,
Pakistan; email: [email protected]",,International Association of
Computer Science and Information Technology,,,,,,20103700,,,,English,Int. J. Mach.
Learn. Comput.,Article,Final,All Open Access; Bronze Open Access,Scopus,2-s2.0-
85034989454
Das S.; Sahu T.P.; Janghel R.R.; Sahu B.K.,"Das, Sudeepa (57195972420); Sahu,
Tirath Prasad (57190001752); Janghel, Rekh Ram (26639440900); Sahu, Binod Kumar
(55537541500)",57195972420; 57190001752; 26639440900; 55537541500,Effective
forecasting of stock market price by using extreme learning machine optimized by
PSO-based group oriented crow search algorithm,2022,Neural Computing and
Applications,34,1,,555,591,36,21,10.1007/s00521-021-06403-x,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85112383093&doi=10.1007%2fs00521-021-06403-
x&partnerID=40&md5=997d21bc7a8616087ce102d8a8e7cf2c,"Department of Information
Technology, National Institute of Technology, Chhattisgarh, Raipur, India;
Department of Electrical Engineering, ITER, Siksha ‘O’ Anusandhan University,
Odisha, Bhubaneswar, India","Das S., Department of Information Technology, National
Institute of Technology, Chhattisgarh, Raipur, India; Sahu T.P., Department of
Information Technology, National Institute of Technology, Chhattisgarh, Raipur,
India; Janghel R.R., Department of Information Technology, National Institute of
Technology, Chhattisgarh, Raipur, India; Sahu B.K., Department of Electrical
Engineering, ITER, Siksha ‘O’ Anusandhan University, Odisha, Bhubaneswar,
India","Stock index price forecasting is the influential indicator for investors
and financial investigators by which decision making capability to achieve maximum
benefit with minimum risk can be improved. So, a robust engine with capability to
administer useful information is desired to achieve the success. The forecasting
effectiveness of stock market is improved in this paper by integrating a modified
crow search algorithm (CSA) and extreme learning machine (ELM). The effectiveness
of proposed modified CSA entitled as Particle Swarm Optimization (PSO)-based Group
oriented CSA (PGCSA) to outperform other existing algorithms is observed by solving
12 benchmark problems. PGCSA algorithm is used to achieve relevant weights and
biases of ELM to improve the effectiveness of conventional ELM. The impact of
hybrid PGCSA ELM model to predict next day closing price of seven different stock
indices is observed by using performance measures, technical indicators and
hypothesis test (paired t-test). The seven stock indices are considered by
incorporating data during COVID-19 outbreak. This model is tested by comparing with
existing techniques proposed in published works. The simulation results provide
that PGCSA ELM model can be considered as a suitable tool to predict next day
closing price. © 2021, The Author(s), under exclusive licence to Springer-Verlag
London Ltd., part of Springer Nature.",Extreme Learning Machine; Metaheuristic
Algorithm; Modified sharpe ratio; Stock indices forecasting,Commerce; Decision
making; Electronic trading; Financial markets; Forecasting; Investments; Knowledge
acquisition; Learning algorithms; Particle swarm optimization (PSO); Bench-mark
problems; Extreme learning machine; Hypothesis tests; Performance measure; Price
forecasting; Search Algorithms; Stock market prices; Technical indicator; Machine
learning,,,,,,,"Schabacker R., Technical analysis and stock market profits, (2005);
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design problems, Adv Eng Softw, 114, pp. 163-191, (2017)","S. Das; Department of
Information Technology, National Institute of Technology, Raipur, Chhattisgarh,
India; email: [email protected]",,Springer Science and Business Media
Deutschland GmbH,,,,,,9410643,,,,English,Neural Comput. Appl.,Article,Final,All
Open Access; Bronze Open Access; Green Open Access,Scopus,2-s2.0-85112383093
Kumar R.; Kumar P.; Kumar Y.,"Kumar, Raghavendra (57223428793); Kumar, Pardeep
(55098732300); Kumar, Yugal (55085037000)",57223428793; 55098732300;
55085037000,Analysis of Financial Time Series Forecasting using Deep Learning
Model,2021,"Proceedings of the Confluence 2021: 11th International Conference on
Cloud Computing, Data Science and
Engineering",,,9377158,877,881,4,22,10.1109/Confluence51648.2021.9377158,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85103824849&doi=10.1109%2fConfluence51648.2021.9377158&partnerID=40&md5=3f14b8fb26c
0df53dce1ffb65871933e,"Department of Computer Science and Engineering, Jaypee
University of Information Technology, Waknaghat (HP), India; Department of
Information Technology, KIET Group of Institutions Delhi NCR, Ghaziabad,
India","Kumar R., Department of Computer Science and Engineering, Jaypee University
of Information Technology, Waknaghat (HP), India, Department of Information
Technology, KIET Group of Institutions Delhi NCR, Ghaziabad, India; Kumar P.,
Department of Computer Science and Engineering, Jaypee University of Information
Technology, Waknaghat (HP), India; Kumar Y., Department of Computer Science and
Engineering, Jaypee University of Information Technology, Waknaghat (HP),
India","Time series data analysis and its forecasting is a foremost trend of stock
market prediction. Accurate prediction of stocks brings more profit to market
traders and helps in financial decision making. There are various machine learning
and deep learning models assist to predict the stock market accuracy. Recent work
concludes that various models like Support Auto Regressive Integrated Moving
Average (ARIMA), Vector Machine (SVM), Artificial Neural Network (ANN), XGBoost,
and Recurrent Neural Network (RNN) were preferred to obtain improved accuracy. In
this study, a stacked Long Short-Term Memory (LSTM) model is proposed to predict
the stock market accuracy and proposed model is compared with Moving Average (MA)
and XGBoost models. The experiments are performed on the historical dataset of
Infosys Limited of Bombay Stock Exchange, India (BSE30). The model is also
evaluated through performance measures Root Mean Square Error (RMSE) and Mean
Absolute Percentage Error (MAPE) and found that proposed stacked LSTM model
outperformed the benchmark model. © 2021 IEEE",ARIMA; LSTM; Time Series
Data,Autoregressive moving average model; Benchmarking; Cloud computing; Commerce;
Data Science; Decision making; Deep learning; Electronic trading; Financial
markets; Forecasting; Learning systems; Mean square error; Support vector machines;
Time series; Time series analysis; Auto-regressive integrated moving average;
Bombay stock exchanges; Financial time series forecasting; Mean absolute percentage
error; Recurrent neural network (RNN); Root mean square errors; Stock market
prediction; Time series data analysis; Long short-term memory,,,,,,,"Nelson D.M.,
Pereira A.C., de Oliveira R.A., Stock market's price movement prediction with LSTM
neural networks, 2017 International Joint Conference on Neural Networks (IJCNN),
pp. 1419-1426, (2017); Shah D., Isah H., Zulkernine F., Stock market analysis: A
review and taxonomy of prediction techniques, International Journal of Financial
Studies, 7, 2, (2019); Hiransha M., Gopalakrishnan E.A., Menon V.K., Soman K.P.,
NSE stock market prediction using deep-learning models, Procedia Computer Science,
132, pp. 1351-1362, (2018); Basak S., Kar S., Saha S., Khaidem L., Dey S.R.,
Predicting the direction of stock market prices using tree-based classifiers, The
North American Journal of Economics and Finance, 47, pp. 552-567, (2019); Dey S.,
Kumar Y., Saha S., Basak S., Forecasting to Classification: Predicting the
Direction of Stock Market Price Using Xtreme Gradient Boosting, (2016); Hirabayashi
A., Aranha C., Iba H., Optimization of the trading rule in foreign exchange using
genetic algorithm, Proceedings of the 11th Annual Conference on Genetic and
Evolutionary Computation, pp. 1529-1536, (2009); Ariyo A.A., Adewumi A.O., Ayo
C.K., Stock price prediction using the ARIMA model, 2014 UKSim-AMSS 16th
International Conference on Computer Modelling and Simulation, pp. 106-112, (2014);
Kohli P.P.S., Zargar S., Arora S., Gupta P., Stock prediction using machine
learning algorithms, Applications of Artificial Intelligence Techniques in
Engineering, pp. 405-414, (2019); Asghar M.Z., Rahman F., Kundi F.M., Ahmad S.,
Development of stock market trend prediction system using multiple regression,
Computational and Mathematical Organization Theory, pp. 1-31, (2019); Patel J.,
Shah S., Thakkar P., Kotecha K., Predicting stock market index using fusion of
machine learning techniques, Expert Systems with Applications, 42, 4, pp. 2162-
2172, (2015); Abraham A., Nath B., Mahanti P.K., Hybrid intelligent systems for
stock market analysis, International Conference on Computational Science, pp. 337-
345, (2001); Henrique B.M., Sobreiro V.A., Kimura H., Stock price prediction using
support vector regression on daily and up to the minute prices, The Journal of
Finance and Data Science, 4, 3, pp. 183-201, (2018); Thakur M., Kumar D., A hybrid
financial trading support system using multi-category classifiers and random
forest, Applied Soft Computing, 67, pp. 337-349, (2018); Gocken M., Ozcalici M.,
Boru A., Dosdogru A.T., Stock price prediction using hybrid soft computing models
incorporating parameter tuning and input variable selection, Neural Computing and
Applications, 31, 2, pp. 577-592, (2019); Goh W.Y., Lim C.P., Peh K.K., Predicting
drug dissolution profiles with an ensemble of boosted neural networks: A time
series approach, IEEE Transactions on Neural Networks, 14, 2, pp. 459-463, (2003);
Hochreiter S., Schmidhuber J., Long short-term memory, Neural Computation, 9, 8,
pp. 1735-1780, (1997); Fischer T., Krauss C., Deep learning with long short-term
memory networks for financial market predictions, European Journal of Operational
Research, 270, 2, pp. 654-669, (2018); Kumar R., Kumar P., Kumar Y., Time Series
Data Prediction using IoT and Machine Learning Technique, Procedia Computer
Science, 167, pp. 373-381, (2020); Nobre J., Neves R.F., Combining principal
component analysis, discrete wavelet transform and XGBoost to trade in the
financial markets, Expert Systems with Applications, 125, pp. 181-194, (2019); Wang
Y., Guo Y., Forecasting method of stock market volatility in time series data based
on mixed model of ARIMA and XGBoost, China Communications, 17, 3, pp. 205-221,
(2020); Sezer O.B., Gudelek M.U., Ozbayoglu A.M., Financial time series forecasting
with deep learning: A systematic literature review: 2005–2019, Applied Soft
Computing, 90, (2020)","R. Kumar; Department of Computer Science and Engineering,
Jaypee University of Information Technology, Waknaghat (HP), India; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,Institute of Electrical and Electronics Engineers (IEEE),"11th International
Conference on Cloud Computing, Data Science and Engineering, Confluence 2021",28
January 2021 through 29 January 2021,"Virtual, Nodia",167955,,978-073813160-
3,,,English,"Proc. Conflu.: Int. Conf. Cloud Comput., Data Sci. Eng.",Conference
paper,Final,,Scopus,2-s2.0-85103824849
Yen P.T.-W.; Cheong S.A.,"Yen, Peter Tsung-Wen (16246958300); Cheong, Siew Ann
(7101896669)",16246958300; 7101896669,Using Topological Data Analysis (TDA) and
Persistent Homology to Analyze the Stock Markets in Singapore and
Taiwan,2021,Frontiers in
Physics,9,,572216,,,,20,10.3389/fphy.2021.572216,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85102798410&doi=10.3389%2ffphy.2021.572216&partnerID=40&md5=accdd04ba7105595c8b7eb1
276cd79e3,"Energy Research Institute, Singapore, Singapore; Division of Physics and
Applied Physics, School of Physical and Mathematical Sciences, Nanyang
Technological University, Singapore, Singapore; Complexity Institute, Nanyang
Technological University, Singapore, Singapore","Yen P.T.-W., Energy Research
Institute, Singapore, Singapore; Cheong S.A., Division of Physics and Applied
Physics, School of Physical and Mathematical Sciences, Nanyang Technological
University, Singapore, Singapore, Complexity Institute, Nanyang Technological
University, Singapore, Singapore","In recent years, persistent homology (PH) and
topological data analysis (TDA) have gained increasing attention in the fields of
shape recognition, image analysis, data analysis, machine learning, computer
vision, computational biology, brain functional networks, financial networks, haze
detection, etc. In this article, we will focus on stock markets and demonstrate how
TDA can be useful in this regard. We first explain signatures that can be detected
using TDA, for three toy models of topological changes. We then showed how to go
beyond network concepts like nodes (0-simplex) and links (1-simplex), and the
standard minimal spanning tree or planar maximally filtered graph picture of the
cross correlations in stock markets, to work with faces (2-simplex) or any k-dim
simplex in TDA. By scanning through a full range of correlation thresholds in a
procedure called filtration, we were able to examine robust topological features
(i.e. less susceptible to random noise) in higher dimensions. To demonstrate the
advantages of TDA, we collected time-series data from the Straits Times Index and
Taiwan Capitalization Weighted Stock Index (TAIEX), and then computed barcodes,
persistence diagrams, persistent entropy, the bottleneck distance, Betti numbers,
and Euler characteristic. We found that during the periods of market crashes, the
homology groups become less persistent as we vary the characteristic correlation.
For both markets, we found consistent signatures associated with market crashes in
the Betti numbers, Euler characteristics, and persistent entropy, in agreement with
our theoretical expectations. © Copyright © 2021 Yen and Cheong.",applied topology;
econophysics; financial market; STI; TAIEX; topological data analysis,Commerce;
Data handling; Electronic trading; Entropy; Information analysis; Trees
(mathematics); Applied topology; Betti numbers; Econophysicss; Euler
characteristic; Market crash; Persistent homology; Singapore; STI; TAIEX;
Topological data analysis; Financial markets,,,,,"Nanyang Technological University,
NTU",This research is supported by a startup grant from the Nanyang Technological
University.,"Laloux L., Cizeau P., Bouchaud J.-P., Potters M., Noise dressing of
financial correlation matrices, Phys Rev Lett, 83, 7, pp. 1467-1470, (1999); Plerou
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process with ultraslow convergence to a Gaussian: the truncated Levy flight, Phys
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Matteo T., Aste T., Network filtering for big data: triangulated maximally filtered
graph, Journal of Complex Networks, 5, 2, pp. 161-178, (2016); Zomorodian A.,
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274, (2004); Singh G., Memoli F., Carlsson G.E., Topological methods for the
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Silva V., Carlsson G.E., Topological estimation using witness complexes, SPBG, 4,
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pp. 257-282, (2008); Bauer U., Ripser: a lean C++ code for the computation of
Vietoris-Rips persistence barcodes, Software, (2017); Carrara N., TDA toolkit,
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exchange, The European Physical Journal B, 88, 10, (2015); Teh B.K., Goo Y.W., Lian
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2007: how financial hierarchies change in a market crash, Phys Stat Mech Appl, 424,
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idiotypic immune network through persistent entropy, Proceedings of ECCS Springer
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Pattern Recogn, 48, 2, pp. 391-401, (2015); Fan S., Raposo E.P., Coutinho-Filho
M.D., Copelli M., Stam C.J., Douw L., Topological phase transitions in functional
brain networks, Phys Rev E, 100, 3-1, (2019); Reimann M.W., Nolte M., Scolamiero
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cavities provide a missing link between structure and function, Front Comput
Neurosci, 11, (2017); Fan S., da Silva L.C.B., Coutinho-Filho M.D., Topological
approach to microcanonical thermodynamics and phase transition of interacting
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A., Gubiec T., Kutner R., Struzik Z., Structural and topological phase transitions
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G., Hiraoka Y., Fukumizu K., Persistence weighted Gaussian kernel for topological
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V., Cassese D., Lambiotte R., Jones N.S., Co-occurrence simplicial complexes in
mathematics: identifying the holes of knowledge, Appl Netw Sci, 3, 1, (2018)","S.A.
Cheong; Division of Physics and Applied Physics, School of Physical and
Mathematical Sciences, Nanyang Technological University, Singapore, Singapore;
email: [email protected]; S.A. Cheong; Complexity Institute, Nanyang
Technological University, Singapore, Singapore; email:
[email protected]",,Frontiers Media SA,,,,,,2296424X,,,,English,Front.
Phys.,Article,Final,All Open Access; Gold Open Access; Green Open Access,Scopus,2-
s2.0-85102798410
Chou J.-S.; Truong D.-N.; Le T.-L.,"Chou, Jui-Sheng (35772399000); Truong, Dinh-
Nhat (57202818765); Le, Thuy-Linh (57215049062)",35772399000; 57202818765;
57215049062,Interval Forecasting of Financial Time Series by Accelerated Particle
Swarm-Optimized Multi-Output Machine Learning System,2020,IEEE
Access,8,,8955860,14798,14808,10,25,10.1109/ACCESS.2020.2965598,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85079739002&doi=10.1109%2fACCESS.2020.2965598&partnerID=40&md5=8753576a27035ef9ed20
221c06fd5b63,"Department of Civil and Construction Engineering, National Taiwan
University of Science and Technology, Taipei, 10607, Taiwan; Department of
Industrial Education, University of Danang-University of Technology and Education,
Danang, 550000, Viet Nam","Chou J.-S., Department of Civil and Construction
Engineering, National Taiwan University of Science and Technology, Taipei, 10607,
Taiwan; Truong D.-N., Department of Civil and Construction Engineering, National
Taiwan University of Science and Technology, Taipei, 10607, Taiwan; Le T.-L.,
Department of Industrial Education, University of Danang-University of Technology
and Education, Danang, 550000, Viet Nam","By providing a range of values rather
than a point estimate, accurate interval forecasting is critical to the success of
investment decisions in exchange rate markets. This work proposes a sliding-window
metaheuristic optimization for interval-valued time series forecasting using multi-
output least squares support vector regression (MLSSVR). The hyperparameters in
MLSSVR are finetuned using an accelerated particle swarm optimization algorithm to
yield the best predictions and fastest convergence. The proposed system has a
graphical user interface that is developed in a computing environment and functions
as a stand-alone application. The system is validated using stock prices as well as
exchange rates and outputs are compared with published results. Finally, the
proposed interval time series prediction method is tested in two case studies; one
involves the daily Australian dollar and Japanese yen rates (AUD/JPY) and the other
involves US dollar and Canadian dollar rates (USD/CAD). The proposed model is
promising for interval time series forecasting. © 2013 IEEE.",accelerated particle
swarm optimization; financial services industry; hybrid system; interval
forecasting; least squares support vector regression; multi-input multi-output;
Sliding window; time series,Financial data processing; Forecasting; Graphical user
interfaces; Hybrid systems; Investments; Machine learning; MIMO systems; Particle
accelerators; Particle swarm optimization (PSO); Service industry; Swarm
intelligence; Time series; Time series analysis; Accelerated particles; Financial
services industries; Interval forecasting; Least squares support vector regression;
Multi input multi output; Sliding Window; Support vector regression,,,,,"Ministry
of Science and Technology, Taiwan, MOST, (MOST 107-2221-E-011-035-MY3)","This work
was supported by the Ministry of Science and Technology, Taiwan, under Grant MOST
107-2221-E-011-035-MY3.","Korol T., A fuzzy logic model for forecasting exchange
rates, Knowl.-Based Syst., 67, pp. 49-60, (2014); Moore R.E., Yang C., Interval
analysis i, Lockheed Missiles Space Division, (1959); Arroyo J., Espinola R., Mate
C., Different approaches to forecast interval time series: A comparison in finance,
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Evolving granular analytics for interval time series forecasting, Granul. Comput.,
1, 4, pp. 213-224, (2016); Gocken M., Ozcalfic M., Boru A., Dosdoru A.T.,
Integrating metaheuristics and Artificial Neural Networks for improved stock price
prediction, Expert Syst. Appl., 44, pp. 320-331, (2016); Saini S., PSA and beyond:
Alternative prostate cancer biomarkers, Cell Oncol., 39, 2, pp. 97-106, (2016);
Khashei M., Bijari M., A novel hybridization of artificial neural networks and
ARIMA models for time series forecasting, Appl. Soft Comput., 11, 2, pp. 2664-2675,
(2011); Tong H., Brillinger D., Fienberg S., Gani J., Hartigan J., Krickeberg K.,
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hybridization of least squares support vector regression and swarm intelligence,
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for foreign exchange rate forecasting, Econ. Model., 29, 6, pp. 2583-2590,
(2012)","J.-S. Chou; Department of Civil and Construction Engineering, National
Taiwan University of Science and Technology, Taipei, 10607, Taiwan; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85079739002
Xiao D.; Su J.,"Xiao, Daiyou (57402665900); Su, Jinxia (57576067700)",57402665900;
57576067700,Research on Stock Price Time Series Prediction Based on Deep Learning
and Autoregressive Integrated Moving Average,2022,Scientific
Programming,2022,,4758698,,,,20,10.1155/2022/4758698,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85128286003&doi=10.1155%2f2022%2f4758698&partnerID=40&md5=031775f849639e2439c2881ac
5914e5f,"School of Finance, Central University of Finance and Economics, Beijing,
China; School of Business, Central University of Finance and Economics, Beijing,
China","Xiao D., School of Finance, Central University of Finance and Economics,
Beijing, China; Su J., School of Business, Central University of Finance and
Economics, Beijing, China","Different from traditional algorithms and model,
machine learning is a systematic and comprehensive application of computer
algorithms and statistical models, and it has been widely used in many fields. In
the field of finance, machine learning is mainly used to study the future trend of
capital market price. In this paper, to predict the time-series data of stock, we
applied the traditional models and machine learning models for forecasting the
linear and non-linear problem, respectively. First, stock samples that occurred
from year 2010 to 2019 at the New York Stock Exchange are collected. Next, the
ARIMA (autoregressive integrated moving average model) model and LSTM (long short-
term memory) neural network model are applied to train and predict stock price and
stock price subcorrelation. Finally, we evaluate the proposed model by several
indicators, and the experiment results show that: (1) Stock price and stock price
correlation are accurately predicted by the ARIMA model and LSTM model; (2)
compared with ARIMA, the LSTM model performance better in prediction; and (3) the
ensemble model of ARIMA-LSTM significantly outperforms other benchmark methods.
Therefore, our proposed method provides theoretical support and method reference
for investors about stock trading in China stock market. © 2022 Daiyou Xiao and
Jinxia Su.",,Benchmarking; Commerce; Electronic trading; Forecasting; Investments;
Long short-term memory; Time series; Algorithm model; Auto-regressive; Future
trends; Memory modeling; Moving average model; Moving averages; Prediction-based;
Statistic modeling; Stock price; Time series prediction; Financial
markets,,,,,,,"Bao Z., Wang C., A multi-agent knowledge integration process for
enterprise management innovation from the perspective of neural network,
Information Processing & Management, 59, 2, (2022); Deng S., Huang X., Shen J., Yu
H., Wang C., Prediction and trading in crude oil markets using multi-class
classification and multi-objective optimization, IEEE Access, 7, 99, (2019);
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stock prices, Applied Mathematical Finance, 2, 4, (1995); Zheng T., Farrish J.,
Kitterlin M., Performance trends of hotels and casino hotels through the recession:
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Marketing & Management, 25, 1, pp. 49-68, (2016); Yang B., Li C., Wang D., He X.,
Research on the Risk of Shanghai Composite Index Based on VaR and GARCH Model; Kim
M., Sayama H., Predicting stock market movements using network science: An
information theoretic approach, Applied Network Science, 2, 1, (2017); Khashei M.,
Hajirahimi Z., A comparative study of series arima/mlp hybrid models for stock
price forecasting, Communications in Statistics-Simulation and Computation, 48, 9,
pp. 2625-2640, (2019); Unggara I., Musdholifah A., Anny K.S., Optimization of ARIMA
forecasting model using firefly algorithm, IJCCS (Indonesian Journal of Computing
and Cybernetics Systems), 13, 2, (2019); Siami-Namini S., Namin A.S., Forecasting
Economics and Financial Time Series: ARIMA vs. LSTM, Papers, (2018); Jayanth Balaji
A., Harish Ram D.S., Nair B.B., Applicability of deep learning models for stock
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Price Movement Prediction, (2019); Peter G., Zhang, Time series forecasting using a
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(2018); Kim H.Y., Won C.H., Forecasting the volatility of stock price index: A
hybrid model integrating LSTM with multiple GARCH-type models, Expert Systems with
Applications, 103, pp. 25-37, (2018); Chen B., Zhong J., Chen Y., A hybrid approach
for portfolio selection with higher-order moments: Empirical evidence from Shanghai
Stock Exchange, Expert Systems with Applications, 145, (2019); Opitz D., Maclin R.,
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Research, 11, pp. 169-198, (1999); Garcia Adeva J.J., Cervino Beresi U., Calvo
R.A., Accuracy and diversity in ensembles of text categorisers, CLEI Electronic
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Forecasting, pp. 360-370; Dave E., Leonardo A., Jeanice M., Hanafiah N.,
Forecasting Indonesia exports using a hybrid model ARIMA-LSTM, Procedia Computer
Science, 179, 1, pp. 480-487, (2021); Deng Y., Fan H., Wu S., A hybrid ARIMA-LSTM
model optimized by BP in the forecast of outpatient visits, Journal of Ambient
Intelligence and Humanized Computing, (2020); Wang Z., Qu J., Fang X., Li H., Zhong
T., Ren H., Prediction of early stabilization time of electrolytic capacitor based
on ARIMA-Bi_LSTM hybrid model, Neurocomputing, 403, (2020); Khashei M., Bijari M.,
Improving forecasting performance of financial variables by integrating linear and
nonlinear ARIMA and artificial, QJER, 8, 2, pp. 83-100, (2008)","D. Xiao; School of
Finance, Central University of Finance and Economics, Beijing, China; email:
[email protected]",,Hindawi Limited,,,,,,10589244,,SCIPE,,English,Sci.
Program,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85128286003
Song Y.; Tang X.; Wang H.; Ma Z.,"Song, Yuping (55366973400); Tang, Xiaolong
(57401944800); Wang, Hemin (57831511500); Ma, Zhiren (57832495100)",55366973400;
57401944800; 57831511500; 57832495100,Volatility forecasting for stock market
incorporating macroeconomic variables based on GARCH-MIDAS and deep learning
models,2023,Journal of Forecasting,42,1,,51,59,8,20,10.1002/for.2899,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85135438966&doi=10.1002%2ffor.2899&partnerID=40&md5=57f4342c3646e36a9394615b390b43b
7,"School of Finance and Business, Shanghai Normal University, Shanghai,
China","Song Y., School of Finance and Business, Shanghai Normal University,
Shanghai, China; Tang X., School of Finance and Business, Shanghai Normal
University, Shanghai, China; Wang H., School of Finance and Business, Shanghai
Normal University, Shanghai, China; Ma Z., School of Finance and Business, Shanghai
Normal University, Shanghai, China","Empirical experiments have shown that
macroeconomic variables can affect the volatility of stock market. However, the
frequencies of macroeconomic variables are low and different from the stock market
volatility, and few literature considers the low-frequency macroeconomic variables
as input indicators for deep learning models. In this paper, we forecast the stock
market volatility incorporating low-frequency macroeconomic variables based on a
hybrid model integrating the deep learning method with generalized autoregressive
conditional heteroskedasticity and mixed data sampling (GARCH-MIDAS) model to
process the mixing frequency data. This paper firstly takes macroeconomic variables
as exogenous variables then uses the GARCH-MIDAS model to deal with the problem of
different frequencies between the macroeconomic variables and stock market
volatility and to forecast the short-term volatility and finally takes the
predicted short-term volatility as the input indicator into machine learning and
deep learning models to forecast the realized volatility of stock market. It is
found that adding macroeconomic variables can significantly improve the forecasting
ability in the comparison of the forecasting effects of the same model before and
after adding the macroeconomic variables. Additionally, in the comparison of the
forecasting effects among different models, it is also found that the forecasting
effect of the deep learning model is the best, the machine learning model is worse,
and the traditional econometric model is the worst. © 2022 John Wiley & Sons
Ltd.",deep learning model; GARCH-MIDAS model; macroeconomic variables; realized
volatility forecasting,Deep learning; Financial markets; Forecasting; Learning
systems; Deep learning model; Generalized autoregressive conditional
heteroskedasticity; Generalized autoregressive conditional heteroskedasticity and
mixed data sampling model; Learning models; Macroeconomic variables; Mixed data
samplings; Realized volatility; Realized volatility forecasting; Sampling model;
Volatility forecasting; Commerce,,,,,"Ministry of Education, Humanities and Social
Sciences project, (18YJCZH153); Youth Academic Backbone Cultivation Project of
Shanghai Normal University, (310‐AC7031‐19‐003021); National Natural Science
Foundation of China, NSFC, (11901397, 71973098); Shanghai Normal University, SHNU,
(310‐AC7031‐19‐004221, 310‐AC7031‐19‐004228); General Research Fund of Shanghai
Normal University, (SK201720)","This research is funded by the National Natural
Science Foundation of China (11901397 and 71973098), Ministry of Education,
Humanities and Social Sciences project (18YJCZH153), Youth Academic Backbone
Cultivation Project of Shanghai Normal University (310‐AC7031‐19‐003021), General
Research Fund of Shanghai Normal University (SK201720), Key Subject of Quantitative
Economics of Shanghai Normal University (310‐AC7031‐19‐004221), and Academic
Innovation Team of Shanghai Normal University (310‐AC7031‐19‐004228). ","Alaali F.,
The effect of oil and stock price volatility on firm level investment: The case of
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(2016)","Y. Song; School of Finance and Business, Shanghai Normal University,
Shanghai, Xuhui District, Guilin Road 100, 6 A, 402, China; email:
[email protected]",,John Wiley and Sons Ltd,,,,,,2776693,,JOFOD,,English,J
Forecast,Article,Final,,Scopus,2-s2.0-85135438966
Niklis D.; Doumpos M.; Zopounidis C.,"Niklis, Dimitrios (56020513200); Doumpos,
Michael (6602997456); Zopounidis, Constantin (7004152244)",56020513200; 6602997456;
7004152244,Combining market and accounting-based models for credit scoring using a
classification scheme based on support vector machines,2014,Applied Mathematics and
Computation,234,,,69,81,12,25,10.1016/j.amc.2014.02.028,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84896741326&doi=10.1016%2fj.amc.2014.02.028&partnerID=40&md5=e0cfc8f04f2b917b207a42
19d6d73bba,"Financial Engineering Laboratory, Technical University of Crete,
University Campus, 73100 Chania, Greece","Niklis D., Financial Engineering
Laboratory, Technical University of Crete, University Campus, 73100 Chania, Greece;
Doumpos M., Financial Engineering Laboratory, Technical University of Crete,
University Campus, 73100 Chania, Greece; Zopounidis C., Financial Engineering
Laboratory, Technical University of Crete, University Campus, 73100 Chania,
Greece","Credit risk rating is an important issue for both financial institutions
and companies, especially in periods of economic recession. There are many
different approaches and methods which have been developed over the years. The aim
of this paper is to create a credit risk rating model, using a machine learning
methodology that combines accounting data with the option-based approach of Black,
Scholes, and Merton. The model is built on data for companies listed in the Greek
stock exchange, but it is also shown to provide accurate results for non-listed
firms as well. Linear and nonlinear support vector machines are used for model
building, as well as an innovative additive modeling approach, which enables the
construction of comprehensible and accurate credit scoring models. © 2014 Elsevier
Inc. All rights reserved.",Black-Scholes-Merton model; Credit rating; Credit risk;
Support vector machines,Industry; Rating; Risk analysis; Risk assessment; Black-
Scholes-Merton model; Classification scheme; Credit ratings; Credit risks; Credit
scoring model; Economic Recession; Financial institution; Nonlinear Support Vector
Machines; Support vector machines,,,,,,,"Altman E., Saunders A., Credit risk
measurement: Developments over the last 20 years, J. Banking Finance, 21, 1112, pp.
1721-1742, (1997); Thomas L.C., A survey of credit and behavioral scoring:
Forecasting financial risk of lending to consumers, Int. J. Forecasting, 16, pp.
149-172, (2000); Papageorgiou D., Doumpos M., Zopounidis C., Credit rating systems:
Regulatory framework and comparative evaluation of existing methods, Handbook of
Financial Engineering, pp. 457-488, (2008); Abdou H.A., Pointon J., Credit scoring,
statistical techniques and evaluation criteria: A review of the literature, Intell.
Syst. Acc. Finance Manage., 18, 23, pp. 59-88, (2011); Agarwal V., Taffler R.,
Comparing the performance of market-based and accounting-based bankruptcy
prediction models, J. Banking Finance, 32, 8, pp. 1541-1551, (2008); Mensah Y.M.,
An examination of the stationarity of multivariate bankruptcy prediction models: A
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recovery rates in credit risk modelling: A review of the literature and empirical
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A.E., Stein R.M., Moody's KMV RiskCalc™ v3.1 Model, (2004); Blochwitz S., Liebig
T., Nyberg M., Benchmarking Deutsche Bundesbank's Default Risk Model, the KMV™
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Altman E., Fargher N., Kalotay E., A simple empirical model of equity-implied
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Inefficient markets and credit risk modeling: Why Merton's model failed, J. Policy
Model., 28, 3, pp. 307-318, (2006); Dicle M.F., Levendis J., Greek market
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(2011); Vassalou M., Xing Y., Default risk in equity returns, J. Finance, 59, 2,
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V., Statistical Learning Theory, (1998); Martens D., Baesens B., Van Gestel T.,
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C., Using Gaussian process based kernel classifiers for credit rating forecasting,
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extraction algorithm from support vector machines and its application to credit
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J. Banking Finance, 30, 3, pp. 851-873, (2006); Thomas L.C., Edelmann D.B., Crook
J.N., Credit Scoring and Its Applications, (2002)","M. Doumpos; Financial
Engineering Laboratory, Technical University of Crete, University Campus, 73100
Chania, Greece; email: [email protected]",,,,,,,,963003,,AMHCB,,English,Appl.
Math. Comput.,Article,Final,,Scopus,2-s2.0-84896741326
Millea A.,"Millea, Adrian (57224667670)",57224667670,Deep reinforcement learning
for trading—a critical
survey,2021,Data,6,11,119,,,,23,10.3390/data6110119,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85119972913&doi=10.3390%2fdata6110119&partnerID=40&md5=1407c065581058c01224a6017b21
7ade,"Imperial College London, London, SW7 2AZ, United Kingdom","Millea A.,
Imperial College London, London, SW7 2AZ, United Kingdom","Deep reinforcement
learning (DRL) has achieved significant results in many machine learning (ML)
benchmarks. In this short survey, we provide an overview of DRL applied to trading
on financial markets with the purpose of unravelling common structures used in the
trading community using DRL, as well as discovering common issues and limitations
of such approaches. We include also a short corpus summarization using Google
Scholar. Moreover, we discuss how one can use hierarchy for dividing the problem
space, as well as using model-based RL to learn a world model of the trading
environment which can be used for prediction. In addition, multiple risk measures
are defined and discussed, which not only provide a way of quantifying the
performance of various algorithms, but they can also act as (dense) reward-shaping
mechanisms for the agent. We discuss in detail the various state representations
used for financial markets, which we consider critical for the success and
efficiency of such DRL agents. The market in focus for this survey is the
cryptocurrency market; the results of this survey are two-fold: firstly, to find
the most promising directions for further research and secondly, to show how a lack
of consistency in the community can significantly impede research and the
development of DRL agents for trading. © 2021 by the author. Licensee MDPI, Basel,
Switzerland.",Cryptocurrency; Deep reinforcement learning; Foreign exchange;
Hierarchy; Model-based RL; Prediction; Reward shaping; Risk; Stock market;
Trading,Deep learning; Learning systems; Risk assessment; Surveys; Critical
surveys; Deep reinforcement learning; Foreign exchange; Hierarchy; Model-based OPC;
Model-based RL; Reinforcement learning agent; Reinforcement learnings; Reward
shaping; Trading; Reinforcement learning,,,,,"EPSRC Centre for Doctoral Training in
High Performance Embedded and Distributed Systems at Imperial College London,
(EP/L016796/1)","Funding: This research was funded by the EPSRC Centre for Doctoral
Training in High Performance Embedded and Distributed Systems at Imperial College
London (HiPEDS, Grant Reference EP/L016796/1).","Mnih V., Kavukcuoglu K., Silver
D., Rusu A.A., Veness J., Bellemare M.G., Graves A., Riedmiller M., Fidjeland A.K.,
Ostrovski G., Et al., Human-level control through deep reinforcement learning,
Nature, 518, pp. 529-533, (2015); Sato Y., Model-free reinforcement learning for
financial portfolios: A brief survey, (2019); Hu Z., Zhao Y., Khushi M., A survey
of forex and stock price prediction using deep learning, Appl. Syst. Innov, 4,
(2021); Fischer T.G., Reinforcement Learning in Financial Markets-a Survey, (2018);
Mosavi A., Faghan Y., Ghamisi P., Duan P., Ardabili S.F., Salwana E., Band S.S.,
Comprehensive review of deep reinforcement learning methods and applications in
economics, Mathematics, 8, (2020); Meng T.L., Khushi M., Reinforcement learning in
financial markets, Data, 4, (2019); Nakamoto S., Bitcoin A., A peer-to-peer
electronic cash system, Decentralized Bus. Rev, 4, (2008); Islam M.R., Nor R.M.,
Al-Shaikhli I.F., Mohammad K.S., Cryptocurrency vs. Fiat Currency: Architecture,
Algorithm, Cashflow & Ledger Technology on Emerging Economy: The Influential Facts
of Cryptocurrency and Fiat Currency, Proceedings of the 2018 International
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Imperial College London, London, SW7 2AZ, United Kingdom; email:
[email protected]",,MDPI,,,,,,23065729,,,,English,Data,Review,Final,All Open Access;
Gold Open Access; Green Open Access,Scopus,2-s2.0-85119972913
Hossain E.; Hossain M.S.; Zander P.-O.; Andersson K.,"Hossain, Emam (57212978615);
Hossain, Mohammad Shahadat (55871122455); Zander, Pär-Ola (36142356200); Andersson,
Karl (7402136130)",57212978615; 55871122455; 36142356200; 7402136130,Machine
learning with Belief Rule-Based Expert Systems to predict stock price
movements,2022,Expert Systems with
Applications,206,,117706,,,,21,10.1016/j.eswa.2022.117706,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85133647602&doi=10.1016%2fj.eswa.2022.117706&partnerID=40&md5=fa1529c0b75858c46ed69
7f43829d972,"Department of Information Systems, University of Maryland Baltimore
County, United States; Department of Computer Science and Engineering, University
of Chittagong, Bangladesh; Department of Learning and Philosophy, Aalborg
University, Aalborg, Denmark; Pervasive and Mobile Computing Laboratory, Luleå
University of Technology, Skellefteå, S-931 87, Sweden","Hossain E., Department of
Information Systems, University of Maryland Baltimore County, United States;
Hossain M.S., Department of Computer Science and Engineering, University of
Chittagong, Bangladesh; Zander P.-O., Department of Learning and Philosophy,
Aalborg University, Aalborg, Denmark; Andersson K., Pervasive and Mobile Computing
Laboratory, Luleå University of Technology, Skellefteå, S-931 87, Sweden","Price
prediction of financial assets has been a key interest for researchers over the
decades. Numerous techniques to predict the price movements have been developed by
the researchers over the years. But a model loses its credibility once a large
number of traders start using the same technique. Therefore, the traders are in
continuous search of new and efficient prediction techniques. In this research, we
propose a novel machine learning technique using technical analysis with Belief
Rule-Based Expert System (BRBES), and incorporating the concept of Bollinger Band
to forecast stock price in the next five days. A Bollinger Event is triggered when
the closing price of the stock goes down the Lower Bollinger Band. The BRBES
approach has never been applied to stock markets, despite its potential and the
appetite of the financial markets for expert systems. We predict the price movement
of the Swedish company TELIA as a proof of concept. The knowledge base of the
initial BRBES is constructed by simulating the historical data and then the
learning parameters are optimized using MATLAB's fmincon function. We evaluate the
performance of the trained BRBES in terms of Accuracy, Area Under ROC Curve, Root
Mean Squared Error, type I error, type II error, R2 value, and profit/loss ratio.
We compare our proposed model against a similar rule-based technique, Adaptive
Neuro-Fuzzy Inference System (ANFIS), to understand the significance of the
improved rule base of BRBES. We also compare the performance against Support Vector
Machine (SVM), one of the most popular machine learning techniques, and a simple
heuristic model. Finally, the trained BRBES is compared against recent state-of-
the-art deep learning approaches to show how competitive the performance of our
proposed model is. The results show that the trained BRBES produces better
performance than the non-trained BRBES, ANFIS, SVM, and the heuristic approaches.
Also, it indicates better or competitive performance against the deep learning
approaches. Thus BRBES exhibits its potential in predicting financial asset price
movement. © 2022",Belief rule; Bollinger band; Expert system; Machine learning;
Stock prediction; Time series analysis,Commerce; Deep learning; Electronic trading;
Errors; Financial markets; Forecasting; Fuzzy inference; Fuzzy neural networks;
Fuzzy systems; Heuristic methods; Learning algorithms; Learning systems; Mean
square error; Optimization; Time series analysis; Belief rules; Bollinge band;
Financial assets; Machine learning techniques; Machine-learning; Performance; Price
movement; Rule-based expert system; Stock predictions; Time-series analysis;
Support vector machines,,,,,,,"Afroze T., Akther S., Chowdhury M.A., Hossain E.,
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(2009)","K. Andersson; Pervasive and Mobile Computing Laboratory, Luleå University
of Technology, Skellefteå, S-931 87, Sweden; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,,Scopus,2-s2.0-85133647602
Ho T.-T.; Huang Y.,"Ho, Trang-Thi (57201583419); Huang, Yennun
(7501577033)",57201583419; 7501577033,Stock price movement prediction using
sentiment analysis and candlestick chart
representation,2021,Sensors,21,23,7957,,,,21,10.3390/s21237957,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85120051912&doi=10.3390%2fs21237957&partnerID=40&md5=9e086734e8d0d209a4b4bf16ee0326
3b,"Research Center for Information Technology Innovation, Academia Sinica, Taipei,
10607, Taiwan","Ho T.-T., Research Center for Information Technology Innovation,
Academia Sinica, Taipei, 10607, Taiwan; Huang Y., Research Center for Information
Technology Innovation, Academia Sinica, Taipei, 10607, Taiwan","Determining the
price movement of stocks is a challenging problem to solve because of factors such
as industry performance, economic variables, investor sentiment, company news,
company performance, and social media sentiment. People can predict the price
movement of stocks by applying machine learning algorithms on information contained
in historical data, stock candlestick-chart data, and social-media data. However,
it is hard to predict stock movement based on a single classifier. In this study,
we proposed a multichannel collaborative network by incorporating candlestick-chart
and social-media data for stock trend predictions. We first extracted the social
media sentiment features using the Natural Language Toolkit and sentiment analysis
data from Twitter. We then transformed the stock’s historical time series data into
a candlestick chart to elucidate patterns in the stock’s movement. Finally, we
integrated the stock’s sentiment features and its candlestick chart to predict the
stock price movement over 4-, 6-, 8-, and 10-day time periods. Our collaborative
network consisted of two branches: the first branch contained a one-dimensional
convolutional neural network (CNN) performing sentiment classification. The second
branch included a two-dimensional (2D) CNN performing image classifications based
on 2D candlestick chart data. We evaluated our model for five high-demand stocks
(Apple, Tesla, IBM, Amazon, and Google) and determined that our collaborative
network achieved promising results and compared favorably against single-network
models using either sentiment data or candlestick charts alone. The proposed method
obtained the most favorable performance with 75.38% accuracy for Apple stock. We
also found that the stock price prediction achieved more favorable performance over
longer periods of time compared with shorter periods of time. © 2021 by the
authors. Licensee MDPI, Basel, Switzerland.",Candlestick chart; Convolution neural
network; Sentiment analysis; stock market,"Algorithms; Humans; Investments; Models,
Economic; Neural Networks, Computer; Sentiment Analysis; Convolution; Financial
markets; Fruits; Investments; Learning algorithms; Machine learning; Motion
estimation; Sentiment analysis; Social networking (online); Candlestick chart;
Chart data; Collaborative network; Convolution neural network; Performance; Price
movement; Sentiment analysis; Social media; Social media datum; Stock market;
algorithm; economic model; human; investment; Forecasting",,,,,"Academia Sinica,
(AS-KPQ-109-DSTCP); Ministry of Science and Technology of the People's Republic of
China, MOST, (MOST109-2221-E-001-019-MY3); Ministry of Science and Technology,
Taiwan, MOST, (109-2221-E-001-019-MY3)",Funding text 1: The work was supported by
the Ministry of Science and Technology of the Republic of China under grant MOST
109-2221-E-001-019-MY3. The work was also supported by Academia Sinica under grant
AS-KPQ-109-DSTCP.; Funding text 2: Acknowledgments: The work was supported by the
Ministry of Science and Technology of the Republic of China under grant MOST109-
2221-E-001-019-MY3. The work was also supported by Academia Sinica under grant AS-
KPQ-109-DSTCP.,"Malkiel B.G., Fama E.F., Efficient capital markets a review of
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Academia Sinica, Taipei, 10607, Taiwan; email:
[email protected]",,MDPI,,,,,,14248220,,,34883961,English,Sensors,Artic
le,Final,All Open Access; Gold Open Access; Green Open Access,Scopus,2-s2.0-
85120051912
Amini S.; Elmore R.; Öztekin Ö.; Strauss J.,"Amini, Shahram (55206960200); Elmore,
Ryan (56233784600); Öztekin, Özde (25121570700); Strauss, Jack
(7401702574)",55206960200; 56233784600; 25121570700; 7401702574,Can machines learn
capital structure dynamics?,2021,Journal of Corporate
Finance,70,,102073,,,,22,10.1016/j.jcorpfin.2021.102073,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85113313347&doi=10.1016%2fj.jcorpfin.2021.102073&partnerID=40&md5=47a787d673a0feccc
fca77037ecfb9d9,"Daniels College of Business, Finance Department, University of
Denver, United States; Daniels College of Business, Business Information and
Analysis Department, University of Denver, United States; College of Business,
Finance Department, Florida International University, United States","Amini S.,
Daniels College of Business, Finance Department, University of Denver, United
States; Elmore R., Daniels College of Business, Business Information and Analysis
Department, University of Denver, United States; Öztekin Ö., College of Business,
Finance Department, Florida International University, United States; Strauss J.,
Daniels College of Business, Finance Department, University of Denver, United
States","Yes, they can! Machine learning models predict leverage better than linear
models and identify a broader set of leverage determinants. They boost the out-of-
sample R2 from 36% to 56% over OLS and LASSO. The best performing model (random
forests) selects market-to-book, industry median leverage, cash and equivalents, Z-
Score, profitability, stock returns, and firm size as reliable predictors of market
leverage. More precise target estimation yields a 10%–33% faster speed of
adjustment and improves prediction of financing actions relative to linear models.
Machine learning identifies uncertainty, cash flow, and macroeconomic
considerations among primary drivers of leverage adjustments. © 2021 Elsevier
B.V.",Financing actions; Machine learning; Speed of leverage adjustment; Target
leverage,,,,,,French Finance Association,"We are indebted to Don Bowen, Conrad
Ciccotello, Andrew Detzel, Mark Flannery, Todd Gormley, Chris Hughen, Lingfei Kong,
Sattar Mansi, Christopher Parmeter, Jay Ritter, Johan Sulaeman, Sheridan Titman,
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Conference of the French Finance Association, the 2020 Financial Management
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J. Polit. Econ., 112, 1, pp. 106-132, (2004)","S. Amini; Daniels College of
Business, Finance Department, University of Denver, United States; email:
[email protected]",,Elsevier B.V.,,,,,,9291199,,,,English,J. Corp.
Financ.,Article,Final,,Scopus,2-s2.0-85113313347
Heiberger R.H.,"Heiberger, Raphael H. (55600330900)",55600330900,Predicting
economic growth with stock networks,2018,Physica A: Statistical Mechanics and its
Applications,489,,,102,111,9,25,10.1016/j.physa.2017.07.022,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85028070940&doi=10.1016%2fj.physa.2017.07.022&partnerID=40&md5=11abd5ce70dc8f126d2f
3f078d0320ee,"University of Bremen, Institute for Sociology, Bremen, 28205,
Germany","Heiberger R.H., University of Bremen, Institute for Sociology, Bremen,
28205, Germany","Networks derived from stock prices are often used to model
developments on financial markets and are tightly intertwined with crises. Yet, the
influence of changing market topologies on the broader economy (i.e. GDP) is
unclear. In this paper, we propose a Bayesian approach that utilizes individual-
level network measures of companies as lagged probabilistic features to predict
national economic growth. We use a comprehensive data set consisting of Standard
and Poor's 500 corporations from January 1988 until October 2016. The final model
forecasts correctly all major recession and prosperity phases of the U.S. economy
up to one year ahead. By employing different network measures on the level of
corporations, we can also identify which companies’ stocks possess a key role in a
changing economic environment and may be used as indication of critical (and
prosperous) developments. More generally, the proposed approach allows to predict
probabilities for different overall states of social entities by using local
network positions and could be applied on various phenomena. © 2017 Elsevier
B.V.",Economic growth; Econophysics; Machine learning; Naïve Bayes classifier;
Stock networks,Bayesian networks; Commerce; Financial markets; Learning systems;
Bayes Classifier; Bayesian approaches; Economic environment; Economic growths;
Econophysicss; Individual levels; Model development; Network measures;
Forecasting,,,,,,,"Schumpeter J.A., The Theory of Economic Development: An Inquiry
Into Profits, Capital, Credit, Interest, and the Business Cycle, (1934); Levine R.,
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B.V.,,,,,,3784371,,PHYAD,,English,Phys A Stat Mech Appl,Article,Final,,Scopus,2-
s2.0-85028070940
Mu G.; Gao N.; Wang Y.; Dai L.,"Mu, Guangyu (9737980500); Gao, Nan (58303072000);
Wang, Yuhan (58302894300); Dai, Li (58302894400)",9737980500; 58303072000;
58302894300; 58302894400,A Stock Price Prediction Model Based on Investor Sentiment
and Optimized Deep Learning,2023,IEEE
Access,11,,,51353,51367,14,21,10.1109/ACCESS.2023.3278790,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85161086149&doi=10.1109%2fACCESS.2023.3278790&partnerID=40&md5=71f4f91fb55a6c2884df
0dba3b09b989,"Jilin University of Finance and Economics, School of Management
Science and Information Engineering, Changchun, 130000, China; Key Laboratory of
Financial Technology of Jilin Province, Changchun, 130000, China","Mu G., Jilin
University of Finance and Economics, School of Management Science and Information
Engineering, Changchun, 130000, China, Key Laboratory of Financial Technology of
Jilin Province, Changchun, 130000, China; Gao N., Jilin University of Finance and
Economics, School of Management Science and Information Engineering, Changchun,
130000, China; Wang Y., Jilin University of Finance and Economics, School of
Management Science and Information Engineering, Changchun, 130000, China; Dai L.,
Jilin University of Finance and Economics, School of Management Science and
Information Engineering, Changchun, 130000, China","Accurate prediction of stock
prices can reduce investment risks and increase returns. This paper combines the
multi-source data affecting stock prices and applies sentiment analysis, swarm
intelligence algorithm, and deep learning to build the MS-SSA-LSTM model. Firstly,
we crawl the East Money forum posts information to establish the unique sentiment
dictionary and calculate the sentiment index. Then, the Sparrow Search Algorithm
(SSA) optimizes the Long and Short-Term Memory network (LSTM) hyperparameters.
Finally, the sentiment index and fundamental trading data are integrated, and LSTM
is used to forecast stock prices in the future. Experiments demonstrate that the
MS-SSA-LSTM model outperforms the others and has high universal applicability.
Compared with standard LSTM, the R2 of MS-SSA-LSTM is improved by 10.74% on
average. We found that: 1) Adding the sentiment index can enhance the model's
predictive performance. 2) The LSTM's hyperparameters are optimized using SSA,
which objectively explains the model parameter settings and improves the prediction
effect. 3) The high volatility of China's financial market is more suitable for
short-term prediction. © 2013 IEEE.",Deep learning; LSTM model; sentiment
analysis; sentiment dictionary; sparrow search algorithm; stock price
prediction,Brain; Commerce; Costs; Data mining; Electronic trading; Financial
markets; Forecasting; Investments; Learning algorithms; Risk assessment; Sentiment
analysis; Deep learning; Long and short term memory; Long and short-term memory
network model; Memory network; Network models; Prediction algorithms; Predictive
models; Search Algorithms; Search method; Sentiment analysis; Sentiment
dictionaries; Sparrow search algorithm; Stock price prediction; Support vectors
machine; Long short-term memory,,,,,"Natural Science Fund Project of the Science
and Technology Department of Jilin Province, (20190201186JC); Changchun Science and
Technology Bureau, (21ZY61); National Office for Philosophy and Social Sciences,
NPOPSS, (19BJY246)","This work was supported in part by the National Social Science
Fund of China under Grant 19BJY246, in part by the Natural Science Fund Project of
the Science and Technology Department of Jilin Province under Grant 20190201186JC,
and in part by the Science and Technology Development Plan Project of Changchun
Science and Technology Bureau under Grant 21ZY61.","Rounaghi M.M., Zadeh F.N.,
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Comput. Commun., 33, 22, pp. 56-58, (2021)","G. Mu; Jilin University of Finance and
Economics, School of Management Science and Information Engineering, Changchun,
130000, China; email: [email protected]",,Institute of Electrical and
Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85161086149
Oriani F.B.; Coelho G.P.,"Oriani, Felipe Barboza (57193717455); Coelho, Guilherme
P. (8899556100)",57193717455; 8899556100,Evaluating the impact of technical
indicators on stock forecasting,2017,"2016 IEEE Symposium Series on Computational
Intelligence, SSCI 2016",,,7850017,,,,25,10.1109/SSCI.2016.7850017,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85016085950&doi=10.1109%2fSSCI.2016.7850017&partnerID=40&md5=08470fadf253e115f81f98
c3aad48704,"School of Technology (FT), University of Campinas (Unicamp), Limeira -
SP, Brazil","Oriani F.B., School of Technology (FT), University of Campinas
(Unicamp), Limeira - SP, Brazil; Coelho G.P., School of Technology (FT), University
of Campinas (Unicamp), Limeira - SP, Brazil","The application of time series
analysis and forecasting to stock markets is particularly relevant to Technical
Analysis, which uses historical values to obtain indicators that highlight possible
trends in stock prices. In practice, most of these indicators are evaluated
graphically and their direct impact on the quality of stock price forecasting has
not been appraised so far. Therefore, the impact of different technical indicators
on the prediction of stock closing prices was evaluated in this paper. Under the
machine learning perspective, each technical indicator was used as input for
artificial neural networks (multilayer perceptrons) trained to forecast the daily
stock closing prices of five companies with high representation in the Brazilian
IBovespa index. The results have led to two main conclusions: (i) lagging technical
indicators such as the Exponential Moving Average and Weighted Moving Average, when
used as isolated inputs of the neural networks, can improve the accuracy of the
stock forecast when compared to forecasts made with the original series of closing
prices; and (ii) the combination of different indicators as inputs to the same
neural network can improve even more the forecasting performance. These results may
contribute to the development of more robust forecasting techniques for stock
prices in the future. © 2016 IEEE.",,Artificial intelligence; Costs; Deep neural
networks; Electronic trading; Financial markets; Learning systems; Multilayer
neural networks; Neural networks; Quality control; Time series analysis;
Exponential moving averages; Forecasting performance; Forecasting techniques; Stock
forecasting; Stock price forecasting; Technical analysis; Technical indicator;
Weighted moving averages; Forecasting,,,,,,,"Wang J.-Z., Wang J.-J., Zhang Z.-G.,
Guo S.-P., Forecasting stock indices with back propagation neural network, Expert
Systems with Applications, (2011); Ii C.D.K., Dahlquist J., Technical Analysis: The
Complete Resource for Financial Market Technicians, (2010); De Oliveira F.A., Nobre
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R.J., 25 years of time series forecasting, International Journal of Forecasting,
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direct and iterative artificial neural network forecast approaches in multi-
periodic time series forecasting, Expert Systems with Applications, 36, 2, pp.
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G.W., Foreman D.I., Nonparametric Statistics: A Step-by-Step Approach., (2014);
Kanji G.K., 100 Statistical Tests, (2006)",,,Institute of Electrical and
Electronics Engineers Inc.,IEEE Computational Intelligence Society,"2016 IEEE
Symposium Series on Computational Intelligence, SSCI 2016",6 December 2016 through
9 December 2016,Athens,126460,,978-150904240-1,,,English,"IEEE Symp. Ser. Comput.
Intell., SSCI",Conference paper,Final,,Scopus,2-s2.0-85016085950
Coyne S.; Madiraju P.; Coelho J.,"Coyne, Scott (57202378906); Madiraju, Praveen
(6507994448); Coelho, Joseph (57202384529)",57202378906; 6507994448;
57202384529,Forecasting stock prices using social media analysis,2017,"Proceedings
- 2017 IEEE 15th International Conference on Dependable, Autonomic and Secure
Computing, 2017 IEEE 15th International Conference on Pervasive Intelligence and
Computing, 2017 IEEE 3rd International Conference on Big Data Intelligence and
Computing and 2017 IEEE Cyber Science and Technology Congress, DASC-PICom-DataCom-
CyberSciTec 2017",2018-January,,,1031,1038,7,23,10.1109/DASC-PICom-DataCom-
CyberSciTec.2017.169,https://www-scopus-com-paruluniversity.knimbus.com/inward/
record.uri?eid=2-s2.0-85048119718&doi=10.1109%2fDASC-PICom-DataCom-
CyberSciTec.2017.169&partnerID=40&md5=6d27272e1e4fe29f540e757c2e2d3778,"Department
of Mathematics, Statistics and Computer Science, Marquette University, Milwaukee,
WI, United States","Coyne S., Department of Mathematics, Statistics and Computer
Science, Marquette University, Milwaukee, WI, United States; Madiraju P.,
Department of Mathematics, Statistics and Computer Science, Marquette University,
Milwaukee, WI, United States; Coelho J., Department of Mathematics, Statistics and
Computer Science, Marquette University, Milwaukee, WI, United States","Stock market
prices are becoming more and more volatile, largely due to improvements in
technology and increased trading volume. Speculation affects business owners,
investors, and policymakers alike. While these seemingly unpredictable trends
continue, investors and consumers take to social media to share thoughts and
opinions. We use information shared over StockTwits, a social media platform for
investors, to better understand and predict individual stock prices. We designed
and implemented three machine learning models to forecast stock prices using the
dataset collected from StockTwits. We also evaluated our models with conclusions
drawn from previous researchers in this field. Our first model found no correlation
between general StockTwits postings and stock price. However, our second and third
models considered a novel approach and successfully filtered through the twits to
find important posts. These important twits could predict stock price movements
with greater accuracy (average around 65%) based on sentiment analysis and smart
user identification. We consider a user ""smart"" based on number of likes,
follower count and more importantly how often the user is right about a stock. ©
2017 IEEE.",Big data; Machine learning; Prediction; Sentiment analysis; Social
media analysis; Stock market,Big data; Commerce; Costs; Financial markets;
Forecasting; Investments; Machine learning; Social networking (online); Business
owners; Forecasting stock prices; Machine-learning; Policy makers; Sentiment
analysis; Social media; Social media analysis; Stock market prices; Stock price;
Trading volumes; Sentiment analysis,,,,,,,"Zhang X., Fuehres H., Gloor P.A.,
Predicting stock market indicators through twitter ""i hope it is not as bad as I
fear, Procedia-Social and Behavioral Sciences, 26, pp. 55-62, (2011); Oh C., Sheng
O., Investigating predictive power of stock micro blog sentiment in forecasting
future stock price directional movement, ICIS, (2011); Oliveira N., Cortez P.,
Areal N., On the predictability of stock market behavior using stocktwits sentiment
and posting volume, Portuguese Conference on Artificial Intelligence, pp. 355-365,
(2013); Tsui D., Predicting Stock Price Movement Using Social Media Analysis;
(2017); Nausheen S., Kumar A., Amrutha K.K., SURVEY ON SENTIMENT ANALYSIS of STOCK
MARKET; Zhang K., Li L., Li P., Teng W., Stock trend forecasting method based on
sentiment analysis and system similarity model, Strategic Technology (IFOST), 2011
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Sentiment Mining of Microblogs in 24-Hour Stock Price Movement Prediction, Business
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(2014); Feldman R., Techniques and applications for sentiment analysis,
Communications of the ACM, 56, 4, pp. 82-89, (2013); Andreassen P.B., On the social
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pp. 59-65, (2010)",,,Institute of Electrical and Electronics Engineers Inc.,IEEE;
IEEE Technical Committee on Scalable Computing (TCSC),"15th IEEE International
Conference on Dependable, Autonomic and Secure Computing, 2017 IEEE 15th
International Conference on Pervasive Intelligence and Computing, 2017 IEEE 3rd
International Conference on Big Data Intelligence and Computing and 2017 IEEE Cyber
Science and Technology Congress, DASC-PICom-DataCom-CyberSciTec 2017",6 November
2017 through 11 November 2017,Orlando,135560,,978-153861955-1,,,English,"Proc. -
IEEE Int. Conf. Dependable, Auton. Secur. Comput., IEEE Int. Conf. Pervasive
Intell. Comput., IEEE Int. Conf. Big Data Intell. Comput. IEEE Cyber Sci. Technol.
Congr., DASC-PICom-DataCom-CyberSciTec",Conference paper,Final,,Scopus,2-s2.0-
85048119718
Li Y.; Liu P.; Wang Z.,"Li, Yawei (57488688800); Liu, Peipei (57223020076); Wang,
Ze (57504935700)",57488688800; 57223020076; 57504935700,Stock Trading Strategies
Based on Deep Reinforcement Learning,2022,Scientific
Programming,2022,,4698656,,,,20,10.1155/2022/4698656,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85126594922&doi=10.1155%2f2022%2f4698656&partnerID=40&md5=98c595ce990e904cfd4274766
c2c2489,"School of Management Science and Engineering, Shandong University of
Finance and Economics, Jinan, 250014, China; School of Computer Science and
Technology, Shandong University of Finance and Economics, Jinan, 250014, China","Li
Y., School of Management Science and Engineering, Shandong University of Finance
and Economics, Jinan, 250014, China; Liu P., School of Computer Science and
Technology, Shandong University of Finance and Economics, Jinan, 250014, China;
Wang Z., School of Computer Science and Technology, Shandong University of Finance
and Economics, Jinan, 250014, China","The purpose of stock market investment is to
obtain more profits. In recent years, an increasing number of researchers have
tried to implement stock trading based on machine learning. Facing the complex
stock market, how to obtain effective information from multisource data and
implement dynamic trading strategies is difficult. To solve these problems, this
study proposes a new deep reinforcement learning model to implement stock trading,
analyzes the stock market through stock data, technical indicators and candlestick
charts, and learns dynamic trading strategies. Fusing the features of different
data sources extracted by the deep neural network as the state of the stock market,
the agent in reinforcement learning makes trading decisions on this basis.
Experiments on the Chinese stock market dataset and the S&P 500 stock market
dataset show that our trading strategy can obtain higher profits compared with
other trading strategies. © 2022 Yawei Li et al.",,Commerce; Deep neural networks;
Electronic trading; Investments; Profitability; Reinforcement learning; Candlestick
chart; Chinese stock market; Data-source; Learn+; Multisource data; Reinforcement
learning models; Stock data; Stock trading; Technical indicator; Trading
strategies; Financial markets,,,,,,,"Li Y., Zheng W., Zheng Z., Deep robust
reinforcement learning for practical algorithmic trading, IEEE Access, 7, pp.
108014-108022, (2019); Fischer T., Krauss C., Deep learning with long short-term
memory networks for financial market predictions, European Journal of Operational
Research, 270, 2, pp. 654-669, (2018); Ding X., Zhang Y., Liu T., Deep learning for
event-driven stock prediction, pp. 2327-2333; Carta S., Corriga A., Ferreira A.,
Podda A.S., Recupero D.R., A multi-layer and multi-ensemble stock trader using deep
learning and deep reinforcement learning, Applied Intelligence, 51, 8, pp. 889-905,
(2021); Chia R., Lim S.Y., Ong P.K., Teh S.F., Pre and post Chinese new year
holiday effects: Evidence from Hong Kong stock market, The Singapore Economic, 60,
4, pp. 1-14, (2015); Huang Q., Wang T., Tao D., Li X., Biclustering learning of
trading rules, IEEE Transactions on Cybernetics, 45, 20, pp. 2287-2298, (2014);
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T., Baker L., Lai M., Bolton A., Chen Y., Lillicrap T., Hui F., Sifre L., van Den
Driessche G., Graepel T., Hassabis D., Mastering the game of go without human
knowledge, Nature, 550, 7076, pp. 354-359, (2017); Silver D., Hubert T.,
Schrittwieser J., Antonoglou I., Lai M., Guez A., Lanctot M., Sifre L., Kumaran D.,
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learning algorithm that masters chess, shogi, and Go through self-play, Science,
362, 6419, pp. 1140-1144, (2018); Mnih V., Kavukcuoglu K., Silver D., Rusu A.A.,
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Petersen S., Beattie C., Sadik A., Antonoglou I., King H., Kumaran D., Wierstra D.,
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learning and knowledge graph for prediction of stock pricetrend: An application in
Chinese stock exchange market, Applied Soft Computing, 91, (2020); Lee S.W., Kim
H.Y., Stock market forecasting with super-high dimensional time-series data using
ConvLSTM, trend sampling, and specialized data augmentation, Expert Systems with
Applications, 161, (2020); Chen J.F., Chen W.L., Huang C.-P., Huang S.-H., Chen A.-
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pp. 87-92; Chakole J.B., Kolhe M.S., Mahapurush G.D., A Q-learning agent for
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on deep reinforcement learning, pp. 1-8; Lei K., Zhang B., Li Y., Time-driven
feature-aware jointly deep reinforcement learning for financial signal
representation and algorithmic trading, Expert Systems with Applications, 140,
(2020); Lee J., Koh H., Choe H.J., Learning to trade in financial time series using
high-frequency through wavelet transformation and deep reinforcement learning,
(2021); Wang Z., Schaul T., Hessel M., Dueling network architectures for deep
reinforcement learning; Van Hasselt H., Guez A., Silver D., Deep reinforcement
learning with double q-learning; Wu X., Chen H., Wang J., Adaptive Stock Trading
Strategies with Deep Reinforcement Learning Methods, (2020); Theate T., Ernst D.,
An application of deep reinforcement learning to algorithmic trading, Expert
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strategies and their rationale, 625, (2013); Hussain A.J., Knowles A., Lisboa
P.J.G., El-Deredy W., Financial time series prediction using polynomial pipelined
neural networks, Expert Systems with Applications, 35, 3, pp. 1186-1199,
(2008)","P. Liu; School of Computer Science and Technology, Shandong University of
Finance and Economics, Jinan, 250014, China; email:
[email protected]",,Hindawi Limited,,,,,,10589244,,SCIPE,,English,Sci.
Program,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85126594922
Dunis C.L.; Rosillo R.; de la Fuente D.; Pino R.,"Dunis, Christian L. (6602234892);
Rosillo, Rafael (54910269800); de la Fuente, David (7004113754); Pino, Raúl
(7006690508)",6602234892; 54910269800; 7004113754; 7006690508,Forecasting IBEX-35
moves using support vector machines,2013,Neural Computing and
Applications,23,1,,229,236,7,22,10.1007/s00521-012-0821-9,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84879840575&doi=10.1007%2fs00521-012-0821-
9&partnerID=40&md5=0185a1fd148b83d481e4f6c7955656b9,"Liverpool Business School,
Liverpool, United Kingdom; CIBEF, Centre for International Banking, Economics and
Finance, John Moores University, Liverpool, L3 5UZ, John Foster Building, 98 Mount
Pleasant, United Kingdom; Business Management, University of Oviedo, Oviedo,
Spain","Dunis C.L., Liverpool Business School, Liverpool, United Kingdom, CIBEF,
Centre for International Banking, Economics and Finance, John Moores University,
Liverpool, L3 5UZ, John Foster Building, 98 Mount Pleasant, United Kingdom; Rosillo
R., CIBEF, Centre for International Banking, Economics and Finance, John Moores
University, Liverpool, L3 5UZ, John Foster Building, 98 Mount Pleasant, United
Kingdom, Business Management, University of Oviedo, Oviedo, Spain; de la Fuente D.,
Business Management, University of Oviedo, Oviedo, Spain; Pino R., Business
Management, University of Oviedo, Oviedo, Spain","This research aims at examining
the application of support vector machines (SVMs) to the task of forecasting the
weekly change in the Madrid IBEX-35 stock index. The data cover the period between
10/18/1990 and 10/29/2010. A trading simulation is implemented so that statistical
efficiency is complemented by measures of economic performance. The inputs retained
are traditional technical trading rules commonly used in the analysis of equity
markets such as the Relative Strength Index (RSI) and the Moving Average
Convergence Divergence (MACD) decision rules. The SVMs with given values of the RSI
and MACD indicators are used in order to determine the best situations to buy or
sell the market. The two outputs of the SVM are both the direction of the market
and the probability attached to each forecast market move. The best result that it
has been achieved is a hit ratio of 100% using the SVM classifier under some chosen
risk-aversion parameters. However, these results are obtained analyzing recent
periods rather than using all the dataset information. © 2012 Springer-Verlag
London Limited.",MACD; Machine learning; Quantitative trading strategies; RSI;
Support vector machines,Commerce; Forecasting; Learning systems; MACD; Moving
average convergence divergence (MACD); Relative strength index; RSI; Statistical
efficiency; Support vector machine (SVMs); Technical trading rules; Trading
strategies; Support vector machines,,,,,Gobierno del Principado de
Asturias,Financial support given by the Government of the Principality of Asturias
is gratefully acknowledged. ,"Allen H.L., Taylor M.P., Charts, noise and
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Business Management, University of Oviedo, Oviedo, Spain; email:
[email protected]",,,,,,,,9410643,,,,English,Neural Comput.
Appl.,Article,Final,,Scopus,2-s2.0-84879840575
Chowdhury R.; Mahdy M.R.C.; Alam T.N.; Al Quaderi G.D.; Arifur Rahman
M.,"Chowdhury, Reaz (57216320702); Mahdy, M.R.C. (56524254800); Alam, Tanisha
Nourin (57204470028); Al Quaderi, Golam Dastegir (55200351900); Arifur Rahman, M.
(58142274900)",57216320702; 56524254800; 57204470028; 55200351900;
58142274900,Predicting the stock price of frontier markets using machine learning
and modified Black–Scholes Option pricing model,2020,Physica A: Statistical
Mechanics and its
Applications,555,,124444,,,,23,10.1016/j.physa.2020.124444,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85083091721&doi=10.1016%2fj.physa.2020.124444&partnerID=40&md5=b7da0993e52350d8bfbc
4c159ed99d94,"Department of Electrical & Computer Engineering, North South
University, Bashundhara, Dhaka, 1229, Bangladesh; Department of Physics, University
of Dhaka, Dhaka, 1000, Bangladesh; Department of Accounting & Finance, North South
University, Bashundhara, Dhaka, 1229, Bangladesh","Chowdhury R., Department of
Electrical & Computer Engineering, North South University, Bashundhara, Dhaka,
1229, Bangladesh; Mahdy M.R.C., Department of Electrical & Computer Engineering,
North South University, Bashundhara, Dhaka, 1229, Bangladesh; Alam T.N., Department
of Electrical & Computer Engineering, North South University, Bashundhara, Dhaka,
1229, Bangladesh; Al Quaderi G.D., Department of Physics, University of Dhaka,
Dhaka, 1000, Bangladesh; Arifur Rahman M., Department of Accounting & Finance,
North South University, Bashundhara, Dhaka, 1229, Bangladesh","The Black–Scholes
Option pricing model (BSOPM) has long been in use for valuation of equity options
to find the price of stocks. In this work, using BSOPM, we have come up with a
comparative analytical approach and numerical technique to find the price of call
option and put option and considered these two prices as buying price and selling
price of stocks in the frontier markets so that we can predict the stock price
(close price). Changes have been made in the model to find the parameters such as
‘strike price’ and the ‘time of expiration’ for calculating stock price of frontier
markets. To verify the result obtained using modified BSOPM, we have used machine
learning approach using the software Rapidminer, where we have adopted different
algorithms like the decision tree, ensemble learning method and neural network. It
has been observed that, the prediction of close price using machine learning is
very similar to the one obtained using BSOPM. Machine learning approach stands out
to be a better predictor over BSOPM, because Black-Scholes-Merton equation includes
risk and dividend parameter, which changes continuously. We have also numerically
calculated volatility. As the price of the stocks goes up due to overpricing,
volatility increases at a tremendous rate and when volatility becomes very high;
market tends to fall, which can be observed and determined using our modified
BSOPM. The proposed modified BSOPM has also been explained based on the analogy of
Schrodinger equation (and heat equation) of quantum physics. © 2020 Elsevier
B.V.",Black–Scholes equation; Black–Scholes option pricing model; Data mining;
Machine learning; Schrodinger equation; Stock price prediction,Commerce; Costs;
Decision trees; Electronic trading; Fintech; Forecasting; Machine learning;
Schrodinger equation; Analytical approach; Black Scholes Merton; Ensemble learning;
Machine learning approaches; Numerical techniques; Option pricing models; Quantum
physics; Selling prices; Financial markets,,,,,,,"Merton R., Theory of rational
option pricing, Bell J. Econ. Manage. Sci., 4, 1, (1973); Bensaid B., Lesne J.,
Pages H., Scheinkman J., Derivative asset pricing with transaction costs, Math.
Finance, 2, 2, pp. 63-86, (1992); Boyle P., Vorst T., Option replication in
discrete time with transaction costs, J. Finance, 47, 1, pp. 271-293, (1992); Davis
M., Panas V., Zariphopoulou T., European option pricing with transaction costs,
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for a large trader, Finance Stoch., 2, pp. 115-141, (1998); Genotte G., Leland H.,
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Jarrow R., Market manipulation, bubbles, corners, and short squeezes, J. Financ.
Quant. Anal., 27, 3, pp. 311-336, (1992); Platen E., Schweizer M., On feedback
effects from hedging derivatives, Math. Finance, 8, 1, pp. 67-84, (1998); Black F.,
Scholes M., The pricing of options and corporate liabilities, J. Polit. Econ., 81,
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prediction, IDEAS ’14 Proceedings of the 18th International Database Engineering &
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friends from social networks and its applications in E-commerce, J. Org. Comput.
Electron. Commer., 24, 2-3, pp. 157-173, (2014); k T., Wadhawa M., Analysis and
comparison study of data mining algorithms using rapid miner, Int. J. Comput. Sci.
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Forecasting stock exchange movements using neural networks: Empirical evidence from
Kuwait, Expert Syst. Appl., 37, 9, pp. 6302-6309, (2010); Patel J., Shah S.,
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Deterministic Data Preparation and machine learning techniques, Expert Syst. Appl.,
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Evaluating multiple classifiers for stock price direction prediction, Expert Syst.
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J., Porra J., Montero M., Masoliver J., Black–Scholes option pricing within Itô and
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(2012); Black F., The pricing of commodity contracts, J. Financ. Econ., 3, 1-2,
pp. 167-179, (1976)","M.R.C. Mahdy; Department of Electrical & Computer
Engineering, North South University, Bashundhara, Dhaka, 1229, Bangladesh; email:
[email protected]",,Elsevier B.V.,,,,,,3784371,,PHYAD,,English,Phys A
Stat Mech Appl,Article,Final,,Scopus,2-s2.0-85083091721
Shah A.; Gor M.; Sagar M.; Shah M.,"Shah, Atharva (57465142400); Gor, Maharshi
(57208012025); Sagar, Meet (57466161100); Shah, Manan (57200131797)",57465142400;
57208012025; 57466161100; 57200131797,A stock market trading framework based on
deep learning architectures,2022,Multimedia Tools and
Applications,81,10,,14153,14171,18,23,10.1007/s11042-022-12328-x,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85125168940&doi=10.1007%2fs11042-022-12328-
x&partnerID=40&md5=4b9b4e00d32caa77ef7c8222236e2cfd,"Department of Mechanical
Engineering, Nirma University, Ahmedabad, India; Software Engineer at Quinbay
Technology, Bangalore, India; Data Science associate at ZS, Pune, India; Department
of Chemical Engineering, School of Technology, Pandit Deendayal Petroleum
University, Gandhinagar, India","Shah A., Department of Mechanical Engineering,
Nirma University, Ahmedabad, India; Gor M., Software Engineer at Quinbay
Technology, Bangalore, India; Sagar M., Data Science associate at ZS, Pune, India;
Shah M., Department of Chemical Engineering, School of Technology, Pandit Deendayal
Petroleum University, Gandhinagar, India","Market prediction has been a key
interest for professionals around the world. Numerous modern technologies have been
applied in addition to statistical models over the years. Among the modern
technologies, machine learning and in general artificial intelligence have been at
the core of numerous market prediction models. Deep learning techniques in
particular have been successful in modeling the market movements. It is seen that
automatic feature extraction models and time series forecasting techniques have
been investigated separately however a stacked framework with a variety of inputs
is not explored in detail. In the present article, we suggest a framework based on
a convolutional neural network (CNN) paired with long-short term memory (LSTM) to
predict the closing price of the Nifty 50 stock market index. A CNN-LSTM framework
extracts features from a rich feature set and applies time series modeling with a
look-up period of 20 trading days to predict the movement of the next day. Feature
sets include raw price data of target index as well as foreign indices, technical
indicators, currency exchange rates, commodities price data which are all chosen by
similarities and well-known trade setups across the industry. The model is able to
capture the information based on these features to predict the target variable i.e.
closing price with a mean absolute percentage error of 2.54% across 10 years of
data. The suggested framework shows a huge improvement on return than the
traditional buy and hold method. © 2022, The Author(s), under exclusive licence to
Springer Science+Business Media, LLC, part of Springer Nature.",Convolutional
neural network (CNN); Deep learning architecture; Long short term memory,Brain;
Commerce; Convolution; Convolutional neural networks; Electronic trading; Financial
markets; Forecasting; Memory architecture; Network architecture; Time series;
Convolutional neural network; Deep learning architecture; Features sets; Learning
architectures; Learning techniques; Market prediction; Modern technologies;
Prediction modelling; Statistic modeling; Long short-term memory,,,,,"Department of
Chemical Engineering, School of Technology; Pandit Deendayal Petroleum University;
Department of Mechanical Engineering, College of Engineering, Michigan State
University; Nirma University, NU","The authors are grateful to the Department of
Mechanical Engineering, Nirma University, Department of Chemical Engineering,
School of Technology, Pandit Deendayal Petroleum University, and Quinbay Technology
for the permission to publish this research. All relevant data and material are
presented in the main paper.","Agarwal A., Study of machine learning algorithms for
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recognition for stock market price forecasting, Expert Systems with Applications,
81, pp. 177-192, (2017); Atsalakis G.S., Valavanis K.P., Surveying stock market
forecasting techniques - Part II: soft computing methods, Expert Systems with
Applications, 36, 3 PART 2, pp. 5932-5941, (2009); Avci E., Forecasting daily and
sessional returns of the ISE-100 index with neural network models, Journal of Dogus
University, 8, 2, pp. 128-142, (2007); Birz G., Lott J.R., The effect of
macroeconomic news on stock returns: new evidence from newspaper coverage, J Bank
Financ, 35, 11, pp. 2791-2800, (2011); Cai X., Hu S., Lin X., Feature extraction
using restricted Boltzmann machine for stock price prediction, CSAE 2012 -
proceedings, 2012 IEEE international conference on computer science and automation
engineering, 3, pp. 80-83, (2012); Chen K., Franko K., Sang R., Structured model
pruning of convolutional networks on tensor processing units, (2021); Chollet F.,
Deep learning with Python, (2017); Chong E., Han C., Park F.C., Deep learning
networks for stock market analysis and prediction: methodology, data
representations, and case studies, Expert Syst Appl, 83, pp. 187-205, (2017);
Choudhry R., Garg K., A hybrid machine learning system for stock market
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using principle components, Plos One, 15, (2018); Gu S., Kelly B., Xiu D.,
Autoencoder asset pricing models, J Econ, 222, 1, pp. 429-450, (2021); Gunduz H.,
An efficient stock market prediction model using hybrid feature reduction method
based on variational autoencoders and recursive feature elimination, Financial
Innovation, 7, 1, pp. 1-24, (2021); Gunduz H., Yaslan Y., Cataltepe Z., Intraday
prediction of borsa Istanbul using convolutional neural networks and feature
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Stock market prediction using Hidden Markov Models, Students Conference on
Engineering and Systems, 2012, pp. 1-4, (2012); Guresen E., Kayakutlu G., Daim
T.U., Using artificial neural network models in stock market index prediction,
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Menon V.K., Soman K.P., NSE stock market prediction using deep-learning models,
Procedia Computer Science, 132, Iccids, pp. 1351-1362, (2018); Hoseinzade E.,
Haratizadeh S., CNNpred: CNN-based stock market prediction using a diverse set of
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M., Predictive intelligence using ANFIS-induced OWAWA for complex stock market
prediction, Int J Intell Syst, (2021); Kara Y., AcarBoyacioglu M., Baykan O.K.,
Predicting direction of stock price index movement using artificial neural networks
and support vector machines: the sample of the Istanbul stock exchange, Expert Syst
Appl, 38, 5, pp. 5311-5319, (2011); Khare K., Darekar O., Gupta P., Attar V.Z.,
Short term stock price prediction using deep learning, RTEICT 2017 - 2nd IEEE
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Shah S., Thakkar P., Kotecha K., Predicting stock and stock price index movement
using trend deterministic data preparation and machine learning techniques, Expert
Syst Appl, 42,
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6Th South-East Europe Design Automation, Computer Engineering, Computer Networks
and Social Media Conference (SEEDA-CECNSM), pp. 1-7, (2021)","M. Shah; Department
of Chemical Engineering, School of Technology, Pandit Deendayal Petroleum
University, Gandhinagar, India; email:
[email protected]",,Springer,,,,,,13807501,,MTAPF,,English,Multimedia Tools
Appl,Article,Final,All Open Access; Bronze Open Access; Green Open Access,Scopus,2-
s2.0-85125168940
Islam S.B.; Hasan M.M.; Khan M.M.,"Islam, Sadman Bin (57221961547); Hasan, Mohammad
Mahabubul (57224754246); Khan, Mohammad Monirujjaman (36350785300)",57221961547;
57224754246; 36350785300,Prediction of Stock Market Using Recurrent Neural
Network,2021,"2021 IEEE 12th Annual Information Technology, Electronics and Mobile
Communication Conference, IEMCON
2021",,,,479,483,4,21,10.1109/IEMCON53756.2021.9623206,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85123616958&doi=10.1109%2fIEMCON53756.2021.9623206&partnerID=40&md5=5302ed405fcccad
03348b6454e60511c,"North South University Bashundhara, Department of Electronics
and Computer Engineering, Dhaka, Bangladesh","Islam S.B., North South University
Bashundhara, Department of Electronics and Computer Engineering, Dhaka, Bangladesh;
Hasan M.M., North South University Bashundhara, Department of Electronics and
Computer Engineering, Dhaka, Bangladesh; Khan M.M., North South University
Bashundhara, Department of Electronics and Computer Engineering, Dhaka,
Bangladesh","In the financial realm, stock price forecasting is becoming
increasingly popular. Shares price prediction is important for increasing the
interest of speculators in putting money in a company's stock in order to grow the
number of shareholders in the stock. Successfully predicting the price of a stock
in the future could yield significant profit. When it involves forecasting, various
methodologies are used. This paper uses a recently introduced model for predicting
stock price. This proposed model is a well-liked model named is the Recurrent
Neural Network (RNN) model. One of the variant of RNN is Long Short Term Memory
(LSTM) model. It are often shown from the simulation results that utilizing these
RNN models such as LSTM, and constructing with proper hyper-parameter tuning, these
expected models can estimate the future stock market with the maximum percentage of
accuracy. The RMSE for a LSTM model was calculated by changing the amount of
epochs, the variation between predicted stock price and actual stock price. The
model is trained and classified for accuracy with different sizes of knowledge. The
computations are conducted by exploiting a widely accessible datasets for stock
markets containing date, volume, opening price, highest price, lowest price, and
closing prices. The major goal of this article is to determine to what degree a
Machine Learning algorithm can anticipate the stock market price with greater
accuracy. © 2021 IEEE.",Bangladesh; Deep learning; LSTM; Prediction; RNN; Stock
market,Commerce; Electronic trading; Financial markets; Learning algorithms; Long
short-term memory; Bangladesh; Deep learning; Hyper-parameter; Memory modeling;
Price prediction; Recurrent neural network model; Share price; Stock market; Stock
price; Stock price forecasting; Forecasting,,,,,,,"Saad E.W., Prokhorov D.V.,
Wunsch D.C., Comparative study of stock trend prediction using time delay,
recurrent and probabilistic neural networks, Neural Networks, IEEE Transactions on,
9, 6, pp. 1456-1470, (1998); Sepp H., Schmidhuber J., Long short-term memory,
Neural Computation, 9, 8, pp. 1735-1780, (1997); Glantz M., Kissell R., Multi-asset
Risk Modeling, (2013); Fama E.F., Malkiel B.G., Efficient capital markets: A review
of theory and empirical work, The Journal of Finance, 25, 2, pp. 383-417, (1970);
Malkiel B.G., A Random Walk Down Wall Street, (1973); Kim K., Financial time series
forecasting using support vector machines, Neurocomputing, 55, 1-2, pp. 307-319,
(2003); Batres-Estrada B., Deep Learning for Multivariate Financial Time Series,
(2015); Media Filter; Hinton G., Root Mean Square Propagation; Stock Market
Prediction Using LSTM Recurrent Neural Network by Adil Moghar and Mhamed Hamiche;
Hochreiter S., Schmidhuber J., Long short-term memory, MIT Press, 9, 8, pp. 1735-
1780, (1997); Ta V.-D., Liu C.-M., Tadesse D.A., Portfolio optimization-based stock
prediction using long-short term memory network in quantitative trading, Applied
Sciences, 10, 2, pp. 437-457, (2020); Zarrad O., Hajjaji M.A., Mansouri M.N.,
Hardware application of hybrid wind-solar energy system for pumping water based on
artificial neural network controller, Studies in Informatics and Control, 28, 1,
pp. 35-44; Kamrul Hasan M.D., Ahmed S., Ekram Abdullah Z.M., Khan M.M., Masud M.,
Et al., Deep Learning Approaches for Detecting Pneumonia in COVID-19 Patients by
Analyzing Chest X-Ray Images, Mathematical Problems in Engineering, Hindawi, Volume
2021, pp. 1-8; Bari Antor M., Shafayet Jamil A.H.M., Mamtaz M., Khan M.M., Et al.,
A Comparative Analysis of Machine Learning Algorithms to Predict Alzheimer's
Disease, Journal of Healthcare Engineering,Hindawi, Impact Factor 2.682, Scopus
Indexed., 2021, pp. 1-12, (2021); Noor S.T., Asad S.T., Khan M.M., Et al.,
Predicting the Risk of Depression Based on ECG Using RNN, Computational
Intelligence and Neuroscience, (Impact Factor 3.633, Scopus Indexed), 2021, pp. 1-
12, (2021); Uddin A., Talukder B., Khan M.M., Et al., Study on Convolutional Neural
Network to Detect Covid-19 from Chest X-Rays, Mathematical Problems in Engineering,
2021, (2021); Stalin S., Vandana Roy S.A., Kumar Shukla P., Kumar Shukla P., Zaguia
A., Khan M.M., A Machine Learning based Big EEG Data Artifact Detection and Wavelet
Based Removal: An Empirical Approach, Mathematical Problems in Engineering, 2021,
(2021); Khan M. M.S., Ahmed M., Rasel R.Z., Khan M.M., Cataract Detection Using
Convolutional Neural Network with VGG-19 Model, 2021 IEEE World AI IoT Congress
(AIIoT), 2021, pp. 0209-0212, (2021); Khan M.M., Et al., Stock Market Prediction
Using Deep Learning by LSTM, IEEE 11th Annual Computing and Communication Workshop
and Conference (IEEE CCWC), 27th-30th January 2021, USA., pp. 0180-0183, (2021);
Chowdhury M., Hasibur Rahman Khan Md., Nuruzzaman Pranto Md., Ashique R.H., Khan
M.M., High Speed Tracking with Machine Learning, IEEE 17th International Conference
on Smart Communities: Improving Quality of Life Using ICT, IoT and AI (HONET-2020),
pp. 44-48, (2020)","M.M. Khan; North South University Bashundhara, Department of
Electronics and Computer Engineering, Dhaka, Bangladesh; email:
[email protected]",Chakrabarti S.; Paul R.,Institute of Electrical
and Electronics Engineers Inc.,IEEE Vancouver Section; Institute of Engineering and
Management (IEM); SMART; University of Engineering and Management (UEM),"12th IEEE
Annual Information Technology, Electronics and Mobile Communication Conference,
IEMCON 2021",27 October 2021 through 30 October 2021,Vancouver,175281,,978-
166540066-4,,,English,"IEEE Annu. Inf. Technol., Electron. Mob. Commun. Conf.,
IEMCON",Conference paper,Final,,Scopus,2-s2.0-85123616958
Ronaghi F.; Salimibeni M.; Naderkhani F.; Mohammadi A.,"Ronaghi, Farnoush
(57219432895); Salimibeni, Mohammad (57214364530); Naderkhani, Farnoosh
(24822764800); Mohammadi, Arash (57202524232)",57219432895; 57214364530;
24822764800; 57202524232,COVID19-HPSMP: COVID-19 adopted Hybrid and Parallel deep
information fusion framework for stock price movement prediction,2022,Expert
Systems with Applications,187,,115879,,,,21,10.1016/j.eswa.2021.115879,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85116379143&doi=10.1016%2fj.eswa.2021.115879&partnerID=40&md5=992d58c9bf37a4cec1fcf
38948a9631b,"Concordia Institute for Information Systems Engineering, Concordia
University, Canada","Ronaghi F., Concordia Institute for Information Systems
Engineering, Concordia University, Canada; Salimibeni M., Concordia Institute for
Information Systems Engineering, Concordia University, Canada; Naderkhani F.,
Concordia Institute for Information Systems Engineering, Concordia University,
Canada; Mohammadi A., Concordia Institute for Information Systems Engineering,
Concordia University, Canada","The novel of coronavirus (COVID-19) has suddenly and
abruptly changed the world as we knew at the start of the 3rd decade of the 21st
century. Particularly, COVID-19 pandemic has negatively affected financial
econometrics and stock markets across the globe. Artificial Intelligence (AI) and
Machine Learning (ML)-based prediction models, especially Deep Neural Network (DNN)
architectures, have the potential to act as a key enabling factor to reduce the
adverse effects of the COVID-19 pandemic and future possible ones on financial
markets. In this regard, first, a unique COVID-19 related PRIce MOvement prediction
(COVID19 PRIMO) dataset is introduced in this paper, which incorporates effects of
social media trends related to COVID-19 on stock market price movements.
Afterwards, a novel hybrid and parallel DNN-based framework is proposed that
integrates different and diversified learning architectures. Referred to as the
COVID-19 adopted Hybrid and Parallel deep fusion framework for Stock price Movement
Prediction (COVID19-HPSMP), innovative fusion strategies are used to combine
scattered social media news related to COVID-19 with historical mark data. The
proposed COVID19-HPSMP consists of two parallel paths (hence hybrid), one based on
Convolutional Neural Network (CNN) with Local/Global Attention modules, and one
integrated CNN and Bi-directional Long Short term Memory (BLSTM) path. The two
parallel paths are followed by a multilayer fusion layer acting as a fusion center
that combines localized features. Performance evaluations are performed based on
the introduced COVID19 PRIMO dataset illustrating superior performance of the
proposed framework. © 2021 Elsevier Ltd",COVID-19 pandemic; Deep Neural Networks;
Hybrid models; Information fusion; Stock movement prediction,Commerce;
Convolutional neural networks; Electronic trading; Financial markets; Forecasting;
Information fusion; Motion estimation; Multilayer neural networks; Network
architecture; Social networking (online); Statistics; Convolutional neural network;
Coronaviruses; COVID-19 pandemic; Hybrid model; Movement prediction; Parallel path;
Social media; Stock movement; Stock movement prediction; Stock price movement
predictions; Deep neural networks,,,,,"Natural Sciences and Engineering Research
Council of Canada, NSERC, (RGPIN-2016-04988, RGPIN-2019-06966)",This work was
partially supported by (1) the Natural Sciences and Engineering Research Council
(NSERC) of Canada through the NSERC Discovery Grant RGPIN-2019-06966 and; (2) NSERC
Discovery Grant RGPIN-2016-04988 .,"Abadi M., Et al., Tensorflow: Large-scale
machine learning on heterogeneous distributed systems, (2016); Al-Awadhi A.M.,
Alsaifi K., Al-Awadhi A., Alhammadi S., Death and contagious infectious diseases:
Impact of the COVID-19 virus on stock market returns, Journal of Behavioral and
Experimental Finance, 27, (2020); Al-Dulaimi A., Zabihi S., Asif A., Mohammadi A.,
A multimodal and hybrid deep neural network model for remaining useful life
estimation, Computers in Industry, 108, pp. 186-196, (2019); Anik M.M., Arefin
M.S., Dewan M.A., (2020); Ansari A., Sutte indicator: A technical indicator in
stock market, International Journal of Economics and Financial Issues, 7, (2017);
Ansari S.A., Del Val E.B., SutteARIMA: Short-term forecasting method, a case:
Covid-19 and stock market in Spain, Science of the Total Environment, 729, (2020);
Baek S., Mohanty S.K., Glambosky M., COVID-19 and stock market volatility: An
industry level analysis, Finance Research Letters, 37, (2020); Beckmann M., Stock
price change prediction using news text mining, (2017); Bhatt A.R., Ganatra A.,
Kotecha K., Cervical cancer detection in papsmear whole slide images using convNet
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94, (2011); Bustos O., Pomares-Quimbaya A., Stock market movement forecast: A
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(2021); Clement J., Number of monetizable daily active Twitter users (mDAU)
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Wei J., Deep learning essentials: Your hands-on guide to the fundamentals of deep
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Technical analysis of stock trends, pp. 134-140, (2007); Fama E.F., Market
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Maheshwari P., Pandey N., Explainable stock prices prediction from financial news
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Batch normalization: Accelerating deep network training by reducing internal
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stochastic optimization, (2014); Koshiyama S., Firoozye N., Treleaven P.,
Algorithms in future capital markets, (2020); Li X., Xie H., Chen L., Wang J., Deng
X., News impact on stock price return via sentiment analysis, Knowledge-Based
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1012, (2015); Mazur M., Dang M., Vega M., COVID-19 and the 2020 stock market crash.
Evidence from S & P1500, Finance Research Letters, 38, (2020); Mohammadi A., Zhang
X., Plataniotis K.N., (2017); Narkhede P., Walambe R., Mandaokar S., Chandel P.,
Kotecha K., Ghinea G., Gas detection and identification using multimodal artificial
intelligence based sensor fusion, Applied System Innovation, 4, 3, (2021); Patel
J., Shah S., Thakkar P., Kotecha K., Predicting stock and stock price index
movement using trend deterministic data preparation and machine learning
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J., Socher R., Manning C.D., (2014); Plyakha Y., Uppal R., Vilkov G., Why does an
equal-weighted portfolio outperform value- and price-weighted portfolios?, (2017);
Radojicic D., Kredatus S., The impact of stock market price Fourier transform
analysis on the gated recurrent unit classifier model, Expert Systems with
Applications, 159, (2020); Rekabsaz N., Et al., Volatility prediction using
financial disclosures sentiments with word embedding-based IR models, (2017);
Rezaei H., Faaljou H., Mansourfar G., Stock price prediction using deep learning
and frequency decomposition, Expert Systems with Applications, 169, (2020); Ronaghi
F., Salimibeni M., Naderkhani F., Mohammadi A.N., (2020); Schumaker R.P., Chen H.,
Textual analysis of stock market prediction using breaking financial news: The
AZFin text system, ACM Transactions on Information Systems, 12, (2009); Seo S.,
Huang J., Yang H., Liu Y., Interpretable convolutional neural networks with dual
local and global attention for review rating prediction, (2017); Seong N., Nam K.,
Predicting stock movements based on financial news with segmentation, Expert
Systems with Applications, 64, (2021); Tetlock P.C., Giving content to investor
sentiment: The role of media in the stock market, The Journal of Finance, 62, pp.
1139-1168, (2017); Vaidya R., Moving average convergence-divergence (MACD) trading
rule: An application in nepalese stock market(NEPSE), Quantitative Economics and
Management Studies (QEMS), 1, (2020); Xie B., Passonneau R.J., Wu L., Creamer G.G.,
Semantic frames to predict stock price movement, (2013); Xu Y., Cohen S.B., (2018);
Yun H., Sim G., Seok J., (2019); Zhang Y., Chu G., Shen D., The role of investor
attention
in predicting stock prices: The long short-term memory networks perspective,
Finance Research Letters, 38, (2021); Zhang Z., Zohren S., Roberts S., Deep
learning for portfolio optimization, (2020)","A. Mohammadi; Montreal, 1455 De
Maisonneuve Blv. W., EV-009.187, H3G-1M8, Canada; email:
[email protected]",,Elsevier Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys
Appl,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85116379143
Durgapal A.; Vimal V.,"Durgapal, Ayushman (57462400600); Vimal, Vrince
(56595022000)",57462400600; 56595022000,Prediction of Stock Price Using Statistical
and Ensemble learning Models: A Comparative Study,2021,"2021 IEEE 8th Uttar Pradesh
Section International Conference on Electrical, Electronics and Computer
Engineering, UPCON 2021",,,,,,,22,10.1109/UPCON52273.2021.9667644,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85125070660&doi=10.1109%2fUPCON52273.2021.9667644&partnerID=40&md5=3fa0ab70b5340dad
91ef7f701f3e7f53,"Svnit, Department of Mechanical Engineering, Surat, India;
Graphic Era Hill University, U.K., Dehradun, India","Durgapal A., Svnit, Department
of Mechanical Engineering, Surat, India; Vimal V., Graphic Era Hill University,
U.K., Dehradun, India","Prediction of the stock price has always been a challenging
task due to irregular patterns of the market. Uncertainty has made researchers
think of some new and robust predictive methods. Many studies are available in the
literature, with many models to predict the stock price accurately. Statistical,
machine learning, deep learning, and other related approaches can create a
predictive model. ARIMA model is the most commonly used statistical model for time
series prediction. But ensemble learning techniques have not been explored much to
predict future stock price. So, the present study stresses comparing statistical
methods with ensemble learning methods. This paper compares the ARIMA, Random
Forest, and Extreme Gradient Boosting models based on root mean squared error
(RMSE) and mean absolute percentage error (MAPE). The subject chosen is Google's
stocks, and the data used is from NASDAQ stock exchange. The analysis results show
that the ARIMA model performed fairly well for short-term predictions but
relatively high MAPE value. The extreme gradient boosting model gave the best
performance with the lowest RMSE and MAPE value. Hence, it is evident that after
proper hyperparameter tuning, ensemble learning techniques can be used to create
robust stock price-prediction models. © 2021 IEEE.",ARIMA; Ensemble learning
Models; Extreme gradient Boosting Model; Random Forest Model; Stock Price
Prediction,Adaptive boosting; Decision trees; Deep learning; Electronic trading;
Forecasting; Mean square error; ARIMA models; Ensemble learning; Ensemble learning
model; Extreme gradient boosting model; Gradient boosting; Learning models;
Percentage error; Random forest modeling; Stock price; Stock price prediction;
Financial markets,,,,,,,"Gandomi A.H., Cardoso R.T.N., Artificial intelligence
applied to stock market trading: A review, IEEE Access, 9, (2021); Ariyo A.A.,
Adewumi A.O., Ayo C.K., Stock price prediction using the arima model, 2014 UKSim-
AMSS 16th International Conference on Computer Modelling and Simulation, pp. 106-
112, (2014); Hannan E., Kavalieris L., A method for auto-regressive-moving average
estimation, Biometrika, 71, pp. 273-280, (1984); Najafi G., Esmaeili S., Nazari A.,
The biomass supply chain network auto- Regressive moving average algorithm, Smart
Grid; Tan E., Astuti I., Metode autoregressive integrated moving average untuk
meramalkan penjualan: (autoregressive integrated moving average method to forecast
sales), EKOMABIS: Jurnal Ekonomi Manajemen Bisnis, 1, pp. 149-158; Hearst M.,
Dumais S., Osuna E., Platt J., Scholkopf B., Support vector machines, IEEE
Intelligent Systems and Their Applications, 13, 4, pp. 18-28, (1998); Zhao Z.-Q.,
Zheng P., Xu S.-T., Wu X., Object detection with deep learning: A review, IEEE
Transactions on Neural Networks and Learning Systems, 30, 11, pp. 3212-3232,
(2019); Vimal V., Singh T., Qamar S., Nautiyal B., Kumar A., Artificial
intelligence-based novel scheme for location area planning in cellular networks,
Computational Intelligence; Ma P., Jiang B., Lu Z., Li N., Jiang Z., Cybersecurity
named entity recognition using bidirectional long short-term memory with
conditional random fields, Tsinghua Science and Technology, 26, 3, pp. 259-265,
(2021); Vimal V., Nigam M.J., Plummeting flood based distributed-dos attack to
upsurge networks performance in ad-hoc networks using neighborhood table technique,
TENCON 2017 - 2017 IEEE Region 10 Conference, pp. 139-144, (2017); Kishor A.,
Chandra M., Singh P., An Astute Artificial Bee Colony Algorithm, pp. 153-162,
(2017); Vimal V., Nigam M.J., Ensuring uniform energy consumption in non-
Deterministic wireless sensor network to protract networks lifetime, International
Journal of Electronics and Communication Engineering, 11, 9, pp. 966-970, (2017);
Dhaka A., Singh P., Comparative analysis of epidemic alert system using machine
learning for dengue and chikungunya, 2020 10th International Conference on Cloud
Computing, Data Science Engineering (Confluence), 2020, pp. 798-804; Goyal A.,
Kundu A., Arima and indian stock market forecasting, Xi’An Jianzhu Keji Daxue
Xuebao/Journal of Xi’An University of Architecture and Technology, 12, pp. 60-70;
Adebiyi A., Adewumi A., Ayo C., Comparison of arima and artificial neural networks
models for stock price prediction, Journal of Applied Mathematics, 2014, pp. 1-7,
(2014); Site A., Birant D., Isik Z., Stock Market Forecasting Using Machine
Learning Models, 10, pp. 1-6, (2019); Tavakoli N., A Comparison of Arima and Lstm
in Forecasting Time Series, 12, pp. 1394-1401, (2018); Abdoli G., Ardalani M.,
Comparing the prediction accuracy of lstm and arima models for time-series with
permanent fluctuation, Gênero and Direito, 9; Nikou M., Mansourfar G., Bagherzadeh
J., Stock price prediction using deep learning algorithm and its comparison with
machine learning algorithms, Intelligent Systems in Accounting, Finance and
Management, 26; Ma Q., Comparison of arima, ann and lstm for stock price
prediction, E3S Web of Conferences, 218; Rundo F., Trenta F., Stallo A., Battiato
S., Machine learning for quantitative finance applications: A survey, Applied
Sciences, 9, pp. 1-20, (2019)",,,Institute of Electrical and Electronics Engineers
Inc.,,"8th IEEE Uttar Pradesh Section International Conference on Electrical,
Electronics and Computer Engineering, UPCON 2021",11 November 2021 through 13
November 2021,Dehradun,176324,,978-166540962-9,,,English,"IEEE Uttar Pradesh Sect.
Int. Conf. Electr., Electron. Comput. Eng., UPCON",Conference
paper,Final,,Scopus,2-s2.0-85125070660
Chakraborty P.; Pria U.S.; Rony M.R.A.H.; Majumdar M.A.,"Chakraborty, Pranjal
(57203309102); Pria, Ummay Sani (57203310688); Rony, Md. Rashad Al Hasan
(57203302415); Majumdar, Mahbub Alam (24390981400)",57203309102; 57203310688;
57203302415; 24390981400,Predicting stock movement using sentiment analysis of
Twitter feed,2017,"2017 6th International Conference on Informatics, Electronics
and Vision and 2017 7th International Symposium in Computational Medical and Health
Technology, ICIEV-ISCMHT
2017",2018-January,,8338584,1,6,5,21,10.1109/ICIEV.2017.8338584,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85051186070&doi=10.1109%2fICIEV.2017.8338584&partnerID=40&md5=479a07de7c665bf3f1db3
94cc5475075,"Department of Computer Science and Engineering, BRAC University, 66,
Mohakhali, Dhaka, Bangladesh","Chakraborty P., Department of Computer Science and
Engineering, BRAC University, 66, Mohakhali, Dhaka, Bangladesh; Pria U.S.,
Department of Computer Science and Engineering, BRAC University, 66, Mohakhali,
Dhaka, Bangladesh; Rony M.R.A.H., Department of Computer Science and Engineering,
BRAC University, 66, Mohakhali, Dhaka, Bangladesh; Majumdar M.A., Department of
Computer Science and Engineering, BRAC University, 66, Mohakhali, Dhaka,
Bangladesh","Collecting data from social networking sites is a popular way of
opinion mining. These opinions show the sentimental state of a large number of
people. In this paper, we have shown how much we can predict stock movement from
Twitter's tweets sentiment analysis. Our work is done on one year's (2016) data of
tweets that contained 'stock market', 'stocktwits', 'AAPL' keywords. 'AAPL' related
tweets were used to see if these tweets can predict the company's stock indices
whereas 'stock market', 'stocktwits' related tweets for predicting the stock market
movement of US. Since we are predicting the stock values, we used Boosted
Regression Tree model for this purpose. © 2017 IEEE.",Boosted tree; Decision tree;
Decision tree; Machine Learning; Opinion mining; Random forest; Sentiment analysis;
Support Vector Machine (SVM); Tweets,Commerce; Data mining; Decision trees;
Financial markets; Forecasting; Social networking (online); Support vector
machines; Boosted tree; Machine-learning; Opinion mining; Random forests; Sentiment
analysis; Social-networking; Stock movement; Support vector machine; Support
vectors machine; Tweet; Sentiment analysis,,,,,,,"Agarwal A., Xie B., Vovsha I.,
Rambow O., Passonneau R., Sentiment analysis of twitter data, Proceedings of the
Workshop on Languages in Social Media, LSM '11, pp. 30-38, (2011); Pang, Lee L., A
sentimental education: Sentiment analysis using subjectivity summarization based on
minimum cuts, ACL-2004, (2004); Kim Y., Title: Convolutional Neural Networks for
Sentence Classification, (2014); Joachims T., Text Categorization with Support
Vector Machines: Learning, (1998); Kouloumpis E., Wilson T., Moore J., Twitter
Sentiment Analysis: The Goodthe Bad Andthe OMG!, (2011); Turney P., Thumbs Up or
Thumbs Down? Semantic Orientation Applied to Unsupervised Classification of
Reviews, (2002); Wang S., Manning C.D., Baselines and Bigrams: Simple, Good
Sentiment and Topic Classification, (2012); Chang Y.I., Boosting SVM Classifiers
with Logistic Regression; Kennedy A., Inkpen D., Sentiment classification of movie
reviews using contextual valence shifters, Computational Intelligence, 22, 2, pp.
110-125, (2006); API-sentimentl40 - A Twitter Sentiment Analysis Tool; Inc K.,
Datasets, (2017); Twitter Basics, (2017); Temin P., The great recession and the
great depression, National Bureau of Economic Research, (2010); Malkiel B.,
Efficient Market Hypothesis, pp. 127-134, (1989); Lai S., Xu L., Liu K., Zhao J.,
Recurrent convolutional neural networks for text classification, Proceedings of the
Twenty-Ninth AAAI Conference on Artificial Intelligence, (2015); Kennedy A., Inkpen
D., Sentiment classification of movie reviews using contextual valence shifters,
Computational Intelligence, 22, 2, pp. 110-125, (2006); Diamond P., Behavioral
Economics, (2008); Bishop C., Pattern Recognition and Machine Learning,
(2006)",,,Institute of Electrical and Electronics Engineers Inc.,AMEC Hyogo,"6th
International Conference on Informatics, Electronics and Vision and 2017 7th
International Symposium in Computational Medical and Health Technology, ICIEV-
ISCMHT 2017",1 September 2017 through 3 September 2017,Himeji,135995,,978-
153861022-0,,,English,"Int. Conf. Inf., Electron. Vis. Int. Symp. Comput. Med.
Health Technol., ICIEV-ISCMHT",Conference paper,Final,,Scopus,2-s2.0-85051186070
Mahato P.K.; Attar V.,"Mahato, Pradeep Kumar (57518728700); Attar, Vahida
(24830139900)",57518728700; 24830139900,Prediction of gold and silver stock price
using ensemble models,2014,"2014 International Conference on Advances in
Engineering and Technology Research, ICAETR
2014",,,7012821,,,,21,10.1109/ICAETR.2014.7012821,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84945248508&doi=10.1109%2fICAETR.2014.7012821&partnerID=40&md5=10d25f1d2b798d858ffb
c95ca0baec59,"Comput. Eng. Department, Coll. of Eng. Pune, Pune, India","Mahato
P.K., Comput. Eng. Department, Coll. of Eng. Pune, Pune, India; Attar V., Comput.
Eng. Department, Coll. of Eng. Pune, Pune, India","Gold price prediction is a
complex problem due to its non-linearity and dynamic time series behavior,
constrained with many factors like economic, financial etc. Due to its high degree
of monetary rewards and understanding the hidden pattern behind stock prediction
researchers have proposed many statistical and machine learning algorithms for
stock prediction. In this paper we examine different ensemble models for
determining the future momentum of the gold and silver stock price, whether it will
increase or decrease for the following relative to current days stock price. Using
stacking approach we got significant accuracy of 85 % for predicting gold stock and
79 % for silver stock using a hybrid bagging ensemble. © 2014 IEEE.",ensemble
models; Gold price prediction; soft computing,Artificial intelligence; Costs;
Engineering research; Forecasting; Gold; Gold compounds; Learning algorithms;
Learning systems; Silver; Soft computing; Complex problems; Dynamic time; Ensemble
models; Gold and silver; Gold prices; Hidden patterns; Monetary rewards; Stock
predictions; Financial markets,,,,,,,"Dietterich T.G., Ensemble methods in machine
learning, Multiple Classifier Systems, pp. 1-15, (2000); Clerk Maxwell J., A
Treatise on Electricity and Magnetism, pp. 68-73, (1892); Diaz D., Parisi F.,
Parisi A., Forecasting gold price changes: Rolling and recursive neural network
models, Journal of Multinational Financial Management, pp. 477-487, (2008); Tsai
C., Lin Y., Yen D.C., Yan M., Predicting stock return by classifier ensembles,
Applied Soft Computing, (2011); Yeung, Au A., Abrahim A., Integrating ensemble of
intelligent systems for modeling stock indices, Proceedings of the 7th
International Work-Conference on Artificial and Natural Neural Networks: Part II:
Artificial Neural Nets Problem Solving Methods, 200; Kim M., Han I., Min S., An
evolutionary approach to the combination of multiple classifiers to predict a stock
price index, Expert Systems with Applications, 31, 2, pp. 241-247, (2006); Kwon Y.,
Bying-Ro-Moon, Evolutionary ensemble for stock prediction, Genetic and Evolutionary
Computation Conference-GECCO, (2004); Uma S., Chitra A., An ensemble model of
multiple classifiers for, International Journal of Computer Theory and Engineering,
2, 3, pp. 1793-8201, (2010); Nouri M., Fallahi S., Reza Oryoie A., Forecasting gold
return using wavelet analysis, World Applied Sciences Journal, 19, 2, pp. 276-280,
(2012); Panov P., Dzeroski S., Combining bagging and random subspaces to create
better ensembles, Advances in Intelligent Data Analysis VII, Springer Berlin
Heidelberg, pp. 118-129, (2007); Frank E., Holmes G., Hall M., Pfahringer B.,
Reutemann P., Witten I.H., The WEKA data mining software: An update, SIGKDD
Explorations, 11, 1, pp. 10-18, (2009)",,,Institute of Electrical and Electronics
Engineers Inc.,,"2014 International Conference on Advances in Engineering and
Technology Research, ICAETR 2014",1 August 2014 through 2 August
2014,Unnao,113654,,978-147996393-5,,,English,"Int. Conf. Adv. Eng. Technol. Res.,
ICAETR",Conference paper,Final,,Scopus,2-s2.0-84945248508
"Duarte J.J.; Montenegro González S.; Cruz J.C., Jr","Duarte, Juvenal José
(57219925857); Montenegro González, Sahudy (7202199909); Cruz, José César
(54924493900)",57219925857; 7202199909; 54924493900,Predicting Stock Price Falls
Using News Data: Evidence from the Brazilian Market,2021,Computational
Economics,57,1,,311,340,29,20,10.1007/s10614-020-10060-y,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85096100506&doi=10.1007%2fs10614-020-10060-
y&partnerID=40&md5=fb313ee39295f41411df744dc8e489cd,"School of Management and
Technology, Federal University of São Carlos - UFSCar Sorocaba, São Paulo, 18052-
780, Brazil","Duarte J.J., School of Management and Technology, Federal University
of São Carlos - UFSCar Sorocaba, São Paulo, 18052-780, Brazil; Montenegro González
S., School of Management and Technology, Federal University of São Carlos - UFSCar
Sorocaba, São Paulo, 18052-780, Brazil; Cruz J.C., Jr, School of Management and
Technology, Federal University of São Carlos - UFSCar Sorocaba, São Paulo, 18052-
780, Brazil","Market participants use a wide set of information before they decide
to invest in risk assets, such as stocks. Investors often follow the news to
collect the information that will help them decide which strategy to follow. In
this study, we analyze how public news and historical prices can be used together
to anticipate and prevent financial losses on the Brazilian stock market. We
include an extensive set of 64 securities in our analysis, which represent various
sectors of the Brazilian economy. Our analysis compares the traditional Buy & Hold
and the moving average strategies to several experiments designed with 11 machine
learning algorithms. We explore daily, weekly and monthly time horizons for both
publication and return windows. With this approach we were able to assess the most
relevant set of news for investor’s decision, and to determine for how long the
information remains relevant to the market. We found a strong relationship between
news publications and stock price changes in Brazil, suggesting even short-term
arbitrage opportunities. The study shows that it is possible to predict stock price
falls using a set of news in Portuguese, and that text mining-based approaches can
overcome traditional strategies when forecasting losses. © 2020, Springer
Science+Business Media, LLC, part of Springer Nature.",Brazilian Portuguese news;
Brazilian stock market; Machine learning algorithms; Price forecasting; Text
mining,,,,,,,,"Aase K.G., Ozturk P., Text mining of news articles for stock price
predictions. Master Thesis, Norwegian University of Science and Technology.,
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De Brasília., (2015); Azar P.D., Sentiment analysis in financial news, Bachelor
Thesis, Harvard University., (2009); Bernanke B.S., Reinhart V.R., Conducting
monetary policy at very low short-term interest rates, American Economic Review,
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prediction using event-based sentiment analysis, In IEEE/WIC/ACM International
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Prettenhofer P., Weiss R., Dubourg V., Scikit-learn: Machine learning in Python,
The Journal of Machine Learning Research, 12, pp. 2825-2830, (2011); Rehbein O.M.,
Mineração de texto aplicado à análise de carteira de ações, Bachelor Thesis,
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1, (2005); Yu H., Nartea G.V., Gan C., Yao L.J., Predictive ability and
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Asian stock markets, International Review of Economics and Finance, 25, (2013)","S.
Montenegro González; School of Management and Technology, Federal University of São
Carlos - UFSCar Sorocaba, São Paulo, 18052-780, Brazil; email:
[email protected]",,Springer,,,,,,9277099,,,,English,Comput. Econ.,Article,Final,All
Open Access; Bronze Open Access; Green Open Access,Scopus,2-s2.0-85096100506
Çeli̇ k T.B.; İcan Ö.; Bulut E.,"Çeli̇ k, Taha Buğra (57820339200); İcan, Özgür
(57820510800); Bulut, Elif (56906774500)",57820339200; 57820510800;
56906774500,Extending machine learning prediction capabilities by explainable AI in
financial time series prediction[Formula presented],2023,Applied Soft
Computing,132,,109876,,,,21,10.1016/j.asoc.2022.109876,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85145253896&doi=10.1016%2fj.asoc.2022.109876&partnerID=40&md5=78a6d346c98d80d3309df
80d1a4e2700,"Faculty of Economics and Administrative Sciences, Department of
Business Administration, Ondokuz Mayıs University, Samsun, Turkey; Faculty of
Economics and Administrative Sciences, Department of International Trade and
Logistics Ondokuz Mayıs University, Samsun, Turkey","Çeli̇ k T.B., Faculty of
Economics and Administrative Sciences, Department of Business Administration,
Ondokuz Mayıs University, Samsun, Turkey; İcan Ö., Faculty of Economics and
Administrative Sciences, Department of International Trade and Logistics Ondokuz
Mayıs University, Samsun, Turkey; Bulut E., Faculty of Economics and Administrative
Sciences, Department of Business Administration, Ondokuz Mayıs University, Samsun,
Turkey","Prediction with higher accuracy is vital for stock market prediction.
Recently, considerable amount of effort has been poured into employing machine
learning (ML) techniques for successfully predicting stock market price direction.
No matter how successful the proposed prediction model is, it can be argued that
there occur two major drawbacks for further increasing the prediction accuracy. The
first one can be referred as the black box nature of ML techniques, in other words
inference from the predictions cannot be explained. Furthermore, due to the complex
characteristics of the predicted time series, no matter how sophisticated
techniques are employed, it would be very difficult to achieve a marginal increase
in accuracy that would meaningfully offset the additional computational burden it
brings in. For these two reasons, instead of chasing incremental improvements in
accuracy, we propose utilizing an “eXplainable Artificial Intelligence” (XAI)
approach which can be employed for assessing the reliability of the predictions
hence allowing decision maker to abstain from poor decisions which are responsible
for declining overall prediction performance. If there would be a measure of how
sure the prediction model is on any prediction, the predictions with a relatively
higher reliability could be used to make a decision while lower quality decisions
could be avoided. In this study, a novel two-stage stacking ensemble model for
stock market direction prediction based on ML, empirical mode decomposition (EMD)
and XAI is proposed. Our experiments have shown that, proposed prediction model
supported with local interpretable model-agnostic explanations (LIME) achieved the
highest accuracy of 0.9913 when only the most trusted predictions have been
considered on KOSPI dataset and analogous successful results have been obtained
from five other major stock market indices. © 2022 Elsevier B.V.",Deep learning;
Empirical mode decomposition; Explainable machine learning; Local interpretable
model-agnostic explanations; Machine learning; Stock market prediction,Commerce;
Decision making; Deep learning; Electronic trading; Financial markets; Forecasting;
Learning systems; Lime; Time series; Deep learning; Empirical Mode Decomposition;
Explainable machine learning; High-accuracy; Local interpretable model-agnostic
explanation; Machine learning techniques; Machine-learning; Prediction modelling;
Stock market prediction; Empirical mode decomposition,,,,,,,"Zhou Z., Gao M., Liu
Q., Xiao H., Forecasting stock price movements with multiple data sources: Evidence
from stock market in China, Phys. Stat. Mech. Appl., 542, (2020); Ismail M.S., Md
Noorani M.S., Ismail M., Abdul Razak F., Alias M.A., Predicting next day direction
of stock price movement using machine learning methods with persistent homology:
Evidence from Kuala Lumpur Stock Exchange, Appl. Soft Comput., 93, (2020); Yun
K.K., Yoon S.W., Won D., Prediction of stock price direction using a hybrid GA-
XGBoost algorithm with a three-stage feature engineering process, Expert Syst.
Appl., 186, (2021); Shen J., Shafiq M.O., Short-term stock market price trend
prediction using a comprehensive deep learning system, J. Big Data, 7, 1, (2020);
Zhang X., Gu N., Chang J., Ye H., Predicting stock price movement using a DBN-RNN,
Appl. Artif. Intell., 35, 12, pp. 876-892, (2021); Thakkar A., Chaudhari K.,
Predicting stock trend using an integrated term frequency–inverse document
frequency-based feature weight matrix with neural networks, Appl. Soft Comput., 96,
(2020); Hao Y., Gao Q., Predicting the trend of stock market index using the hybrid
neural network based on multiple time scale feature learning, Appl. Sci., 10, 11,
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(2020)","T.B. Çeli̇ k; Faculty of Economics and Administrative Sciences, Department
of Business Administration, Ondokuz Mayıs University, Samsun, Turkey; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft
Comput.,Article,Final,,Scopus,2-s2.0-85145253896
Ebadati O.M.E.; Mortazavi M.T.,"Ebadati, O.M.E. (56154778300); Mortazavi, M.T.
(57766459700)",56154778300; 57766459700,An efficient hybrid machine learning method
for time series stock market forecasting,2018,Neural Network
World,28,1,,41,55,14,25,10.14311/NNW.2018.28.003,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85042927842&doi=10.14311%2fNNW.2018.28.003&partnerID=40&md5=e418201489a354aafa0f0cf
a948bca04,"Somayeh Street, between Qarani and Vila, Department of Mathematics and
Computer Science, Kharazmi University, Tehran, Iran; Between Qarani and Vila,
Department of Knowledge Engineering and Decision Science, Kharazmi University,
Somayeh Street, Tehran, Iran","Ebadati O.M.E., Somayeh Street, between Qarani and
Vila, Department of Mathematics and Computer Science, Kharazmi University, Tehran,
Iran; Mortazavi M.T., Between Qarani and Vila, Department of Knowledge Engineering
and Decision Science, Kharazmi University, Somayeh Street, Tehran, Iran","Time
series forecasting, such as stock price prediction, is one of the most important
complications in the financial area as data is unsteady and has noisy variables,
which are affected by many factors. This study applies a hybrid method of Genetic
Algorithm (GA) and Artificial Neural Network (ANN) technique to develop a method
for predicting stock price and time series. In the GA method, the output values are
further fed to a developed ANN algorithm to fix errors on exact point. The analysis
suggests that the GA and ANN can increase the accuracy in fewer iterations. The
analysis is conducted on the 200-day main index, as well as on five companies
listed on the NASDAQ. By applying the proposed method to the Apple stocks dataset,
based on a hybrid model of GA and Back Propagation (BP) algorithms, the proposed
method reaches to 99.99 % improvement in SSE and 90.66 % in time improvement, in
comparison to traditional methods. These results show the performances and the
speed and the accuracy of the proposed approach. c CTU FTS 2018",Back propagation;
Genetic algorithm; Machine learning; Neural network; Stock price prediction; Time
series forecasting,Artificial intelligence; Backpropagation algorithms; Costs;
Electronic trading; Financial markets; Forecasting; Genetic algorithms; Learning
systems; Neural networks; Time series; ANN algorithm; Hybrid machine learning;
Hybrid method; Hybrid model; Output values; Stock market forecasting; Stock price
prediction; Time series forecasting; Backpropagation,,,,,,,"Abraham A., Nath B.,
Mahanti P.K., Hybrid intelligent systems for stock market analysis, Computational
Science-ICCS 2001, pp. 337-345, (2001); Atsalakis G.S., Valavanis K.P., Surveying
stock market forecasting techniques–part II: Soft computing methods, Expert Systems
with Applications, 36, 3, pp. 5932-5941, (2009); Ballings M., Van Den Poel D.,
Hespeels N., Gryp R., Evaluating multiple classifiers for stock price direction
prediction, Expert Systems with Applications, (2015); De Gooijer J.G., Hyndman
R.J., 25 years of time series forecasting, International Journal of Forecasting,
22, 3, pp. 443-473, (2006); Ebadati E.O.M., Babaie S.S., Implementation of two
stages k-means algorithm to apply a payment system provider framework in banking
systems, Artificial Intelligence Perspectives and Applications, pp. 203-213,
(2015); Ebadati E.O.M., Shomali R., Babaie S., Impact of meta-heuristic methods to
solve multi-depot vehicle routing problems with time windows, Journal of
Engineering and Applied Sciences, 9, 7, pp. 263-267, (2014); Kara Y., Boyacioglu
M.A., Baykan O.K., Predicting direction of stock price index movement using
artificial neural networks and support vector machines: The sample of the istanbul
stock exchange, Expert Systems with Applications, 38, 5, pp. 5311-5319, (2011); Kim
K.-J., Financial time series forecasting using support vector machines,
Neurocomputing, 55, 1, pp. 307-319, (2003); Kim K.-J., Han I., Genetic algorithms
approach to feature discretization in artificial neural networks for the prediction
of stock price index, Expert Systems with Applications, 19, 2, pp. 125-132, (2000);
Kohzadi N., Boyd M.S., Kaastra I., Kermanshahi B.S., Scuse D., Neural networks for
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C., Forecasting Stock Market with Neural Networks; Majumder M., Hussian M.,
Forecasting of Indian Stock Market Index Using Artificial Neural Network, (2007);
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network classification architectures, Proceedings of The IEEE/IAFE 1996 Conference
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P., Big data time series forecasting model: A fuzzy-neuro hybridize approach,
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G.P., Time series forecasting using a hybrid arima and neural network model,
Neurocomputing, 50, pp. 159-175, (2003)","O.M.E. Ebadati; Somayeh Street, between
Qarani and Vila, Department of Mathematics and Computer Science, Kharazmi
University, Tehran, Iran; email: [email protected]",,Institute of Computer
Science,,,,,,12100552,,NNWOF,,English,Neural Network World,Article,Final,All Open
Access; Bronze Open Access,Scopus,2-s2.0-85042927842
Chong L.S.; Lim K.M.; Lee C.P.,"Chong, Lu Sin (57221043817); Lim, Kian Ming
(36554491300); Lee, Chin Poo (36519082900)",57221043817; 36554491300;
36519082900,Stock Market Prediction using Ensemble of Deep Neural
Networks,2020,"IEEE International Conference on Artificial Intelligence in
Engineering and Technology, IICAIET
2020",,,9257864,,,,22,10.1109/IICAIET49801.2020.9257864,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85098057498&doi=10.1109%2fIICAIET49801.2020.9257864&partnerID=40&md5=e9eec62a894fde
45d3767972fb72e682,"Multimedia University Jalan Ayer Keroh Lama, Faculty of
Information Science and Technology, Melaka, 75450, Malaysia","Chong L.S.,
Multimedia University Jalan Ayer Keroh Lama, Faculty of Information Science and
Technology, Melaka, 75450, Malaysia; Lim K.M., Multimedia University Jalan Ayer
Keroh Lama, Faculty of Information Science and Technology, Melaka, 75450, Malaysia;
Lee C.P., Multimedia University Jalan Ayer Keroh Lama, Faculty of Information
Science and Technology, Melaka, 75450, Malaysia","Stock market prediction has been
a challenging task for machine due to time series analysis is needed. In recent
years, deep neural networks have been widely applied in many financial time series
tasks. Typically, deep neural networks require huge amount of data samples to train
a good model. However, the data samples for stock market is limited which caused
the networks prone to overfitting. In view of this, this paper leverages deep
neural networks with ensemble learning to address this problem. We propose ensemble
of Convolutional Neural Network (CNN), Long Short Term Memory (LSTM), and 1DConvNet
with LSTM (Conv1DLSTM) to predict the stock market price, named EnsembleDNNs. The
performance of the proposed EnsembleDNNs is evaluated with stock market of several
companies. The experiment results show encouraging performance as compared to other
baselines. © 2020 IEEE.",1DConvNet; CNN; Deep Neural Network; Ensemble Learning;
LSTM; Stock Market Prediction,Commerce; Convolutional neural networks; Deep neural
networks; Electronic trading; Financial markets; Forecasting; Time series analysis;
Data sample; Ensemble learning; Financial time series; Overfitting; Stock market
prediction; Stock market prices; Long short-term memory,,,,,,,"Ballings M., Poel
D.V.D., Hespeels N., Gryp R., Evaluating multiple classifiers for stock price
direction prediction, Expert Systems with Applications, 42, 20, pp. 7046-7056,
(2015); Chen Y., Hao Y., A feature weighted support vector machine and Knearest
neighbor algorithm for stock market indices prediction, Expert Systems with
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market prediction using an improved training algorithm of neural network, 2016 2nd
International Conference on Electrical, Computer & Telecommunication Engineering
(ICECTE), (2016); Mondal P., Shit L., Goswami S., Study of effectiveness of time
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Tsokos C.P., A weighted moving average process for forecasting, Journal of Modern
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prediction under GARCH-An empirical assessment, International Journal of
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forecasting by hybrid machine learning techniques, Proc. Int. MultiConference Eng.
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market prediction model using Artificial Neural Network, 2012 Third International
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(2012); Qiu M., Song Y., Predicting the direction of stock market index movement
using an optimized artificial neural network model, Plos One, 11, 5, (2016); Bernal
A., Fok S., Pidaparthi R., Financial Market Time Series Prediction with Recurrent
Neural Networks, pp. 1-5, (2012); Xiong R., Nichols E.P., Shen Y., Deep Learning
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Investigation into the Effectiveness of Long Short Term Memory Networks for Stock
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Forecasting, (2018); Hoseinzade E., Haratizadeh S., CNNPred: CNN-based Stock Market
Prediction Using Several Data Sources, (2018); Khaidem L., Saha S., Dey S.R.,
Predicting the Direction of Stock Market Prices Using Random Forest,
(2016)",,,Institute of Electrical and Electronics Engineers Inc.,,"2020 IEEE
International Conference on Artificial Intelligence in Engineering and Technology,
IICAIET 2020",26 September 2020 through 27 September 2020,"Kota Kinabalu,
Sabah",165124,,978-172816946-0,,,English,"IEEE Int. Conf. Artif. Intell. Eng.
Technol., IICAIET",Conference paper,Final,,Scopus,2-s2.0-85098057498
Vanstone B.J.; Gepp A.; Harris G.,"Vanstone, Bruce James (6506748389); Gepp, Adrian
(26030370400); Harris, Geoff (57202681105)",6506748389; 26030370400; 57202681105,Do
news and sentiment play a role in stock price prediction?,2019,Applied
Intelligence,49,11,,3815,3820,5,23,10.1007/s10489-019-01458-9,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074338760&doi=10.1007%2fs10489-019-01458-
9&partnerID=40&md5=f3eb3ab15dd67c55c302e692f9c4d290,"Bond Business School, Bond
University, Gold Coast, 4229, Australia","Vanstone B.J., Bond Business School, Bond
University, Gold Coast, 4229, Australia; Gepp A., Bond Business School, Bond
University, Gold Coast, 4229, Australia; Harris G., Bond Business School, Bond
University, Gold Coast, 4229, Australia","Despite continuous improvement in the
range and quality of machine learning techniques, accurately predicting stock
prices still remains as elusive as ever. We approach this problem using a modern
autoregressive neural network architecture and incorporate sentiment predictors,
which are becoming increasingly available due to advances in text mining
techniques. We find that the inclusion of predictors based on counts of the number
of news articles and twitter posts can significantly improve the quality of stock
price predictions. © 2019, Springer Science+Business Media, LLC, part of Springer
Nature.",Auto regressive neural networks; News; Sentiment; Stock prices;
Twitter,Costs; Electronic trading; Forecasting; Learning systems; Network
architecture; Social networking (online); Auto-regressive; News; Sentiment; Stock
price; Twitter; Financial markets,,,,,,,"Atsalakis G.S., Valavanis K.P., Surveying
stock market forecasting techniques – part II: soft computing methods, Expert Syst
Appl, 36, pp. 5932-5941, (2009); Fama E., The behaviour of stock market prices, J
Bus, pp. 34-105, (1965); Hyndman R.J., Athanasopoulos G., Forecasting: principles
and practice, (2013); Long J.B.D., Shleifer A., Summers L.H., Waldmann R.J., Noise
trader risk in financial markets, J Polit Econ, 98, pp. 703-738, (1990); Rapach
D.E., Zhou G., Forecasting stock returns, Handb Econ Forecasting, 2, pp. 328-383,
(2013); Tetlock P.C., Giving content to investor sentiment: the role of Media in
the Stock Market, J Financ, 62, pp. 1139-1168, (2007); Vanstone B.J., Gepp A.,
Harris G., The effect of sentiment on stock price prediction, Recent trends and
future technology in applied intelligence, pp. 551-559, (2018); Yen G., Lee C.-F.,
Efficient market hypothesis (EMH): past, present and future, Rev Pac Basin Financ
Mark Policies, 11, pp. 305-329, (2008)","A. Gepp; Bond Business School, Bond
University, Gold Coast, 4229, Australia; email: [email protected]",,Springer New
York LLC,,,,,,0924669X,,APITE,,English,Appl Intell,Article,Final,,Scopus,2-s2.0-
85074338760
Chen J.; Wen Y.; Nanehkaran Y.A.; Suzauddola M.D.; Chen W.; Zhang D.,"Chen, Junde
(57201793640); Wen, Yuxin (57194719374); Nanehkaran, Y.A. (57211004694);
Suzauddola, M.D. (57222557265); Chen, Weirong (57222607089); Zhang, Defu
(57198601752)",57201793640; 57194719374; 57211004694; 57222557265; 57222607089;
57198601752,Machine learning techniques for stock price prediction and graphic
signal recognition,2023,Engineering Applications of Artificial
Intelligence,121,,106038,,,,20,10.1016/j.engappai.2023.106038,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85149169475&doi=10.1016%2fj.engappai.2023.106038&partnerID=40&md5=f34d4f97b06a98d7b
73b4e205443832c,"Dale E. and Sarah Ann Fowler School of Engineering, Chapman
University, Orange, 92866, CA, United States; School of Information Engineering,
Yancheng Teachers University, Jiangsu, Yancheng, 224000, China; Department of
Electronic Commerce, Xiangtan University, Hunan, Xiangtan, 411105, China; School of
Informatics, Xiamen University, Fujian, Xiamen, 361005, China; Department of
Information and Electrical Engineering, Ningde Normal University, Fujian, Ningde,
352100, China","Chen J., Dale E. and Sarah Ann Fowler School of Engineering,
Chapman University, Orange, 92866, CA, United States, Department of Electronic
Commerce, Xiangtan University, Hunan, Xiangtan, 411105, China, School of
Informatics, Xiamen University, Fujian, Xiamen, 361005, China; Wen Y., Dale E. and
Sarah Ann Fowler School of Engineering, Chapman University, Orange, 92866, CA,
United States; Nanehkaran Y.A., School of Information Engineering, Yancheng
Teachers University, Jiangsu, Yancheng, 224000, China, School of Informatics,
Xiamen University, Fujian, Xiamen, 361005, China; Suzauddola M.D., School of
Informatics, Xiamen University, Fujian, Xiamen, 361005, China; Chen W., Department
of Information and Electrical Engineering, Ningde Normal University, Fujian,
Ningde, 352100, China; Zhang D., School of Informatics, Xiamen University, Fujian,
Xiamen, 361005, China","Stock market analysis is extremely important for investors
because knowing the future trend and grasping the changing characteristics of stock
prices will decrease the risk of investing capital for profit. Thereupon, the
prediction of stock prices and identifying the graphic signals of candlestick
charts, which are two crucial tasks in stock price analysis, attract much attention
from investors owing to the returns and risks that coexist in financial markets. To
introduce a reliable approach for addressing these challenges, this paper proposes
the modeling strategies based on machine learning (ML) techniques. A vector
autoregression (VAR)-based rolling prediction model is proposed for forecasting
stock prices, and a Gaussian feed-forward neural networks (GFNN)-based graphic
signal identification method is introduced to recognize different types of stock
price signals. The experimental results demonstrate better performance comparing
with the state-of-the-art methods, and it can be successfully applied in real-world
stock exchange strategies. © 2023 Elsevier Ltd",GFNN; Graphic signal
identification; Stock price; Time series; VAR-based rolling prediction,Commerce;
Costs; Electronic trading; Feedforward neural networks; Financial markets;
Investments; Machine learning; Regression analysis; Risk assessment; Signal
processing; Value engineering; Feed forward neural net works; Gaussian feed;
Gaussian feed-forward neural network; Graphic signal identification; Machine
learning techniques; Signal identification; Stock price; Times series; Vector
autoregression-based rolling prediction; Vector autoregressions;
Forecasting,,,,,"Fundamental Research Funds for the Central Universities,
(20720181004)","The study is partially supported by the Fundamental Research Funds
for the Central Universities, China (Grant number 20720181004 ). The authors would
also like to thank the editors and unknown reviewers for their constructive
advice.","Al-Qaness M.A., Ewees A.A., Abualigah L., AlRassas A.M., Thanh H.V., Abd
Elaziz M., Evaluating the applications of dendritic neuron model with metaheuristic
optimization algorithms for crude-oil-production forecasting, Entropy, 24, 11,
(2022); Al-qaness M.A., Ewees A.A., Elaziz M.A., Samak A.H., Wind power forecasting
using optimized dendritic neural model based on seagull optimization algorithm and
aquila optimizer, Energies, 15, 24, (2022); Al-qaness M.A., Ewees A.A., Fan H.,
AlRassas A.M., Abd Elaziz M., Modified aquila optimizer for forecasting oil
production, Geo-Spatial Inf. Sci., pp. 1-17, (2022); Al-Qaness M.A., Ewees A.A.,
Thanh H.V., AlRassas A.M., Dahou A., Elaziz M.A., Predicting CO2 trapping in deep
saline aquifers using optimized long short-term memory, Environ. Sci. Pollut. Res.,
pp. 1-15, (2022); Alonso-Monsalve S., Suarez-Cetrulo A.L., Cervantes A., Quintana
D., Convolution on neural networks for high-frequency trend prediction of
cryptocurrency exchange rates using technical indicators, Expert Syst. Appl., 149,
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for administration buildings of the UK higher education sector, Energy Build., 90,
pp. 127-136, (2015); Ariyo A.A., Adewumi A.O., Ayo C.K., Stock price prediction
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Adam: A method for stochastic optimization, (2014); Ladyzynski P., Grzegorzewski
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Forecasting power consumption for higher educational institutions based on machine
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Hadjout D., Sebaa A., Martinez-Alvarez F., Troncoso A., Deep learning for time
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(2023)","J. Chen; Department of Electronic Commerce, Xiangtan University, Xiangtan,
Hunan, 411105, China; email: [email protected]; Y. Wen; Dale E. and Sarah Ann
Fowler School of Engineering, Chapman University, Orange, 92866, United States;
email: [email protected]",,Elsevier Ltd,,,,,,9521976,,EAAIE,,English,Eng Appl Artif
Intell,Article,Final,,Scopus,2-s2.0-85149169475
Costa F.G.D.; Duarte F.S.L.G.; Vallim R.M.M.; Mello R.F.D.,"Costa, Fausto G. da
(55576567000); Duarte, Felipe S.L.G. (56414322200); Vallim, Rosane M.M.
(25825772100); Mello, Rodrigo F. de (35405503200)",55576567000; 56414322200;
25825772100; 35405503200,Multidimensional surrogate stability to detect data stream
concept drift,2017,Expert Systems with
Applications,87,,,1339,1351,12,23,10.1016/j.eswa.2017.06.005,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85020442466&doi=10.1016%2fj.eswa.2017.06.005&partnerID=40&md5=6cc034b200f078d625dd8
c8b3ba7e547,"University of São Paulo, Institute of Mathematics and Computer
Science, Av. Trabalhador São-carlense, 400, São Carlos, SP, Brazil","Costa F.G.D.,
University of São Paulo, Institute of Mathematics and Computer Science, Av.
Trabalhador São-carlense, 400, São Carlos, SP, Brazil; Duarte F.S.L.G., University
of São Paulo, Institute of Mathematics and Computer Science, Av. Trabalhador São-
carlense, 400, São Carlos, SP, Brazil; Vallim R.M.M., University of São Paulo,
Institute of Mathematics and Computer Science, Av. Trabalhador São-carlense, 400,
São Carlos, SP, Brazil; Mello R.F.D., University of São Paulo, Institute of
Mathematics and Computer Science, Av. Trabalhador São-carlense, 400, São Carlos,
SP, Brazil","Concept drift detection plays a very important role in the context of
data streams. It allows to point out data behavior modifications along time, which
are intrinsically associated to the phenomena responsible for producing such
sequences of observations. By detecting such modifications, one can better
understand those phenomena and take better decisions in different application
domains, e.g. stock market, climate change, population growth, etc. Besides several
proposals, most of the studies lack in formal guarantees to ensure the concept
drift detection. More recently, Vallim and Mello proposed 1DFT (Unidimensional
Fourier Transform), an algorithm that detects drifts on unidimensional streams
while holding a stability property based on surrogate series. Motivated by their
work we here propose the multidimensional surrogate stability concept, which
extends their approach to multidimensional data streams. In addition, our approach,
named MDFT (Multidimensional Fourier Transform), employs a different and more
robust measurement to analyze drifts, which is based on the Shannon's and Von
Neumann's Entropies to quantify variations in data spaces. As final contribution,
MDFT allows unidimensional streams to be reconstructed in phase spaces so their
data dependencies can also be analyzed to take conclusions on concept drifts along
time. Experiments considered seven 120,000-observation synthetic data streams.
Synthetic data was taken into account as it allows us to define the exact points of
change, using the largest Lyapunov exponent, for which our approach should trigger
the concept drift events. Experiments compared MDFT against the main algorithms to
detect concept drift in the context of Machine Learning (Page-Hinkley Test – PHT,
Adaptive Windowing – ADWIN, and Cumulative Sum Control Chart – CUSUM) and Dynamical
Systems (Recurrence Quantification Analysis using different measurements – RQA, and
Permutation Entropy – PE). Results confirm MDFT outperforms the other algorithms in
terms of an average measurement (using the Euclidean distance) based on: the Missed
Detection Rate (MDR), the Mean Time for Detection (MTD) and the Mean Time between
False Alarms (MTFA). © 2017 Elsevier Ltd",Concept drift; Data streams;
Multidimensional; Surrogate data,Adaptive control systems; Climate change; Data
communication systems; Dynamical systems; Electronic trading; Entropy; Fourier
series; Learning systems; Lyapunov methods; Phase space methods; Stability; Concept
drifts; Cumulative sum control charts; Data stream; Largest Lyapunov exponent;
Multidimensional; Multidimensional Fourier transform; Recurrence quantification
analysis; Surrogate data; Population statistics,,,,,"Fundação de Amparo à Pesquisa
do Estado de São Paulo, FAPESP, (2014/13323-5, 2014/21636-3); Coordenação de
Aperfeiçoamento de Pessoal de Nível Superior, CAPES, (303051/2014-0, 441583/2014-
8)","We would like to thank the reviewers for their constructive comments. This
paper is based upon projects sponsored by CAPES – Coordination for the Improvement
of Higher Level Personnel (grants #441583/2014-8 and #303051/2014-0) and FAPESP –
Sao Paulo Research Foundation (grants #2014/21636-3 and #2014/13323-5). Any
opinions, findings, and conclusions or recommendations expressed in this material
are those of the authors and do not necessarily reflect the views of CAPES and
FAPESP.","Aggarwal C.C., Data streams: models and algorithms (advances in database
systems), (2006); Albertini M.K., Mello R.F., A self-organizing neural network for
detecting novelties, Proceedings of the 2007 acm symposium on applied computing,
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systems, (1997); Bandt C., Pompe B., Permutation entropy: a natural complexity
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W., Gao J., Protopopescu V.A., Hively L.M., Detecting dynamical changes in time
series using the permutation entropy, Physical Review E, 70, 4, (2004); Carlsson
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R.F., Yang L.T., Prediction of dynamical, nonlinear, and unstable process behavior,
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a new stability concept to detect changes in unsupervised data streams, Expert
Systems with Applications, 41, 16, pp. 7350-7360, (2014)","R.F.D. Mello; University
of São Paulo, São Carlos, Institute of Mathematics and Computer Science, Av.
Trabalhador São-carlense, 400, Brazil; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85020442466
Li C.; Tu C.-H.,"Li, Chunshien (16031929900); Tu, Chia-Hao
(57194074501)",16031929900; 57194074501,"Complex neural fuzzy system and its
application on multi-class prediction — A novel approach using complex fuzzy sets,
IIM and multi-swarm learning",2019,Applied Soft Computing
Journal,84,,105735,,,,22,10.1016/j.asoc.2019.105735,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85071573690&doi=10.1016%2fj.asoc.2019.105735&partnerID=40&md5=be8c74fff9f503483cc66
35cefd75559,"Laboratory of Intelligent Systems and Applications, Department of
Information Management, National Central University, Taiwan","Li C., Laboratory of
Intelligent Systems and Applications, Department of Information Management,
National Central University, Taiwan; Tu C.-H., Laboratory of Intelligent Systems
and Applications, Department of Information Management, National Central
University, Taiwan","In this paper, we present a novel complex neural fuzzy
approach to multi-class prediction. The complex neural fuzzy system (CNFS) is
proposed using complex fuzzy sets (CFSs), fuzzy causalities and multi-swarm machine
learning. In general, CFSs are regarded as advanced fuzzy sets with membership
degrees defined in the unit disk of the complex plane, in contrast to regular fuzzy
sets with membership degrees in the real-valued unit interval [0,1]. The proposed
model is composed of the premises designed by CFSs, the consequences designed by
Takagi–Sugeno linear functions, and a fuzzy causality layer connecting the premises
toward the consequences, and it is able to perform prediction of multiple targets.
The usage of fuzzy causality in the proposed model makes difference to traditional
fuzzy models using If-Then rules, and gives the freedom and flexibility for model
construction. To optimize the proposed CNFS, we present a hybrid learning scheme
using the particle swarm optimization with multiple swarms (denoted as PSOmsw) and
the Kalman filtering algorithm (denoted as KFA). In the hybrid learning method, the
KFA updates the consequence parameters while the PSOmsw evolves the rest parameters
of the model. The proposed approach has been tested with experiments using several
real-world stock market datasets. Compared with other methods, the proposed
approach has shown excellent performance. © 2019",Complex fuzzy set; Complex neural
fuzzy system; Fuzzy causality; Kalman filtering algorithm; Multi-swarm
PSO,Electronic trading; Forecasting; Fuzzy logic; Fuzzy sets; Kalman filters;
Learning systems; Particle swarm optimization (PSO); Swarm intelligence; Complex
fuzzy sets; Fuzzy causality; Hybrid learning methods; Kalman filtering algorithms;
Membership degrees; Model construction; Multi-swarms; Neural fuzzy systems; Fuzzy
inference,,,,,"Ministry of Science and Technology, Taiwan, MOST","This study was
supported by the research projects, MOST 103-2221-E-008-079 and MOST 104-2221-E-
008-116 , Ministry of Science and Technology, Taiwan . ","Prasad S., Zakaria R.,
Altay N., Big data in humanitarian supply chain networks: A resource dependence
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Laboratory of Intelligent Systems and Applications, Department of Information
Management, National Central University, Taiwan; email:
[email protected]",,Elsevier Ltd,,,,,,15684946,,,,English,Appl. Soft Comput.
J.,Article,Final,,Scopus,2-s2.0-85071573690
Chacon H.D.; Kesici E.; Najafirad P.,"Chacon, Henry Daniel (57215531892); Kesici,
Emre (57217993456); Najafirad, Peyman (56748978800)",57215531892; 57217993456;
56748978800,Improving Financial Time Series Prediction Accuracy Using Ensemble
Empirical Mode Decomposition and Recurrent Neural Networks,2020,IEEE
Access,8,,9099274,117133,117145,12,22,10.1109/ACCESS.2020.2996981,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85087809577&doi=10.1109%2fACCESS.2020.2996981&partnerID=40&md5=67bd3c940b67f1b46aa4
8cdb11ae32c9,"Secure AI and Autonomy Laboratory, University of Texas at San
Antonio, San Antonio, TX, United States","Chacon H.D., Secure AI and Autonomy
Laboratory, University of Texas at San Antonio, San Antonio, TX, United States;
Kesici E., Secure AI and Autonomy Laboratory, University of Texas at San Antonio,
San Antonio, TX, United States; Najafirad P., Secure AI and Autonomy Laboratory,
University of Texas at San Antonio, San Antonio, TX, United States","Recurrent
neural networks have received vast amount of attention in time series prediction
due to their flexibility in capturing dependencies on various scales. However, as
in most of the classical forecasting methods, its accuracy is strongly tied to the
degree of signal complexity. Specifically, stock market prices are commonly
classified to be non-linear, non-stationary and chaotic signals, since they exhibit
erratic behavior that conducts a poor performance in the long short-term memory
(LSTM). In this paper, we propose a methodology to improve the predictability of
financial time series by using the complete ensemble empirical mode decomposition
with adaptive noise and the intrinsic sample entropy (SampEn). We evaluated the
integrated model by applying it to SP 500 index stocks for the period between
January 2018 and April 2020 and for each time series of stock closing prices, an
LSTM model was trained to forecast the next closing price. The experimental results
represent a dependency between the decomposed signal entropy and the performance of
forecast accuracy. This suggests that in those cases where the short-term
complexity in financial time series is smaller compared to the series energy, the
forecasting capabilities are significantly improved after the removal of decomposed
highest frequency. Furthermore, our results show an improvement in forecasting the
direction of the stock price by 31% using the classical LSTM architecture. © 2013
IEEE.",artificial intelligence; EMD; Empirical mode decomposition; long short term
memory; LSTM; machine learning; noise cancellation; sample entropy; stock price
prediction; time series forecasting,Complex networks; Costs; Electronic trading;
Entropy; Financial markets; Forecasting; Signal processing; Time series; Ensemble
empirical mode decomposition; Financial time series; Financial time series
predictions; Forecasting capability; Forecasting methods; Integrated modeling;
Stock market prices; Time series prediction; Long short-term memory,,,,,"Open Cloud
Institute at University of Texas at San Antonio; University of Texas at San
Antonio, UTSA; Open Cloud Institute at University of Texas at San Antonio;
University of Texas at San Antonio, UTSA",Funding text 1: This work was supported
in part by the Open Cloud Institute at University of Texas at San Antonio (UTSA).;
Funding text 2: This work was partly supported by the Open Cloud Institute at
University of Texas at San Antonio (UTSA). The authors gratefully acknowledge the
use of the services of Jetstream cloud.,"Mok P.Y., Lam K.P., Ng H.S., An ICA design
of intraday stock prediction models with automatic variable selection, Proc. IEEE
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LSTM, Phys. A, Stat. Mech. Appl., 519, pp. 127-139, (2019); Wang W.-C., Chau K.-W.,
Qiu L., Chen Y.-B., Improving forecasting accuracy of medium and long-term runoff
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Secure AI and Autonomy Laboratory, University of Texas at San Antonio, San
Antonio, United States; email: [email protected]",,Institute of Electrical
and Electronics Engineers Inc.,,,,,,21693536,,,,English,IEEE
Access,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85087809577
Flori A.; Regoli D.,"Flori, Andrea (56497765100); Regoli, Daniele
(23973503900)",56497765100; 23973503900,Revealing Pairs-trading opportunities with
long short-term memory networks,2021,European Journal of Operational
Research,295,2,,772,791,19,20,10.1016/j.ejor.2021.03.009,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85103734035&doi=10.1016%2fj.ejor.2021.03.009&partnerID=40&md5=d14f2b2aa94d3b34331d8
e67fb585cb3,"Department of Management, Economics and Industrial Engineering,
Politecnico di Milano, Via Lambruschini 4/B, Milano, 20156, Italy; Big Data Lab,
Intesa Sanpaolo S.p.A., Corso Inghilterra 3, Torino, 10138, Italy","Flori A.,
Department of Management, Economics and Industrial Engineering, Politecnico di
Milano, Via Lambruschini 4/B, Milano, 20156, Italy; Regoli D., Big Data Lab, Intesa
Sanpaolo S.p.A., Corso Inghilterra 3, Torino, 10138, Italy","This work examines a
deep learning approach to complement investors’ practices for the identification of
pairs-trading opportunities among cointegrated stocks. We refer to the reversal
effect, consisting in the fact that temporarily market deviations are likely to
correct and finally converge again, to generate valuable pairs-trading signals
based on the application of Long Short-Term Memory networks (LSTM). Specifically,
we propose to use the LSTM to estimate the probability of a stock to exhibit
increasing market returns in the near future compared to its peers, and we compare
and combine these predictions with trading practices based on sorting stocks
according to either price or returns gaps. In so doing, we investigate the ability
of our proposed approach to provide valuable signals under different perspectives
including variations in the investment horizons, transaction costs and weighting
schemes. Our analysis shows that strategies including such predictions can
contribute to improve portfolio performances providing predictive signals whose
information content goes above and beyond the one embedded in both price and
returns gaps. © 2021 Elsevier B.V.",Finance; Machine learning; Neural networks;
Pairs-trading; Statistical arbitrage,Brain; Commerce; Electronic trading; Financial
markets; Investments; Investment horizon; Learning approach; Machine-learning;
Market returns; Memory network; Neural-networks; Pairs trading; Statistical
arbitrage; Trading practices; Transaction cost; Long short-term
memory,,,,,,,"Adrian T., Franzoni F., Learning about beta: Time-varying factor
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Flori; Department of Management, Economics and Industrial Engineering, Politecnico
di Milano, Milano, Via Lambruschini 4/B, 20156, Italy; email:
[email protected]",,Elsevier B.V.,,,,,,3772217,,EJORD,,English,Eur J Oper
Res,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-85103734035
Xu X.; Zhang Y.,"Xu, Xiaojie (57192066072); Zhang, Yun (56098302800)",57192066072;
56098302800,Forecasting the total market value of a shares traded in the Shenzhen
stock exchange via the neural network,2022,Economics
Bulletin,42,3,,1266,1279,13,24,,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85201494776&partnerID=40&md5=ca4ac7f066324f2cc6a27f73ef1b9fff,"North Carolina State
University, United States","Xu X., North Carolina State University, United States;
Zhang Y., North Carolina State University, United States","Stock total market value
forecasting is a significant issue for policy makers and investors. This study
explores usefulness of the nonlinear autoregressive neural network for this
forecasting problem in a dataset of the daily total market value of A shares traded
in the Shenzhen Stock Exchange during January 4, 2016–August 23, 2021. Through
examining various model settings across the algorithm, delay, hidden neuron, and
data splitting ratio, the model leading to generally accurate and stable
performance is reached. Usefulness of the machine learning technique for the total
market value forecasting problem of the A shares is illustrated. Results here might
be used on a standalone basis as technical forecasts or combined with fundamental
forecasts to form perspectives of total market value trends and perform policy
analysis. © (2022), (Economics Bulletin). All rights reserved.",,,,,,,,,"Al
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(2019)",,,Economics Bulletin,,,,,,15452921,,,,English,Econ.
Bull.,Article,Final,,Scopus,2-s2.0-85201494776
Hegde M.S.; Krishna G.; Srinath R.,"Hegde, Manoj S. (57205446198); Krishna, Ganesh
(58824170300); Srinath, Ramamoorthy (56378258000)",57205446198; 58824170300;
56378258000,An Ensemble Stock Predictor and Recommender System,2018,"2018
International Conference on Advances in Computing, Communications and Informatics,
ICACCI 2018",,,8554424,1981,1985,4,24,10.1109/ICACCI.2018.8554424,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85060004055&doi=10.1109%2fICACCI.2018.8554424&partnerID=40&md5=29669a8b196750a2e95e
9bb0cacac0a7,"Computer Science and Engineering, PES University, Bangalore,
India","Hegde M.S., Computer Science and Engineering, PES University, Bangalore,
India; Krishna G., Computer Science and Engineering, PES University, Bangalore,
India; Srinath R., Computer Science and Engineering, PES University, Bangalore,
India","Stock market analysis and prediction tools have been prevalent for several
years now with various techniques and models to predict stock markets efficiently.
This paper presents the design and implementation of a novel technique to predict
stock market trends. The approach is an ensemble model which takes into account
historical stock data, tweets and news affecting the stock prices of various
companies and provides recommendations on which stocks to invest in for a
particular duration. The model is built on real historical stock data set obtained
from Indian National Stock Exchange (www.nseindia.com) over a 20-year period. The
model uses Recurrent Neural Networks (RNN) and Long-Short Term Memory (LSTM) to
learn and predict the future stock trend for a basket of 50 companies with RMSE of
1.43 (stock units with respect to Indian currency). Finally, the predicted stock
price within a duration is converted into a graphical image, which is passed to a
Convolutional Neural Network (CNN) classifier. The classifier is trained on finer
features like peaks and troughs within the stock trend image, to provide
recommendations on when to invest in a particular company stock. When tested with
real stock prices over a week, it was found that the model was able to achieve
extremely high accuracy in predicting the stock trends. © 2018 IEEE.",CNN
classifier; Convolutional Neural Networks; Economic impact; Long Short-Term Memory;
Machine Learning; Recommender systems; Stock price prediction,Brain; Commerce;
Convolution; Costs; Electronic trading; Financial markets; Forecasting;
Investments; Learning systems; Recommender systems; Convolutional neural network;
Convolutional Neural Networks (CNN); Design and implementations; Economic impacts;
Ensemble modeling; Recurrent neural network (RNN); Stock market analysis; Stock
price prediction; Long short-term memory,,,,,,,"Qiu M., Song Y., Predicting the
direction of stock market index movement using an optimized ann model, PLoS ONE,
11, 5; Xing T., Sun Y., Wang Q., Yu G., The analysis and prediction of stock price,
2013 IEEE International Conference on Granular Computing (GrC); Prosky J., Tan A.,
Song X., Zhao M., Sentiment Predictability for Stocks, (2018); Shao X., Ma D., Liu
Y., Yin Q., Short-term forecast of stock price of multi-branch LSTM based on K-
means, 2017 4th International Conference on Systems and Informatics (ICSAI); Selvin
S., Vinayakumar R., Gopalakrishnan E.A., Menon V.K., Soman K.P., Stock price
prediction using LSTM, RNN and CNN-sliding window model, 2017 International
Conference on Advances in Computing, Communications and Informatics (ICACCI);
Devadoss A.V., Ligori T.A.A., Forecasting of stock prices using multi layer
perceptron, Int J Comput Algorithm, 2, pp. 440-449, (2013); Nelson D.M.Q., Pereira
A.C.M., De Oliveira R.A., Stock market's price movement prediction with LSTM neural
networks, 2017 International Joint Conference on Neural Networks (IJCNN); Gao T.,
Chai Y., Liu Y., Applying long short term momory neural networks for predicting
stock closing price, 2017 8th IEEE International Conference on Software Engineering
and Service Science (ICSESS); Li J., Bu H., Wu J., Sentiment-aware stock market
prediction: A deep learning method, 2017 International Conference on Service
Systems and Service Management; Batra R., Daudpota S.M., Integrating stocktwits
with sentiment analysis for better prediction of stock price movement, 2018
International Conference on Computing, Mathematics and Engineering Technologies
(ICoMET). International Conference on Software Engineering and Service Science
(ICSESS); Li J., Bu H., Wu J., Sentiment-aware stock market prediction: A deep
learning method, 2017 International Conference on Service Systems and Service
Management; Batra R., Daudpota S.M., Integrating StockTwits with sentiment analysis
for better prediction of stock price movement, 2018 International Conference on
Computing, Mathematics and Engineering Technologies (ICoMET)",,,Institute of
Electrical and Electronics Engineers Inc.,,"7th International Conference on
Advances in Computing, Communications and Informatics, ICACCI 2018",19 September
2018 through 22 September 2018,Bangalore,143262,,978-153865314-2,,,English,"Int.
Conf. Adv. Comput., Commun. Inf., ICACCI",Conference paper,Final,,Scopus,2-s2.0-
85060004055
Cont R.; Kukanov A.,"Cont, Rama (6602945666); Kukanov, Arseniy
(55964859100)",6602945666; 55964859100,Optimal order placement in limit order
markets,2017,Quantitative
Finance,17,1,,21,39,18,24,10.1080/14697688.2016.1190030,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84975126996&doi=10.1080%2f14697688.2016.1190030&partnerID=40&md5=ddfde7a9a9941de43c
3a32ab788b7ef3,"Department of Mathematics, Imperial College, London, United
Kingdom; Laboratoire de Probabilités et Modèles Aléatoires, CNRS - Université
Pierre & Marie Curie, Paris, France; AQR Capital Management LLC, Greenwich, CT,
United States","Cont R., Department of Mathematics, Imperial College, London,
United Kingdom, Laboratoire de Probabilités et Modèles Aléatoires, CNRS -
Université Pierre & Marie Curie, Paris, France; Kukanov A., AQR Capital Management
LLC, Greenwich, CT, United States","To execute a trade, participants in electronic
equity markets may choose to submit limit orders or market orders across various
exchanges where a stock is traded. This decision is influenced by characteristics
of the order flows and queue sizes in each limit order book, as well as the
structure of transaction fees and rebates across exchanges. We propose a
quantitative framework for studying this order placement problem by formulating it
as a convex optimization problem. This formulation allows the study of how the
optimal order placement decision depends on the interplay between the state of
order books, the fee structure, order flow properties and the aversion to execution
risk. In the case of a single exchange, we derive an explicit solution for the
optimal split between limit and market orders. For the general case of order
placement across multiple exchanges, we propose a stochastic algorithm that
computes the optimal routing policy and study the sensitivity of the solution to
various parameters. Our algorithm does not require an explicit statistical model of
order flow but exploits data on recent order fills across exchanges in the
numerical implementation of the algorithm to acquire this information through a
supervised learning procedure. © 2016 Informa UK Limited, trading as Taylor &
Francis Group.",Algorithmic trading; Execution risk; Limit order markets; Machine
learning; Optimal order execution; Order routing; Robbins–Monro algorithm;
Stochastic approximation; Supervised learning; Transaction costs,,,,,,"Economic and
Social Research Council, ESRC, (ES/K002309/1)",,"Alfonsi A., Fruth A., Schied A.,
Optimal execution strategies in limit order books with general shape functions,
Quant. Finance, 10, 2, pp. 143-157, (2010); Almgren R., Chriss N., Optimal
execution of portfolio transactions, J. Risk, 3, pp. 5-39, (2000); Almgren R.,
Harts W., A dynamic algorithm for smart order routing, (2008); Almgren R., Thum C.,
Hauptmann E., Li H., Direct estimation of equity market impact, Risk, 18, pp. 57-
62, (2005); Baron M., Brogaard J., Kirilenko A., Risk and returns in high frequency
trading, Technical Report, (2014); Battalio R., Corwin S., Jennings R., Can brokers
have it all? On the relation between make take fees & limit order execution
quality, Working Paper, (2013); Bayraktar E., Ludkovski M., Optimal trade execution
in illiquid markets, Math. Finance, 21, 4, pp. 681-701, (2011); Benveniste A.,
Metivier M., Priouret P., Adaptive Algorithms and Stochastic Approximations,
(1990); Bertsimas D., Lo A.W., Optimal control of execution costs, J. Financ.
Markets, 1, 1, pp. 1-50, (1998); Boehmer E., Jennings R., Public disclosure and
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Stud., 20, 2, pp. 315-358, (2007); Brogaard J., Garriott C., Anna P., High-
frequency trading competition, Bank of Canada Working Paper, 2014--19, (2014); Cao
C., Hansch O., Wang X., Order placement strategies in a pure limit order book
market, J. Financ. Res., 31, 2, pp. 113-140, (2008); Chen H.F., Stochastic
Approximation and its Applications, (2002); Cont R., Statistical modeling of high-
frequency financial data, IEEE Signal Process., 28, 5, pp. 16-25, (2011); Cont R.,
De Larrard A., Price dynamics in a Markovian limit order market, SIAM J. Financ.
Math., 4, 1, pp. 1-25, (2013); Cont R., Kukanov A., Stoikov S., Price impact of
order book events, J. Financ. Econometrics, 12, 1, pp. 47-88, (2014); Doukhan P.,
Brandiere O., Dependent noise for stochastic algorithms, Probab. Math. Stat., 247,
2, pp. 381-399, (2004); Foucault T., Order flow composition and trading costs in a
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Finance, 63, 1, (2008); Foucault T., Kadan O., Kandel E., Limit order book as a
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Nevmyvaka Y., Kearns M., Censored exploration and the dark pool problem, Commun.
ACM, 53, 5, pp. 99-107, (2010); Gatheral J., Schied A., Dynamical models of market
impact and algorithms for order execution, Handbook of Systemic Risk, pp. 579-602,
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(2013); Guilbaud F., Pham H., Optimal high frequency trading in a pro-rata
microstructure with predictive information, Math. Finance, 25, 3, pp. 545-575,
(2015); Guo X., De Larrard A., Ruan Z., Optimal placement in a limit order book,
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order submission strategy, J. Financ. Quant. Anal., 31, 2, pp. 213-2231, (1996);
Huberman G., Stanzl W., Optimal liquidity trading, Rev. Finance, 9, 2, pp. 165-200,
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Pages G., Optimal posting of limit orders: Learning by trading, Math. Financ.
Econ., 7, 3, pp. 359-403, (2013); Li T., Optimal limit-versus-market order slicing
under a VWAP bechmark-continuous case, (2013); Lynch S., Flitter E., SEC probing
brokerages over handling of retail orders, Reuters, (2014); Mastromatteo I., Toth
B., Bouchaud J.-P., Agent-based models for latent liquidity and concave price
impact, Phys. Rev. E., 89, pp. 042805-042822, (2014); Menkveld A.J., High frequency
trading and the new-market makers, J. Financ. Markets, 16, pp. 712-740, (2013);
Moallemi C.C., Maglaras C., Zheng H., Optimal order routing in a fragmented market,
Working Paper DRO-2012-02, (2012); Nemirovski A., Juditsky A., Lan G., Shapiro A.,
Robust stochastic approximation approach to stochastic programming, SIAM J. Optim.,
19, 4, pp. 1574-1609, (2009); Obizhaeva A.A., Wang J., Optimal trading strategy and
supply/demand dynamics, J. Financ. Markets, 16, 1, pp. 1-32, (2012); Parlour C.,
Price dynamics in limit order markets, Rev. Financ. Stud., 11, 4, pp. 789-816,
(1998); Phillips M., What’s E*Trade Doing with its Customers’ Orders Anyway?,
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183-212, (2011); Conflicts of Interest in the U.S. Equity Markets: Testimony of
Robert Battalio, Permanent Subcommittee on Investigations of the Committee on
Homeland Security and Governmental Affairs, (2014)","R. Cont; Department of
Mathematics, Imperial College, London, United Kingdom; email:
[email protected]",,Routledge,,,,,,14697688,,,,English,Quant.
Financ.,Article,Final,All Open Access; Green Open Access,Scopus,2-s2.0-84975126996
Torres E.P.; Torres E.A.; Hernández-Álvarez M.; Yoo S.G.,"Torres, Edgar P.
(57198447015); Torres, Edgar Alejandro (57218262544); Hernández-Álvarez, Myriam
(56946692300); Yoo, Sang Guun (36187649600)",57198447015; 57218262544; 56946692300;
36187649600,Emotion Recognition Related to Stock Trading Using Machine Learning
Algorithms with Feature Selection,2020,IEEE
Access,8,,,199719,199732,13,25,10.1109/ACCESS.2020.3035539,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85102894118&doi=10.1109%2fACCESS.2020.3035539&partnerID=40&md5=0a379806548883916f14
22a3a0ce224a,"Departamento de Informática y Ciencias de la Computación, Facultad de
Ingenieriá de Sistemas, Escuela Politécnica Nacional, Quito, 170103, Ecuador;
Pontificia Universidad Católica Del Ecuador, Quito, 170143, Ecuador","Torres E.P.,
Departamento de Informática y Ciencias de la Computación, Facultad de Ingenieriá de
Sistemas, Escuela Politécnica Nacional, Quito, 170103, Ecuador; Torres E.A.,
Pontificia Universidad Católica Del Ecuador, Quito, 170143, Ecuador; Hernández-
Álvarez M., Departamento de Informática y Ciencias de la Computación, Facultad de
Ingenieriá de Sistemas, Escuela Politécnica Nacional, Quito, 170103, Ecuador; Yoo
S.G., Departamento de Informática y Ciencias de la Computación, Facultad de
Ingenieriá de Sistemas, Escuela Politécnica Nacional, Quito, 170103, Ecuador","This
article proposes an emotion elicitation method to develop our Stock-Emotion
dataset: A collection of the participants' electroencephalogram (EEG) signals who
paper-traded using real stock market data, virtual money, and outcomes that
emotionally affected them. A system for emotion recognition using this dataset was
tested. The system extracted from the EEG signals the following features:five
frequency bands, Differential Entropy (DE), Differential Asymmetry (DASM), and
Rational Asymmetry (RASM), for each band. Our system then carried out feature
selection using afilter method (Mutual Information Matrix), combined with a wrapper
process (Chi-Square statistics) and alternatively using the embedded algorithms in
a Deep Learning classifier. Finally, this work classified emotions in four
quadrants of the circumplex model using Random Forest and Deep Learning algorithms.
Ourfindings show that 1) the proposed emotion elicitation method is useful to
provoke affective states associated with trading, 2) the proposed feature selection
process improved the classification performance of our emotion recognition system,
and 3) classifier performance of the system can recognize trading related emotions
and has results comparable with the state of the art research corresponding to a
similar number of output classes. © 2020 Institute of Electrical and Electronics
Engineers Inc.. All rights reserved.",Bci; Dasm; De; Deep learning; EEG; Emotion
elicitation; Emotion recognition; Random forest; Rasm; Stock market
trading,Biomedical signal processing; Classification (of information); Commerce;
Decision trees; Deep learning; Electroencephalography; Electronic trading; Feature
extraction; Financial markets; Fintech; Learning systems; Speech recognition; Chi
square statistic; Classification performance; Classifier performance; Differential
entropy; Electroencephalogram signals; Emotion elicitation; Learning classifiers;
Mutual informations; Learning algorithms,,,,,"Escuela Politécnica Nacional,
EPN","This work was supported by the Escuela Politécnica Nacional, Quito,
Ecuador.","Picard R.W., Affective computing for HCI, Proc. 8th Hci Int. Hum.-
Comput. Interact. Ergon. User Interface, pp. 829-833, (1999); Torres E.P.P., Torres
E.A.H., Hernandez-Alvarez M., Yoo S.G., EEG-based BCI emotion recognition: A
survey, Sensors, 20, 18, (2020); Peterson V., Galvan C., Hernandez H., Spies R., A
feasibility study of a complete low-cost consumer-grade brain-computer interface
system, Heliyon, 6, 3, (2020); Lang P.J., Bradley M.M., Cuthbert B.N.,
International affective picture system (IAPS): Technical manual and affective
ratings, Proc. Nimh Cent. Study Emot. Atten, pp. 39-58, (1997); Yang W., Makita K.,
Nakao T., Kanayama N., Machizawa M.G., Sasaoka T., Sugata A., Kobayashi R.,
Hiramoto R., Yamawaki S., Iwanaga M., Miyatani M., Affective auditory stimulus
database: An expanded version of the international affective digitized sounds
(IADSE), Behav. Res. Methods, 50, 4, pp. 1415-1429, (2018); Mahl C., Allison B.,
Nijholt A., Chanel G., A survey of affective brain computer interfaces: Principles,
state-of-the-art, and challenges, Brain-Comput. Interface, 1, 2, pp. 66-84, (2014);
Zhou F., Qu X., Jiao J., Helander M.G., Emotion prediction from physiological
signals: A comparison study between visual and auditory elicitors, Interacting with
Comput, 26, 3, pp. 285-302, (2014); Mahl C., Garkok H., Bos D.P.-O., Thurlings
M.E., Scherfg L., Duvinage M., Elbakyan A.A., Kang S., Poel M., Heylen D., Bacteria
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of Game Difficulty, 41, 6, pp. 1052-1063, (2011); Iacoviello D., Petracca A.,
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based emotion recognition by combining EEG feature selection and kernel
classifiers, Expert Syst. Appl, 47, pp. 35-41, (2016); Zheng W.-L., Lu B.-L.,
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recognition with deep neural networks, Ieee Trans. Auto. Mental Develop, 7, 3, pp.
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mechanism in BCI, Procedia Comput. Sci, 132, pp. 752-758, (2018); Liu Y.-J., Yu M.,
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recognition from EEG signals, Ieee Trans. Affect. Comput, 9, 4, pp. 550-562,
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DEAP and SEED-IV databases using SVM, Ssrn Electron. J., 15, pp. 207-211, (2019);
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in response to audio music using brain signals, Comput. Hum. Behav, 65, pp. 267-
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P., Trigeorgis G., Nicolaou M.A., Schuller B.W., Zafeiriou S., End-to-end
Multimodal Emotion Recognition Using Deep Neural Networks; Suthaharan S., Machine
Learning Models and Algorithms for Big Data Classification, 36, (2016); Zhuang N.,
Zeng Y., Tong L., Zhang C., Zhang H., Yan B., Emotion recognition from EEG signals
using multidimensional information inEMD domain, BioMed Res. Int., 2017, pp. 1-9,
(2017)","E.P. Torres; Departamento de Informática y Ciencias de la Computación,
Facultad de Ingenieriá de Sistemas, Escuela Politécnica Nacional, Quito, 170103,
Ecuador; email: [email protected]; S.G. Yoo; Departamento de Informática y
Ciencias de la Computación, Facultad de Ingenieriá de Sistemas, Escuela Politécnica
Nacional, Quito, 170103, Ecuador; email: [email protected]; M. Hernández-Álvarez;
Departamento de Informática y Ciencias de la Computación, Facultad de Ingenieriá de
Sistemas, Escuela Politécnica Nacional, Quito, 170103, Ecuador; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85102894118
Li X.; Yang L.; Xue F.; Zhou H.,"Li, Xiumin (48461477600); Yang, Lin (57211687902);
Xue, Fangzheng (7101652605); Zhou, Hongjun (57192211844)",48461477600; 57211687902;
7101652605; 57192211844,Time series prediction of stock price using deep belief
networks with intrinsic plasticity,2017,"Proceedings of the 29th Chinese Control
and Decision Conference, CCDC
2017",,,7978707,1237,1242,5,25,10.1109/CCDC.2017.7978707,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85028037297&doi=10.1109%2fCCDC.2017.7978707&partnerID=40&md5=511232c240c361c38c7533
876409bd42,"College of Automation, Chongqing University, Chongqing, 400044, China;
School of Economics and Business Administration, Chongqing University, Chongqing,
400044, China","Li X., College of Automation, Chongqing University, Chongqing,
400044, China; Yang L., College of Automation, Chongqing University, Chongqing,
400044, China; Xue F., College of Automation, Chongqing University, Chongqing,
400044, China; Zhou H., School of Economics and Business Administration, Chongqing
University, Chongqing, 400044, China","In recent years, the stock market plays an
important role, which has attracted more and more attentions. The key problem of
the stock market prediction is how to design a method to improve the prediction
performance. As we know, the biggest challenge is that the stock time series is
essentially dynamic, nonlinear, complicated, nonparametric and chaotic. In this
paper, we propose a novel method to predict the stock closing price based on the
deep belief networks (DBNs) with intrinsic plasticity. In the experiments, the
stock in S&P 500 is used to examine the performance. The back propagation algorithm
is used for output training to make minor adjustments of structure parameters. The
intrinsic plasticity (IP) is also applied into the network to make it have adaptive
ability. It is believed that IP learning for adaptive adjustment of neuronal
response to external inputs is beneficial for maximizing the input-output mutual
information. Our results show that the application of IP learning can remarkably
improve the prediction performance. Moreover, the effects of two kinds of IP rules
on the performance of prediction are examined. Compared with Triesch's IP and
without IP, DBN with Li's IP learning has much better prediction performance than
the others. These results may have important implications on the modeling of neural
network for complex time series prediction. © 2017 IEEE.",Deep belief networks;
Intrinsic plasticity; Restricted boltzmann machine; Stock time series
prediction,,,,,,"National Natural Science Foundation of China, (61473051); Natural
Science Foundation of Chongqing, (2015PY51, c-stc2016jcyjA0015)","The paper is
supported by Chongqing Social Science Program (No. 2015PY51), the National Natural
Science Foundation of China (No. 61473051), and Natural Science Foundation of
Chongqing (No. c-stc2016jcyjA0015).","Chen S., Grant P.M., A clustering technique
for digital communications channel equalizationusing radial basis function
networks, IEEE Transactions on Neural Networks, 4, 4, pp. 570-578, (1993); Yaser
S.A.M., Atiya A.F., Introduction to financial forecasting, Appl Intell, 6, 3, pp.
205-213, (1996); Liu H., Chen H., Hu Y., Financial characteristics and prediction
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80-84, (2007); Li C.Q., Liu X.P., Xu S.P., Stock price prediction based on general
regression neural network and fly optimization algorithm, Journal of Computational
Information Systems, 8, 17, pp. 7021-7028, (2012); Zhang X., Fuehers H., Gloor
P.A., Predicting asset value through twitter buzz, Advances in Intelligent and Soft
Computing, 113, pp. 23-34, (2012); White H., Economic prediction using nerual
networks: The case of IBM Daily stock returns, Nerual Networks, IEEE International
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R., Reducing the dimensionality of data with neural networks, Science, 313, 5786,
(2006); Lee H., Grosse R., Ranganath R., Ng A.Y., Convolutional deep belief
networks for scalable unsupervised learning of hierarchical representations,
International Conference on Machine Learning, ICML 2009, pp. 609-616, (2009); Sazal
M.M.R., Biswas S.K., Aminand M.F., Murase K., Bangla handwritten character
recognition using deep belief network, International Conference on Electrical
Information and Communication Technology, pp. 1-5, (2014); Ciresan D., Meier U.,
Gambardella L., Schmidhuber J., Deep, big, simple neural nets for handwritten digit
recognition, Neural Computation, 22, 12, pp. 3207-3220, (2010); Zhang X.L., Wu J.,
Deep belief networks based voice activity detection, IEEE Transactions on Audio
Speech and Language Processing, 21, 4, (2013); Mohamed A., Yu D., Deng L.,
Investigation of fullsequence training of deep belief networks for speech
recognition, INTERSPEECH 2010, Conference of the International Speech Communication
Association, pp. 2846-2849; Hinton G., Deng L., Yu D., Dahl G., Mohamed A., Jaitly
N., Senior A., Vanhoucke V., Nguyen P., Sainath T., Kingsbury B., Deep neural
networks for acoustic modeling in speech recognition, IEEE Signal Processing
Magazine, 29, 6, (2012); Welling M., Rosen-Zvi M., Hinton G., Exponential family
harmoniums with an application to information retrieval, Adv. NeuralInf. Process.
Syst, 17, 4, pp. 123-128, (2005); Huang W., Hong G., Hong H., Xie K., Deep
architecture for traffic flow prediction: Deep belief networks with multitask
learning, IEEE Transactions on Inrelligent Transportation Systems, 15, 5, (2014);
Shen J.F., Zhao I., Forecasting exchange rate using deep belief networks and
conjugate gradient method, Neurocomputing, 167, pp. 243-253, (2015); Triesch J., A
gradient rule for the plasticity of a neurons intrinsic excitability, International
Conference on Artificial Neural Networks, pp. 65-70, (2005); Watt A.J., Desai N.S.,
Homeostatic plasticity and STDP: Keeping a neurons cool in a fluctuating world,
Frontiers in Synaptic Neuroscience, 2, 5, (2010); Triesch J., Synergies between
intrinsic and synaptic plasticity mechanisms, Neural Computation, 19, 4, (2007);
Chunguang L., Yuke L., A review on synergistic learning, IEEE Access, 4, pp. 119-
134, (2016); Triesch J., Synergies between intrinsic and synaptic plasticity in
individual model neurons, Advances in Neural Information Processing Systems, 19, 4,
(2004); Li C., A model of neuronal intrinsic plasticity, IEEE Transactions on
Autonomous Mental Development, 3, 4, pp. 277-284, (2011)",,,Institute of Electrical
and Electronics Engineers Inc.,,"29th Chinese Control and Decision Conference, CCDC
2017",28 May 2017 through 30 May 2017,Chongqing,129162,,978-150904656-
0,,,English,"Proc. Chin. Control Decis. Conf., CCDC",Conference
paper,Final,,Scopus,2-s2.0-85028037297
Mootha S.; Sridhar S.; Seetharaman R.; Chitrakala S.,"Mootha, Siddartha
(57219209524); Sridhar, Sashank (57212517680); Seetharaman, Rahul (57221257547);
Chitrakala, S. (25645652800)",57219209524; 57212517680; 57221257547;
25645652800,Stock Price Prediction using Bi-Directional LSTM based Sequence to
Sequence Modeling and Multitask Learning,2020,"2020 11th IEEE Annual Ubiquitous
Computing, Electronics and Mobile Communication Conference, UEMCON
2020",,,9298066,78,86,8,22,10.1109/UEMCON51285.2020.9298066,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85099762059&doi=10.1109%2fUEMCON51285.2020.9298066&partnerID=40&md5=2b679a2cc6ba446
d74c8ff62dfbc6af5,"Anna University, College of Engineering Guindy, Department of
Computer Science and Engineering, Chennai, India","Mootha S., Anna University,
College of Engineering Guindy, Department of Computer Science and Engineering,
Chennai, India; Sridhar S., Anna University, College of Engineering Guindy,
Department of Computer Science and Engineering, Chennai, India; Seetharaman R.,
Anna University, College of Engineering Guindy, Department of Computer Science and
Engineering, Chennai, India; Chitrakala S., Anna University, College of Engineering
Guindy, Department of Computer Science and Engineering, Chennai, India","The stock
market is a dynamic and volatile platform which provides an environment for traders
to invest and trade in shares. The price of a stock is dependent on numerous static
and dynamic features. Predicting the future price of a particular company's stock
can be extremely beneficial for traders. Seq2Seq modelling helps map an input
sequence to an output sequence. In this paper, we propose a system to predict the
future Open, High, Close, Low (OHCL) value of a stock using a Bi-Directional LSTM
based Sequence to Sequence Modelling. Each OHCL price is an independent sequence
and multitask learning helps map the interrelations between them. A multitask
system is also proposed which uses sub tasks and shared tasks to model the prices.
Stock prices of Tata Consumer Products Limited from the National Stock Exchange
(NSE) of India is used. To evaluate the efficiency of the proposed systems, they
are compared against various machine learning algorithms. The proposed Seq2Seq and
multitask systems comfortably outperform the existing algorithms with RMSE values
of 3.98 and 7.87 respectively. © 2020 IEEE.",Bi-directional LSTM; Multitask
Learning; Prediction System; Sequence to Sequence Modelling; Stock
Forecasting,Consumer products; Costs; Electronic trading; Financial markets;
Forecasting; Investments; Learning systems; Long short-term memory; Mobile
telecommunication systems; Multi-task learning; Ubiquitous computing; Bi-
directional; Dynamic features; Input sequence; Output sequences; Sequence modeling;
Stock exchange; Stock price; Stock price prediction; Learning
algorithms,,,,,,,"Chhimwal B., Bapat V., Impact of foreign and domestic investment
in stock market volatility: Empirical evidence from india, Cogent Economics &
Finance, 8, 1, (2020); Sridhar S., Mootha S., Subramanian S., Decentralized stock
exchange implementation using ethereum, 2020 International Seminar on Intelligent
Technology and Its Applications (ISITIA, pp. 234-241, (2020); Pop C., Et al.,
Decentralizing the stock exchange using blockchain an ethereum-based implementation
of the bucharest stock exchange, 2018 Ieee 14th International Conference on
Intelligent Computer Communication and Processing (ICCP, pp. 459-466, (2018);
Sakthivel N., Saravanakumar A., Investors' satisfaction on online share trading and
technical problems faced by the investors: A study in coimbatore district of
tamilnadu, International Journal of Management Studies, 3, 9, (2018); Shah D., Isah
H., Zulkernine F., Stock market analysis: A review and taxonomy of prediction
techniques, International Journal of Financial Studies, 7, 2, (2019); Hathi U.,
Indian companies act 2013 highlights and review, Ssrn Electronic Journal, (2014);
Shenoy S.V., Srinivasan K., Relationship of ipo issue price and listing day returns
with ipo pricing parameters, International Journal of Management Studies, 4, 1,
(2018); Tanty G., Patjoshi P.K., A study on stock market volatility pattern of bse
and nse in india, Asian Journal of Management, 7, 3, (2016); Sridhar S., Mootha S.,
Subramanian S., Detection of market manipulation using ensemble neural networks,
2020 International Conference on Intelligent Systems and Computer Vision (ISCV, pp.
1-8, (2020); Zavadzki S., Kleina M., Drozda F., Marques M., Computational
intelligence techniques used for stock market prediction: A systematic review, Ieee
Latin America Transactions, 18, 4, pp. 744-755, (2020); Joshi M.C., Factors
affecting indian stock market, Ssrn Electronic Journal, (2013); Alhazbi S., Said
A.B., Al-Maadid A., Using deep learning to predict stock movements direction in
emerging markets: The case of qatar stock exchange, 2020 Ieee International
Conference on Informatics, IoT, and Enabling Technologies (ICIoT), Doha, Qatar, pp.
440-444, (2020); Wei D., Prediction of stock price based on lstm neural network,
2019 International Conference on Artificial Intelligence and Advanced Manufacturing
(AIAM, pp. 544-547, (2019); Keneshloo Y., Shi T., Ramakrishnan N., Reddy C.K., Deep
reinforcement learning for sequence-to-sequence models, Ieee Transactions on Neural
Networks and Learning Systems, 31, 7, pp. 2469-2489, (2019); Palasundram K., Mohd
Sharef N., Nasharuddin N.A., Kasmiran K.A., Azman A., Sequence to sequence model
performance for education chatbot, International Journal of Emerging Technologies
in Learning (IJET), 14, 24, (2019); Jain H., Harit G., An unsupervised sequence-to-
sequence autoencoder based human action scoring model, 2019 Ieee Global Conference
on Signal and Information Processing (GlobalSIP), pp. 1-5, (2019); Althelaya K.A.,
El-Alfy E.-S.M., Mohammed S., Evaluation of bidirectional lstm for short-And long-
term stock market prediction, 2018 9th International Conference on Information and
Communication Systems (ICICS, pp. 151-156, (2018); Chou J., Nguyen T., Forward
forecast of stock price using sliding-window metaheuristic-optimized machine-
learning regression, Ieee Transactions on Industrial Informatics, 14, 7, pp. 3132-
3142, (2018); Zhang Y., Yang Q., An overview of multi-task learning, National
Science Review, 5, 1, pp. 30-43, (2018); Ko B., Choi H., Paraphrase bidirectional
transformer with multitask learning, 2020 Ieee International Conference on Big Data
and Smart Computing (BigComp), pp. 217-220, (2020); Bing Y., Hao J.K., Zhang S.C.,
Stock market prediction using artificial neural networks, Advanced Engineering
Forum, 6-7, pp. 1055-1060, (2012); Jia M., Huang J., Pang L., Zhao Q., Analysis and
research on stock price of lstm and bidirectional lstm neural network, Proceedings
of the 3rd International Conference on Computer Engineering, Information Science &
Application Technology (ICCIA 2019, pp. 467-473, (2019); Cho C.-H., Lee G.-Y., Tsai
Y.-L., Lan K.-C., Toward stock price prediction using deep learning, Proceedings of
the 12th IEEE/ACM International Conference on Utility and Cloud Computing
Companion-UCC '19 Companion, pp. 133-135, (2019); Eapen J., Bein D., Verma A.,
Novel deep learning model with cnn and bi-directional lstm for improved stock
market index prediction, 2019 Ieee 9th Annual Computing and Communication Workshop
and Conference (CCWC, pp. 0264-0270, (2019); Li C., Song D., Tao D., Multi-task
recurrent neural networks and higher-order markov random fields for stock price
movement prediction, Proceedings of the 25th Acm Sigkdd International Conference on
Knowledge Discovery & Data Mining, pp. 1141-1151, (2019); Khan W., Ghazanfar M.A.,
Azam M.A., Karami A., Alyoubi K.H., Alfakeeh A.S., Stock market prediction using
machine learning classifiers and social media, news, Journal of Ambient
Intelligence and Humanized Computing, (2020); Tata Consumer Products Limited Share
Price Today, Live Nse Stock Price, News-NSE India, (2020); Hwang S., Jeon G., Jeong
J., Lee J., A novel time series based seq2seq model for temperature prediction in
firing furnace process, Procedia Computer Science, 155, pp. 19-26, (2019); Joshi
A., Mehta K., Gupta N., Valloli V.K., Data generation using sequence-to-sequence,
2018 Ieee Recent Advances in Intelligent Computational Systems (RAICS), pp. 108-
112, (2018); Aalipour G., Kumar P., Aditham S., Nguyen T., Sood A., Applications of
sequence to sequence models for technical support automation, 2018 Ieee
International Conference on Big Data (Big Data), pp. 4861-4869, (2018); Chen Y.,
Lin W., Wang J.Z., A dual-Attention-based stock price trend prediction model with
dual features, Ieee Access, 7, pp. 148047-148058, (2019); Balikas G., Moura S.,
Amini M.-R., Multitask learning for finegrained twitter sentiment analysis,
Proceedings of the 40th International Acm Sigir Conference on Research and
Development in Information Retrieval, pp. 1005-1008, (2017);
Sklearn.Preprocessing.Minmaxscaler-scikit-learn 0.22.1 Documentation, (2019); Lu
L., Zhang X., Cho K., Renals S., A study of the recurrent neural network encoder-
decoder for large vocabulary speech recognition, Proceedings of the Annual
Conference of the International Speech Communication Association, Interspeech, pp.
3249-3253, (2015); Reddy S.V.G., Reddy K.T., ValliKumari V., Optimization of deep
learning using various optimizers, loss functions and dropout, International
Journal of Recent Technology and Engineering (IJRTE), 7, 42, pp. 448-455, (2018);
Botchkarev A., A new typology design of performance metrics to measure errors in
machine learning regression algorithms, Interdisciplinary Journal of Information,
Knowledge, and Management, 14, pp. 045-076, (2019); PyCaret; Ravikumar S., Saraf
P., Prediction of stock prices using machine learning (regression, classification)
algorithms, 2020 International Conference for Emerging Technology (INCET), pp. 1-
5, (2020); Tanuwijaya J., Hansun S., Lq45 stock index prediction using k-nearest
neighbors regression, International Journal of Recent Technology and Engineering,
8, 3, pp. 2388-2391, (2019); Yang Y., Yang Y., Hybrid prediction method for wind
speed combining ensemble empirical mode decomposition and bayesian ridge
regression, Ieee Access, 8, pp. 71206-71218, (2020); Mar'i F., Pratiwi U., Oktanisa
I., Utaminingrum F., Comparative study of numerical methods in multiple linear
regression for stock prediction jakarta islamic index (jii), 2019 International
Conference on Sustainable Information Engineering and Technology (SIET), pp. 110-
115, (2019); Sun Q., Zhou W.-X., Fan J., Adaptive huber regression, Journal of the
American Statistical Association, 115, 529, pp. 254-265, (2019); Yenkikar A., Bali
M., Balu N., Emp-sa: Ensemble model based market prediction using sentiment
analysis, International Journal of Recent Technology and Engineering, 8, 2, pp.
6445-6452, (2019); Roy S.S., Mittal D., Basu A., Abraham A., Stock market
forecasting using lasso linear regression model, Advances in Intelligent Systems
and Computing, pp. 371-381, (2015); Henrique B.M., Sobreiro V.A., Kimura H., Stock
price prediction using support vector regression on daily and up to the minute
prices, The Journal of Finance and Data Science, 4, 3, pp. 183-201, (2018); Fraley
C., Hesterberg T., Least angle regression and lasso for large datasets, Statistical
Analysis and Data Mining, 1, 4, pp. 251-259, (2009)",,Paul R.,Institute of
Electrical and Electronics Engineers Inc.,IEEE New York Section; IEEE Region R1;
IEEE USA; Institute of Engineering and Management (IEM); Smart; University of
Engineering and Management (UEM),"11th IEEE Annual Ubiquitous Computing,
Electronics and Mobile Communication Conference, UEMCON 2020",28 October 2020
through 31 October 2020,"Virtual, New York City",166113,,978-172819656-
5,,,English,"IEEE Annu. Ubiquitous Comput., Electron. Mob. Commun. Conf.,
UEMCON",Conference paper,Final,,Scopus,2-s2.0-85099762059
Sands T.M.; Tayal D.; Morris M.E.; Monteiro S.T.,"Sands, Trevor M. (58333803000);
Tayal, Deep (57188816292); Morris, Matthew E. (57216514102); Monteiro, Sildomar T.
(7005373503)",58333803000; 57188816292; 57216514102; 7005373503,Robust stock value
prediction using support vector machines with particle swarm
optimization,2015,"2015 IEEE Congress on Evolutionary Computation, CEC 2015 -
Proceedings",,,7257306,3327,3331,4,23,10.1109/CEC.2015.7257306,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84963558369&doi=10.1109%2fCEC.2015.7257306&partnerID=40&md5=93e54922d72dc06aacf3f50
437a692a7,"Electrical and Microelectronic Engineering, Rochester Institute of
Technology, Rochester, 14623, NY, United States","Sands T.M., Electrical and
Microelectronic Engineering, Rochester Institute of Technology, Rochester, 14623,
NY, United States; Tayal D., Electrical and Microelectronic Engineering, Rochester
Institute of Technology, Rochester, 14623, NY, United States; Morris M.E.,
Electrical and Microelectronic Engineering, Rochester Institute of Technology,
Rochester, 14623, NY, United States; Monteiro S.T., Electrical and Microelectronic
Engineering, Rochester Institute of Technology, Rochester, 14623, NY, United
States","Attempting to understand and characterize trends in the stock market has
been the goal of numerous market analysts, but these patterns are often difficult
to detect until after they have been firmly established. Recently, attempts have
been made by both large companies and individual investors to utilize intelligent
analysis and trading algorithms to identify potential trends before they occur in
the market environment, effectively predicting future stock values and outlooks. In
this paper, three different classification algorithms will be compared for the
purposes of maximizing capital while minimizing risk to the investor. The main
contribution of this work is a demonstrated improvement over other prediction
methods using machine learning; the results show that tuning support vector machine
parameters with particle swarm optimization leads to highly accurate (approximately
95%) and robust stock forecasting for historical datasets. © 2015
IEEE.",,Artificial intelligence; Commerce; Electronic trading; Forecasting;
Investments; Learning systems; Optimization; Particle swarm optimization (PSO);
Support vector machines; Classification algorithm; Highly accurate; Intelligent
analysis; Large companies; Market environment; Prediction methods; Stock
forecasting; Stock value prediction; Evolutionary algorithms,,,,,,,"Boser B.E.,
Guyon I.M., Vapnik V.N., A training algorithm for optimal margin classifiers,
Proceedings of the Fifth Annual Workshop on Computational Learning Theory, pp. 144-
152, (1992); Scholkopf B., Simard P., Smola A.J., Vapnik V., Prior knowledge in
support vector kernels, Advances in Neural Information Processing Systems, pp. 640-
646, (1998); Kennedy J., Eberhart R.C., Particle swarm optimization, Proceedings of
the 1999 Congress on Evolutionary Computation, pp. 1942-1948, (1995); Palmer R.G.,
Arthur W.B., Holland J.H., LeBaron B., Tayler P., Artificial economic Life: A
simple model of a stockmarket, Physica D: Nonlinear Phenomena, 75, pp. 264-274,
(1994); Xia Y., Liu Y., Chen Z., Support Vector Regression for prediction of stock
trend, 6th International Conference on Information Management, Innovation
Management and Industrial Engineering (ICIII), 2, pp. 123-126, (2013); Yang Y.,
Pattern recognition based on support vector machine: Computerizing expertise for
predicting the trend of stock market, WRI World Congress on Computer Science and
Information Engineering, 6, pp. 60-66, (2009); Using Particle Swarm Optimization to
A Financial Time Series Prediction, International Conference on Distributed
Framework and Applications (DFmA), pp. 1-6, (2010); Aizerman M.A., Braverman E.A.,
Rozonoer L., Theoretical foundations of the potential function method in pattern
recognition learning, Automation and Remote Control, pp. 821-837, (1964); Elmezain
M., Al-Hamadi A., Rashid O., Michaelis B., Advanced Technologies, (2009); Shi Y.,
Eberhart R.C., Empirical study of particle swarm optimization, Proceedings of the
1999 Congress on Evolutionary Computation, 3, (1999); Shi Y., Eberhart R.C., A
modified particle swarm optimizer, IEEE International Conference on Evolutionary
Computation Proceedings, pp. 69-73, (1998); Escalante H.J., Montes M., Sucar L.E.,
Particle swarm model selection, Journal of Machine Learning Research, pp. 405-440,
(2009); Haykin S., Neural Networks A Comprehensive Foundation, 2 Ed, (1998);
Schierholt K., Dagli C.H., Stock market prediction using different neural network
classification architectures, Proceedings of the IEEE/IAFE 1996 Conference on
Computational Intelligence for Financial Engineering, pp. 72-78, (1996); Medeiros
M.C., Terasvirta T., Rech G., Building neural network models for time Series: A
statistical approach, SSE/EFI Working Paper Series in Economics and Finance, 508,
(2002); Connor J.T., Martin R.D., Atlas L.E., Recurrent neural networks and robust
time series prediction, IEEE Transactions on Neural Networks, 5, 2, pp. 240-254,
(1994); Bishop C.M., Pattern Recognition and Machine Learning (Information Science
and Statistics), (2006)",,,Institute of Electrical and Electronics Engineers
Inc.,,"IEEE Congress on Evolutionary Computation, CEC 2015",25 May 2015 through 28
May 2015,Sendai,118157,,978-147997492-4,,,English,"IEEE Congr. Evol. Comput., CEC -
Proc.",Conference paper,Final,,Scopus,2-s2.0-84963558369
Kordonis J.; Symeonidis S.; Arampatzis A.,"Kordonis, John (57193557158);
Symeonidis, Symeon (56292325400); Arampatzis, Avi (8246621200)",57193557158;
56292325400; 8246621200,Stock price forecasting via sentiment analysis on
Twitter,2016,ACM International Conference Proceeding
Series,,,a36,,,,23,10.1145/3003733.3003787,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85014853964&doi=10.1145%2f3003733.3003787&partnerID=40&md5=cddee18e75e8d4f7ab918b8d
fea7a1a5,"Electrical and Computer Engineering Dept., Democritus University of
Thrace, Xanthi, 67 100, Greece","Kordonis J., Electrical and Computer Engineering
Dept., Democritus University of Thrace, Xanthi, 67 100, Greece; Symeonidis S.,
Electrical and Computer Engineering Dept., Democritus University of Thrace, Xanthi,
67 100, Greece; Arampatzis A., Electrical and Computer Engineering Dept.,
Democritus University of Thrace, Xanthi, 67 100, Greece","Stock price forecasting
is an important and thriving topic in financial engineering especially since new
techniques and approaches on this matter are gaining ground constantly. In the
contemporary era, the ceaseless use of social media has reached unprecedented
levels, which has led to the belief that the expressed public sentiment could be
correlated with the behavior of stock prices. The idea is to recognize patterns
which confirm this correlation and use them to predict the future behavior of the
various stock prices. With no doubt, though uninteresting individually, tweets can
provide a satisfactory reection of public sentiment when taken in aggregate. In
this paper, we develop a system which collects past tweets, processes them further,
and examines the effectiveness of various machine learning techniques such as Naive
Bayes Bernoulli classification and Support Vector Machine (SVM), for providing a
positive or negative sentiment on the tweet corpus. Subsequently, we employ the
same machine learning algorithms to analyze how tweets correlate with stock market
price behavior. Finally, we examine our prediction's error by comparing our
algorithm's outcome with next day's actual close price. Overall, the ultimate goal
of this project is to forecast how the market will behave in the future via
sentiment analysis on a set of tweets over the past few days, as well as to examine
if the theory of contrarian investing is applicable. The final results seem to be
promising as we found correlation between sentiment of tweets and stock prices. ©
2016.",Machine learning; NLP; Sentiment analysis; Stock market prediction;
Twitter,Artificial intelligence; Commerce; Costs; Data mining; Electronic trading;
Finance; Forecasting; Learning algorithms; Learning systems; Social networking
(online); Support vector machines; Financial engineering; Machine learning
techniques; Negative sentiments; Sentiment analysis; Stock market prediction; Stock
market prices; Stock price forecasting; Twitter; Financial markets,,,,,,,"Antweiler
W., Frank M., Do US Stock Markets Typically Overreact to Corporate News Stories?,
pp. 1-22, (1998); Bollen J., Mao H., Twitter mood as a stock market predictor,
Computer, 44, 10, pp. 91-94, (2011); Mittal A., Goel A., Stock prediction using
twitter sentiment analysis, Tomx.Inf.Elte.Hu, (2012); Nielsen F.A., A new ANEW:
Evaluation of a word list for sentiment analysis in microblogs, Proceedings of the
ESWC2011 Workshop on 'Making Sense of Microposts' Big Things Come in Small
Packages, Volume 718 of CEUR Workshop Proceedings, pp. 93-98, (2011); Pak A.,
Paroubek P., Twitter as a corpus for sentiment analysis and opinion mining, Lrec,
pp. 1320-1326, (2010); Sprenger T.O., Tumasjan A., Sandner P.G., Welpe I.M., Tweets
and trades: The information content of stock microblogs, European Financial
Management, 20, 5, pp. 926-957, (2014); Wysocki P.D., Cheap Talk on the Web the
Determinants of Postings on Stock Message Boards, (1998)",,,Association for
Computing Machinery,Greek Computer Society (GCS); Technological Educational
Institution of Athens (TEI),"20th Pan-Hellenic Conference on Informatics, PCI
2016",10 November 2016 through 12 November 2016,Patra,126223,,978-145034789-
1,,,English,ACM Int. Conf. Proc. Ser.,Conference paper,Final,,Scopus,2-s2.0-
85014853964
Karim R.; Alam M.K.; Hossain M.R.,"Karim, Rezaul (57188843551); Alam, Md Khorshed
(58275547400); Hossain, Md Rezaul (57684839600)",57188843551; 58275547400;
57684839600,Stock market analysis using linear regression and decision tree
regression,2021,"2021 1st International Conference on Emerging Smart Technologies
and Applications, eSmarTA
2021",,,,,,,20,10.1109/eSmarTA52612.2021.9515762,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85115056218&doi=10.1109%2feSmarTA52612.2021.9515762&partnerID=40&md5=ada571e6a74358
665136c5780977a436,"School of Big Data Software Engineering, Chongqing University,
Chongqing, China; Daffodil International University, Dhaka, Bangladesh","Karim R.,
School of Big Data Software Engineering, Chongqing University, Chongqing, China;
Alam M.K., Daffodil International University, Dhaka, Bangladesh; Hossain M.R.,
School of Big Data Software Engineering, Chongqing University, Chongqing,
China","In business, the Stock market or Share market is a more perplexing and
sophisticated way to do business. Every business owner wants to reduce the risk and
make an immense profit using an effective way. The bank sector, brokerage
corporations, small ownerships, all depends on this very body to earn profit and
reduce risks. However, using the machine learning algorithm of this paper to
predict the future stock price and shuffle by using subsist algorithms and open
source libraries to assist in inventing this unsure format of business to a bit
more predictable. The proposed system of this paper works in two methods - Linear
Regression and Decision Tree Regression. Two models like Linear Regression and
Decision Tree Regression are applied for different sizes of a dataset for revealing
the stock price forecast prediction accuracy. Moreover, the authors of this paper
have revealed some development that could be the club to acquire better validity in
these approaches. © 2021 IEEE.",Big Data; Data Analysis; Decision Tree Regressor;
Linear Regression; Stock Market Analysis; Supervised Machine Learning,Commerce;
Decision trees; Financial markets; Forecasting; Learning algorithms; Linear
regression; Machine learning; Profitability; Business owners; Decision tree
regression; Different sizes; Open-source libraries; Prediction accuracy; Share
market; Stock market analysis; Stock price forecasts; Electronic
trading,,,,,,,"Zhang G., Patuwo B.E., Hu M.Y., Forecasting with articial neural
networks: The state of the art, Int.J.Forecasting, 14, pp. 35-62, (1998); Kim K.,
Financial time series forecasting using support vector machines, Neurocomputing,
55, pp. 307-319, (2003); Kavitha S., Varuna S., Ramya R., A comparative analysis on
linear regression and support vector regression, Online International Conference on
Green Engineering and Technologies (IC-GET), (2016); Verma R., Choure P., Singh U.,
Neural networks through stock market data prediction, International Conference on
Electronics, (2017); Attigeri G.V., Pai M.P.M.M.R.M., Nayak A., Stock market
prediction: A big data approach, Tencon 2015-2015 IEEE Region 10 Conference,
(2015); Graham B., Dodd D., Security Analysis, (2004); Walsh C., Key Management
Ratios, (2003); Shefrin H., Beyond Greed and Fear: Understanding Behavioral Finance
and the Psychology of Investing, (2002); O'Shaughnessy J., Predicting the Markets
of Tomorrow: A Contrarian Investment Strategy for the Next Twenty Years, (2009);
Srinidhi S., How to Split Your Dataset to Train and Test Datasets Using SciKit
Learn""","R. Karim; School of Big Data Software Engineering, Chongqing University,
Chongqing, China; email: [email protected]",,Institute of Electrical and
Electronics Engineers Inc.,,"1st International Conference on Emerging Smart
Technologies and Applications, eSmarTA 2021",10 August 2021 through 12 August
2021,Sana'a,171426,,978-166544078-3,,,English,"Int. Conf. Emerg. Smart Technol.
Appl., eSmarTA",Conference paper,Final,,Scopus,2-s2.0-85115056218
Xing F.Z.; Cambria E.; Malandri L.; Vercellis C.,"Xing, Frank Z. (57196019442);
Cambria, Erik (56140547500); Malandri, Lorenzo (57204852435); Vercellis, Carlo
(6602166592)",57196019442; 56140547500; 57204852435; 6602166592,Discovering
bayesian market views for intelligent asset allocation,2019,Lecture Notes in
Computer Science (including subseries Lecture Notes in Artificial Intelligence and
Lecture Notes in Bioinformatics),11053 LNAI,,,120,135,15,21,10.1007/978-3-030-
10997-4_8,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?
eid=2-s2.0-85061122338&doi=10.1007%2f978-3-030-10997-
4_8&partnerID=40&md5=1cd92be44e9d217cb006e34d5032c345,"School of Computer Science
and Engineering, Nanyang Technological University, Singapore, Singapore; Data
Mining and Optimization Research Group, Politecnico di Milano, Milan, Italy","Xing
F.Z., School of Computer Science and Engineering, Nanyang Technological University,
Singapore, Singapore; Cambria E., School of Computer Science and Engineering,
Nanyang Technological University, Singapore, Singapore; Malandri L., Data Mining
and Optimization Research Group, Politecnico di Milano, Milan, Italy; Vercellis C.,
Data Mining and Optimization Research Group, Politecnico di Milano, Milan,
Italy","Along with the advance of opinion mining techniques, public mood has been
found to be a key element for stock market prediction. However, how market
participants’ behavior is affected by public mood has been rarely discussed.
Consequently, there has been little progress in leveraging public mood for the
asset allocation problem, which is preferred in a trusted and interpretable way. In
order to address the issue of incorporating public mood analyzed from social media,
we propose to formalize public mood into market views, because market views can be
integrated into the modern portfolio theory. In our framework, the optimal market
views will maximize returns in each period with a Bayesian asset allocation model.
We train two neural models to generate the market views, and benchmark the model
performance on other popular asset allocation strategies. Our experimental results
suggest that the formalization of market views significantly increases the
profitability ($$5\%$$ to $$10\%$$ annually) of the simulated portfolio at a given
risk level. © 2019, Springer Nature Switzerland AG.",Asset allocation; Market
views; Public mood,Benchmarking; Investments; Machine learning; Sentiment analysis;
Asset allocation; Market participants; Model performance; Modern portfolio
theories; Neural models; Opinion mining; Public mood; Stock market prediction;
Commerce,,,,,,,"Angeletos G., Lao J., Sentiments. Econometrica, 81, 2, pp. 739-779,
(2013); Antweiler W., Frank M.Z., Is all that talk just noise? The information
content of internet stock message boards, J. Finance, 59, 3, pp. 1259-1294, (2004);
Black F., Litterman R., Asset allocation: Combining investor view with market
equilibrium, J. Fixed Income, 1, pp. 7-18, (1991); Bollen J., Mao H., Zeng X.,
Twitter mood predicts the stock market, J. Comput. Sci., 2, 1, pp. 1-8, (2011);
Brandt M.W., Portfolio choice problems, Handbook of Financial Econometrics, 1, pp.
269-336, (2009); Cambria E., Affective computing and sentiment analysis, IEEE
Intell. Syst., 31, 2, pp. 102-107, (2016); Cambria E., Das D., Bandyopadhyay S.,
Feraco A., A Practical Guide to Sentiment Analysis, (2017); Chan S.W., Chong M.W.,
Sentiment analysis in financial texts, Decis. Support Syst., 94, pp. 53-64, (2017);
Chaturvedi I., Ragusa E., Gastaldo P., Zunino R., Cambria E., Bayesian network
based extreme learning machine for subjectivity detection, J. Frankl. Inst., 355,
4, pp. 1780-1797, (2018); Fama E.F., French K.R., Luck versus skill in the cross-
section of mutual fund returns, J. Financ., 65, 5, pp. 1915-1947, (2010); Gers
F.A., Eck D., Schmidhuber J., Applying LSTM to time series predictable through
time-window approaches, ICANN 2001. LNCS, 2130, pp. 669-676, (2001); Greff K.,
Srivastava R.K., Koutnik J., Steunebrink B.R., Schmidhuber J., LSTM: A search space
odyssey, IEEE Trans. Neural Netw. Learn. Syst., 28, 10, pp. 2222-2232, (2017); He
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Predictive sentiment analysis of tweets: A stock market application, HCI-KDD 2013.
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Natural language based financial forecasting: A survey, Artif. Intell. Rev., 50, 1,
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series with fuzzy neural networks, International Joint Conference on Neural
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Res., 5, 1, pp. 103-110, (2016); Zhang W., Skiena S., Trading strategies to exploit
blog and news sentiment, Proceedings of the Fourth International AAAI Conference on
Weblogs and Social Media, pp. 375-378, (2010)","F.Z. Xing; School of Computer
Science and Engineering, Nanyang Technological University, Singapore, Singapore;
email: [email protected]",Brefeld U.; Marascu A.; Pinelli F.; Curry E.; MacNamee
B.; Hurley N.; Daly E.; Berlingerio M.,Springer Verlag,,"European Conference on
Machine Learning and Principles and Practice of Knowledge Discovery in Databases,
ECML-PKDD 2018",10 September 2018 through 14 September
2018,Dublin,223149,3029743,978-303010996-7,,,English,Lect. Notes Comput.
Sci.,Conference paper,Final,,Scopus,2-s2.0-85061122338
Kumar S.; Ningombam D.,"Kumar, Saurav (59048713800); Ningombam, Dhruba
(57200762188)",59048713800; 57200762188,Short-Term Forecasting of Stock Prices
Using Long Short Term Memory,2018,"Proceedings - 2018 International Conference on
Information Technology, ICIT
2018",,,8724351,182,186,4,22,10.1109/ICIT.2018.00046,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85067436089&doi=10.1109%2fICIT.2018.00046&partnerID=40&md5=f25cef2ce8ff0f7f2d7777fe
615bda57,"Department of Computer Science and Engineering, Sikkim Manipal Institute
of Technology, Rangpo, 737136, India","Kumar S., Department of Computer Science and
Engineering, Sikkim Manipal Institute of Technology, Rangpo, 737136, India;
Ningombam D., Department of Computer Science and Engineering, Sikkim Manipal
Institute of Technology, Rangpo, 737136, India","Predicting stock market is not an
easy task as it is a chaotic system i.e. whose dynamics are sensitive to
arbitrarily small differences in initial conditions. Any small changes in the
system can produce compound errors in predicting the future behavior of the system.
Over the last few years, many machine learning algorithms have been used in an
attempt to forecast stock prices. This paper evaluates the effectiveness of a type
of Recurrent Neural Network known as Long Short Term Memory (LSTM) to implement
technical analysis for making predictions about stock prices of AAPL ticker from
NASDAQ exchange. Performance with three popular output activation layers is tested
with Adam optimizer as back-propagation algorithm. The performance is compared
using Root Mean Square Deviation. The model had an average RMSE value of 12.483
with linear output activation scaled to range (0,1) and 3.258 for the same scaled
to a range of (-1,1), 21.769 with sigmoid output activation scaled to range (0,1)
and 21.738 with tanh output activation scaled to a range of (-1,1). © 2018
IEEE.",Adam Optimizer; Long short term memory; Recurrent neural networks; Stock
market prediction; Technical Analysis; Time series analysis,Backpropagation
algorithms; Brain; Chaotic systems; Chemical activation; Commerce; Costs;
Electronic trading; Financial markets; Forecasting; Learning algorithms; Machine
learning; Recurrent neural networks; Time series analysis; Activation layer;
Initial conditions; Nasdaq Exchange; Optimizers; Root mean square deviations;
Short-term forecasting; Stock market prediction; Technical analysis; Long short-
term memory,,,,,,,"Fama E.F., The behavior of stock-market prices, The Journal of
Business, 38, 1, pp. 34-105, (1965); Lui Y., Mole D., The use of fundamental and
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B., Finnie G., Financial time series forecasting with machine learning techniques:
A survey, Paper Presen at the European Symposium on Artificial Neural Networks:
Computational and Machine Learning, (2010); Hochreiter S., Schmidhuber J., Long
short-term memory, Neural Computation, 9, 8, pp. 1735-1780, (1997); Graves A.,
Mohamed A.R., Hinton G., Speech recognition with deep recurrent neural networks,
2013 IEEE International Conference on Acoustics, Speech and Signal Processing, pp.
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Optimization, Published at ICLR 2015, (2015); Srivastava N., Hinton G., Krizhevsky
A., Sutskever I., Salakhutdinov R., Dropout: A simple way to prevent neural
networks from overfitting, Journal of Machine Learning Research, 15, (2014);
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Honchar O., Artificial neural networks approach to the forecast of stock market
price movements, International Journal of Economics and Management Systems, 1,
(2016)",,,Institute of Electrical and Electronics Engineers Inc.,,"17th
International Conference on Information Technology, ICIT 2018",20 December 2018
through 22 December 2018,Bhubaneswar,148497,,978-172810259-7,,,English,"Proc. -
Int. Conf. Inf. Technol., ICIT",Conference paper,Final,,Scopus,2-s2.0-85067436089
Paliari I.; Karanikola A.; Kotsiantis S.,"Paliari, Iliana (57302728300);
Karanikola, Aikaterini (57202999208); Kotsiantis, Sotiris
(35584345800)",57302728300; 57202999208; 35584345800,"A comparison of the optimized
LSTM, XGBOOST and ARIMA in Time Series forecasting",2021,"IISA 2021 - 12th
International Conference on Information, Intelligence, Systems and
Applications",,,9555520,,,,20,10.1109/IISA52424.2021.9555520,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85117493044&doi=10.1109%2fIISA52424.2021.9555520&partnerID=40&md5=de70361899d54b9f3
f562bdb98712472,"Hellenic Open University, Graduate of School of Science, Patras,
Greece; University of Patras, Department of Mathematics, Patras, Greece","Paliari
I., Hellenic Open University, Graduate of School of Science, Patras, Greece;
Karanikola A., University of Patras, Department of Mathematics, Patras, Greece;
Kotsiantis S., University of Patras, Department of Mathematics, Patras,
Greece","The term time series refers to historical data comprise of observations
that are made in a fixed time step, successively, over a period of time. This work
focuses on the training and application of modern Machine Learning approaches, like
Deep Neural Network techniques, to model and predict general time series obtained
from several open databases. The selection of the data that were used in the
experiments was focused on specific economic and social phenomena, intending to
predict their evolution over time. The main and final goal remains the comparison
of the aforementioned predicting approaches, as well as the optimization of them in
order to improve their accuracy. © 2021 IEEE.",ARIMA model; Australian Stock
Market; Financial Forecasting; Long-Short-Term Memory (LSTM); Short-term Forecast;
Stock Exchange.; XGBoost,Deep neural networks; Electronic trading; Financial
markets; Forecasting; Time series; ARIMA models; Australian stock market; Financial
forecasting; Long-short-term memory; Short-term forecasts; Stock exchange; Stock
exchange.; Time series forecasting; Times series; Xgboost; Long short-term
memory,,,,,,,"Engle R.F., Autoregressive conditional heteroscedacity with estimates
of variance of United Kingdom inflation, Journal of Econometrica, 50, 4, pp. 987-
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arima modeling and forecasting of rainfall in warri town, Nigeria, J. Geosci.
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using arima model, J. Adv. Manag. Sci., pp. 117-121, (2016); Sagheer A., Kotb M.,
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Giannetti C., A deep learning framework for univariate time series prediction using
convolutional lstm stacked autoencoders, IEEE Int. Symp. Innov. Intell. Syst. Appl.
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to evaluate the performance of decision tree-based boosting algorithms, Env. Prog.
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Forecasting and Control, 734, (2011); Chollet F., Keras, GitHub, (2015); Pedregosa
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585, 7825, pp. 357-362, (2020); Chen T., Guestrin C., {xgboost}: A scalable tree
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D., Hespeels N.,
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Ensemble learning: A survey, Wiley Interdiscip. Rev. Data Min. Knowl. Discov., 8,
4, pp. 1-18, (2018)",,,Institute of Electrical and Electronics Engineers
Inc.,,"12th International Conference on Information, Intelligence, Systems and
Applications, IISA 2021",12 July 2021 through 14 July 2021,"Virtual, Chania
Crete",172453,,978-166540032-9,,,English,"IISA - Int. Conf. Inf., Intell., Syst.
Appl.",Conference paper,Final,,Scopus,2-s2.0-85117493044
Lúcio F.; Caiado J.,"Lúcio, Francisco (57807443300); Caiado, Jorge
(13103216800)",57807443300; 13103216800,COVID-19 and Stock Market Volatility: A
Clustering Approach for S&P 500 Industry Indices,2022,Finance Research
Letters,49,,103141,,,,24,10.1016/j.frl.2022.103141,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85134350399&doi=10.1016%2fj.frl.2022.103141&partnerID=40&md5=4d1e85e97878ead38f398a
220d31c8cd,"ISEG, Universidade de Lisboa, Rua do Quelhas, 6, Lisboa, 1200-781,
Portugal; CEMAPRE/REM and ISEG, Universidade de Lisboa, Rua do Quelhas, 6, Lisboa,
1200-781, Portugal","Lúcio F., ISEG, Universidade de Lisboa, Rua do Quelhas, 6,
Lisboa, 1200-781, Portugal; Caiado J., CEMAPRE/REM and ISEG, Universidade de
Lisboa, Rua do Quelhas, 6, Lisboa, 1200-781, Portugal","We study how the COVID-19
pandemic affected some of the conditional volatilities of S&P 500 industries, using
a new model feature-based clustering method on a fitted TGARCH model. Rather than
using the estimated model parameters to compute a distance matrix for the stock
indices, we suggest using a distance based on the autocorrelations of the estimated
conditional volatilities. Both hierarchical and non-hierarchical algorithms are
used to assign the set of industries into clusters. The results show a clear change
in the composition of each cluster between the period before the first US COVID-19
case and the period during the pandemic. © 2022 Elsevier Inc.",Autocorrelation;
Cluster analysis; COVID-19; S&P 500; Threshold GARCH model; Unsupervised machine
learning; Volatility,,,,,,,,"Achille A., Zipser D., A perspective for the luxury-
goods industry during—and after—coronavirus, (2020); Albulescu C.T., COVID-19 and
the United States financial markets’ volatility, Finance Research Letters, 38,
(2021); Ashraf B.N., Stock markets’ reaction to COVID-19: Cases or fatalities?,
Research in International Business and Finance, 54, (2020); Bastos J.A., Caiado J.,
Clustering financial time series with variance ratio statistics, Quantitative
Finance, 14, pp. 2121-2133, (2014); Bastos J.A., Caiado J., On the classification
of financial data with domain agnostic features, International Journal of
Approximate Reasoning, 138, pp. 1-11, (2021); Caiado J., Crato N., A GARCH-based
method for clustering of financial time series: International stock markets
evidence, Recent Advances in Stochastic Modeling and Data Analysis, pp. 542-551,
(2007); Caiado J., Crato N., Identifying common dynamic features in stock returns,
Quantitative Finance, 10, pp. 797-807, (2010); Caiado J., Crato N., Poncela P., A
fragmented-periodogram approach for clustering big data time series, Advances in
Data Analysis and Classification, 14, pp. 117-146, (2020); Caiado J., Maharaj E.A.,
D'Urso P., Time Series Clustering, Handbook of Cluster Analysis, pp. 241-263,
(2015); Cepoi C.O., Asymmetric dependence between stock market returns and news
during COVID-19 financial turmoil, Finance Research Letters, 36, (2020); Chaudhary
R., Bakhshi P., Gupta H., Volatility in international stock markets: An empirical
study during COVID-19, Journal of Risk and Financial Management, 13, 9, (2020); D'
Urso P., De Giovanni L., Massari R., GARCH-based robust clustering of time series,
Fuzzy Sets and Systems, 318, pp. 56-79, (2016); Ding Z., Granger C.W.J., Engle
R.F., A long memory property of stock market returns and a new model, Journal of
Empirical Finance, 1, pp. 83-106, (1993); Engle R., Patton A., What good is a
volatility model?, Quantitative Finance, 1, pp. 237-245, (2001); Everitt B., Landau
S., Leese M., Cluster Analysis, (2001); Glosten L.R., Jagannathan R., Runkle D.E.,
On the Relation between the Expected Value and the Volatility of the Nominal Excess
Return on Stocks, Journal of Finance, 48, pp. 1779-1801, (1993); Granger C.W.J.,
Ding Z., Varieties of long-memory models, Journal of Econometrics, 73, pp. 61-77,
(1996); Halkidi M., Batistakis Y., Vazirgiannis M., On Clustering Validation
Techniques, Journal of Intelligent Information Systems, 17, pp. 107-145, (2001);
Krishnan V., Mann R., Seitzman N., Wittkamp N., Hospitality and COVID-19: How long
until ‘no vacancy'for US hotels?, Mckinsey & Company, (2020); Maharaj E.A., D'Urso
P., Caiado J., Time Series Classification and Clustering, (2019); Mittal S., Sharma
D., The Impact of COVID-19 on Stock Returns of the Indian Healthcare and
Pharmaceutical Sector, Australasian Accounting, Business and Finance Journal, 15,
pp. 5-21, (2021); Otranto E., Clustering heteroskedastic time series by model-based
procedures, Computational Statistics & Data Analysis, 52, pp. 4685-4698, (2008);
Otranto E., Identifying financial time series with similar dynamic conditional
correlation, Computational Statistics & Data Analysis, 54, pp. 1-15, (2010); Song
H.J., Yeon J., Lee S., Impact of the COVID-19 pandemic: Evidence from the US
restaurant industry, International Journal of Hospitality Management, 92, (2021);
Zakoian J.-M., Threshold heteroskedastic models, Journal of Economic Dynamics and
Control, 18, pp. 931-955, (1994)","J. Caiado; CEMAPRE/REM and ISEG, Universidade de
Lisboa, Lisboa, Rua do Quelhas, 6, 1200-781, Portugal; email:
[email protected]",,Elsevier Ltd,,,,,,15446123,,,,English,Finan. Res.
Lett.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85134350399
Bhattacharjee I.; Bhattacharja P.,"Bhattacharjee, Indronil (57216689513);
Bhattacharja, Pryonti (57216688961)",57216689513; 57216688961,Stock Price
Prediction: A Comparative Study between Traditional Statistical Approach and
Machine Learning Approach,2019,"2019 4th International Conference on Electrical
Information and Communication Technology, EICT
2019",,,9068850,,,,24,10.1109/EICT48899.2019.9068850,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85084326308&doi=10.1109%2fEICT48899.2019.9068850&partnerID=40&md5=67c76009fa0c8f92e
e6112304a3a3d13,"Khulna University of Engineering Technology, Department of
Computer Science and Engineering, Khulna, Bangladesh; Shahjalal University of
Science and Technology, Department of Economics, Sylhet, Bangladesh","Bhattacharjee
I., Khulna University of Engineering Technology, Department of Computer Science and
Engineering, Khulna, Bangladesh; Bhattacharja P., Shahjalal University of Science
and Technology, Department of Economics, Sylhet, Bangladesh","Stock market is one
of the most important sectors of a country's economy. Prediction of stock prices is
not easy since it is not stationary in nature. The objective of this paper is to
find the best possible method to predict the closing prices of stocks through a
comparative study between different traditional statistical approaches and machine
learning techniques. Predictions using statistical methods like Simple Moving
Average, Weighted Moving Average, Exponential Smoothing, Naive approach, and
machine learning methods like Linear Regression, Lasso, Ridge, K-Nearest Neighbors,
Support Vector Machine, Random Forest, Single Layer Perceptron, Multi-layer
Perceptron, Long Short Term Memory are performed. Moreover, a comparative study
between statistical approaches and machine learning approaches has been done in
terms of prediction performances and accuracy. After studying all the methods
individually, the machine learning approach, especially the neural network models
are found to be the most accurate for stock price prediction. © 2019 IEEE.",Long
Short Term memory; Machine Learning; Multi-layer Perceptron; Neural Networks;
Statistical methods; Stock price prediction,Costs; Decision trees; Economics;
Financial markets; Forecasting; Nearest neighbor search; Support vector machines;
Support vector regression; Machine learning approaches; Machine learning methods;
Machine learning techniques; Multi layer perceptron; Prediction performance; Single
layer perceptron; Stock price prediction; Weighted moving averages; Learning
systems,,,,,,,"Dhankar R.S., Capital Markets Investment Decision Making, (2019);
Usmani M., Adil S.H., Raza K., Ali S.S.A., Stock market prediction using machine
learning techniques, 2016 3rd International Conference on Computer and Information
Sciences (ICCOINS), pp. 322-327, (2016); Grigoryan H., A stock market prediction
method based on support vector machines (SVM) and independent component analysis
(ica), Database Systems Journal, 7, 1, pp. 12-21, (2016); Hansun S., A new approach
of moving average method in time series analysis, 2013 International Conference on
New Media Studies, CoNMedia 2013, pp. 1-4, (2013); Ostertagova E., Ostertag O., The
Simple Exponential Smoothing Model, 9, (2011); Saptashwa, Ridge and Lasso
Regression: A Complete Guide with Python Scikit-Learn, (2018); Sayad D.S., K
Nearest Neighbors-Regression; Patel J., Shah S., Thakkar P., Kotecha K., Predicting
stock market index using fusion of machine learning techniques, Expert Syst. Appl.,
42, pp. 2162-2172, (2015); Sayad D.S., Support Vector Machine-Regression (SVR;
Rathor S., Simple RNN Vs GRU Vs LSTM :-Difference Lies in More Flexible Control,
(2018)",,,Institute of Electrical and Electronics Engineers Inc.,,"4th
International Conference on Electrical Information and Communication Technology,
EICT 2019",20 December 2019 through 22 December 2019,Khulna,159396,,978-172816040-
5,,,English,"Int. Conf. Electr. Inf. Commun. Technol., EICT",Conference
paper,Final,,Scopus,2-s2.0-85084326308
Naik N.; Mohan B.R.,"Naik, Nagaraj (57208816923); Mohan, Biju R.
(23482323800)",57208816923; 23482323800,Study of stock return predictions using
recurrent neural networks with LSTM,2019,Communications in Computer and Information
Science,1000,,,453,459,6,24,10.1007/978-3-030-20257-6_39,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85065882658&doi=10.1007%2f978-3-030-20257-
6_39&partnerID=40&md5=8ff262a2fed2575313b108e74299532f,"Department of Information
Technology, National Institute of Technology, Surathkal, Karnataka, India","Naik
N., Department of Information Technology, National Institute of Technology,
Surathkal, Karnataka, India; Mohan B.R., Department of Information Technology,
National Institute of Technology, Surathkal, Karnataka, India","Stock price returns
forecasting is challenging task for day traders to yield more returns. In the past,
most of the literature was focused on machine learning algorithm to predict the
stock returns. In this work, the recurrent neural network (RNN) with long short
term memory (LSTM) is studied to forecast future stock returns. It has the ability
to keep the memory of historical stock returns in order to forecast future stock
return output. RNN with LSTM is used to store recent stock information than old
related stock information. We have considered a recurrent dropout in RNN layers to
avoid overfitting in the model. To accomplish the task we have calculated stock
return based on stock closing prices. These stock returns are given as input to the
recurrent neural network. The objective function of the prediction model is to
minimize the error in the model. To conduct the experiment, data is collected from
the National Stock Exchange, India (NSE). The proposed RNN with LSTM model
outperforms compared to an feed forward artificial neural network. © Springer
Nature Switzerland AG 2019.",Long term short memory; Recurrent neural network;
Stock return,Electronic trading; Financial markets; Forecasting; Investments;
Learning algorithms; Machine learning; Recurrent neural networks; Feed-forward
artificial neural networks; Objective functions; Prediction model; Recurrent neural
network (RNN); Short memory; Stock exchange; Stock return predictions; Stock
returns; Long short-term memory,,,,,"Ministry of Electronics and Information
technology, Meity; National Institute of Technology Karnataka, Surathkal,
NITK","Funding text 1: This work is supported by the Visvesvaraya Ph.D Scheme for
Electronics and IT the departments of MeitY, Government of India. The Task carried
out at the Department of IT, NITK Surathkal, Mangalore, India.; Funding text 2:
Acknowledgment. This work is supported by the Visvesvaraya Ph.D Scheme for
Electronics and IT the departments of MeitY, Government of India. The Task carried
out at the Department of IT, NITK Surathkal, Mangalore, India.","Berutich J.M.,
Lopez F., Luna F., Quintana D., Robust technical trading strategies using GP for
algorithmic portfolio selection, Expert Syst. Appl., 46, pp. 307-315, (2016);
Chourmouziadis K., Chatzoglou P.D., An intelligent short term stock trading fuzzy
system for assisting investors in portfolio management, Expert Syst. Appl., 43, pp.
298-311, (2016); Enke D., Mehdiyev N., Stock market prediction using a combination
of step-wise regression analysis, differential evolution-based fuzzy clustering,
and a fuzzy inference neural network, Intell. Autom. Soft Comput., 19, 4, pp. 636-
648, (2013); Graves A., Generating sequences with recurrent neural networks, Arxiv
Preprint Arxiv: 1308, 850, (2013); Macedo L.L., Godinho P., Alves M.J., Mean-
semivariance portfolio optimization with multiobjective evolutionary algorithms and
technical analysis rules, Expert Syst. Appl., 79, pp. 33-43, (2017); Mousavi S.,
Esfahanipour A., Zarandi M.H.F., A novel approach to dynamic portfolio trading
system using multitree genetic programming, Knowl.-Based Syst., 66, pp. 68-81,
(2014); Nakano M., Takahashi A., Takahashi S., Generalized exponential moving
average (EMA) model with particle filtering and anomaly detection, Expert Syst.
Appl., 73, pp. 187-200, (2017); Olah C., Understanding LSTM Networks, (2015); Preis
T., Moat H.S., Stanley H.E., Quantifying trading behavior in financial markets
using google trends, Sci. Rep., 3, 1684, (2013); Qiu M., Song Y., Akagi F.,
Application of artificial neural network for the prediction of stock market
returns: The case of the Japanese stock market, Chaos, Solitons Fractals, 85, pp.
1-7, (2016); Rubio A., Bermudez J.D., Vercher E., Improving stock index forecasts
by using a new weighted fuzzy-trend time series method, Expert Syst. Appl., 76, pp.
12-20, (2017); Ticknor J.L., A bayesian regularized artificial neural network for
stock market forecasting, Expert Syst. Appl., 40, 14, pp. 5501-5506, (2013); Tsai
C.-F., Hsiao Y.-C., Combining multiple feature selection methods for stock
prediction: Union, intersection, and multi-intersection approaches, Decis. Support
Syst., 50, 1, pp. 258-269, (2010); Tsai C.-F., Lin Y.-C., Yen D.C., Chen Y.-M.,
Predicting stock returns by classifier ensembles, Appl. Soft Comput., 11, 2, pp.
2452-2459, (2011); Vaisla K.S., Bhatt A.K., An analysis of the performance of
artificial neural network technique for stock market forecasting, Int. J. Comput.
Sci. Eng., 2, 6, pp. 2104-2109, (2010); Zhang Y., Lenan W., Stock market prediction
of s&p 500 via combination of improved bco approach and bp neural network, Expert
Syst. Appl., 36, 5, pp. 8849-8854, (2009); Zhong X., Enke D., Forecasting daily
stock market return using dimensionality reduction, Expert Syst. Appl., 67, pp.
126-139, (2017)","N. Naik; Department of Information Technology, National Institute
of Technology, Surathkal, India; email: [email protected]",Macintyre J.;
Iliadis L.; Maglogiannis I.; Jayne C.,Springer Verlag,,"20th International
Conference on Engineering Applications of Neural Networks, EANN 2019",24 May 2019
through 26 May 2019,Hersonissos,226199,18650929,978-303020256-9,,,English,Commun.
Comput. Info. Sci.,Conference paper,Final,,Scopus,2-s2.0-85065882658
Duan Y.; Wang L.; Zhang Q.; Li J.,"Duan, Yitong (58095552900); Wang, Lei
(58608214800); Zhang, Qizhong (59060837900); Li, Jian (56199160700)",58095552900;
58608214800; 59060837900; 56199160700,FactorVAE: A Probabilistic Dynamic Factor
Model Based on Variational Autoencoder for Predicting Cross-Sectional Stock
Returns,2022,"Proceedings of the 36th AAAI Conference on Artificial Intelligence,
AAAI 2022",36,,,4468,4476,8,24,10.1609/aaai.v36i4.20369,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85147667168&doi=10.1609%2faaai.v36i4.20369&partnerID=40&md5=2074863f44949034462db32
13bae923e,"Tsinghua University, China","Duan Y., Tsinghua University, China; Wang
L., Tsinghua University, China; Zhang Q., Tsinghua University, China; Li J.,
Tsinghua University, China","As an asset pricing model in economics and finance,
factor model has been widely used in quantitative investment. Towards building more
effective factor models, recent years have witnessed the paradigm shift from linear
models to more flexible nonlinear data-driven machine learning models. However, due
to low signal-to-noise ratio of the financial data, it is quite challenging to
learn effective factor models. In this paper, we propose a novel factor model,
FactorVAE, as a probabilistic model with inherent randomness for noise modeling.
Essentially, our model integrates the dynamic factor model (DFM) with the
variational autoencoder (VAE) in machine learning, and we propose a prior-posterior
learning method based on VAE, which can effectively guide the learning of model by
approximating an optimal posterior factor model with future information.
Particularly, considering that risk modeling is important for the noisy stock data,
FactorVAE can estimate the variances from the distribution over the latent space of
VAE, in addition to predicting returns. The experiments on the real stock market
data demonstrate the effectiveness of FactorVAE, which outperforms various baseline
methods. Copyright © 2022, Association for the Advancement of Artificial
Intelligence (www.aaai.org). All rights reserved.",,Financial markets; Investments;
Machine learning; Risk perception; Signal to noise ratio; Asset pricing model; Auto
encoders; Dynamic factor modeling; Factor model; Linear modeling; Model-based OPC;
Nonlinear data; Paradigm shifts; Probabilistic dynamics; Stock returns;
Economics,,,,,"Xi'an Institute for Interdisciplinary Information Core Technology;
Xi’an Institute for Interdisciplinary Information Core Technology; National Natural
Science Foundation of China, NSFC, (62161146004); National Natural Science
Foundation of China, NSFC","Funding text 1: The research is supported in part by
the National Natural Science Foundation of China Grant 62161146004, Turing AI
Institute of Nanjing and Xi’an Institute for Interdisciplinary Information Core
Technology.; Funding text 2: The research is supported in part by the National
Natural Science Foundation of China Grant 62161146004, Turing AI Institute of
Nanjing and Xi'an Institute for Interdisciplinary Information Core
Technology.","Bansal R., Yaron A., Risks for the long run: A potential resolution
of asset pricing puzzles, The journal of Finance, 59, 4, pp. 1481-1509, (2004);
Chen D., Zou Y., Harimoto K., Bao R., Ren X., Sun X., Incorporating fine-grained
events in stock movement prediction, (2019); Chen Y., Wei Z., Huang X.,
Incorporating corporation relationship via graph convolutional neural networks for
stock price prediction, Proceedings of the 27th ACM International Conference on
Information and Knowledge Management, pp. 1655-1658, (2018); Cheng D., Yang F.,
Wang X., Zhang Y., Zhang L., Knowledge graph-based event embedding framework for
financial quantitative investments, Proceedings of the 43rd International ACM SIGIR
Conference on Research and Development in Information Retrieval, pp. 2221-2230,
(2020); Chung J., Gulcehre C., Cho K., Bengio Y., Empirical evaluation of gated
recurrent neural networks on sequence modeling, (2014); Chung J., Kastner K., Dinh
L., Goel K., Courville A. C., Bengio Y., A recurrent latent variable model for
sequential data, Advances in neural information processing systems, 28, pp. 2980-
2988, (2015); Daniel K., Hirshleifer D., Sun L., Short-and long-horizon behavioral
factors, The review of financial studies, 33, 4, pp. 1673-1736, (2020); Ding Q., Wu
S., Sun H., Guo J., Guo J., Hierarchical Multi-Scale Gaussian Transformer for Stock
Movement Prediction, IJCAI, pp. 4640-4646, (2020); Eugene F., French K., The cross-
section of expected stock returns, Journal of Finance, 47, 2, pp. 427-465, (1992);
Fama E. F., French K. R., Comparing cross-section and time-series factor models,
The Review of Financial Studies, 33, 5, pp. 1891-1926, (2020); Fama E. F., French
K. R., Multifactor explanations of asset pricing anomalies, (2021); Fraccaro M.,
Sonderby S. K., Paquet U., Winther O., Sequential neural models with stochastic
layers, (2016); Gu S., Kelly B., Xiu D., Autoencoder asset pricing models, Journal
of Econometrics, 222, 1, pp. 429-450, (2021); He Z., Krishnamurthy A., Intermediary
asset pricing, American Economic Review, 103, 2, pp. 732-770, (2013); Hu Z., Liu
W., Bian J., Liu X., Liu T.-Y., Listening to chaotic whispers: A deep learning
framework for news-oriented stock trend prediction, Proceedings of the eleventh ACM
international conference on web search and data mining, pp. 261-269, (2018);
Karolyi G. A., Van Nieuwerburgh S., New methods for the cross-section of returns,
The Review of Financial Studies, 33, 5, pp. 1879-1890, (2020); Kelly B. T., Pruitt
S., Su Y., Characteristics are covariances: A unified model of risk and return,
Journal of Financial Economics, 134, 3, pp. 501-524, (2019); Kingma D. P., Welling
M., Auto-encoding variational bayes, (2013); Lintner J., The valuation of risk
assets and the selection of risky investments in stock portfolios and capital
budgets, Stochastic optimization models in finance, pp. 131-155, (1975); Luo R.,
Zhang W., Xu X., Wang J., A neural stochastic volatility model, Thirty-second AAAI
conference on artificial intelligence, (2018); Miao Y., Yu L., Blunsom P., Neural
variational inference for text processing, International conference on machine
learning, pp. 1727-1736, (2016); Ng V., Engle R. F., Rothschild M., A multidynamic-
factor model for stock returns, Journal of Econometrics, 52, 1-2, pp. 245-266,
(1992); Qin Y., Song D., Chen H., Cheng W., Jiang G., Cottrell G., A dual-stage
attention-based recurrent neural network for time series prediction, (2017); Sharpe
W. F., Capital asset prices: A theory of market equilibrium under conditions of
risk, The journal of finance, 19, 3, pp. 425-442, (1964); Treynor J. L., Toward a
theory of market value of risky assets, (1961); Uddin A., Yu D., Latent factor
model for asset pricing, Journal of Behavioral and Experimental Finance, 27,
(2020); Vahdat A., Kautz J., Nvae: A deep hierarchical variational autoencoder,
(2020); Vaswani A., Shazeer N., Parmar N., Uszkoreit J., Jones L., Gomez A. N.,
Kaiser L., Polosukhin I., Attention is all you need, Advances in neural information
processing systems, pp. 5998-6008, (2017); Velickovic P., Cucurull G., Casanova A.,
Romero A., Lio P., Bengio Y., Graph attention networks, (2017); Xu Y., Cohen S. B.,
Stock movement prediction from tweets and historical prices, Proceedings of the
56th Annual Meeting of the Association for Computational Linguistics (Volume 1:
Long Papers), pp. 1970-1979, (2018); Yang X., Liu W., Zhou D., Bian J., Liu T.-Y.,
Qlib: An AI-oriented Quantitative Investment Platform, (2020); Zhang C., Li Y.,
Chen X., Jin Y., Tang P., Li J., DoubleEnsemble: A New Ensemble Method Based on
Sample Reweighting and Feature Selection for Financial Data Analysis, 2020 IEEE
International Conference on Data Mining (ICDM), pp. 781-790, (2020); Zhang L.,
Aggarwal C., Qi G.-J., Stock price prediction via discovering multi-frequency
trading patterns, Proceedings of the 23rd ACM SIGKDD international conference on
knowledge discovery and data mining, pp. 2141-2149, (2017)",,,Association for the
Advancement of Artificial Intelligence,Association for the Advancement of
Artificial Intelligence,"36th AAAI Conference on Artificial Intelligence, AAAI
2022",22 February 2022 through 1 March 2022,"Virtual, Online",185285,,1577358767;
978-157735876-3,,,English,"Proc. AAAI Conf. Artif. Intell., AAAI",Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85147667168
Fang F.; Chung W.; Ventre C.; Basios M.; Kanthan L.; Li L.; Wu F.,"Fang, Fan
(57221135841); Chung, Waichung (57221139424); Ventre, Carmine (8839217000); Basios,
Michail (55553976500); Kanthan, Leslie (57195631365); Li, Lingbo (56311698400); Wu,
Fan (56244710800)",57221135841; 57221139424; 8839217000; 55553976500; 57195631365;
56311698400; 56244710800,Ascertaining price formation in cryptocurrency markets
with machine learning,2024,European Journal of
Finance,30,1,,78,100,22,23,10.1080/1351847X.2021.1908390,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85103583433&doi=10.1080%2f1351847X.2021.1908390&partnerID=40&md5=0b0362405fa6eab443
0cf188bb338d5f,"King's College London, London, United Kingdom; University of Essex,
Colchester, United Kingdom; University College London, London, United Kingdom;
Turing Intelligence Technology Limited, London, United Kingdom","Fang F., King's
College London, London, United Kingdom; Chung W., University of Essex, Colchester,
United Kingdom; Ventre C., King's College London, London, United Kingdom; Basios
M., University College London, London, United Kingdom, Turing Intelligence
Technology Limited, London, United Kingdom; Kanthan L., University College London,
London, United Kingdom, Turing Intelligence Technology Limited, London, United
Kingdom; Li L., Turing Intelligence Technology Limited, London, United Kingdom; Wu
F., Turing Intelligence Technology Limited, London, United Kingdom","The
cryptocurrency market is amongst the fastest-growing of all the financial markets
in the world. Unlike traditional markets, such as equities, foreign exchange and
commodities, cryptocurrency market is considered to have larger volatility and
illiquidity. This paper is inspired by the recent success of using machine learning
for stock market prediction. In this work, we analyze and present the
characteristics of the cryptocurrency market in a high-frequency setting. In
particular, we applied a machine learning approach to predict the direction of the
mid-price changes on the upcoming tick. We show that there are universal features
amongst cryptocurrencies which lead to models outperforming asset-specific ones. We
also show that there is little point in feeding machine learning models with long
sequences of data points; predictions do not improve. Furthermore, we solve the
technical challenge to design a lean predictor, which performs well on live data
downloaded from crypto exchanges. A novel retraining method is defined and adopted
towards this end. Finally, the trade-off between model accuracy and frequency of
training is analyzed in the context of multi-label prediction. Overall, we
demonstrate that promising results are possible for cryptocurrencies on live data,
by achieving a consistent (Formula presented.) accuracy on the prediction of the
mid-price movement on live exchange rate of Bitcoins vs. US dollars. © 2021 The
Author(s). Published by Informa UK Limited, trading as Taylor & Francis
Group.",Cryptocurrency; machine learning; model classification;
predictors,,,,,,,,"Abergel F., Jedidi A., Long-Time Behavior of A Hawkes Process–
Based Limit Order Book, SIAM Journal on Financial Mathematics, 6, 1, pp. 1026-1043,
(2015); Adam P., (2015); Ahamad S., Nair M., Varghese B., (2013); Altay E., Satman
M.H., Stock Market Forecasting: Artificial Neural Network and Linear Regression
Comparison in An Emerging Market, Journal of Financial Management & Analysis, 18,
2, (2005); Barbon A., (2019); Biais B., Hillion P., Spatt C.S., An Empirical
Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, Journal of
Finance, 50, 5, pp. 1655-1689, (1995); Brandvold M., Molnar P., Vagstad K., Valstad
O.C.A., Price Discovery on Bitcoin Exchanges, Journal of International Financial
Markets, Institutions and Money, 36, pp. 18-35, (2015); Brooks C., Hoepner A.G.F.,
McMillan D., Vivian A., Simen C.W., Financial Data Science: The Birth of a New
Financial Research Paradigm Complementing Econometrics, The European Journal of
Finance, 25, 17, pp. 1627-1636, (2019); Christopher O., (2015); Dixon M., Sequence
Classification of the Limit Order Book Using Recurrent Neural Networks, Journal of
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Tsantekidis A., Passalis N., Tefas A., Kanniainen J., Gabbouj M., Iosifidis A.,
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Soft Computing, 49, pp. 385-398, (2016)","F. Fang; King's College London, London,
United Kingdom; email: [email protected]",,Routledge,,,,,,1351847X,,,,English,Eur.
J. Financ.,Article,Final,All Open Access; Green Open Access; Hybrid Gold Open
Access,Scopus,2-s2.0-85103583433
Lv J.; Wang C.; Gao W.; Zhao Q.,"Lv, Jiehua (57203341800); Wang, Chao
(57862511600); Gao, Wei (57198709829); Zhao, Qiumin (57266032300)",57203341800;
57862511600; 57198709829; 57266032300,An Economic Forecasting Method Based on the
LightGBM-Optimized LSTM and Time-Series Model,2021,Computational Intelligence and
Neuroscience,2021,,8128879,,,,22,10.1155/2021/8128879,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85117267498&doi=10.1155%2f2021%2f8128879&partnerID=40&md5=d7e72d4745803f6fb5b9503be
2cdf585,"School of Economics and Management, Northeast Forestry University, Harbin,
150040, Heilongjiang, China; School of Finance, Harbin University of Commerce,
Harbin, 150028, Heilongjiang, China; East University of Heilongjiang, Harbin,
150040, China","Lv J., School of Economics and Management, Northeast Forestry
University, Harbin, 150040, Heilongjiang, China; Wang C., School of Economics and
Management, Northeast Forestry University, Harbin, 150040, Heilongjiang, China; Gao
W., School of Finance, Harbin University of Commerce, Harbin, 150028, Heilongjiang,
China; Zhao Q., East University of Heilongjiang, Harbin, 150040, China","Stock
price prediction is very important in financial decision-making, and it is also the
most difficult part of economic forecasting. The factors affecting stock prices are
complex and changeable, and stock price fluctuations have a certain degree of
randomness. If we can accurately predict stock prices, regulatory authorities can
conduct reasonable supervision of the stock market and provide investors with
valuable investment decision-making information. As we know, the LSTM (Long Short-
Term Memory) algorithm is mainly used in large-scale data mining competitions, but
it has not yet been used to predict the stock market. Therefore, this article uses
this algorithm to predict the closing price of stocks. As an emerging research
field, LSTM is superior to traditional time-series models and machine learning
models and is suitable for stock market analysis and forecasting. However, the
general LSTM model has some shortcomings, so this paper designs a LightGBM-
optimized LSTM to realize short-Term stock price forecasting. In order to verify
its effectiveness compared with other deep network models such as RNN (Recurrent
Neural Network) and GRU (Gated Recurrent Unit), the LightGBM-LSTM, RNN, and GRU are
respectively used to predict the Shanghai and Shenzhen 300 indexes. Experimental
results show that the LightGBM-LSTM has the highest prediction accuracy and the
best ability to track stock index price trends, and its effect is better than the
GRU and RNN algorithms. © 2021 Jiehua Lv et al.",,"Algorithms; China; Forecasting;
Investments; Neural Networks, Computer; Commerce; Costs; Data mining; Decision
making; Electronic trading; Financial markets; Forecasting; Investments; Time
series; Time series analysis; Decisions makings; Degree of randomness; Economic
forecasting; Financial decisions; Forecasting methods; Regulatory authorities;
Stock price; Stock price fluctuation; Stock price prediction; Times series models;
algorithm; China; forecasting; investment; Long short-term memory",,,,,,,"Bai L.,
Wang J., Ma X., Lu H., Air pollution forecasts: An overview, International Journal
of Environmental Research and Public Health, 15, 4, (2018); Beevers S.D., Kitwiroon
N., Williams M.L., Carslaw D.C., One way coupling of CMAQ and a road source
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Hefei University of Technology, 11, pp. 123-127, (2014)","C. Wang; School of
Economics and Management, Northeast Forestry University, Harbin, 150040, China;
email: [email protected]",,Hindawi
Limited,,,,,,16875265,,,34621309,English,Comput. Intell.
Neurosci.,Article,Final,All Open Access; Hybrid Gold Open Access,Scopus,2-s2.0-
85117267498
Chiong R.; Fan Z.; Hu Z.; Dhakal S.,"Chiong, Raymond (23395951300); Fan, Zongwen
(57007544300); Hu, Zhongyi (55838947300); Dhakal, Sandeep
(23472391200)",23395951300; 57007544300; 55838947300; 23472391200,A Novel Ensemble
Learning Approach for Stock Market Prediction Based on Sentiment Analysis and the
Sliding Window Method,2023,IEEE Transactions on Computational Social
Systems,10,5,,2613,2623,10,21,10.1109/TCSS.2022.3182375,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85135749615&doi=10.1109%2fTCSS.2022.3182375&partnerID=40&md5=d6cb1f5c3d407dfaff6ee8
532e1e69d6,"The University of Newcastle, School of Information and Physical
Sciences, Callaghan, 2308, NSW, Australia; Huaqiao University, College of Computer
Science and Technology, Xiamen, 361021, China; Wuhan University, School of
Information Management, Wuhan, 430072, China","Chiong R., The University of
Newcastle, School of Information and Physical Sciences, Callaghan, 2308, NSW,
Australia; Fan Z., The University of Newcastle, School of Information and Physical
Sciences, Callaghan, 2308, NSW, Australia, Huaqiao University, College of Computer
Science and Technology, Xiamen, 361021, China; Hu Z., Wuhan University, School of
Information Management, Wuhan, 430072, China; Dhakal S., The University of
Newcastle, School of Information and Physical Sciences, Callaghan, 2308, NSW,
Australia","Financial news disclosures provide valuable information for traders and
investors while making stock market investment decisions. Essential but
challenging, the stock market prediction problem has attracted significant
attention from both researchers and practitioners. Conventional machine learning
models often fail to interpret the content of financial news due to the complexity
and ambiguity of natural language used in the news. Inspired by the success of
recurrent neural networks (RNNs) in sequential data processing, we propose an
ensemble RNN approach (long short-term memory, gated recurrent unit, and SimpleRNN)
to predict stock market movements. To avoid extracting tens of thousands of
features using traditional natural language processing methods, we apply sentiment
analysis and the sliding window method to extract only the most representative
features. Our experimental results confirm the effectiveness of these two methods
for feature extraction and show that the proposed ensemble approach is able to
outperform other models under comparison. © 2014 IEEE.",Ensemble learning;
financial news; sentiment analysis; sliding window method; stock market
prediction,Brain; Commerce; Data handling; Data mining; Decoding; Electronic
trading; Financial markets; Forecasting; Investments; Learning algorithms; Learning
systems; Recurrent neural networks; Ensemble learning; Ensemble learning approach;
Financial news; Investment decisions; Natural languages; Prediction problem;
Prediction-based; Sentiment analysis; Sliding window methods; Stock market
prediction; Sentiment analysis,,,,,"National Natural Science Foundation of China,
NSFC, (72171183); Huaqiao University, HQU, (21BS122); Natural Science Foundation of
Hubei Province, (2021CFB481)","This work was supported in part by the Australia-
Germany Joint Research Cooperation Scheme under Grant G1600912, in part by the
Natural Science Foundation of China under Grant 72171183, in part by the Natural
Science Foundation of Hubei Province under Grant 2021CFB481, and in part by the
Scientific Research Funds of Huaqiao University under Grant 21BS122.","Fischer T.,
Krauss C., Deep learning with long short-term memory networks for financial market
predictions, Eur. J. Oper. Res., 270, 2, pp. 654-669, (2017); Wu X., Ye Q., Hong
H., Li Y., Stock selection model based on machine learning with wisdom of experts
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Garnsey M.R., Hughes M.E., Natural language processing in accounting, auditing and
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(2018)","Z. Fan; The University of Newcastle, School of Information and Physical
Sciences, Callaghan, 2308, Australia; email: [email protected]",,Institute of
Electrical and Electronics Engineers Inc.,,,,,,2329924X,,,,English,IEEE Trans.
Computat. Soc. Syst.,Article,Final,,Scopus,2-s2.0-85135749615
Wang X.; Yang K.; Liu T.,"Wang, Xingqi (58609952700); Yang, Kai (57216614010); Liu,
Tailian (57222402237)",58609952700; 57216614010; 57222402237,Stock Price Prediction
Based on Morphological Similarity Clustering and Hierarchical Temporal
Memory,2021,IEEE
Access,9,,9420698,67241,67248,7,21,10.1109/ACCESS.2021.3077004,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85105592595&doi=10.1109%2fACCESS.2021.3077004&partnerID=40&md5=7047ea91e1bfe35c71fc
078a466df004,"Science and Information College, Qingdao Agricultural University,
Qingdao, China","Wang X., Science and Information College, Qingdao Agricultural
University, Qingdao, China; Yang K., Science and Information College, Qingdao
Agricultural University, Qingdao, China; Liu T., Science and Information College,
Qingdao Agricultural University, Qingdao, China","Predicting stock prices through
historical data is a hot research topic. Stock price data is considered to be a
typical time series. Recurrent neural network (RNN), long short-term memory (LSTM),
and gated recurrent units (GRU) have been commonly employed to handle this type of
data. However, most studies focus on the analysis of individual stocks, thus
ignoring the correlation between similar stocks in the entire stock market. This
paper proposes a clustering method for mining similar stocks, which combines
morphological similarity distance (MSD) and kmeans clustering. Subsequently,
Hierarchical Temporal Memory (HTM), an online learning model, is used to learn
patterns from similar stocks and make predictions at last, denoted as C-HTM. The
experiments on the price prediction show that 1) compared with HTM which has not
learned similar stock patterns, C-HTM has better prediction accuracy, 2) in terms
of short-term prediction, the performance of C-HTM is better than all baseline
models. © 2013 IEEE.",hierarchical temporal memory; kmeans; Machine learning;
morphological similarity distance; stock prediction,Forecasting; Hierarchical
clustering; Long short-term memory; Clustering methods; Hierarchical temporal
memory (htm); Hot research topics; Prediction accuracy; Recurrent neural network
(RNN); Short term prediction; Similarity distance; Stock price prediction;
Financial markets,,,,,"Shandong Provincial Agricultural Science and Technology
Fund, (2019YQ015); Talents of High Level Scientific Research Foundation of Qingdao
Agricultural University, (663/1115004)","This work was supported in part by the
Shandong Provincial Agricultural Science and Technology Fund under Grant 2019YQ015,
and in part by the Talents of High Level Scientific Research Foundation of Qingdao
Agricultural University under Grant 663/1115004.","Fama E.F., Efficient capital
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Neural Comput, 28, 11, pp. 2474-2504, (2016)","T. Liu; Science and Information
College, Qingdao Agricultural University, Qingdao, China; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85105592595
Sharaf M.; Hemdan E.E.-D.; El-Sayed A.; El-Bahnasawy N.A.,"Sharaf, Marwa
(57221981348); Hemdan, Ezz El-Din (57190733374); El-Sayed, Ayman (57204547379); El-
Bahnasawy, Nirmeen A. (57193137667)",57221981348; 57190733374; 57204547379;
57193137667,StockPred: a framework for stock Price prediction,2021,Multimedia Tools
and Applications,80,12,,17923,17954,31,20,10.1007/s11042-021-10579-8,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85100855155&doi=10.1007%2fs11042-021-10579-
8&partnerID=40&md5=92e1af3d45e59c880435994706bd3484,"Department of Computer Science
and Engineering, Faculty of Electronic Engineering, Menoufia University, Menoufia,
Egypt","Sharaf M., Department of Computer Science and Engineering, Faculty of
Electronic Engineering, Menoufia University, Menoufia, Egypt; Hemdan E.E.-D.,
Department of Computer Science and Engineering, Faculty of Electronic Engineering,
Menoufia University, Menoufia, Egypt; El-Sayed A., Department of Computer Science
and Engineering, Faculty of Electronic Engineering, Menoufia University, Menoufia,
Egypt; El-Bahnasawy N.A., Department of Computer Science and Engineering, Faculty
of Electronic Engineering, Menoufia University, Menoufia, Egypt","Recently, Stock
Price prediction becomes a significant practical aspect of the economic arena. The
stock price prediction is generally considered as one of the most exciting
challenges due to the noise and volatility characteristics of stock market
behavior. Therefore, this paper proposes a framework to address these challenges
and efficiently predicting stock price using learning models such as Long Short
Term Memory (LSTM), Convolutional Neural Network (CNN), Support Vector Machine
(SVM), Linear Regression, Logistic Regression, K-Neighbors, Decision Tree, Random
Forest, Stacked-LSTM, and Bidirectional-LSTM. Numerous experiments with different
scenarios are performed to evaluate the projected framework with the stock price
dataset. The results demonstrate that the applied models within the framework such
as the CNN model outperformed the other models in stock price prediction at
different circumstances based on several evaluation metrics like R-Square (R2),
Root Mean Square Error (RMSE), Root Mean Square (RMS), Mean Square Error (MSE),
Mean Average Error (MAE) and Mean Average Percentage Error (MAPE). © 2021, The
Author(s), under exclusive licence to Springer Science+Business Media, LLC part of
Springer Nature.",And prediction; CNN; Deep learning; Financial data; LSTM; Machine
learning; Stock sentiment analysis; SVM,Convolutional neural networks; Decision
trees; Errors; Financial markets; Forecasting; Logistic regression; Mean square
error; Support vector machines; Support vector regression; Average errors;
Evaluation metrics; Learning models; Market behavior; Percentage error; Root Mean
Square; Root mean square errors; Stock price prediction; Long short-term
memory,,,,,,,"Althelaya K.A., El-Alfy E.S.M., Mohammed S., Evaluation of
Bidirectional LSTM for Short-And Long-Term Stock Market Prediction. in 2018 9Th
International Conference on Information and Communication Systems, pp. 151-156,
(2018); Ananda D.B., Wibisono A., C4. 5 decision tree implementation in Sistem
Informasi zakat (Sizakat) to automatically determining the amount of zakat received
by Mustahik, Jurnal Sistem Informasi, 10, 1, pp. 28-35, (2014); Awad M., Khanna R.,
Efficient learning machines: Theories, concepts, and applications for engineers and
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Research Conference on Digital Libraries, pp. 180-187, (2018); Chen S., He H.,
Stock prediction using convolutional neural network, IOP Conference Series:
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Unidirectional LSTM Recurrent Neural Network for Network-Wide Traffic Speed
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tree based on id3, Phys Procedia, 25, pp. 1017-1021, (2012); Yamashita R., Nishio
M., Do R.K.G., Togashi K., Convolutional neural networks: an overview and
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algorithm, IEEE Access, 8, pp. 14642-14658, (2020); Zhao R., Yan R., Wang J., Mao
K., Learning to monitor machine health with convolutional bi-directional LSTM
networks, Sensors, 17, 2, (2017)","E.E.-D. Hemdan; Department of Computer Science
and Engineering, Faculty of Electronic Engineering, Menoufia University, Menoufia,
Egypt; email: [email protected]",,Springer,,,,,,13807501,,MTAPF,,English,Multimedia
Tools Appl,Article,Final,,Scopus,2-s2.0-85100855155
Huang M.-L.; Chou Y.-C.,"Huang, Mei-Ling (8895403300); Chou, Yueh-Ching
(57210552879)",8895403300; 57210552879,"Combining a gravitational search algorithm,
particle swarm optimization, and fuzzy rules to improve the classification
performance of a feed-forward neural network",2019,Computer Methods and Programs in
Biomedicine,180,,105016,,,,22,10.1016/j.cmpb.2019.105016,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85070874970&doi=10.1016%2fj.cmpb.2019.105016&partnerID=40&md5=7689551dd14832ba798c1
a236be00daa,"Department of Industrial Engineering & Management, National Chin-Yi
University of Technology, Taichung, Taiwan","Huang M.-L., Department of Industrial
Engineering & Management, National Chin-Yi University of Technology, Taichung,
Taiwan; Chou Y.-C., Department of Industrial Engineering & Management, National
Chin-Yi University of Technology, Taichung, Taiwan","Background and objective: A
feed-forward neural network (FNN) is a type of artificial neural network that has
been widely used in medical diagnosis, data mining, stock market analysis, and
other fields. Many studies have used FNN to develop medical decision-making systems
to assist doctors in clinical diagnosis. The aim of the learning process in FNN is
to find the best combination of connection weights and biases to achieve the
minimum error. However, in many cases, FNNs converge to the local optimum but not
the global optimum. Using open disease datasets, the purpose of this study was to
optimize the connection weights and biases of the FNN to minimize the error and
improve the accuracy of disease diagnosis. Method: In this study, the chronic
kidney disease (CKD) and mesothelioma (MES) disease datasets from the University of
California Irvine (UCI) machine learning repository were used as research objects.
This study applied the FNN to learn the features of each datum and used particle
swarm optimization (PSO) and a gravitational search algorithm (GSA) to optimize the
weights and biases of the FNN classifiers based on the algorithms inspired by the
observation of natural phenomena. Moreover, fuzzy rules were used to optimize the
parameters of the GSA to improve the performance of the algorithm in the
classifier. Results: When applied to the CKD dataset, the accuracies of PSO and GSA
were 99%. By using fuzzy rules to optimize the GSA parameter, the accuracy of
fuzzy–GSA was 99.25%. The accuracies of the combined algorithms PSO–GSA and fuzzy–
PSO–GSA reached 100%. In the MES disease dataset, all methods exhibited good
performance with 100% accuracy. Conclusions: This study used PSO, GSA, fuzzy–GSA,
PSO–GSA, and fuzzy–PSO–GSA on CKD and MES disease datasets to identify the disease,
and the performance of different algorithms was explored. Compared with other
methods in the literature, our proposed method achieved higher accuracy ©
2019",Artificial neural network; Chronic kidney disease; Gravitational search
algorithm; Mesothelioma disease; Particle swarm optimization,"Algorithms; Data
Mining; Diagnostic Errors; Fuzzy Logic; Humans; Lung Neoplasms; Machine Learning;
Mesothelioma; Neural Networks, Computer; Renal Insufficiency, Chronic; Data mining;
Decision making; Diagnosis; Electronic trading; Feedforward neural networks; Fuzzy
inference; Fuzzy neural networks; Fuzzy rules; Learning algorithms; Learning
systems; Medical computing; Neural networks; Tumors; Chronic kidney disease;
Classification performance; Gravitational search algorithm (GSA); Gravitational
search algorithms; Machine learning repository; Medical decision-making systems;
Stock market analysis; University of California; algorithm; Article; artificial
neural network; chronic kidney failure; clinical data repository; exploratory
research; false negative result; false positive result; feed forward neural
network; fuzzy system; gravitational search algorithm; intermethod comparison;
machine learning; measurement accuracy; measurement error; measurement precision;
mesothelioma; particle swarm optimization; predictive value; process optimization;
quality control procedures; sensitivity and specificity; statistical bias; true
negative result; true positive result; chronic kidney failure; data mining;
diagnostic error; fuzzy logic; human; lung tumor; machine learning; mesothelioma;
prevention and control; Particle swarm optimization (PSO)",,,,,,,"Gulbinat W., What
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32, pp. 293-308, (2018)","M.-L. Huang; Department of Industrial Engineering &
Management, National Chin-Yi University of Technology, Taiwan; email:
[email protected]",,Elsevier Ireland
Ltd,,,,,,1692607,,CMPBE,31442736,English,Comput. Methods Programs
Biomed.,Article,Final,,Scopus,2-s2.0-85070874970
Kinyua J.D.; Mutigwe C.; Cushing D.J.; Poggi M.,"Kinyua, Johnson D. (57221588711);
Mutigwe, Charles (57221589462); Cushing, Daniel J. (57221591520); Poggi, Michael
(57221587926)",57221588711; 57221589462; 57221591520; 57221587926,An analysis of
the impact of President Trump's tweets on the DJIA and S&P 500 using machine
learning and sentiment analysis,2021,Journal of Behavioral and Experimental
Finance,29,,100447,,,,24,10.1016/j.jbef.2020.100447,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85099505145&doi=10.1016%2fj.jbef.2020.100447&partnerID=40&md5=4e9a163841ba7607a095d
f1e571c86ab,"Pennsylvania State University, E371 Westgate Building, University
Park, 16802, PA, United States; Western New England University, 1215 Wilbraham
Road, Springfield, 01119, MA, United States","Kinyua J.D., Pennsylvania State
University, E371 Westgate Building, University Park, 16802, PA, United States;
Mutigwe C., Western New England University, 1215 Wilbraham Road, Springfield,
01119, MA, United States; Cushing D.J., Western New England University, 1215
Wilbraham Road, Springfield, 01119, MA, United States; Poggi M., Western New
England University, 1215 Wilbraham Road, Springfield, 01119, MA, United States","We
analyze the immediate impact of President Trump's tweets on two US stock market
indices using a 30-minute event window for each tweet and intra-day market data.
The tweets and intra-day market data, are used to study market reactions using
sentiment analysis, and machine learning (ML) classification and regression. The
results show a significant negative reaction when President Trump tweeted during
open market hours. We also found that tweets with a strong positive or strong
negative sentiment had positive market reactions. ML regressors use the tweets and
market data to predict the post-tweet market index averages and post-tweet market
trends. © 2020 Elsevier B.V.",,,,,,,,,"Almahdi S., Yang S.Y., An adaptive portfolio
trading system: A risk-return portfolio optimization using recurrent reinforcement
learning with expected maximum drawdown, Expert Syst. Appl., 87, pp. 267-279,
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B.V.,,,,,,22146350,,,,English,J. Behav. Exp. Financ.,Article,Final,,Scopus,2-s2.0-
85099505145
Bansal M.; Goyal A.; Choudhary A.,"Bansal, Malti (7102519014); Goyal, Apoorva
(57226374480); Choudhary, Apoorva (57226376310)",7102519014; 57226374480;
57226376310,Stock Market Prediction with High Accuracy using Machine Learning
Techniques,2022,Procedia Computer
Science,215,,,247,265,18,24,10.1016/j.procs.2022.12.028,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85163658038&doi=10.1016%2fj.procs.2022.12.028&partnerID=40&md5=217023a4786617fd4458
8720d197bf64,"Department of Electronics and Communication Engineering, Delhi
Technological University (DTU), Delhi, 110042, India","Bansal M., Department of
Electronics and Communication Engineering, Delhi Technological University (DTU),
Delhi, 110042, India; Goyal A., Department of Electronics and Communication
Engineering, Delhi Technological University (DTU), Delhi, 110042, India; Choudhary
A., Department of Electronics and Communication Engineering, Delhi Technological
University (DTU), Delhi, 110042, India","Stock market trading is a major and
predominant activity when one talks about the financial markets. With the
inevitable uncertainty and volatility in the prices of the stocks, an investor
keeps looking for ways to predict the future trends in order to dodge the losses
and make the maximum possible profits. However, it cannot be denied that as of yet
there is no such technique to predict the upcoming trends in the markets with
complete accuracy, while multiple methods are being explored to improve the
predictive performance of models to an extent as large as possible. With the
advancement in Machine Learning (ML) and Deep Learning (DL) over the past few
years, many algorithms are being deployed for stock price prediction. This paper
researches 5 algorithms namely K-Nearest Neighbors, Linear Regression, Support
Vector Regression, Decision Tree Regression, and Long Short-Term Memory for
predicting stock prices of 12 leading companies of the Indian stock market. After
exhaustive research of the various aspects related to the application of ML in
stock market, a data extensive implementation has been carried out as a part of
this research work wherein the stock price dataset of 12 companies over the last 7
years was collected and used. The paper also highlights some more efficient and
robust techniques that are used to forecast trends in the stock market. In detail,
the methodology followed, to acquire the results, has been talked about step-wise.
Furthermore, a detailed comparative analysis of the performances of the
aforementioned algorithms for stock price prediction has been carried out with the
results displayed in a legible tabulated and graphical form to analyze them better.
The conclusions from this novel, data comprehensive research work have been
presented and it has been inferred that the DL algorithm outperforms all the other
algorithms for stock price or time series prediction and provides results with
extensive accuracy. © 2022 Elsevier B.V.. All rights reserved.",Decision Tree
Regression (DTR); K-Nearest Neighbour (K-NN); Linear Regression (LR); Long Short-
Term Memory (LSTM); Machine learning; Stock market; Support Vector Regression
(SVR),Brain; Commerce; Costs; Decision trees; Electronic trading; Financial
markets; Forecasting; Investments; Learning systems; Logistic regression; Nearest
neighbor search; Decision tree regression; K-near neighbor; Linear regression; Long
short-term memory; Machine-learning; Nearest-neighbour; Stock price; Support vector
regression; Support vector regressions; Long short-term memory,,,,,,,"Kumar V.U.,
Krishna A., Neelakanteswara P., Basha C.Z., Advanced Prediction of Performance of a
Student in an University using Machine Learning Techniques, The 2020 International
Conference on Electronics and Sustainable Communication Systems (ICESC), (2020);
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Forecasting and Control, (2015); Chen L.P., Multiclassification to gene expression
data with some complex features, Biostatistics and Biometrics Open Access Journal,
9, 1, (2018); Bansal M., Priya, Machine Learning Perspective in VLSI Computer-Aided
Design at Different Abstraction Levels, Mobile Computing and Sustainable
Informatics. Lecture Notes on Data Engineering and Communications Technologies, 68,
pp. 95-112, (2022); Mohri C.L.P.M., Rostamizadeh A., Talwalkar A., Foundations of
machine learning, Statistical Papers, 60, pp. 1793-1795, (2019); Chen L.P., Model-
based clustering and classification for data science: With application in R by
Harles Bouveyron, Murphy and Adrian E. Raftery. Biometrical Journal, (2020);
Bhuriya D., Kaushal G., Sharma A., Singh U., Stock market predication using a
linear regression, 2017 International Conference of Electronics, Communication and
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D., Soumya S., Stock Price Prediction Using LSTM on Indian Share Market, (2019); Fu
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Pattern Discovery by Changing Perceptually Important Point Detection, International
Conference on Fuzzy Systems and Knowledge Discovery, (2005); Zhong X., Enke D.,
Forecasting daily stock market return using dimensionality reduction, Expert
Systems with Applications, 67, pp. 126-139, (2017); Hiransha M., Gopalakrishnan
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Procedia Computer Science, 132, pp. 1351-1362, (2018); Box G.E.P., Jenkins G.M.,
Reinsel G.C., Ljung G.M., Time Series Analysis: Forecasting and Control, (2015); Fu
K.S., Young T.Y., Handbook of Pattern Recognition and Image Processing, (1986);
Wang J.-L., Chan S.-H., Stock Market Trading Rule Discovery Using Pattern
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Vector Machine, Decision Tree, and Long Short Term Memory Algorithms in Machine
Learning, Decision Analytics Journal, 3, pp. 1-21, (2022)","M. Bansal; Department
of Electronics and Communication Engineering, Delhi Technological University (DTU),
Delhi, 110042, India; email: [email protected]",Balas V.E.; Lafta P.; Baig Z.;
Raj J.S.,Elsevier B.V.,,"4th
International Conference on Innovative Data Communication Technologies and
Application, ICIDCA 2022",3 November 2022 through 4 November 2022,"Online,
Coimbatore",188144,18770509,,,,English,Procedia Comput. Sci.,Conference
paper,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85163658038
Aguirre A.A.A.; Medina R.A.R.; Méndez N.D.D.,"Aguirre, Alberto Antonio Agudelo
(57219906726); Medina, Ricardo Alfredo Rojas (57219901871); Méndez, Néstor Darío
Duque (24470589600)",57219906726; 57219901871; 24470589600,“Machine learning
applied in the stock market through the Moving Average Convergence Divergence
(MACD) indicator”,2020,Investment Management and Financial
Innovations,17,4,,44,60,16,22,10.21511/imfi.17(4).2020.05,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85096019287&doi=10.21511%2fimfi.17%284%29.2020.05&partnerID=40&md5=77390c2b9903f7cb
a5b693a9d7e60135,Colombia,"Aguirre A.A.A., Colombia; Medina R.A.R., Colombia;
Méndez N.D.D., Colombia","The implementation of tools such as Genetic Algorithms
has not been exploited for asset price prediction despite their power, robustness,
and potential application in the stock market. This paper aims to fill the gap
existing in the literature on the use of Genetic Algorithms for predicting asset
pricing of investment strategies into stock markets and investigate its advantages
over its peers Buy & Hold and traditional technical analysis. The Genetic
Algorithms strategy applied to the MACD was carried out in two different validation
periods and sought to optimize the parameters that generate the buy-sell signals.
The performance between the machine learning-based approach, technical analysis
with the MACD and B&H was compared. The results suggest that it is possible to find
optimal values of the technical indicator parameters that result in a higher return
on investment through Genetic Algorithms, beating the traditional technical
analysis and B&H by around 4%. This study offers a new insight for practitioners,
traders, and finance researchers to take advantage of Genetic Algorithms for
trading rules application in forecasting financial asset returns under a more
efficient and robust methodology based on historical data analysis. © The author(s)
2020.",Buy & Hold; Equity investment; Genetic Algorithms; MACD; Technical
analysis,,,,,,,,"Ahmad M., Guohui W., Rafiq M., Hasan M., Chohan A.-H., Sattar A.,
Assesing performance of moving average investment timing strategy over the UK stock
market, The Journal of Developing Areas, 51, 3, pp. 349-362, (2017); Ahmadi E.,
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Quimbaya A., Stock market movement forecast: a systematic review, Expert Systems
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Trading, Computational Economics, 47, pp. 551-567, (2015)",,,LLC CPC Business
Perspectives,,,,,,18104967,,,,English,Investm. Manange. Financ.
Innov.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85096019287
Bathla G.; Rani R.; Aggarwal H.,"Bathla, Gourav (57197866300); Rani, Rinkle
(55232407400); Aggarwal, Himanshu (7003719927)",57197866300; 55232407400;
7003719927,Stocks of year 2020: prediction of high variations in stock prices using
LSTM,2023,Multimedia Tools and Applications,82,7,,9727,9743,16,24,10.1007/s11042-
022-12390-5,https://www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?
eid=2-s2.0-85125334547&doi=10.1007%2fs11042-022-12390-
5&partnerID=40&md5=c3360e77fe4f05c0a40b9a131ee2abdf,"University of Petroleum and
Energy Studies, Dehradun, India; Thapar Institute of Engg. & Tech, Patiala, India;
Punjabi University, Patiala, India","Bathla G., University of Petroleum and Energy
Studies, Dehradun, India; Rani R., Thapar Institute of Engg. & Tech, Patiala,
India; Aggarwal H., Punjabi University, Patiala, India","Stock Market movement is
highly volatile, complex, and non-linear. Several researchers have proposed
innovative approaches to predict stock price movement using traditional data
analytics, machine learning, or deep learning. Data scientists have proved that if
effective mathematical models are deployed, stock prices can be predicted with very
high accuracy. Deep learning is the most popular technique used for stock price
prediction due to its effective results in time-series based and non-linear
patterns. In the Year 2020, stock prices variations are too high to be analyzed by
traditional approaches. Very few research works have been carried out to predict
high variations in stock prices during this time. The main motive of this research
is to investigate whether deep learning can predict so high variations in stock
prices in the Year 2020 and build proposed neural network model. In this paper,
Long Short-Term Memory (LSTM) is used with adam optimizer and sigmoid activation
function to train and test the model. Various stock indexes data are extracted
using Yahoo Finance API. Window size of 60 days is used as stock prices are
dependent on the previous day’s prices. Experiment analysis has proved that LSTM
using our layers set up was able to predict stock prices with adequate accuracy.
Mean Absolute Percentage Error (MAPE) values are better than traditional data
analytics techniques. The values of MAPE score calculated using our proposed
approach are 3.89, 1.21, 3.01, 1.19, 2.03, and 0.86 for NSE, BSE, NASDAQ, NYSE, Dow
Jones, and Nikkei 225 respectively for duration Jan 2010 to March 2020. © 2022, The
Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of
Springer Nature.",Deep learning; LSTM; MAPE; RNN; Stock Price prediction,Costs;
Data Analytics; Financial markets; Forecasting; Learning systems; Neural network
models; Data analytics; Deep learning; Innovative approaches; Mean absolute
percentage error; Non linear; Percentage error; RNN; Stock price; Stock price
movements; Stock price prediction; Long short-term memory,,,,,,,"Abe M., Nakagawa
K., Cross-sectional stock price prediction using deep learning for actual
investment management, Proceed 2020 Asia Service Sci Software Eng Conf, pp. 9-15;
Bao W., Yue J., Rao Y., A deep learning framework for financial time series using
stacked autoencoders and long-short term memory, PloS one, 12, 7, (2017); Bathla
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ensemble of LSTM neural networks for high-frequency stock market classification, J
Forecast, 38, 6, pp. 600-619, (2019); Cakra Y.E., Trisedya B.D., Stock price
prediction using linear regression based on sentiment analysis, In in 2015
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studies, Expert Syst Appl, 83, pp. 187-205, (2017); Eapen J., Bein D., Verma A.,
Novel deep learning model with CNN and bi-directional LSTM for improved stock
market index prediction, IEEE 9Th Ann Comput Commun Workshop Conference (CCWC), pp.
0264-0270; Feng F., He X., Wang X., Luo C., Liu Y., Chua T.S., Temporal relational
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for financial market predictions, Eur J Oper Res, 270, 2, pp. 654-669, (2018); Gers
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Predicting the trend of stock market index using the hybrid neural network based on
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representation learning: From candlestick charts to investment decisions, IEEE Int
Conf Acoustics, Speech Signal Process; Huang J.Y., Liu J.H., Using social media
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H., Faaljou H., Mansourfar G., Stock price prediction using deep learning and
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Machine Learning Algorithms, pp. 1-5, (2012); Shui-Ling Y.U., Li Z., Stock Price
Prediction Based on ARIMA-RNN Combined Model, (2017); Siami-Namini S., Tavakoli N.,
Namin A.S., A comparison of ARIMA and LSTM in forecasting time series, IEEE Int
Conf Mach Learn Appl (ICMLA), pp. 1394-1401, (2018); Singh R., Srivastava S., Stock
prediction using deep learning, Multimed Tools Appl, 76, 18, pp. 18569-18584,
(2017); Wu J.M.T., Li Z., Herencsar N., Vo B., Lin J.C.W., A graph-based CNN-LSTM
stock price prediction algorithm with leading indicators, Multimedia Systems, pp.
1-20, (2021); Zhong
X., Enke D., Forecasting daily stock market return using dimensionality reduction,
Expert Syst Appl, 67, pp. 126-139, (2017); Zhou Z., Gao M., Liu Q., Xiao H.,
Forecasting stock price movements with multiple data sources: evidence from stock
market in China, Physica A: Stat Mech Appl, 542, (2020); Zhu C., Yin J., Li Q., A
stock decision support system based on DBNs, J Comput Inform Syst, 10, 2, pp. 883-
893, (2014)","G. Bathla; University of Petroleum and Energy Studies, Dehradun,
India; email:
[email protected]",,Springer,,,,,,13807501,,MTAPF,,English,Multimedia Tools
Appl,Article,Final,,Scopus,2-s2.0-85125334547
Gurav U.; Sidnal N.,"Gurav, Uma (36052794200); Sidnal, Nandini
(24462689600)",36052794200; 24462689600,Predict stock market behavior: Role of
machine learning algorithms,2018,Advances in Intelligent Systems and
Computing,673,,,383,394,11,21,10.1007/978-981-10-7245-1_38,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85045272235&doi=10.1007%2f978-981-10-7245-
1_38&partnerID=40&md5=a3ef13e2d2ad9837d52d8a067d9077a6,"K.I.T’s College of
Engineering, Kolhapur, India; K.L.E’s College of Engineering, Belgaum,
India","Gurav U., K.I.T’s College of Engineering, Kolhapur, India; Sidnal N.,
K.L.E’s College of Engineering, Belgaum, India","The prediction of a dynamic,
volatile, and unpredictable stock market has been a challenging issue for the
researchers over the past few years. This paper discusses stock market-related
technical indicators, mathematical models, most preferred algorithms used in data
science industries, analysis of various types of machine learning algorithms, and
an overall summary of solutions. This paper is an attempt to perform the analysis
of various issues pertaining to dynamic stock market prediction, based on the fact
that minimization of stock market investment risk is strongly correlated to
minimization of forecasting errors. © 2018, Springer Nature Singapore Pte
Ltd.",Efficient market hypothesis; Ensemble machine learning; Machine learning
algorithms; Stock market prediction,Commerce; Electronic trading; Financial
markets; Forecasting; Intelligent computing; Investments; Learning systems; Risk
assessment; Analysis of various; Efficient market hypothesis; Forecasting error;
Investment risks; Market behavior; Stock market prediction; Technical indicator;
Learning algorithms,,,,,,,"Polikar R., Ensemble Learning, Methods and Applications;
Nau R.; Kaur R., Kiran M.V., Time Series based Accuracy Stock Market Forecasting
using Artificial Neural Network, IJARCCE; How to Value Stocks Using DCF and the
Dangers of Doing, Do Fundamentals Really Drive the Stock Market?; McClure B.,
Discounted Cash Flow Analysis, Investopedia, Investopedia.Com, (2010); (2011);
Forecasting home page (Introduction to ARIMA models), price Prediction Using the
ARIMA Model-IEEE Xplore, UKSim-AMSS, 16Th ICCMS, 2014; L'Heureux A., Grolinger K.,
Yamany H.F.E., Capretz M., Machine Learning with Big Data: Challenges and
Approaches, IEEE Access, (2017); Huang J., Lu J., Ling C.X., Comparing naive Bayes,
decision trees, and SVM with AUC and accuracy, Third IEEE International Conference
on Data Mining, pp. 553-556, (2003); Budhani N., Jha D.C.K., Budhani S.K.,
Application of Neural Network in Analysis of Stock Market Prediction, (2012);
Najafabadi M.M., Villanustre F., Khoshgoftaar T.M., Seliya N., Randall Wald and
Edin Muharemagic, Deep learning applications and challenges in big data analytics,
Journal of Big Data, Springeropen Journal, (2015); Hansen L.K., Salamon P., Neural
network ensembles, IEEE Transactions on Pattern Analysis and Machine Intelligence,
12, 10, (1990); Street W.N., Kim Y., A streaming ensemble algorithm (SEA) for
large-scale classification, Seventh ACM SIGKDD International Conference on
Knowledge Discovery Data Mining (KDD-01), (2001)","U. Gurav; K.I.T’s College of
Engineering, Kolhapur, India; email: [email protected]",Satapathy S.C.;
Chandavale A.A.; Hiwale A.S.; Bhateja V.; Bhalla S.,Springer Verlag,,"2nd
International Conference on Intelligent Computing and Communication, ICICC 2017",2
August 2017 through 4 August 2017,Pune,212619,21945357,978-981107244-
4,,,English,Adv. Intell. Sys. Comput.,Conference paper,Final,,Scopus,2-s2.0-
85045272235
Ng W.W.Y.; Liang X.-L.; Li J.; Yeung D.S.; Chan P.P.K.,"Ng, Wing W.Y.
(17135741600); Liang, Xue-Ling (54395633300); Li, Jincheng (7410059828); Yeung,
Daniel S. (7103391375); Chan, Patrick P.K. (7403497727)",17135741600; 54395633300;
7410059828; 7103391375; 7403497727,LG-Trader: Stock trading decision support based
on feature selection by weighted localized generalization error
model,2014,Neurocomputing,146,,,104,112,8,25,10.1016/j.neucom.2014.04.066,https://
www-scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84906950958&doi=10.1016%2fj.neucom.2014.04.066&partnerID=40&md5=23cbc7e04244c70102b
0fe5785c60ee0,"Machine Learning and Cybernetic Research Center, School of Computer
Science and Engineering, South China University of Technology, Guangzhou, China;
College of Medical Information Engineering, Guangdong Pharmaceutical University,
Guangzhou 510006, China","Ng W.W.Y., Machine Learning and Cybernetic Research
Center, School of Computer Science and Engineering, South China University of
Technology, Guangzhou, China; Liang X.-L., Machine Learning and Cybernetic Research
Center, School of Computer Science and Engineering, South China University of
Technology, Guangzhou, China; Li J., Machine Learning and Cybernetic Research
Center, School of Computer Science and Engineering, South China University of
Technology, Guangzhou, China, College of Medical Information Engineering, Guangdong
Pharmaceutical University, Guangzhou 510006, China; Yeung D.S., Machine Learning
and Cybernetic Research Center, School of Computer Science and Engineering, South
China University of Technology, Guangzhou, China; Chan P.P.K., Machine Learning and
Cybernetic Research Center, School of Computer Science and Engineering, South China
University of Technology, Guangzhou, China","Stock trading is an important
financial activity of human society. Machine learning techniques are adopted to
provide trading decision support by predicting the stock price or trading signals
of the next day. Decisions are made by analyzing technical indices and fundamental
analysis of companies. There are two major machine learning research problems for
stock trading decision support: classifier architecture selection and feature
selection. In this work, we propose the LG-Trader which will deal with these two
problems simultaneously using a genetic algorithm minimizing a new Weighted
Localized Generalization Error (wL-GEM). An issue being ignored in current machine
learning based stock trading researches is the imbalance among buy, hold and sell
decisions. Usually hold decision is the majority in comparison to both buy and sell
decisions. So, the wL-GEM is proposed to balance classes by penalizing heavier for
generalization error being made in minority classes. The feature selection based on
wL-GEM helps to select most useful technical indices among choices for each stock.
Experimental results demonstrate that the LG-Trader yields higher profits and rates
of return in both stock and index trading. © 2014 Elsevier B.V.",Feature selection;
L-GEM; LG-Trader; MLPNN; Multi-objective; Stock trading decision,Artificial
intelligence; Decision support systems; Feature extraction; Genetic algorithms;
Learning systems; Artificial intelligence; Decision support systems; Feature
extraction; Genetic algorithms; Learning systems; L-GEM; LG-Trader; MLPNN; Multi
objective; Stock trading; Localized generalization error models; Localized
generalization errors; Machine learning research; Machine learning techniques;
accuracy; article; calculation; decision support system; finance; financial
information system; financial management; genetic algorithm; investment; linear
system; market; mathematical model; nonlinear system; prediction; priority journal;
stock trading; algorithm; Article; artificial neural network; controlled study;
learning algorithm; LG trader; mathematical computing; multilayer perceptron neural
network; process optimization; statistical model; weighted localized generalization
error model; Commerce; Commerce,,,,,"National Natural Science Foundation of China,
NSFC, (61003171, 61003172, 61272201); Ministry of Education of the People's
Republic of China, MOE; Program for New Century Excellent Talents in University,
NCET, (NCET-11-0162)","Funding text 1: Dr. Wing W. Y. Ng received his B.Sc. and
Ph.D. degrees from Hong Kong Polytechnic University in 2001 and 2006, respectively.
He is now an Associate Professor in the School of Computer Science and Engineering,
South China University of Technology, China. His major research interests include
business intelligence, large scale image retrieval and machine learning techniques.
Dr. Ng is currently an associate editor of the International Journal of Machine
Learning and Cybernetics. He is the principle investigator of two China National
Nature Science Foundation projects and a Program for New Century Excellent Talents
in University from China Ministry of Education. Dr. Ng served as the Board of
Governor of IEEE Systems, Man and Cybernetics Society (SMCS) in 2011–2013. ;
Funding text 2: This work is supported by National Natural Science Foundation of
China ( 61003171 , 61272201 and 61003172 ) and a Program for New Century Excellent
Talents in University ( NCET-11-0162 ) of China. ","Fama E.F., Efficient capital
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LS-SVM via minimization of its localized generalization error, Int. J. Wavelets
Multiresolution Inf. Process., 11, 3, (2013)","J. Li; Machine Learning and
Cybernetic Research Center, School of Computer Science and Engineering, South China
University of Technology, Guangzhou, China; email:
[email protected]",,Elsevier,,,,,,9252312,,NRCGE,,English,Neurocomputing,Artic
le,Final,,Scopus,2-s2.0-84906950958
Mozetič I.; Torgo L.; Cerqueira V.; Smailović J.,"Mozetič, Igor (6506490886);
Torgo, Luis (6602863343); Cerqueira, Vitor (56785852000); Smailović, Jasmina
(55787266400)",6506490886; 6602863343; 56785852000; 55787266400,How to evaluate
sentiment classifiers for Twitter time-ordered data?,2018,PLoS
ONE,13,3,e0194317,,,,23,10.1371/journal.pone.0194317,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85043753566&doi=10.1371%2fjournal.pone.0194317&partnerID=40&md5=67224964847d4fb61d3
bffe5eda627a6,"Department of Knowledge Technologies, Jozef Stefan Institute,
Ljubljana, Slovenia; INESC TEC, Porto, Portugal; Faculty of Sciences, University of
Porto, Porto, Portugal","Mozetič I., Department of Knowledge Technologies, Jozef
Stefan Institute, Ljubljana, Slovenia; Torgo L., INESC TEC, Porto, Portugal,
Faculty of Sciences, University of Porto, Porto, Portugal; Cerqueira V., INESC TEC,
Porto, Portugal; Smailović J., Department of Knowledge Technologies, Jozef Stefan
Institute, Ljubljana, Slovenia","Social media are becoming an increasingly
important source of information about the public mood regarding issues such as
elections, Brexit, stock market, etc. In this paper we focus on sentiment
classification of Twitter data. Construction of sentiment classifiers is a standard
text mining task, but here we address the question of how to properly evaluate them
as there is no settled way to do so. Sentiment classes are ordered and unbalanced,
and Twitter produces a stream of time-ordered data. The problem we address concerns
the procedures used to obtain reliable estimates of performance measures, and
whether the temporal ordering of the training and test data matters. We collected a
large set of 1.5 million tweets in 13 European languages. We created 138 sentiment
models and out-of-sample datasets, which are used as a gold standard for
evaluations. The corresponding 138 in-sample data-sets are used to empirically
compare six different estimation procedures: three variants of cross-validation,
and three variants of sequential validation (where test set always follows the
training set). We find no significant difference between the best cross-validation
and sequential validation. However, we observe that all cross-validation variants
tend to overestimate the performance, while the sequential methods tend to
underestimate it. Standard cross-validation with random selection of examples is
significantly worse than the blocked cross-validation, and should not be used to
evaluate classifiers in time-ordered data scenarios. © 2018 Mozetič et al. This is
an open access article distributed under the terms of the Creative Commons
Attribution License, which permits unrestricted use, distribution, and reproduction
in any medium, provided the original author and source are credited.",,"Data
Interpretation, Statistical; Data Mining; Humans; Machine Learning; Public Opinion;
Social Media; Time Factors; article; classification; classifier; gold standard;
human; language; mining; sequential analysis; validation process; data mining;
machine learning; procedures; public opinion; social media; statistical analysis;
time factor",,,,,"Horizon 2020 Framework Programme, H2020, (640772); European
Regional Development Fund, ERDF","Igor Mozetič and Jasmina Smailović acknowledge
financial support from the H2020 FET project DOLFINS (grant no. 640772), and the
Slovenian Research Agency (research core funding no. P2-0103). Luis Torgo and Vitor
Cerqueira acknowledge financing by project ""Coral-Sustainable Ocean Exploitation:
Tools and Sensors/NORTE-01-0145-FEDER-000036,"" financed by the North Portugal
Regional Operational Programme (NORTE 2020), under the PORTUGAL 2020 Partnership
Agreement, and through the European Regional Development Fund (ERDF). The funders
had no role in study design, data collection and analysis, decision to publish, or
preparation of the manuscript.","Anderson O.D., More effective time-series analysis
and forecasting, Journal of Computational and Applied Mathematics, 64, 1-2, pp.
117-147, (1995); Agarwal A., Xie B., Vovsha I., Rambow O., Passonneau R., Sentiment
analysis of twitter data, Proc. Workshop on Languages in Social Media, pp. 30-38,
(2011); Mohammad S.M., Kiritchenko S., Zhu X., NRC-Canada: Building the State-of-
the-art in Sentiment Analysis of Tweets, (2013); Bermingham A., Smeaton A.F.,
Classifying sentiment in microblogs: Is brevity an advantage?, Proc. 19th ACM Intl.
Conference on Information and Knowledge Management, pp. 1833-1836, (2010); Saif H.,
Fernandez M., He Y., Alani H., Evaluation datasets for twitter sentiment analysis:
A survey and a new dataset, the STS-gold, Proc. 1st Intl. Workshop on Emotion and
Sentiment in Social and Expressive Media: Approaches and Perspectives from AI
(ESSEM), (2013); Saif H., He Y., Alani H., Semantic sentiment analysis of twitter,
Proc. Intl. Semantic Web Conference (ISWC), pp. 508-524, (2012); Wang X., Wei F.,
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Journal of Econometrics, 99, 1, pp. 39-61, (2000)",,,Public Library of
Science,,,,,,19326203,,POLNC,29534112,English,PLoS ONE,Article,Final,All Open
Access; Gold Open Access; Green Open Access,Scopus,2-s2.0-85043753566
Aloud M.E.; Alkhamees N.,"Aloud, Monira Essa (36674476800); Alkhamees, Nora
(57193603914)",36674476800; 57193603914,Intelligent Algorithmic Trading Strategy
Using Reinforcement Learning and Directional Change,2021,IEEE
Access,9,,9514595,114659,114671,12,24,10.1109/ACCESS.2021.3105259,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85113210263&doi=10.1109%2fACCESS.2021.3105259&partnerID=40&md5=aa700c9fad06aad31b07
7abfdf12dbb8,"Department of Management Information System, College of Business
Administration, King Saud University, Riyadh, 11451, Saudi Arabia","Aloud M.E.,
Department of Management Information System, College of Business Administration,
King Saud University, Riyadh, 11451, Saudi Arabia; Alkhamees N., Department of
Management Information System, College of Business Administration, King Saud
University, Riyadh, 11451, Saudi Arabia","Designing a profitable trading strategy
plays a critical role in algorithmic trading, where the algorithm can manage and
execute automated trading decisions. Determining a specific trading rule for
trading at a particular time is a critical research problem in financial market
trading. However, an intelligent, and a dynamic algorithmic trading driven by the
current patterns of a given price time-series may help deal with this issue. Thus,
Reinforcement Learning (RL) can achieve optimal dynamic algorithmic trading by
considering the price time-series as its environment. A comprehensive
representation of the environment states is indeed vital for proposing a dynamic
algorithmic trading using RL. Therefore, we propose a representation of the
environment states using the Directional Change (DC) event approach with a dynamic
DC threshold. We refer to the proposed algorithmic trading approach as the DCRL
trading strategy. In addition, the proposed DCRL trading strategy was trained using
the Q-learning algorithm to find an optimal trading rule. We evaluated the DCRL
trading strategy on real stock market data (SP500, NASDAQ, and Dow Jones, for five
years period from 2015-2020), and the results demonstrate that the DCRL state
representation policies obtained more substantial trading returns and improved the
Sharpe Ratios in a volatile stock market. In addition, a series of performance
analyses demonstrate the robust performance and extensive applicability of the
proposed DCRL trading strategy. © 2013 IEEE.",algorithmic trading; directional
change event; Machine learning; Q-learning; reinforcement learning; stock
market,Commerce; Financial markets; Learning algorithms; Reinforcement learning;
Time series; Algorithmic trading; Critical researches; Directional changes;
Performance analysis; Q-learning algorithms; Robust performance; State
representation; Trading strategies; Electronic trading,,,,,"Deanship of Scientific
Research, King Saud University; Research Centre for the Humanities, KEAE","This
work was supported by the Research Center for the Humanities, Deanship of
Scientific Research, King Saud University.","Treleaven P., Galas M., Lalchand V.,
Algorithmic trading review, Commun. Acm, 56, pp. 76-85, (2013); Bruce B., Trading
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M., Misra R., Pavone M., Katti S., Cellular network traf scheduling with deep
reinforcement learning, Proc. 32nd Aaai Conf. Artif. Intell., pp. 766-774, (2018);
Alkhamees N., Aloud M., DCRL: Approach to identify financial events from time
series using directional change and reinforcement learning, Int. J. Adv. Comput.
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Proc. IEEE Int. Conf. Data Sci. Adv. Anal. (DSAA), pp. 283-292, (2017); Aloud M.,
Directional-change event trading strategy: Profit-maximizing learning strategy,
Proc. 7th Int. Conf. Adv. Cogn. Technol. Appl, pp. 123-129, (2015); Aloud M.,
Profitability of directional change based trading strategies: The case of Saudi
stock market, Int. J. Econ. Financ., 6, 1, pp. 87-95, (2016); Aloud M., Investment
opportunities forecasting:Agenetic programmingbased dynamic portfolio trading
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Aloud; Department of Management Information System, College of Business
Administration, King Saud University, Riyadh, 11451, Saudi Arabia; email:
[email protected]",,Institute of Electrical and Electronics Engineers
Inc.,,,,,,21693536,,,,English,IEEE Access,Article,Final,All Open Access; Gold Open
Access,Scopus,2-s2.0-85113210263
Iacomin R.,"Iacomin, Radu (57110454600)",57110454600,Stock market
prediction,2015,"2015 19th International Conference on System Theory, Control and
Computing, ICSTCC 2015 - Joint Conference SINTES 19, SACCS 15, SIMSIS
19",,,7321293,200,205,5,25,10.1109/ICSTCC.2015.7321293,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84957824593&doi=10.1109%2fICSTCC.2015.7321293&partnerID=40&md5=56d817671da3d7157e85
07d701ecece8,"Faculty of Automatic Control and Computers, University POLITEHNICA of
Bucharest, Bucharest, Romania","Iacomin R., Faculty of Automatic Control and
Computers, University POLITEHNICA of Bucharest, Bucharest, Romania","In a
financially volatile market, as the stock market, it is important to have a very
precise prediction of a future trend. Because of the financial crisis and scoring
profits, it is mandatory to have a secure prediction of the values of the stocks.
Predicting a non-linear signal requires advanced algorithms of machine learning.
The literature contains studies with different machine learning algorithms such as
ANN (artificial neural networks) with different feature selection. The results of
this study will show that the algorithm of classification SVM (Support Vector
Machines) with the help of feature selection PCA (Principal component analysis)
will have the success of making a profit. © 2015 IEEE.",Computational Intelligence;
Nonlinear Systems; Optimization,Artificial intelligence; Commerce; Computation
theory; Electronic trading; Feature extraction; Finance; Financial markets;
Forecasting; Learning systems; Neural networks; Nonlinear systems; Optimization;
Principal component analysis; Profitability; Support vector machines; System
theory; Financial crisis; Future trends; Non linear; PCA (principal component
analysis); Stock market prediction; Volatile markets; Learning
algorithms,,,,,,,"Cortez C., Vapnik V., Support-Vector Networks, (1994); Boyd S.,
Vandenberghe L., Convex Optimization, (2003); Yeh C., Huang C., Lee S., A Multiple-
kernel Support Vector Regression Approach for Stock Market Price Forecasting,
(2010); Yeh C., Huang C., Lee S., Foreign-exchange-rate Forecasting with Artificial
Neural Networks, (2007); Duan K., Which Is the Best Multiclass SVM Method? An
Empirical Study, Expert Systems with Application, (2006); Zhang J., Zhang X., Ha
S., A Novel Approach Using PCA and SVM for Face Detection, (2008); Hazm K.,
Analysis of Local Appearance-based Face Recognition: Effects of Feature Selection
and Feature Normalization, (2006); Clark R., Support Vector Regression, (2013);
Bloomberg L.P., Bloomberg Data Sets, (2013)","R. Iacomin; Faculty of Automatic
Control and Computers, University POLITEHNICA of Bucharest, Bucharest, Romania;
email: [email protected]",Barbu M.; Solea R.; Caraman S.,Institute of
Electrical and Electronics Engineers Inc.,"Ministry of Education and Research of
Romania, National Authority for Scientific Research and Innovation (ANCSI); NAPA:
Solutions for Design and Operation of Ships","19th International Conference on
System Theory, Control and Computing, ICSTCC 2015 - Joint Conference SINTES 19,
SACCS 15, SIMSIS 19",14 October 2015 through 16 October 2015,Cheile
Gradistei,117620,,978-147998481-7,,,English,"Int. Conf. Syst. Theory, Control
Comput., ICSTCC - Jt. Conf. SINTES, SACCS, SIMSIS",Conference
paper,Final,,Scopus,2-s2.0-84957824593
Xu Q.,"Xu, Qingzhen (16314599700)",16314599700,A novel machine learning strategy
based on two-dimensional numerical models in financial
engineering,2013,Mathematical Problems in
Engineering,2013,,659809,,,,22,10.1155/2013/659809,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
84896117390&doi=10.1155%2f2013%2f659809&partnerID=40&md5=6b0b4a5476d8cd23cfeb454801
28d344,"School of Computer Science, South China Normal University, Guangzhou
510631, China","Xu Q., School of Computer Science, South China Normal University,
Guangzhou 510631, China","Machine learning is the most commonly used technique to
address larger and more complex tasks by analyzing the most relevant information
already present in databases. In order to better predict the future trend of the
index, this paper proposes a two-dimensional numerical model for machine learning
to simulate major U.S. stock market index and uses a nonlinear implicit finite-
difference method to find numerical solutions of the two-dimensional simulation
model. The proposed machine learning method uses partial differential equations to
predict the stock market and can be extensively used to accelerate large-scale data
processing on the history database. The experimental results show that the proposed
algorithm reduces the prediction error and improves forecasting precision. © 2013
Qingzhen Xu.",,Commerce; Data processing; Forecasting; Numerical models; Partial
differential equations; Two dimensional; Financial engineering; Forecasting
precision; Large-scale data processing; Machine learning methods; Numerical
solution; Stock market index; Two dimensional numerical models; Two-dimensional
simulations; Learning systems,,,,,,,"Chang J.-R., Wei L.-Y., Cheng C.-H., A hybrid
ANFIS model based on AR and volatility for TAIEX forecasting, Applied Soft
Computing Journal, 11, 1, pp. 1388-1395, (2011); Chu H.-H., Chen T.-L., Cheng C.-
H., Huang C.-C., Fuzzy dual-factor time-series for stock index forecasting, Expert
Systems with Applications, 36, 1, pp. 165-171, (2009); Xu Q., Continuous time M/G/1
queue with multiple vacations and server close-down time, Journal of Computational
Information Systems, 3, 2, pp. 753-757, (2007); Xu Q., Ma Z., Discrete time G e o /
G / 1 queue with Bernoulli gated service simulation system, Applied Mathematics and
Computation, 204, 1, pp. 37-44, (2008); Qingzhen X., Susu B., Zhanyou M., Naishuo
T., M^x/G/1 queue with multiple vacations, Stochastic Analysis and
Applications, 25, 1, pp. 127-140, (2007); He C., Liu Y., Xu Q., Research on Chinese
stock market's money flow by two-stage model, Management World, 2, 3, pp. 16-26,
(2011); Xu Q., A new algorithm to forecast Shanghai composite index, Journal of
Information and Computational Science, 7, 12, pp. 2463-2467, (2010); Xu Q., Liu Y.,
A genetic algorithms to forecast American shares price index, Journal of
Information and Computational Science, 8, 8, pp. 1245-1250, (2011); Brown P.N.,
Saad Y., Hybrid Krylov methods for nonlinear systems of equations, SIAM Journal on
Scientific and Statistical Computing, 11, 3, pp. 450-481, (1990); Knoll D.A., Rider
W.J., Olson G.L., An efficient nonlinear solution method for non-equilibrium
radiation diffusion, Journal of Quantitative Spectroscopy and Radiative Transfer,
63, 1, pp. 15-29, (1999)","Q. Xu; School of Computer Science, South China Normal
University, Guangzhou 510631, China; email: [email protected]",,Hindawi Publishing
Corporation,,,,,,1024123X,,,,English,Math. Probl. Eng.,Article,Final,All Open
Access; Gold Open Access; Green Open Access,Scopus,2-s2.0-84896117390
Giri C.; Chen Y.,"Giri, Chandadevi (57210282859); Chen, Yan
(55941411900)",57210282859; 55941411900,Deep Learning for Demand Forecasting in the
Fashion and Apparel Retail
Industry,2022,Forecasting,4,2,,565,581,16,23,10.3390/forecast4020031,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85143127022&doi=10.3390%2fforecast4020031&partnerID=40&md5=4e2f6c0819c60daef01bddee
2448d07e,"The Swedish School of Textiles, University of Boras, Boras, S-50190,
Sweden; College of Textile and Clothing Engineering, Soochow University, Suzhou,
215168, China","Giri C., The Swedish School of Textiles, University of Boras,
Boras, S-50190, Sweden, College of Textile and Clothing Engineering, Soochow
University, Suzhou, 215168, China; Chen Y., College of Textile and Clothing
Engineering, Soochow University, Suzhou, 215168, China","Compared to other
industries, fashion apparel retail faces many challenges in predicting future
demand for its products with a high degree of precision. Fashion products’ short
life cycle, insufficient historical information, highly uncertain market demand,
and periodic seasonal trends necessitate the use of models that can contribute to
the efficient forecasting of products’ sales and demand. Many researchers have
tried to address this problem using conventional forecasting models that predict
future demands using historical sales information. While these models predict
product demand with fair to moderate accuracy based on previously sold stock, they
cannot fully be used for predicting future demands due to the transient behaviour
of the fashion industry. This paper proposes an intelligent forecasting system that
combines image feature attributes of clothes along with its sales data to predict
future demands. The data used for this empirical study is from a European fashion
retailer, and it mainly contains sales information on apparel items and their
images. The proposed forecast model is built using machine learning and deep
learning techniques, which extract essential features of the product images. The
model predicts weekly sales of new fashion apparel by finding its best match in the
clusters of products that we created using machine learning clustering based on
products’ sales profiles and image similarity. The results demonstrated that the
performance of our proposed forecast model on the tested or test items is
promising, and this model could be effectively used to solve forecasting problems.
© 2022 by the authors.",deep learning; fashion and apparel industry; machine
learning; sales forecasting,,,,,,"European Commission, EC",This research work is
conducted under the framework of the SMDTex project (2017–2021) funded by the
European Commission.,"Giri C., Thomassey S., Zeng X., Customer Analytics in Fashion
Retail Industry, Functional Textiles and Clothing, pp. 349-361, (2019); Minner S.,
Kiesmller G.P., Dynamic product acquisition in closed loop supply chains, Int. J.
Prod. Res, 50, pp. 2836-2851, (2012); Thomassey S., Economics and undefined 2010,
Sales forecasts in clothing industry: The key success factor of the supply chain
management, Int. J. Prod. Econ, 128, pp. 470-483, (2010); Giri C., Thomassey S.,
Zeng X., Exploitation of Social Network Data for forecasting Garment Sales, Int. J.
Comput. Intell. Syst, 12, (2019); Giri C., Thomassey S., Balkow J., Zeng X.,
Forecasting New Apparel Sales Using Deep Learning and Nonlinear Neural Network
Regression, Proceedings of the 2019 International Conference on Engineering,
Science, and Industrial Applications; Christopher M., Lee H., Mitigating supply
chain risk through improved confidence, Int. J. Phys. Distrib. Logist. Manag, 34,
pp. 388-396, (2004); Christopher M., Towill D., An integrated model for the design
of agile supply chains, Int. J. Phys. Distrib. Logist. Manag, 31, pp. 235-246,
(2001); Battista C., Schiraldi M.M., The Logistic Maturity Model: Application to a
fashion firm, Int. J. Eng. Bus. Manag, 5, pp. 1-11, (2013); Nayak R., Padhye R.,
Artificial intelligence and its application in the apparel industry, Automation in
Garment Manufacturing, pp. 109-138, (2018); Giri C., Jain S., Zeng X., Bruniaux P.,
A Detailed Review of Artificial Intelligence Applied in the Fashion and Apparel
Industry, IEEE Access, 7, pp. 95376-95396, (2019); Papalexopoulos A.D., Hesterberg
T.C., A regression-based approach to short-term system load forecasting,
Proceedings of the Conference Papers Power Industry Computer Application
Conference, pp. 414-423; Healy M.J.R., Brown R.G., Smoothing, Forecasting and
Prediction of Discrete Time Series, J. R. Stat. Soc. Ser. A, 127, (1964); de
Gooijer J.G., Hyndman R.J., 25 Years of Time Series Forecasting, (2006); Box
G.E.P., Jenkins G.M., Time Series Analysis: Forecasting and Control, (1976); Hui
P.C.L., Choi T.-M., Using artificial neural networks to improve decision making in
apparel supply chain systems, Information Systems for the Fashion and Apparel
Industry, pp. 97-107, (2016); Makridakis S., Wheelwright S., Hyndman R.,
Forecasting Methods and Applications, (1998); Wong W.K., Guo Z.X., A Hybrid
Intelligent Model for Medium-Term Sales Forecasting in Fashion Retail Supply Chains
Using Extreme Learning Machine and Harmony Search Algorithm, (2010); Chu W.C.,
Zhang P.G., A comparative study of linear and nonlinear models for aggregate retail
sales forecasting, Int. J. Prod. Econ, 86, pp. 217-231, (2003); Thiesing F.M.,
Vornberger O., Forecasting sales using neural networks, International Conference on
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R.J., Forecasting aggregate retail sales: A comparison of artificial neural
networks and traditional methods, J. Retail. Consum. Serv, 8, pp. 147-156, (2001);
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series and neural networks, Comput. Ind. Eng, 31, pp. 421-424, (1996); Chang P.-C.,
Wang Y., Tsai C., Evolving neural network for printed circuit board sales
forecasting, Expert Syst. Appl, 29, pp. 83-92, (2005); Russell S.J., Norvig P.,
Davis E., Artificial Intelligence: A Modern Approach, (2010); Laney D., 3D Data
Management: Controlling Data Volume, Velocity, and Variety, META Group Res. Note,
6, (2001); Zadeh L.A., Fuzzy sets, Inf. Control, 8, pp. 38-353, (1965); Tan P.-N.,
Steinbach M., Kumar V., Introduction to Data Mining, (2005); LeCun Y., Bengio Y.,
Hinton G., Deep learning, Nature, 521, pp. 436-446, (2015); Jiang S., Chin K.-S.,
Wang L., Qu G., Tsui K.L., Modified genetic algorithm-based feature selection
combined with pre-trained deep neural network for demand forecasting in outpatient
department, Expert Syst. Appl, 82, pp. 216-230, (2017); Xu S., Chan H.K., Zhang T.,
Forecasting the demand of the aviation industry using hybrid time series SARIMA-SVR
approach, Transp. Res. Part E Logist. Transp. Rev, 122, pp. 169-180, (2019); Qiu
X., Ren Y., Suganthan P.N., Amaratunga G.A.J., Empirical Mode Decomposition based
ensemble deep learning for load demand time series forecasting, Appl. Soft Comput,
54, pp. 246-255, (2017); Alibabaei K., Gaspar P.D., Lima T.M., Campos R.M., Girao
I., Monteiro J., Lopes C.M., A Review of the Challenges of Using Deep Learning
Algorithms to Support Decision-Making in Agricultural Activities, Remote Sens, 14,
(2022); Thomassey S., Happiette M., A neural clustering and classification system
for sales forecasting of new apparel items, Appl. Soft Comput, 7, pp. 1177-1187,
(2007); Szegedy C., Vanhoucke V., Ioffe S., Shlens J., Wojna Z., Rethinking the
Inception Architecture for Computer Vision, Proceedings of the 2016 IEEE Conference
on Computer Vision and Pattern Recognition (CVPR), pp. 2818-2826; Aranganayagi S.,
Thangavel K., Clustering categorical data using silhouette coefficient as a
relocating measure, Proceedings of the International Conference on Computational
Intelligence and Multimedia Applications (ICCIMA 2007); Manning C.D., Raghavan P.,
Schutze H., Introduction to Information Retrieval, (2008); Bishop C.M., Nasrabadi
N.M., Pattern Recognition and Machine Learning, (2006)","C. Giri; The Swedish
School of Textiles, University of Boras, Boras, S-50190, Sweden; email:
[email protected]",,MDPI,,,,,,25719394,,,,English,Forecast.,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85143127022
Liu P.; Zhang Y.; Bao F.; Yao X.; Zhang C.,"Liu, Peipei (57223020076); Zhang,
Yunfeng (55739902900); Bao, Fangxun (23768237100); Yao, Xunxiang (59282326300);
Zhang, Caiming (7405490397)",57223020076; 55739902900; 23768237100; 59282326300;
7405490397,Multi-type data fusion framework based on deep reinforcement learning
for algorithmic trading,2023,Applied
Intelligence,53,2,,1683,1706,23,20,10.1007/s10489-022-03321-w,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85129215982&doi=10.1007%2fs10489-022-03321-
w&partnerID=40&md5=6f45b41eb099ccb335a861818bf855fb,"School of Computer Science and
Technology, Shandong University of Finance and Economics, Jinan, 250014, China;
School of Mathmatics, Shandong University, Shandong, Jinan, 250100, China; Faculty
of Engineering and Information Technology, University of Technology Sydney, Sydney,
2007, NSW, Australia; School of Computer Science and Technology, Shandong
University, Jinan, 250101, China","Liu P., School of Computer Science and
Technology, Shandong University of Finance and Economics, Jinan, 250014, China;
Zhang Y., School of Computer Science and Technology, Shandong University of Finance
and Economics, Jinan, 250014, China; Bao F., School of Mathmatics, Shandong
University, Shandong, Jinan, 250100, China; Yao X., Faculty of Engineering and
Information Technology, University of Technology Sydney, Sydney, 2007, NSW,
Australia; Zhang C., School of Computer Science and Technology, Shandong
University, Jinan, 250101, China","In recent years, research on algorithmic trading
based on machine learning has been increasing. One challenge faced is getting an
accurate representation of the stock market environment from multi-type data. Most
existing algorithmic trading studies analyze the stock market based on a relatively
single data source. However, with the complicated stock market environment,
different types of data reflect the changes in the stock market from different
perspectives, and how to obtain the temporal features of different types of data
and integrate them to obtain a deeper representation of the stock market
environment are still problems to be solved. To tackle these problems, in this
study, we combine deep learning and reinforcement learning (RL) and propose a
multi-type data fusion framework with deep reinforcement learning (MSF-DRL) that
integrates stock data, technical indicators and candlestick charts, in which
technical indicators can reduce the impact of noise in stock data. In the process
of learning trading strategies under the MSF-DRL framework, the temporal features
of stock data and technical indicators are extracted through a long short-term
memory (LSTM) network, and a convolutional neural network (CNN) and bidirectional
long short-term memory (BiLSTM) are successively used to extract the features of
the candlestick chart. The fused features are used as the input of the RL module,
which makes trading decisions on this basis. To verify the effectiveness of the
MSF-DRL framework, we conducted comparative experiments on datasets composed of
Chinese stocks and some stocks of the S&P 500 stock market index. Compared with the
other trading strategies, our trading strategy can obtain more profits and a higher
Sharpe ratio. © 2022, The Author(s), under exclusive licence to Springer
Science+Business Media, LLC, part of Springer Nature.",Algorithmic trading; Deep
reinforcement Learning; Multi-type data; Trading strategy,Brain; Commerce;
Convolutional neural networks; Data fusion; Learning systems; Long short-term
memory; Algorithmic trading; Candlestick chart; Deep reinforcement learning; Market
environment; Multi-type data; Reinforcement learnings; Stock data; Technical
indicator; Temporal features; Trading strategies; Reinforcement
learning,,,,,"Fostering Project of Dominant Discipline and Talent Team of Shandong
Province Higher Education Institutions; Shandong Province, (2020KJN007); Key
Technology Research and Development Program of Shandong, (2019GGX101007,
2019GSF109112); Key Technology Research and Development Program of Shandong;
National Natural Science Foundation of China-Zhejiang Joint Fund for the
Integration of Industrialization and Informatization, (U1909210); National Natural
Science Foundation of China-Zhejiang Joint Fund for the Integration of
Industrialization and Informatization; National Natural Science Foundation of
China, NSFC, (61902217, 61972227); National Natural Science Foundation of China,
NSFC; Natural Science Foundation of Shandong Province, (ZR2019BF043, ZR2019MF051,
ZR2020MA036, ZR2020MF037); Natural Science Foundation of Shandong Province","This
work was supported by the National Natural Science Foundation of China (Grant Nos.
61972227 and 61902217); the Natural Science Foundation of Shandong Province (Grant
Nos. ZR2019MF051, ZR2020MF037, ZR2019BF043 and ZR2020MA036); the NSFC-Zhejiang
Joint Fund of the Integration of Informatization and Industrialization (Grant Nos.
U1909210); Key Research and Development Project of Shandong Province (Grant Nos.
2019GGX101007 and 2019GSF109112); Science and technology plan for young talents in
Colleges and universities of Shandong Province(Grant No. 2020KJN007); the Fostering
Project of Dominant Discipline and Talent Team of Shandong Province Higher
Education Institutions; and The introduction and education plan of young creative
talents in Colleges and universities of Shandong Province. ","Fister D., Perc M.,
Jagric T., Two robust long short-term memory frameworks for trading stocks, Appl
Intell, 51, 10, pp. 7177-7195, (2021); Soleymani F., Paquet E., Financial portfolio
optimization with online deep reinforcement learning and restricted stacked
autoencoder—DeepBreath, Expert Syst Appl, 156, (2020); Thakkar A., Chaudhari K.,
Fusion in stock market prediction: a decade survey on the necessity, recent
developments, and potential future directions, Inf Fusion, 65, pp. 95-107, (2021);
Li L., Zhu F., Sun H., Et al., Multi-source information fusion and deep-learning-
based characteristics measurement for exploring the effects of peer engagement on
stock price synchronicity, Inf Fusion, 69, pp. 1-21, (2021); Ozbayoglu A.M.,
Gudelek M.U., Sezer O.B., Deep learning for financial applications: a survey, Appl
Soft Comput, 93, (2020); Du W., Ding S., A survey on multi-agent deep reinforcement
learning: from the perspective of challenges and applications, Artif Intell Rev,
54, pp. 3215-3238, (2021); Silver D., Hubert T., Schrittwieser J., Et al., A
general reinforcement learning algorithm that masters chess, shogi, and Go through
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Self-play reinforcement learning with comprehensive critic in computer games,
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J.B., Et al., Flexible control of discrete event systems using environment
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Mahapurush G.D., Et al., A Q-learning agent for automated trading in equity stock
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trading with deep convolutional neural networks: Time series to image conversion
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T., Ernst D., An application of deep reinforcement learning to algorithmic trading,
Expert Syst Appl, 173, (2021); Lei K., Zhang B., Li Y., Et al., Time-driven
feature-aware jointly deep reinforcement learning for financial signal
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H., Choe H.J., Learning to trade in financial time series using high-frequency
through wavelet transformation and deep reinforcement learning, Appl Intell, 51,
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M., Yan X., Wang C., Wang K., Segmentation mask-guided person image generation,
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Comput, 93, (2020); Xie Y., Liang R., Liang Z., Et al., Speech emotion
classification using attention-based LSTM, IEEEACM Trans Audio Speech Lang Process,
27, pp. 1675-1685, (2019); Tu Y.H., Du J., Lee C.H., Speech enhancement based on
Teacher–Student deep learning using improved speech presence probability for Noise-
Robust speech recognition, IEEEACM Trans Audio Speech Lang Process, 27, pp. 2080-
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cascaded attention networks
for speech emotion recognition, Neurocomputing, 448, pp. 238-248, (2021); Fischer
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in a Markov network with reinforcement learning for visual navigation,
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Portfolio management system in equity market neutral using reinforcement learning,
Appl Intell, (2021); Wu X., Chen H., Wang J., Troiano L., Loia V., Fujita H.,
Adaptive stock trading strategies with deep reinforcement learning methods, Inf
Sci, 538, pp. 142-158, (2020); Carta S., Corriga A., Ferreira A., Podda A.S.,
Recupero A.S., A multi-layer and multi-ensemble stock trader using deep learning
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Shynkevich Y., McGinnity T.M., Coleman S.A., Et al., Forecasting price movements
using technical indicators: Investigating the impact of varying input window
length, Neurocomputing, 264, pp. 71-88, (2017); Lee S.H., Levin D., Finley P.D.,
Heilig C.M., Chief complaint classification with recurrent neural networks, J
Biomed Inform, 93, (2019); Mammone N., Ieracitano C., Morabito F.C., A deep CNN
approach to decode motor preparation of upper limbs from time–frequency maps of EEG
signals at source level, Neural Netw, 124, pp. 357-372, (2020); Liu M., Lu Y., Long
S., Et al., An attention-based CNN-biLSTM hybrid neural network enhanced with
features of discrete wavelet transformation for fetal acidosis classification,
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stock price index: a hybrid model integrating LSTM with multiple GARCH-type models,
Expert Syst Appl, 103, pp. 25-37, (2018)","Y. Zhang; School of Computer Science and
Technology, Shandong University of Finance and Economics, Jinan, 250014, China;
email: [email protected]",,Springer,,,,,,0924669X,,APITE,,English,Appl
Intell,Article,Final,,Scopus,2-s2.0-85129215982
Fazlija B.; Harder P.,"Fazlija, Bledar (57768281600); Harder, Pedro
(57767312300)",57768281600; 57767312300,Using Financial News Sentiment for Stock
Price Direction
Prediction,2022,Mathematics,10,13,2156,,,,23,10.3390/math10132156,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85133018188&doi=10.3390%2fmath10132156&partnerID=40&md5=9b5b37aeab035b806d784d3c47e
d0a89,"School of Management and Law, ZHAW Zurich University of Applied Sciences,
Winterthur, 8400, Switzerland","Fazlija B., School of Management and Law, ZHAW
Zurich University of Applied Sciences, Winterthur, 8400, Switzerland; Harder P.,
School of Management and Law, ZHAW Zurich University of Applied Sciences,
Winterthur, 8400, Switzerland","Using sentiment information in the analysis of
financial markets has attracted much attention. Natural language processing methods
can be used to extract market sentiment information from texts such as news
articles. The objective of this paper is to extract financial market sentiment
information from news articles and use the estimated sentiment scores to predict
the price direction of the stock market index Standard & Poor’s 500. To achieve the
best possible performance in sentiment classification, state-of-the-art
bidirectional encoder representations from transformers (BERT) models are used. The
pretrained transformer networks are fine-tuned on a labeled financial text dataset
and applied to news articles from known providers of financial news content to
predict their sentiment scores. The generated sentiment scores for the titles of
the given news articles, for the (text) content of said news articles, and for the
combined title-content consideration are posited against past time series
information of the stock market index. To forecast the price direction of the stock
market index, the predicted sentiment scores are used in a simple strategy and as
features for a random forest classifier. The results show that sentiment scores
based on news content are particularly useful for stock price direction prediction.
© 2022 by the authors. Licensee MDPI, Basel, Switzerland.",machine learning;
natural language processing; sentiment analysis; stock prize prediction,,,,,,ZHAW
Zurich University of Applied Sciences,Open access funding provided by ZHAW Zurich
University of Applied Sciences. We thank the two anonymous reviewers for their
valuable comments that enhanced the readability and content of this paper
significantly. We thank Enis Abdyli for proofreading the article.,"Nassirtoussi
A.K., Aghabozorgi S., Wah T.Y., Ngo D.C.L., Text mining for market prediction: A
systematic review, Expert Syst. Appl, 41, pp. 7653-7670, (2014); Fama E., Efficient
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L., Polosukhin I., Attention Is All You Need, Proceedings of the 31st International
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(2017); Mishev K., Gjorgjevikj A., Vodenska I., Chitkushev L., Trajanov D.,
Evaluation of Sentiment Analysis in Finance: From Lexikons to Transformers, IEEE
Access, 8, pp. 131662-131682, (2020); Consoli S., Barbaglia L., Manzan S., Fine-
grained, aspect-based sentiment analysis on economic and financial lexicon, Knowl.-
Based Syst, 247, (2022); Barbaglia L., Consoli S., Wang S., Financial Forecasting
with Word Embeddings Extracted from News: A Preliminary Analysis, Joint European
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stock movement using sentiment analysis of Twitter feed, Proceedings of the 2017
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International Symposium in Computational Medical and Health Technology (ICIEV-
ISCMHT), pp. 1-6, (2017); Li X., Xie H., Chen L., Wang J., Deng X., News impact on
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Pre-training of Deep Bidirectional Transformers for Language Understanding,
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for Computational Linguistics: Human Language Technologies, pp. 4171-4186, (2019);
Araci D., FinBERT: Financial Sentiment Analysis with Pre-Trained Language Models;
Mohan S., Mullapudi S., Sammeta S., Vijayvergia P., Anastasiu C., Stock Price
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T., Duan J., Using Structured Events to Predict Stock Price Movement: An Empirical
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News Dataset from Bloomberg and Reuters; S&P U.S. Indices Methodology; Liu Q.,
Cheng X., Su S., Zhu S., Hierarchical Complementary Attention network for
Predicting Stock Price Movements with News, Proceedings of the 27th ACM
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1603-1606, (2018); Grandini M., Bagli E., Visani G., Metrics for Multi-Class
Classification: An Overview, (2008); Rufibach K., Use of Brier score to assess
binary predictions, J. Clin. Epidemiol, 63, pp. 938-939, (2010); Chicco D., Warrens
M.J., Jurman G., The Matthews Correlation Coefficient (MCC) is More Informative
Than Cohen’s Kappa and Brier Score in Binary Classification Assessment, IEEE
Access, 9, pp. 78368-78381, (2021); Bergmeir C., Hyndman R., Koo B., A note on the
validity of cross-validation for evaluating autoregressive time series prediction,
Comput. Stat. Data Anal, 120, pp. 70-83, (2018); Hull J.C., Options Futures and
Other Derivatives, (2003); Hastie T., Tibshirani R., Friedman J., The Elements of
Statistical Learning: Data Mining, Inference, and Prediction, 2nd ed, (2009);
Berrar D., Cross-Validation; Lahiri K., Yang L., Forecasting binary outcomes,
Handbook of Economic Forecasting, 2, pp. 1025-1106","B. Fazlija; School of
Management and Law, ZHAW Zurich University of Applied Sciences, Winterthur, 8400,
Switzerland; email: [email protected]; P. Harder; School of Management and Law, ZHAW
Zurich University of Applied Sciences, Winterthur, 8400, Switzerland; email:
[email protected]",,MDPI,,,,,,22277390,,,,English,Mathematics,Article,Final
,All Open Access; Gold Open Access,Scopus,2-s2.0-85133018188
Wang J.; Shi J.; Han D.; Zhao X.,"Wang, Jinxiao (57881270300); Shi, Jiaxin
(58361680000); Han, Dexin (58085848700); Zhao, Xiaoyu (58085746400)",57881270300;
58361680000; 58085848700; 58085746400,Internet Financial News and Prediction for
Stock Market: An Empirical Analysis of Tourism Plate Based on LDA and
SVM,2019,Journal of Advances in Information
Technology,10,3,,95,99,4,21,10.12720/jait.10.3.95-99,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85120477852&doi=10.12720%2fjait.10.3.95-
99&partnerID=40&md5=ee65a7abd47d697d1b371165dd9111bc,"Tsinghua University, Beijing,
China; Peking University HSBC Business School, Shenzhen, China; China University of
Political Science and Law, Beijing, China","Wang J., Tsinghua University, Beijing,
China; Shi J., Peking University HSBC Business School, Shenzhen, China; Han D.,
China University of Political Science and Law, Beijing, China; Zhao X., China
University of Political Science and Law, Beijing, China","—Internet financial news
plays an important role in stock market forecasting. This paper discusses the
relationship between the content of the Internet financial news and the yield of
the stock market by using text mining technology and machine learning technology.
The Latent Dirichlet distribution (LDA) model is used to analyze the Internet
financial news. And the support vector machine (SVM) algorithm is used to predict
the trend of the sector. Afterward constructs a trading strategy. The results show
that the introduction of the information of tourism topic distribution in the
Internet financial news can effectively improve the accuracy rate of forecast, thus
increasing return of investment, especially when the stock market is in a volatile
period. To sum up, the information of Internet. © 2019 J. Adv. Inf.
Technol.",internet financial news; stock market forecast; support vector machine;
text mining,,,,,,,,"Liu H., Xu J., The impact of internet heterogeneous financial
news on the stock market: Evidence from Chinese internet data and listed companies,
Industrial Economic Research, 1, pp. 76-88, (2017); Yang J., An empirical analysis
of the impact of internet financial news on stocks, Southwestern University of
Finance and Economics, (2012); Zhao L., Zhao Q., Yang J., Wang T., Li Q.,
Quantitative analysis of the impact of financial news on china's stock market,
Journal of Shandong University (Science Edition), 7, pp. 70-75, (2012); Mittermayer
M. A., Forecasting intraday stock price trends with text mining techniques, Proc.
Hawaii's International Conference on System Sciences, (2004); Zhao Q., Research on
the impact of internet financial news on china's stock market, Southwestern
University of Finance and Economics, (2012); Kong X., Bi X., Zhang S., Financial
news and stock market forecast——An empirical analysis based on data mining
technology, Mathematical Statistics and Management, 2, pp. 215-224, (2016); Meng
X., Yang Y., Zhao X., Financial news and stock market investment strategy research
——Text mining based on financial website, Research on Investment, 8, pp. 29-37,
(2016)",,,Engineering and Technology Publishing,,,,,,17982340,,,,English,J. Adv.
Inf. Technol.,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-
85120477852
Yang H.; Liu X.-Y.; Wu Q.,"Yang, Hongyang (57204013580); Liu, Xiao-Yang
(44361326100); Wu, Qingwei (57204010279)",57204013580; 44361326100; 57204010279,A
Practical Machine Learning Approach for Dynamic Stock
Recommendation,2018,"Proceedings - 17th IEEE International Conference on Trust,
Security and Privacy in Computing and Communications and 12th IEEE International
Conference on Big Data Science and Engineering, Trustcom/BigDataSE
2018",,,8456121,1693,1697,4,24,10.1109/TrustCom/BigDataSE.2018.00253,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85054097386&doi=10.1109%2fTrustCom
%2fBigDataSE.2018.00253&partnerID=40&md5=057771ba70f87e221713d45753f41bca,"Dept. of
Statistics, Columbia University, United States; Dept. of Electrical Engineering,
Columbia University, United States","Yang H., Dept. of Statistics, Columbia
University, United States; Liu X.-Y., Dept. of Electrical Engineering, Columbia
University, United States; Wu Q., Dept. of Statistics, Columbia University, United
States","Stock recommendation is vital to investment companies and investors.
However, no single stock selection strategy will always win while analysts may not
have enough time to check all S&P 500 stocks (the Standard & Poor's 500). In this
paper, we propose a practical scheme that recommends stocks from S&P 500 using
machine learning. Our basic idea is to buy and hold the top 20% stocks dynamically.
First, we select representative stock indicators with good explanatory power.
Secondly, we take five frequently used machine learning methods, including linear
regression, ridge regression, stepwise regression, random forest and generalized
boosted regression, to model stock indicators and quarterly log-return in a rolling
window. Thirdly, we choose the model with the lowest Mean Square Error in each
period to rank stocks. Finally, we test the selected stocks by conducting portfolio
allocation methods such as equally weighted, mean-variance, and minimum-variance.
Our empirical results show that the proposed scheme outperforms the long-only
strategy on the S&P 500 index in terms of Sharpe ratio and cumulative returns. ©
2018 IEEE.",fundamental value investing; machine learning; model selection; risk
management; Stock recommendation,Artificial intelligence; Big data; Data privacy;
Decision trees; Financial markets; Mean square error; Regression analysis; Risk
management; Allocation methods; Investment company; Machine learning approaches;
Machine learning methods; Model Selection; Stepwise regression; Stock
recommendations; Value investing; Learning systems,,,,,,,"Zhang Kewei Hou Y., Dijk
Van M.A., The implied cost of capital: A new approach, Journal of Accounting and
Economics, 53, 3, (2011); Hou K., Xue C., Zhang L., Digesting anomalies: An
investment approach, Fisher College of Business Working Paper No. WP 2012-03-021,
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Factorbased Quantitative Investing by Forecasting Company Fundamentals, (2017);
Gottwald R., The Use of the P/e Ratio to Stock Valuation, 415, (2012); Graham B.,
Cottle S., Murray R.F., Frank E., Block, Security Analysis, (1988); Crawford Scott
M., Value investing: A look at the benjain graham approach, AAII, (1996); Standard
Poor's/Compustat [2017], (2017); Hastie T., Tibshirani R., Friedman J., The
Elements of Statistical Learning, (2009); R: A language and environment for
statistical computing., R Foundation for Statistical Computing; James G., Witten
D., Hastie T., Tibshirani R., An Introduction to Statistical Learning with
Applications in R, (2013); Johnstone Bradley Efron I., Hastie T., Tibshirani R.,
Least angle regression, The Annals of Statistics, 32, 2, (2004); Liaw A., Wiener
M., Classification and regression by randomforest, R News, 2, 3, (2002); Ridgeway
G., Generalized Boosted Models: A Guide to the Gbm Package, (2007); Ang A., Mean-
variance investing, Columbia Business School Research Paper No. 12/49, (2012);
Matlab Financial Toolbox: Portfolio Object, (2017); Our Codes; Liu X., Wang X., Ls-
decomposition for robust recovery of sensory big data, IEEE Transactions on Big
Data, (2017); Liu X., Wang X., Fourth-order Tensors with Multidimensional Discrete
Transforms, (2017)",,,Institute of Electrical and Electronics Engineers
Inc.,Columbia University; IEEE; IEEE Computer Society; IEEE STC Smart Computing;
IEEE TCSC; North America Chinese Talents Association,"17th IEEE International
Conference on Trust, Security and Privacy in Computing and Communications and 12th
IEEE International Conference on Big Data Science and Engineering,
Trustcom/BigDataSE 2018",31 July 2018 through 3 August 2018,New York,139357,,978-
153864387-7,,,English,"Proc. - IEEE Int. Conf. Trust, Secur. Priv. Comput. Commun.
IEEE Int. Conf. Big Data Sci. Eng., Trustcom/BigDataSE",Conference
paper,Final,,Scopus,2-s2.0-85054097386
Sharma N.; Soni M.; Kumar S.; Kumar R.; Deb N.; Shrivastava A.,"Sharma, Neha
(57199925014); Soni, Mukesh (57202986134); Kumar, Sumit (57711773400); Kumar,
Rajeev (55492149900); Deb, Nabamita (57193870648); Shrivastava, Anurag
(58035982500)",57199925014; 57202986134; 57711773400; 55492149900; 57193870648;
58035982500,Supervised Machine Learning Method for Ontology-based Financial
Decisions in the Stock Market,2023,ACM Transactions on Asian and Low-Resource
Language Information Processing,22,5,139,,,,24,10.1145/3554733,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85162127497&doi=10.1145%2f3554733&partnerID=40&md5=a778cf295077174b57f6c04e476040a9
,"Chitkara University Institute of Engineering and Technology, Chitkara University,
Punjab, Rajpura, India; Department of CSE, University Centre for Research and
Development, Chandigarh University, Punjab, Mohali, India; The Ceres Group, Paxton
Run Road, Charlotte, NC, United States; Department of Master of Computer
Applications, G. L. Bajaj Institute of Technology and Management, U.P., Greater
Noida, India; Department of Information Technology, Gauhati University, India;
Lakshmi Narain College of Technology and Science Indore, M.P., Indore,
India","Sharma N., Chitkara University Institute of Engineering and Technology,
Chitkara University, Punjab, Rajpura, India; Soni M., Department of CSE, University
Centre for Research and Development, Chandigarh University, Punjab, Mohali, India;
Kumar S., The Ceres Group, Paxton Run Road, Charlotte, NC, United States; Kumar R.,
Department of Master of Computer Applications, G. L. Bajaj Institute of Technology
and Management, U.P., Greater Noida, India; Deb N., Department of Information
Technology, Gauhati University, India; Shrivastava A., Lakshmi Narain College of
Technology and Science Indore, M.P., Indore, India","For changing semantics,
ontological and information presentation, as well as computational linguistics for
Asian social networks, are one of the most essential platforms for offering
enhanced and real-time data mapping, as well as huge data access across diverse big
data sources on the web architecture, information extraction mining, statistical
modeling and data modeling, database control, and so on. The concept of opinion or
sentiment analysis is often used to predict or classify the textual data,
sentiment, affect, subjectivity, and other emotional states in online text.
Recognizing the message's positive and negative thoughts or opinions by examining
the author's goals will aid in a better understanding of the text's content in
terms of the stock market. An intelligent ontology and knowledge Asian social
network solution can improve the effectiveness of a company's decision making
support procedures by deriving important information about users from a wide
variety of web sources. However, ontology is concerned primarily with problem-
solving knowledge discovery. The utilization of Internet-based modernizations
welcomed a significant effect on the Indian stock exchange. News related to the
stock market in the most recent decade plays a vital role for the brokers or users.
This article focuses on predicting stock market news sentiments based on their
polarity and textual information using the concept of ontological knowledge-based
Convolution Neural Network (CNN) as a machine learning approach. Optimal features
are essential for the sentiment classification model to predict the stock's textual
reviews' exact sentiment. Therefore, the swarm-based Artificial Bee Colony (ABC)
algorithm is utilized with the Lexicon feature extraction approach using a novel
fitness function. The main motivation for combining ABC and CNN is to accelerate
model training, which is why the suggested approach is effective in predicting
emotions from stock news. © 2023 Association for Computing Machinery.",Artificial
Bee Colony Algorithm (ABC); Convolution Neural Networks (CNN); Lexicon feature
extraction; opinion mining; sentiment analysis; Stock market,Character recognition;
Classification (of information); Commerce; Convolution; Data mining; Decision
making; Electronic trading; Feature extraction; Financial markets; Forecasting;
Knowledge based systems; Learning systems; Ontology; Optimization; Semantics;
Social networking (online); Supervised learning; Artificial bee colony algorithm;
Artificial bees; Bee colony algorithms; Convolution neural network; Features
extraction; Lexicon feature extraction; Opinion mining; Sentiment analysis;
Supervised machine learning; Sentiment analysis,,,,,,,"Fama E.F., The behavior of
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iterating deep learning model for HSI segmentation, Wireless Communications and
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Int. J. Adv. Eng. Res. Dev, pp. 6-8, (2017); Tabari N., Seyeditabari A., Peddi T.,
Hadzikadic M., Zadrozny W., A comparison of neural network methods for accurate
sentiment analysis of stock market tweets, Ecml Pkdd 2018 Workshops, pp. 51-65,
(2018); Chakraborty P., Pria U., Rony R., Majumdar M., Predicting stock movement
using sentiment analysis of twitter feed, Proceedings of the 6th International
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Proceedings of the International Conference on Intelligent Com-puting and Control
Systems, pp. 114-117, (2018)","N. Sharma; Chitkara University Institute of
Engineering and Technology, Chitkara University, Rajpura, Punjab, India; email:
[email protected]",,Association for Computing
Machinery,,,,,,23754699,,,,English,ACM Trans. Asian Low Res. Lang. Inf.
Process.,Article,Final,,Scopus,2-s2.0-85162127497
Lin Y.-F.; Huang T.-M.; Chung W.-H.; Ueng Y.-L.,"Lin, Yu-Fei (57210122558); Huang,
Tzu-Ming (57210123949); Chung, Wei-Ho (7401983437); Ueng, Yeong-Luh
(7003480499)",57210122558; 57210123949; 7401983437; 7003480499,Forecasting
Fluctuations in the Financial Index Using a Recurrent Neural Network Based on Price
Features,2021,IEEE Transactions on Emerging Topics in Computational
Intelligence,5,5,,780,791,11,20,10.1109/TETCI.2020.2971218,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85089764169&doi=10.1109%2fTETCI.2020.2971218&partnerID=40&md5=ad41447468d624e622592
eb9fb40ec1d,"Department of Electrical Engineering, National Tsing Hua University,
Hsinchu, 30013, Taiwan; Institute of Communications Engineering, National Tsing Hua
University, Hsinchu, 30013, Taiwan; Department of Electrical Engineering and the
Institute of Communications Engineering, National Tsing Hua University, Hsinchu,
30013, Taiwan","Lin Y.-F., Department of Electrical Engineering, National Tsing Hua
University, Hsinchu, 30013, Taiwan; Huang T.-M., Institute of Communications
Engineering, National Tsing Hua University, Hsinchu, 30013, Taiwan; Chung W.-H.,
Department of Electrical Engineering and the Institute of Communications
Engineering, National Tsing Hua University, Hsinchu, 30013, Taiwan; Ueng Y.-L.,
Department of Electrical Engineering, National Tsing Hua University, Hsinchu,
30013, Taiwan","Profits can be made from a trading strategy where long or short
positions are placed in advance, based on the ability to forecast a future stock
price or index, such as the closing or opening price. In addition to predicting
stock index values, a prediction of the sign for the difference between closing and
opening prices is important in order to earn a profit. This article presents an
approach based on a Recurrent Neural Network (RNN) to forecast the opening price,
the closing price, and the difference between them. Compared to previously reported
approaches that were based on machine learning, the method proposed here emphasizes
the pre-processing of the data, including the normalized first order difference
method, as well as the focusing on the characteristics of the stock data, such as
the zero-crossing rate (ZCR), which denotes the ratio of changes in the sign within
a specific time interval. We propose a decision-making approach that is based on an
estimate of both the ZCR and the cross-validation data so as to enhance the ability
to forecast the difference between the opening and closing prices. We apply our
technique to the S&P500 (Standard & Poor's 500) and the Dow Jones stock indices. As
indicated by the results, our method can achieve a better performance compared to
previous work. © 2017 IEEE.",Deep learning; Recurrent neural network (RNN); Stock
price prediction,Costs; Data handling; Decision making; Electronic trading;
Financial markets; Forecasting; Profitability; Deep learning; Financial index; Long
position; Network-based; Recurrent neural network; Short position; Stock indices;
Stock price prediction; Trading strategies; Zero crossing rate; Recurrent neural
networks,,,,,,,"Aldridge I., High-Frequency Trading: A Practical Guide to
Algorithmic Strategies and Trading Systems, (2013); Wu M.-E., Chung W.-H., A novel
approach of option portfolio construction using the kelly criterion, IEEE Access,
6, pp. 53044-53052, (2018); Wu M.-E., Wang C.-H., Chung W.-H., Using trading
mechanisms to investigate large futures data and their implications to market
trends, Soft Comput, 21, pp. 2821-2834, (2016); Wu M.-E., Wang C.-H., Chung W.-H.,
Tso R., Yang I.-H., An empirical comparison between kelly criterion and vince?s
optimal F, Proc IEEE Int. Conf. Smart City/SocialCom/SustainCom (SmartCity), pp.
806-810, (2015); Wu M.-E., Chung W.-H., Empirical evaluations on momentum effects
of Taiwan index futures via stop-loss and stop-profit mechanisms, Int. J. Inf.
Technol. Decis. Making, 18, pp. 1-20, (2018); Chen S.M., Chen C.D., TAIEX
forecasting based on fuzzy time series and fuzzy variation groups, IEEE Trans.
Fuzzy Syst, 19, 1, pp. 1-12, (2011); Chang P., Fan C., A hybrid system integrating
a wavelet and TSK fuzzy rules for stock price forecasting, IEEE Trans. Syst., Man,
Cybern., Part C Appl. Rev, 38, 6, pp. 802-815, (2008); Hadavandi E., Shavandi H.,
Ghanbari A., A genetic fuzzy expert system for stock price forecasting, Proc IEEE
Int. Conf. Fuzzy Syst. Knowl. Discovery (FSKD, 1, pp. 41-44, (2010); Ariyo A.A.,
Adewumi A.O., Ayo C.K., Stock price prediction using the ARIMA model, Proc IEEE
Int. Conf. Comput. Modelling Simul, pp. 106-112, (2014); Idrees S.M., Alam M.A.,
Agarwal P., A prediction approach for stock market volatility based on time series
data, IEEE Access, 7, pp. 17287-17298, (2019); Wichaidit S., Kittitornkun S.,
Predicting SET50 stock prices using CARIMA (cross correlation ARIMA), Proc IEEE
Int. Comput. Sci. Eng. Conf, pp. 1-4, (2015); Kane M.J., Price N., Scotch M.,
Rabinowitz P., Comparison of ARIMA and random forest time series models for
prediction of Avian influenza H5N1 outbreaks, BMC Bioinf, 15, 1, (2014); Cao L.J.,
Tay F.E.H., Support vector machine with adaptive parameters in financial time
series forecasting, IEEE Trans. Neural Netw, 14, 6, pp. 1506-1518, (2003); Lin Y.,
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Int. Joint Conf. Neural Netw, pp. 1-7, (2013); Cawley G.C., Talbot N.L.C., Over-
fitting in model selection and subsequent selection bias in performance evaluation,
J. Mach. Learn. Res, 11, pp. 2079-2107, (2010); Wijaya Y.B., Kom S., Napitupulu
T.A., Stock price prediction: Comparison of ARIMA and artificial neural network
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learning, IEEE Access, 7, pp. 82390-82412, (2019); Zarkias K.S., Passalis N.,
Tsantekidis A., Tefas A., Deep reinforcement learning for financial trading using
price trailing, Proc IEEE Int. Conf. Acoust., Speech Signal Process, pp. 3067-3071,
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BigComp, pp. 1-4, (2019); Wen M., Li P., Zhang L., Chen Y., Stock market trend
prediction using high-order information of time series, IEEE Access, 7, pp. 28299-
28308, (2019); Chen Y., Wei Z., Huang X., Incorporating corporation relationship
via graph convolutional neural networks for stock price prediction, Proc. 27th ACM
Int. Conf. Inf. Knowl. Manag, pp. 1655-1658, (2018); Graves A., Mohamed A., Hinton
G., Speech recognition with deep recurrent neural networks, Proc IEEE Int. Conf.
Acoust., Speech Signal Process, pp. 6645-6649, (2013); Dutta K., Sarma K.K.,
Multiple feature extraction for RNN-based assamese speech recognition for speech to
text conversion application, Proc IEEE Int. Conf. Commun., Devices Intell. Syst,
pp. 600-603, (2012); Gao T., Chai Y., Liu Y., Applying long short term memory
neural networks for predicting stock closing price, Proc IEEE Int. Conf. Softw.
Eng. Service Sci, pp. 575-578, (2017); Zhang L., Aggarwal C., Qi G.-J., Stock price
prediction via discovering multi-frequency trading patterns, Proc. 23 Rd ACMSIGKDD
Int. Conf. Knowl. Discovery DataMining, pp. 2141-2149, (2017); Liu G., Wang X.,
Anumerical-based attentionmethod for stock market prediction with dual information,
IEEE Access, 7, pp. 7357-7367, (2019); Shi L., Teng Z., Wang L., Zhang Y., Binder
A., DeepClue: Visual interpretation of text-based deep stock prediction, IEEE
Trans. Knowl. Data Eng, 31, 6, pp. 1094-1108, (2019); Li X., Xie H., Lau R.Y.K.,
Wong T., Wang F., Stock prediction via sentimental transfer learning, IEEE Access,
6, pp. 73110-73118, (2018); Goodfellow I., Bengio Y., Courville A., Deep Learning,
(2016); Hochreiter S., Schmidhuber J., Long short-Term memory, Neural Comput, 9, 8,
pp. 1735-1780, (1997); Robert T., Regression shrinkage and selection via the lasso,
Proc IEEE, 58, 1, pp. 267-288, (1996); Leon B., Large-Scale Machine Learning with
Stochastic Gradient Descent, pp. 177-186, (2010); He K., Zhang X., Ren S., Sun J.,
Delving deep into rectifiers: Surpassing human-level performance on ImageNet
classification, Proc IEEE Int. Conf. Comput. Vis, pp. 1026-1034, (2015); Inthachot
M., Boonjing V., Intakosum S., Predicting SET50 index trend using artificial neural
network and support vector machine, Current Approaches in Applied Artificial
Intelligence, pp. 404-414, (2015); Lin Y., Ueng Y., Chung W., Huang T., Stock price
range forecast via a recurrent neural network based on the zero-crossing rate
approach, Proc IEEE Conf. Comput. Intell. Financial Eng. Econ. (CIFEr, pp. 1-9,
(2019)","Y.-L. Ueng; Department of Electrical Engineering, National Tsing Hua
University, Hsinchu, 30013, Taiwan; email: [email protected]",,Institute of
Electrical and Electronics Engineers Inc.,,,,,,2471285X,,,,English,IEEE Trans.
Emerging Topics Comp. Intell.,Article,Final,,Scopus,2-s2.0-85089764169
Sharma R.; Mehta K.; Sharma O.,"Sharma, Renuka (57194268666); Mehta, Kiran
(57194288205); Sharma, Ochin (57207996556)",57194268666; 57194288205;
57207996556,Exploring Deep Learning to Determine the Optimal Environment for Stock
Prediction Analysis,2021,"2021 International Conference on Computational
Performance Evaluation, ComPE
2021",,,,148,152,4,24,10.1109/ComPE53109.2021.9752138,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85128943344&doi=10.1109%2fComPE53109.2021.9752138&partnerID=40&md5=4a7ff6160f7c779b
ae50bfb11cd3b61c,"Chitkara University, Chitkara Business School, Punjab, India;
Chitkara University, Chitkara University Institute of Engineering Technology,
Punjab, India","Sharma R., Chitkara University, Chitkara Business School, Punjab,
India; Mehta K., Chitkara University, Chitkara Business School, Punjab, India;
Sharma O., Chitkara University, Chitkara University Institute of Engineering
Technology, Punjab, India","Time series data and its analysis is a challenging task
as data kept changing continuously and based upon the new data arriving, the
previous analysis might often seem obsolete. Time series data is time-ordered
datasets, which is a more advanced area of data analysis. When evaluating a time
series, many aspects must be considered, that can be used to help the explain time
series. To analyse time series data accurately and rapidly, deep learning is quite
helpful. Further, deep learning is also abiding with a couple of challenges, as
there are several activation functions, loss functions, optimizers, number of deep
layers. In this paper, experimentally, the various parameters of deep learning
would be testing upon time series data to determine the optimal environment for
stock prediction analysis. © 2021 IEEE.",Data Analysis; machine learning;
Prediction; Python; share market,Data handling; Deep learning; Forecasting;
Information analysis; Time series; Time series analysis; Activation functions; Data
analyse; Deep layer; Loss functions; Optimal environment; Optimizers; Share market;
Stock predictions; Time-series data; Times series; Python,,,,,,,"Ahmar A.S., Del
Val E.B., SutteARIMA: Short-term forecasting method, a case: Covid-19 and, (2020);
stock market in Spain, Science of The Total Environment, 729; Al-Awadhi A.M.,
Alsaifi K., Al-Awadhi A., Alhammadi S., Death and contagious infectious diseases:
Impact of the COVID-19 virus on stock market returns, Journal of behavioral and
experimental finance, 27, (2020); Malkiel B.G., The valuation of closedend
investmentcompany shares, The Journal of Finance, 32, 3, pp. 847-859, (1977); Fama
E.F., Random walks in stock market prices, Financial analysts journal, 51, 1, pp.
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in stock price forecasting, Omega, 33, 6, pp. 497-505, (2005); Cavalcante R.C.,
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intelligence and financial markets: A survey and future directions, Expert Systems
with Applications, 55, pp. 194-211, (2016); Chung H., Shin K.S., Genetic algorithm-
optimized long short-term memory network for stock market prediction,
Sustainability, 10, 10, (2018); Cao H., Lin T., Li Y., Zhang H., Stock price
pattern prediction based on complex network and machine learning, Complexity,
(2019); Weng B., Application of machine learning techniques for stock market
prediction, (2017); Shynkevich Y., McGinnity T.M., Coleman S.A., Belatreche A.,
Forecasting movements of health-care stock prices based on different categories of
news articles using multiple kernel learning, Decision Support Systems, 85, pp. 74-
83, (2016); Zhou F., Zhou H.M., Yang Z., Yang L., EMD2FNN: A strategy combining
empirical mode decomposition and factorization machine based neural network for
stock market trend prediction, Expert Systems with Applications, 115, pp. 136-151,
(2019); Atsalakis G.S., Valavanis K.P., Surveying stock market forecasting
techniques-Part II: Soft computing methods, Expert Systems with applications, 36,
3, pp. 5932-5941, (2009); Barra S., Carta S.M., Corriga A., Podda A.S., Recupero
D.R., Deep learning and time series to-image encoding for financial forecasting,
IEEE/CAA Journal of Automatica Sinica, 7, 3, pp. 683-692, (2020); Lee J., Kang J.,
Effectively training neural networks for stock index prediction: Predicting the S&P
500 index without using its index data, PloS one, 15, 4, (2020); Papadimitriou T.,
Gogas P., Athanasiou A.F., Forecasting S&P 500 spikes: An SVM approach, Digital
Finance, 2, 3, pp. 241-258, (2020); Li L., Yan J., Yang X., Jin Y., Learning
interpretable deep state space model for probabilistic time series forecasting,
(2021); Hussain L., Banarjee S., Kumar S., Chaubey A., Reza M., Forecasting time
series stock data using deep learning technique in a distributed computing
environment, 2018 International Conference on Computing, Power and Communication
Technologies (GUCON), pp. 489-493, (2018); Kamalov F., Cherukuri A., Sulieman H.,
Thabtah F., Hossain A., Machine learning applications for COVID-19: A state-of-the-
art review, (2021); Akita R., Yoshihara A., Matsubara T., Uehara K., Deep learning
for stock prediction using numerical and textual information, 2016 IEEE/ACIS 15th
International Conference on Computer and Information Science (ICIS), pp. 1-6,
(2016)",,Paul S.; Verma J.K.,Institute of Electrical and Electronics Engineers
Inc.,,"2021 International Conference on Computational Performance Evaluation, ComPE
2021",1 December 2021 through 3 December 2021,Shillong,178756,,978-166543656-
4,,,English,"Int. Conf. Comput. Perform. Eval., ComPE",Conference
paper,Final,,Scopus,2-s2.0-85128943344
Barlybayev A.; Zhetkenbay L.; Karimov D.; Yergesh B.,"Barlybayev, Alibek
(55866529900); Zhetkenbay, Lena (57191377709); Karimov, Didar (58577325400);
Yergesh, Banu (55701931400)",55866529900; 57191377709; 58577325400;
55701931400,DEVELOPMENT NEURO-FUZZY MODEL TO PREDICT THE STOCKS OF COMPANIES IN THE
ELECTRIC VEHICLE INDUSTRY,2023,Eastern-European Journal of Enterprise
Technologies,4,4(124),,72,87,15,20,10.15587/1729-4061.2023.281138,https://www-
scopus-com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85171284742&doi=10.15587%2f1729-
4061.2023.281138&partnerID=40&md5=4e8183b7c7f7252bc6afee163a3f0d2a,"Department of
Artificial Intelligence Technologies, L. N. Gumilyov Eurasian National University,
2, Satpayev str., Astana, 010008, Kazakhstan; Department of Artificial Intelligence
Technologies, L. N. Gumilyov Eurasian National University, 2, Satpayev str.,
Astana, 010008, Kazakhstan; Department of Artificial Intelligence Technologies, L.
N. Gumilyov Eurasian National University, 2, Satpayev str., Astana, 010008,
Kazakhstan; Department of Artificial Intelligence Technologies, L. N. Gumilyov
Eurasian National University, 2, Satpayev str., Astana, 010008,
Kazakhstan","Barlybayev A., Department of Artificial Intelligence Technologies, L.
N. Gumilyov Eurasian National University, 2, Satpayev str., Astana, 010008,
Kazakhstan; Zhetkenbay L., Department of Artificial Intelligence Technologies, L.
N. Gumilyov Eurasian National University, 2, Satpayev str., Astana, 010008,
Kazakhstan; Karimov D., Department of Artificial Intelligence Technologies, L. N.
Gumilyov Eurasian National University, 2, Satpayev str., Astana, 010008,
Kazakhstan; Yergesh B., Department of Artificial Intelligence Technologies, L. N.
Gumilyov Eurasian National University, 2, Satpayev str., Astana, 010008,
Kazakhstan","Adaptive neuro-fuzzy inference system (ANFIS) it is a type of neural
network that combines the strengths of both fuzzy logic and artificial neural
networks. ANFIS is particularly useful in stock trading because it can handle
uncertainty and imprecision in the data, which is common in stock market data. In
stock trading, ANFIS can be used for a variety of purposes, such as predicting
stock prices, identifying profitable trades, and detecting stock market trends. One
of the key advantages of using ANFIS for stock trading is that it can handle both
linear and non-linear relationships in the data. This is particularly useful in the
stock market, where the relationships between different variables are often complex
and non-linear. ANFIS can also be updated and retrained as new data becomes
available, which allows it to adapt to changing market conditions. Therefore, the
main hypothesis of this work is to understand whether it is possible to predict the
dynamics of prices for stocks of companies in the electric vehicle (EV) sector
using technical analysis indicators. The purpose of this work is to create a model
for predicting the prices of companies in the EV sector. The technical analysis
indicators were processed by several machine learning models. Linear models
generally perform worse than more advanced techniques. Decision trees, whether fine
or coarse, tend to yield poorer performance results in terms of RMSE, MSE and MAE.
After conducting a data analysis, the ANFIS and Bayesian regularization back
propagation Neural Network (BR-BPNN) models were seen to be the most effective. The
ANFIS was trained for 2000 epochs which yielded a minimum RMSE of 5.90926 © 2023,
Authors. This is an open access article under the Creative Commons CC BY
license",adaptive neuro-fuzzy inference system; correlation of technical
indicators; electric vehicle sector; neural network; stock price
forecasting,,,,,,,,"Ma Y., Mao R., Lin Q., Wu P., Cambria E., Multi-source
aggregated classification for stock price movement prediction, Information Fusion,
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Network Optimized by the Improved PSO Algorithm, Mathematical Problems in
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A., Stanula Z., Adamowicz K., Biomass Price Prediction Based on the Example of
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Evidence from a Structural Vector Autoregressive Model, Mathematics, 10, 23,
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(2017); Abdygalievich A. S., Barlybayev A., Amanzholovich K. B., Quality Evaluation
Fuzzy Method of Automated Control Systems on the LMS Example, IEEE Access, 7, pp.
138000-138010, (2019); Abdymanapov S. A., Muratbekov M., Altynbek S., Barlybayev
A., Fuzzy Expert System of Information Security Risk Assessment on the Example of
Analysis Learning Management Systems, IEEE Access, 9, pp. 156556-156565,
(2021)","A. Barlybayev; Department of Artificial Intelligence Technologies, L. N.
Gumilyov Eurasian National University, Astana, 2, Satpayev str., 010008,
Kazakhstan; email: [email protected]",,Technology
Center,,,,,,17293774,,,,English,East. Eur. J. Enterp. Technol.,Article,Final,All
Open Access; Gold Open Access,Scopus,2-s2.0-85171284742
Han T.; Peng Q.; Zhu Z.; Shen Y.; Huang H.; Abid N.N.,"Han, Tian (57214875051);
Peng, Qinke (7202851756); Zhu, Zhibo (57155450000); Shen, Yiqing (57213625993);
Huang, Huijun (57207729086); Abid, Nahiyoon Nabeel (57213625133)",57214875051;
7202851756; 57155450000; 57213625993; 57207729086; 57213625133,A pattern
representation of stock time series based on DTW,2020,Physica A: Statistical
Mechanics and its
Applications,550,,124161,,,,22,10.1016/j.physa.2020.124161,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85077913260&doi=10.1016%2fj.physa.2020.124161&partnerID=40&md5=1d874b7797a0fbbed91f
a66a04b5ce68,"Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China","Han T., Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China; Peng Q., Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China; Zhu Z., Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China; Shen Y., Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China; Huang H., Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China; Abid N.N., Systems Engineering Institute, Xi'an Jiaotong University, Xi'an,
China","Time series analysis based on pattern discovery has received a lot of
interests in the fields of economic physics and machine learning due to its
simplicity and ability to reveal complex nonlinear behavior in stock market.
Dynamic Time Warping (DTW) is a useful tool to extract morphological
characteristics of time series for its capacity to cope with time shifts and
warpings. In this paper, we propose a new time series representation method for
stock time series based on dynamic time warping (DTW) called PR-DTW. A
combinatorial optimization model with strict constraints is built to get the
pattern representation of stock time series. To simplify the calculation, we
construct another unconstrained global optimization problem whose optimal solution
includes the optimal solution of the original combinatorial optimization problem
based on a theorem proved in this paper. Particle Swarm Optimization algorithm is
used to solve the global optimization problem, then the results can be converted
into the optimal solution of the combinatorial optimization problem through a few
simple formulas given in the theorem. The results of three classifiers (1NN,
Decision Tree, Multi-layer Perceptron) implemented on 15 sectors in Chinese A-share
market unanimously demonstrate that PR-DTW has the capability of extracting time
series short-term patterns which is widely regarded as difficulty. And we conclude
that PR-DTW has the capability of prevention of End Effect, anti-noise and
segmentation. Moreover, by extracting the top ten patterns predicting stock's rise
and fall in short term (10 days) according to the ranking of stock's rising
probability in the next three days, we find out the short-term patterns obtained by
PR-DTW have prospective directive to the stock trend analysis in short term. © 2020
Elsevier B.V.",DTW; Stock pattern analysis; Stock trend analysis; Time series
representation,Combinatorial optimization; Commerce; Decision trees; Global
optimization; Multilayer neural networks; Optimal systems; Particle swarm
optimization (PSO); Combinatorial optimization problems; Dynamic time warping;
Global optimization problems; Morphological characteristic; Multi layer perceptron;
Particle swarm optimization algorithm; Pattern representation; Unconstrained global
optimizations; Time series analysis,,,,,"National Natural Science Foundation of
China, NSFC, (61872288); National Aerospace Science Foundation of China",Funding
text 1: Supported by the National Nature Science Foundation of China (61872288).;
Funding text 2: Supported by the National Nature Science Foundation of China
( 61872288 ). ,"Murphy J.J., Technical Analysis of the Financial Markets, pp. 1-
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optimization, Data Min. Knowl. Discov., (2018)","Q. Peng; Systems Engineering
Institute, Xi'an Jiaotong University, Xi'an, China; email:
[email protected]",,Elsevier B.V.,,,,,,3784371,,PHYAD,,English,Phys A Stat
Mech Appl,Article,Final,,Scopus,2-s2.0-85077913260
Rashidpoor Toochaei M.; Moeini F.,"Rashidpoor Toochaei, Masoomeh (57989732000);
Moeini, Farzad (57941547200)",57989732000; 57941547200,Evaluating the performance
of ensemble classifiers in stock returns prediction using effective
features,2023,Expert Systems with
Applications,213,,119186,,,,20,10.1016/j.eswa.2022.119186,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85143119786&doi=10.1016%2fj.eswa.2022.119186&partnerID=40&md5=abe5c3c9d6a66fc59a485
0feb999b5a2,"Department of Accounting, Faculty of Management, University of Tehran,
Tehran, Iran; IFP School, IFP Energies nouvelles, Rueil-Malmaison,
France","Rashidpoor Toochaei M., Department of Accounting, Faculty of Management,
University of Tehran, Tehran, Iran; Moeini F., IFP School, IFP Energies nouvelles,
Rueil-Malmaison, France","Stock market prediction is considered as an important yet
challenging aspect of financial analysis. The difficulty of forecasting arises from
volatile and non-linear nature of stock market, which is affected by varied
uncertain factors, ranging from financial ratios to macroeconomic indicators.
Recent advances in machine learning, particularly ensembles, have made it possible
for academic researchers and financial practitioners to forecast the stock market
more efficiently. The novelty of this work is to evaluate how stock return in an
oil-dependent country (i.e., Iran), which has been facing stagflation for a long
time due to economic and political issues, is affected by fundamental and
macroeconomic indicators. Our main objectives are to (1) find the most important
fundamental and macroeconomic indicators that control the stock returns of
companies listed on the Tehran Stock Exchange (TSE); (2) compare the performance of
newly developed bagging- and boosting-based ensembles in predicting annual real
stock returns of the TSE; and (3) develop multiclass classification models to
forecast stock returns. Prior studies mainly focused on developing binary
classification models, which simply predict whether stock returns will be positive
or negative in the future. We, however, design multiclass classification models to
provide more information for the investors and reduce the uncertainties associated
with the prediction. To this end, we first provide a comprehensive list of 57
potential features affecting the stock returns. Next, the data are carefully
preprocessed and fed to 14 different bagging- and boosting-based ensembles (e.g.,
Random Forest, LightGBM, XGBoost, Extra-Trees, AdaBoost, CatBoost) to predict the
stock returns. The performance of ensembles is evaluated through different measures
(e.g., accuracy, F-score, G-mean). We then propose a novel feature selection method
to identify the most contributing features to the stock returns. Our proposed model
identifies nearly 65% of 57 original features as redundancy, resulting in 20 most
significant features. The selected features are fed to the mentioned ensembles to
re-predict the stock returns. Finally, the performance of stock returns forecasts
with and without selected features is compared. To design the ensembles, we employ
the data from listed companies on the TSE for a 15-year period, spanning between
2005 and 2020. Results suggest that boosting ensembles, in general, outperform
bagging-based methods. Among the boosting ensembles, XGBoost and AdaBoost provide
the best and worst predictive performance, respectively. Among the bagging-like
ensembles, Rotation Forest is the most accurate one, whereas Random Patches
performs the worst. Further, our proposed feature selection approach effectively
identifies the most representative features for stock returns prediction and can be
used as a reliable framework for future investment decisions. © 2022 Elsevier
Ltd",Data mining; Ensemble classifiers; Feature selection; Multiclass
classification; Stock returns,Classification (of information); Commerce; Data
mining; Decision trees; Electronic trading; Feature Selection; Financial markets;
Forecasting; Investments; Boosting ensembles; Classification models; Ensemble-
classifier; Features selection; Macroeconomic indicators; Multi-class
classification; Performance; Stock return predictions; Stock returns; Tehran stock
exchanges; Adaptive boosting,,,,,,,"Akhtar T., Market multiples and stock returns
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Computer Science Review, 38, (2020); Sokolova M., Lapalme G., A systematic analysis
of performance measures for classification tasks, Information Processing
Management, 45, 4, pp. 427-437, (2009); Sun Z., Song Q., Zhu X., Sun H., Xu B.,
Zhou Y., A novel ensemble method for classifying imbalanced data, Pattern
Recognition, 48, 5, pp. 1623-1637, (2015); Thaseen I.S., Kumar C.A., Intrusion
detection model using fusion of chi-square feature selection and multi class SVM,
Journal of King Saud University-Computer Information Sciences, 29, 4, pp. 462-472,
(2017); Tsai C.-F., Hsiao Y.-C., Combining multiple feature selection methods for
stock prediction: Union, intersection, and multi-intersection approaches, Decision
Support Systems, 50, 1, pp. 258-269, (2010); Tsai C.-F., Hsu Y.-F., Yen D.C., A
comparative study of classifier ensembles for bankruptcy prediction, Applied Soft
Computing, 24, pp. 977-984, (2014); Tsai C.-F., Lin Y.-C., Yen D.C., Chen Y.-M.,
Predicting stock returns by classifier ensembles, Journal of Applied Soft
Computing, 11, 2, pp. 2452-2459, (2011); Tsymbal A., Pechenizkiy M., Cunningham P.,
Diversity in search strategies for ensemble feature selection, Information fusion,
6, 1, pp. 83-98, (2005); Tsymbal A., Puuronen S., Patterson D.W., Ensemble feature
selection with the simple Bayesian classification, Information Fusion, 4, 2, pp.
87-100, (2003); Vinayak R.K., Gilad-Bachrach R., (2015); Worasucheep C., Ensemble
Classifier for Stock Trading Recommendation, Applied Artificial Intelligence, 1-32,
(2021); Yao J., Gao J., Alles L., Dynamic investigation into the predictability of
Australian industrial stock returns: Using financial and economic information,
Pacific-Basin Finance Journal, 13, 2, pp. 225-245, (2005); Yoo P.D., Kim M.H.,
(2005); Yu H., Chen R., Zhang G., A SVM stock selection model within PCA, Procedia
Computer Science, 31, pp. 406-412, (2014); Yun K.K., Yoon S.W., Won D., Prediction
of stock price direction using a hybrid GA-XGBoost algorithm with a three-stage
feature engineering process, Expert Systems with Applications, 186, (2021); Zhang
X., Hu Y., Xie K., Wang S., Ngai E., Liu M., A causal feature selection algorithm
for stock prediction modeling, Neurocomputing, 142, pp. 48-59, (2014); Zhong X.,
Enke D., Forecasting daily stock market return using dimensionality reduction,
Expert Systems with Applications, 67, pp. 126-139, (2017)","M. Rashidpoor Toochaei;
Department of Accounting, Faculty of Management, University of Tehran, Tehran,
Iran; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,,Scopus,2-s2.0-
85143119786
Shubham K.; Tiwari V.; Patel K.S.,"Shubham, Kumar (16644093400); Tiwari, Vivek
(56496391800); Patel, Kuldip Singh (57014090600)",16644093400; 56496391800;
57014090600,Predictive Learning Methods to Price European Options Using Ensemble
Model and Multi-asset Data,2023,International Journal on Artificial Intelligence
Tools,32,7,2350034,,,,22,10.1142/S0218213023500343,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85179552001&doi=10.1142%2fS0218213023500343&partnerID=40&md5=fadefb926476784ad72490
5f5c6679bf,"Department of Computer Science and Engineering, International Institute
of Information Technology, Chhattisgarh, Naya Raipur, India; Department of
Mathematics, Indian Institute of Technology, Bihta, Bihar, Patna, India","Shubham
K., Department of Computer Science and Engineering, International Institute of
Information Technology, Chhattisgarh, Naya Raipur, India; Tiwari V., Department of
Computer Science and Engineering, International Institute of Information
Technology, Chhattisgarh, Naya Raipur, India; Patel K.S., Department of
Mathematics, Indian Institute of Technology, Bihta, Bihar, Patna, India","Option
contracts are financial instruments that serve economic purposes for various
institutions and individuals. Option plays a crucial role in developing the
financial market due to the high innovation and liquidity associated with it.
However, due to option contract’s increased adaptability and responsiveness, its
pricing mechanism has become complicated. The conventional parametric models suffer
from various computing restrictions and implausible economic and statistical
presumptions leading to deviations from real-world dynamics. Thus, data-driven
strategies built upon non-parametric models seems compelling. Machine Learning (ML)
serves as a powerful tool that can increase efficiency and productivity by
automated processes, decreasing human biases and errors caused by psychological or
emotional factors. Most of the existing literature involves only neural networks,
whereas alternative algorithms remain undiscovered. This study explores the
effectiveness of various ML algorithms through different experimentation. The ML
algorithms harnessed for the study are Artificial Neural Networks (ANN), XGBoost,
Decision Tree Regression, Support Vector Regression, Random Forest Regression, Long
short-term memory (LSTM) Network and Gated recurrent unit (GRU) Network.
Furthermore, multi-asset training and ensemble modelling are carried out to enhance
predictive performance. A comparison is carried out with the seminal Black-Scholes
model to highlight the advantages of the ML approach. The models are evaluated for
European option contracts. The underlying assets used are NIFTY50 and BANKNIFTY
indices from India’s National Stock Exchange (NSE). ML algorithms performed
superior to the Black-Scholes model by a significant margin. Additionally, the
models are evaluated on data collected following the outbreak of the COVID epidemic
to get insight into the effects of abrupt changes in market sentiment. © World
Scientific Publishing Company.",Black-Scholes model; data driven approaches;
European options; machine learning; Option pricing,Automation; Commerce; Costs;
Data mining; Decision trees; Electronic trading; Financial markets; Investments;
Learning systems; Regression analysis; Asset datum; Black-Scholes model; Data-
driven approach; Ensemble models; European option; Learning methods; Machine
learning algorithms; Machine-learning; Option contracts; Options pricing; Long
short-term memory,,,,,"Science and Engineering Research Board, SERB,
(DST/INT/DAAD/P-12/2020, SIR/2022/000021); Science and Engineering Research Board,
SERB; Indian Institute of Science Education and Research Pune","Authors are
grateful to Anindya Goswami from Department of Mathematics, IISER Pune, who guided
us to work on this problem. The corresponding author acknowledge the support for
this research under the grants SERB SIR/2022/000021, and DST/INT/DAAD/P-
12/2020.","Wilmott P., Howison S., Dewynne J., The Mathematics of Financial
Derivatives, (1995); Black F., Scholes M., The pricing of options and corporate
liabilities, Journal of Political Economy, 81, (1973); Heston S. L., A closed-form
solution for options with stochastic volatility with applications to bond and
currency options, The Review of Financial Studies, 6, pp. 327-343, (1993); Merton
R. C., Option pricing when underlying stock returns are discontinuous, Journal of
Financial Economics, 3, pp. 125-144, (1976); Corrado C. J., Su T., Skewness and
kurtosis in S&P500 index returns implied by option prices, Journal of Financial
Research, 19, (1996); Jarrow R., Rudd A., Approximate option valuation for
arbitrary stochastic processes, Journal of Financial Economics, 10, pp. 347-369,
(1982); Dupire B., Et al., Pricing with a smile, Risk, 7, 1, pp. 18-20, (1994);
Derman E., Kani I., Riding on a smile, Risk, 7, 2, pp. 32-39, (1994); Patel K. S.,
Mehra M., Fourth-order compact scheme for option pricing under the Merton’s and
Kou’s jump-diffusion models, International Journal of Theoretical and Applied
Finance, 21, 4, (2018); Patel K. S., Mehra M., A numerical study of Asian option
with high-order compact finite difference scheme, Journal of Applied Mathematics
and Computing, 57, pp. 467-491, (2018); Patel K. S., Mehra M., High-order compact
finite difference scheme for pricing Asian option with moving boundary condition,
Differential Equations and Dynamical Systems, 27, pp. 39-56, (2019); Mehra M.,
Patel K. S., Shukla A., Wavelet-optimized compact finite difference method for
convection–diffusion equations, International Journal of Nonlinear Sciences and
Numerical Simulation, 22, pp. 353-372, (2021); Patel K. S., Mehra M., Fourth order
compact scheme for space fractional advection–diffusion reaction equations with
variable coefficients, Journal of Computational and Applied Mathematics, 380,
(2020); Achdou Y., Pironneau O., Computational Methods for Option Pricing, (2005);
Hutchinson J. M., Lo A. W., Poggio T., A nonparametric approach to pricing and
hedging derivative securities via learning networks, The Journal of Finance, 49,
(1994); Anders U., Korn O., Schmitt C., Improving the pricing of options: A neural
network approach, Journal of Forecasting, 17, pp. 369-388, (1998); Garcia R.,
Gencay R., Pricing and hedging derivative securities with neural networks and a
homogeneity hint, Journal of Econometrics, 94, pp. 93-115, (2000); Yao J., Li Y.,
Tan C. L., Option price forecasting using neural networks, Omega, 28, pp. 455-466,
(2000); Amilon H., A neural network versus Black-Scholes: A comparison of pricing
and hedging performances, Journal of Forecasting, 22, (2003); Goswami A., Rajani
S., Tanksale A., Data-driven option pricing using single and multi-asset supervised
learning, International Journal of Financial Engineering, 8, (2021); LeCun Y.,
Bengio Y., Hinton G., Deep learning, Nature, 521, 7553, pp. 436-444, (2015); Derman
E., Kani I., The volatility smile and its implied tree, Goldman Sachs Quantitative
Strategies Research Notes, 2, pp. 45-60, (1994); Malliaris M., Salchenberger L., A
neural network model for estimating option prices, Applied Intelligence, 3, pp.
193-206, (1993); Maddala G., Qi M., Option pricing using artificial neural
networks: The case of S&P 500 index call options, Proc. of 3rd Int. Conf. on Neural
Networks in the Capital Markets, pp. 78-91, (1996); Bennell J., Sutcliffe C.,
Black-Scholes versus artificial neural networks in pricing FTSE 100 options,
Intelligent Systems in Accounting, Finance & Management: International Journal, 12,
4, pp. 243-260, (2004); Yang Y., Zheng Y., Hospedales T., Gated neural networks for
option pricing: Rationality by design, Proc. of the AAAI Conf. on Artificial
Intelligence, 31, pp. 52-58, (2017); Albrecher H., Binder A., Lautscham V., Mayer
P., The No-Arbitrage Principle, (2013); Delbaen F., Schachermayer W., The
Mathematics of Arbitrage, (2006)","K.S. Patel; Department of Mathematics, Indian
Institute of Technology, Patna, Bihta, Bihar, India; email:
[email protected]",,World Scientific,,,,,,2182130,,,,English,Int. J. on Artif.
Intell. Tools,Article,Final,,Scopus,2-s2.0-85179552001
Vats P.; Samdani K.,"Vats, Prakhar (57211665989); Samdani, Krishna
(57201850460)",57211665989; 57201850460,Study on machine learning techniques in
financial markets,2019,"2019 IEEE International Conference on System, Computation,
Automation and Networking, ICSCAN
2019",,,8878741,,,,22,10.1109/ICSCAN.2019.8878741,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85074759998&doi=10.1109%2fICSCAN.2019.8878741&partnerID=40&md5=3b5f2ccd971d08204725
0e32babd264a,"Computer Engineering Department, MPSTME, NMIMS University,
India","Vats P., Computer Engineering Department, MPSTME, NMIMS University, India;
Samdani K., Computer Engineering Department, MPSTME, NMIMS University,
India","Portfolios, securities, stock market forecasting, risk management, debt
management are all important pillars of the financial world. These pillars rely
heavily on adequate and accurate prediction. These are problems that, on the small
scale, affect individuals and their financial conditions and, on the larger scale,
can be detrimental to a country's financial well-being. This paper, is an attempt
at understanding the various algorithms and platforms involving Machine Learning in
Financial Markets and reaching informed conclusions on parameters like accuracy,
efficiency, speed and usability. In this paper, primarily, different trading
techniques are introduced and their effectiveness in quantitative trading and, in
general, finance to generate alphas is observed. These techniques, as observed, are
categorised by their reliance on Neural Networks, Support Vector Machines and other
quantitative variables in finance. Classifications on the basis of supervised and
unsupervised techniques and K-Mean clustering are also made. Further, this paper
also delves into the hitherto unpredictable and unmovable phenomena in market and
public psychology and attempts to suggest a viable solution to it. © 2019
IEEE.",Alphas; K-Mean Clustering; Machine Learning; Market Psychology; Quantitative
Trading; Stock Market Forecasting; Supervised Techniques; Support Vector Machines;
Unsupervised Techniques,Commerce; Electronic trading; Financial markets;
Forecasting; K-means clustering; Learning systems; Risk management; Support vector
machines; Alphas; K-mean clustering; Market psychologies; Quantitative Trading;
Stock market forecasting; Supervised Techniques; Unsupervised techniques; Machine
learning,,,,,,,"Li Y., Wu J., Bu H., When quantitative trading meets machine
learning, 13th International Conference on Service Systems and Service Management
(ICSSSM), (2016); Kumar Sirohi A., Kumar Mahato P., Attar V., Multiple kernel
learning for stock price direction prediction, International Conference on Advances
in Engineering & Technology Research (ICAETR), (2014); Labiad B., Berrado A.,
Benabbou L., Machine leaning techniques for short term stock movements
classification for moroccan stock exchange, 11tf International Conference on
Intelligent Systems: Theories and Applications (SITA), (2016); Usmani M., Adil
S.H., Raza K., Azhar Ali S.S., 3rd International Conference on Computer and
Information Sciences (ICCOINS), (2016); Hu Z., Zhu J., Tse K., 6th International
Conference on Information Management, Innovation Management and Industrial
Engineering, (2013); Powell N., Foo S.Y., Weatherspoon M., 40th Southeastern
Symposium on System Theory (SSST), (2008); Shi-Qi Y., Yong P., The relation between
risk and return of portfolio based on standard finance and behavioral finance, IEEE
International Conference on Control and Automation, (2007)",,,Institute of
Electrical and Electronics Engineers Inc.,,"2019 IEEE International Conference on
System, Computation, Automation and Networking, ICSCAN 2019",29 March 2019 through
30 March 2019,Pondicherry,153212,,978-172811525-2,,,English,"IEEE Int. Conf. Syst.,
Compu., Autom. Netw., ICSCAN",Conference paper,Final,,Scopus,2-s2.0-85074759998
Rao P.S.; Srinivas K.; Mohan A.K.,"Rao, Polamuri Subba (59159152400); Srinivas, K.
(56708183800); Mohan, A. Krishna (56584395800)",59159152400; 56708183800;
56584395800,A Survey on Stock Market Prediction Using Machine Learning
Techniques,2020,Lecture Notes in Electrical
Engineering,601,,,923,931,8,21,10.1007/978-981-15-1420-3_101,https://www-scopus-
com-paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85085477050&doi=10.1007%2f978-981-15-1420-
3_101&partnerID=40&md5=1908d6174a7e619dc3c3bc3da459595f,"Department of CSE, KIET,
Korangi, India; Department of CSE, VR Siddhartha Engineering College, Vijayawada,
AP, India; Department of CSE, UCEK, JNTUK, Kakinada, AP, India","Rao P.S.,
Department of CSE, KIET, Korangi, India; Srinivas K., Department of CSE, VR
Siddhartha Engineering College, Vijayawada, AP, India; Mohan A.K., Department of
CSE, UCEK, JNTUK, Kakinada, AP, India","Prediction of the Stock Market is a
challenging task in predicting the stock prices in the future. Due to the
fluctuating nature of the stock, the stock market is too difficult to predict.
Stock prices are constantly changing every day. Estimating of the stock market has
a high demand for stock customers. Applying all extracted rules at any time is a
major challenge to estimate the future stock price with high accuracy. The latest
prediction techniques adopted for the stock market such as Artificial Neural
Network, Neuro-Fuzzy System, Time Series Linear Models (TSLM), Recurrent Neural
Network (RNN) and their advantages and disadvantages are studied and analyzed in
this framework work. This paper is about to discuss different techniques related to
the prediction of the stock market. © 2020, Springer Nature Singapore Pte
Ltd.",Artificial neural network; Data mining; Hidden Markov model; Neuron-Fuzzy
systems; Stock market prediction; TSLM and RNN,Commerce; Costs; Electronic trading;
Financial markets; Forecasting; Fuzzy neural networks; Fuzzy systems; Learning
systems; Recurrent neural networks; High demand; High-accuracy; Machine learning
techniques; Neurofuzzy system; Prediction techniques; Recurrent neural network
(RNN); Stock market prediction; Time series linear models; Fintech,,,,,,,"Naeini
M.P., Taremian H., Hashemi H.B., Stock Market Value Prediction Using Neural
Networks, (2010); Khan Z.H., Price prediction of share market using artificial
neural network, Int J Comput Appl (IJCA), (2011); Das S.P., Padhy S., Support
vector machines for prediction of futures prices in Indian stock market, Int J
Comput Appl (IJCA), (2014); Chavan P.S., Parameters for stock market prediction,
Int J Comput Technol Appl, (2013); Sheta A.F., A comparison between regression,
artificial neural networks and support vector machines for predicting stock market
index, Int J Adv Res Artif Intell (IJARAI), (2015); Preethi G., Santhi B., Stock
market forecasting techniques: A survey, J Theor Appl Inf Technol (JTAIT), (2012);
Tsai C.-F., Wang S.-P., Stock price forecasting by hybrid machine learning
techniques, International Multiconference of Engineers and Computer Scientists,
(2009); Patel M.B., Yalamalle S.R., Stock price prediction using artificial neural
network, Int J Innov Res Sci Eng Technol, (2014); Shah M., Prabhu N., Rao J.,
Performance analysis of neural network algorithms on stock market forecasting, Int
J Eng Comput Sci (IJECS), 3, 9, (2014); Bharne P.K., Prabhune S.S., Survey on
combined swarm intelligences an ANN for optimized daily stock market price,
International Conference on Soft Computing and Its Engineering Applications,
(2018); Sharaff A., Choudhary M., Comparative analysis of various stock prediction
techniques, Proceedings of the 2Nd International Conference on Trends in
Electronics and Informatics (ICOEI 2018) IEEE Conference, (2018); Samarawickrama
A.J.P., Fernando T.G.I., A recurrent neural network approach in predicting daily
stock prices, An application to the Sri Lankan stock market, IEEE, (2017); Mansing
G.R., Indian stock market prediction using neural network technique, Int J Adv Res
Comput Eng Technol, (2014); Sharma M., Survey on Stock Market Prediction and
Performance Analysis, (2014); Hegazy O., Soliman O.S., Salam M.A., A machine
learning model for stock market prediction, Int J Comput Sci Telecommun, (2013);
Ponnam L.T., Srinivasa Rao V., Srinivas K., A comparative study on techniques used
for prediction of stock market, it), (2016); Iqbal Z., Ilyas R., Shahzad W.,
Mahmood Z., Anjum J., Efficient machine learning techniques for stock market
prediction, J Eng Res Appl (JERA), 3, 6, (2013)","P.S. Rao; Department of CSE,
KIET, Korangi, India; email: [email protected]",Kumar A.; Paprzycki M.; Gunjan
V.K.,Springer,,"1st International Conference on Data Science, Machine Learning and
Applications, 2019",29 March 2019 through 30 March
2019,Hyderabad,240289,18761100,978-981151419-7,,,English,Lect. Notes Electr.
Eng.,Conference paper,Final,,Scopus,2-s2.0-85085477050
Boduroğlu I.İ.,"Boduroğlu, I. İlkay (15836690800)",15836690800,Portfolio
optimization via a surrogate risk measure: Conditional desirability value at risk
(CDVaR),2019,Lecture Notes in Computer Science (including subseries Lecture Notes
in Artificial Intelligence and Lecture Notes in Bioinformatics),11353
LNCS,,,257,270,13,21,10.1007/978-3-030-05348-2_23,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85059948504&doi=10.1007%2f978-3-030-05348-
2_23&partnerID=40&md5=7fbc32d8766b007f53e443140fb53e04,"Namık Kemal University,
Çorlu Mühendislik Fakültesi, Silahtarağa Mah, Çorlu, Tekirdağ, 59860,
Turkey","Boduroğlu I.İ., Namık Kemal University, Çorlu Mühendislik Fakültesi,
Silahtarağa Mah, Çorlu, Tekirdağ, 59860, Turkey"," A
risk measure that specifies minimum capital requirements is the amount of cash that
must be added to a portfolio to make its risk acceptable to regulators. The 2008
financial crisis highlighted the demise of the most widely used risk measure,
Value-at-Risk. Unlike the Conditional VaR model of Rockafellar & Uryasev, VaR
ignores the possibility of abnormal returns and is not even a coherent risk measure
as defined by Pflug. Both VaR and CVaR portfolio optimizers use asset-price return
histories. Our novelty here is introducing an annual Desirability Value (DV) for a
company and using the annual differences of DVs in CVaR optimization, instead of
simply utilizing annual stock-price returns. The DV of a company is the
perpendicular distance from the fundamental position of that company to the best
separating hyperplane H 0
that separates profitable companies from losers during training. Thus, we introduce
both a novel coherent surrogate risk measure, Conditional-Desirability-Value-at-
Risk (CDVaR) and a direction along which to reduce (downside) surrogate risk, the
perpendicular to H 0 .
Since it is a surrogate measure, CDVaR optimization does not produce a cash amount
as the risk measure. However, the associated CVaR (or VaR) is trivially computable.
Our machine-learning-fundamental-analysis-based CDVaR portfolio optimization
results are comparable to those of mainstream price-returns-based CVaR optimizers.
© 2019, Springer Nature Switzerland AG.",Conditional value at risk; Downside risk;
Fundamental analysis; International financial reporting standards; Linear
programming; Machine learning; Portfolio optimization; Risk management,Artificial
intelligence; Financial data processing; Financial markets; Learning systems;
Linear programming; Risk management; Value engineering; Conditional Value-at-Risk;
Downside risks; Fundamental analysis; International financial reporting standards;
Portfolio optimization; Risk assessment,,,,,,,"Acerbi C., Tasche D., Expected
shortfall: A natural coherent alternative to value at risk, Econ. Notes, 31, 2, pp.
379-388, (2002); Alpaydin E., Introduction to Machine Learning, (2004); Artzner P.,
Coherent measures of risk, Math. Financ., 9, pp. 203-228, (1999); (2018); Baronyan
S.R., Boduroglu I.I., Sener E., Investigation of stochastic pairs trading
strategies under different volatility regimes, Manch. Sch., 78, pp. 114-134,
(2010); Boduroglu I.I., Erenay Z., A machine learning model for predicting a
financial crisis in Turkey: Turkish economic stability index, Int. J. High Perform.
Comput. Appl., 21, 1, pp. 5-20, (2007); Cobandag-Guloglu Z., Weber G.W., Risk
Modeling in Optimization Problems via Value at Risk, Conditional Value at Risk, and
Its Robustification, Modeling, Dynamics, Optimization and Bioeconomics II. DGS
2014, 195, (2017); Computational Finance 1999, (2001); Elton E.J., Gruber M.J.,
Brown S.J., Goetzman W.N., Modern Portfolio Theory and Investment Analysis, (2007);
(2018); Freitas F.D., Souza A.F., Almeida A.R., Prediction-based portfolio
optimization model using neural networks, Neurocomputing, 72, 10-12, pp. 155-2170,
(2009); GAMS Development Corp.: GAMS: The Solver Manuals, GAMS Development Corp,
(2017); Hannoun H., The Basel III Capital Framework: A decisive breakthrough. BoJ-
BIS High Level Seminar on Financial Regulatory Reform: Implications for Asia and
the Pacific, Hong Kong SAR, (2010); Harington J., The desirability function, Ind.
Quality Control, 21, pp. 494-498, (1965); Hosmer D.W., Lemeshow S., Applied
Logistic Regression, (2000); Hull J., Risk Management and Financial Institutions,
(2006); Karacor A.G., Erkan T.E., On the Comparison of Quantitative
Predictabilities of Dierent Financial Instruments, Chapter in Intelligent
Techniques for Data Analysis in Diverse Settings (Advances in Data Mining and
Database Management), (2016); Ince H., Trafalis T.B., Kernel methods for short-term
portfolio management, Expert Syst. with Appl., 30, 3, pp. 535-542, (2006);
International Financial Reporting Standards, (2008); Johnson T., Maxwell P.A.R.,
Homogeneous Risk Classifications for Industry Studies, (2007); Ch G., Pflug, Some
remarks on the value-at-risk and conditional-value-at-risk, Probabilistic
Constrained Optimization, Methodology and Applications, (2000); Press E., Analyzing
Financial Statements, (1999); Rockafellar R.T., Uryasev S., Optimization of
conditional value-at-risk, J. Risk, (2000); Rosenthal R.E., GAMS: A User’s Guide,
GAMS Development Corp, (2017); Scherer B., Martin D.,
Bayes , (2005); (2018); Vos E., Risk, return, price:
Small unlisted businesses examined, J. SEAANZ, 3, 1-2, pp. 12-120, (1995); Ziemba
W.T., The symmetric downside-risk sharpe ratio, J. Portf. Manag., 32, 1, pp. 108-
122, (2005)","I.İ. Boduroğlu; Namık Kemal University, Çorlu Mühendislik Fakültesi,
Çorlu, Tekirdağ, Silahtarağa Mah, 59860, Turkey; email:
[email protected]",Pardalos P.M.; Battiti R.; Brunato M.; Kotsireas I.,Springer
Verlag,,"12th International Conference on Learning and Intelligent Optimization,
LION 12",10 June 2018 through 15 June 2018,Kalamata,222619,3029743,978-303005347-
5,,,English,Lect. Notes Comput. Sci.,Conference paper,Final,,Scopus,2-s2.0-
85059948504
Wu D.; Wang X.; Wu S.,"Wu, Dingming (57219466907); Wang, Xiaolong (57204318567);
Wu, Shaocong (57219469275)",57219466907; 57204318567; 57219469275,"A hybrid
framework based on extreme learning machine, discrete wavelet transform, and
autoencoder with feature penalty for stock prediction",2022,Expert Systems with
Applications,207,,118006,,,,20,10.1016/j.eswa.2022.118006,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85133216215&doi=10.1016%2fj.eswa.2022.118006&partnerID=40&md5=c1eca699936ec6207db6a
606804bd664,"College of Computer Science and Technology, Harbin Institute of
Technology, Shenzhen, 518055, China","Wu D., College of Computer Science and
Technology, Harbin Institute of Technology, Shenzhen, 518055, China; Wang X.,
College of Computer Science and Technology, Harbin Institute of Technology,
Shenzhen, 518055, China; Wu S., College of Computer Science and Technology, Harbin
Institute of Technology, Shenzhen, 518055, China","Accurate prediction of the stock
market trend can assist efficient portfolio and risk management. In recent years,
with the rapid development of deep learning, it can make the classifiers more
robust, which can be used for solving nonlinear problems. In our previous research,
we proposed a numerical model for predicting the stock market via combination of
discrete wavelet transform (DWT) denoising and extreme learning machine (ELM), and
promising outcomes are achieved. The current research presents a hybrid framework
using DWT, ELM, and autoencoder (AE) with feature penalty. Firstly, the
backpropagation of the AE with feature penalty was deduced theoretically. Then, the
raw data were denoised by DWT. The denoised data were used to train the AE with
feature penalty after feature preprocessing and utilization of the labeling method.
Afterward, the encoder part of the well-trained AE was utilized as the feature
extraction model to train ELM model, and the hybrid framework named DAELM (DWT-AE-
ELM) could be successfully developed. We also carried out experiments on the
corresponding dataset of 400 stocks, and the prediction accuracy of the current
study was higher than that of our previous research. According to the predicted
labels, we presented an investment strategy, and the yield-to-maturity of 400
stocks was significantly higher than that of the buy-and-hold (BAH) strategy. The
results confirmed the superiority of the proposed hybrid framework. © 2022 The
Authors",Autoencoder; Deep learning; Discrete wavelet transform; Extreme learning
machine; Stock prediction,Commerce; Deep learning; Discrete wavelet transforms;
Electronic trading; Financial markets; Investments; Knowledge acquisition; Learning
systems; Risk management; Signal reconstruction; 'current; Accurate prediction;
Auto encoders; Deep learning; Discrete-wavelet-transform; Extreme learning machine;
Hybrid framework; Learning machines; Market trends; Stock predictions;
Forecasting,,,,,"Science, Technology and Innovation Commission of Shenzhen
Municipality, (JCYJ20190806112210067)","The author acknowledges the assistance of
the respected editor and the anonymous referees for their insightful and
constructive comments, which helped to improve the overall quality of the paper.
The author is grateful for grant funding support from the Technology and Innovation
Commission of Shenzhen Municipality (Grant No. JCYJ20190806112210067) during the
completion of this study. ","Alaba P.A., Popoola S.I., Olatomiwa L., Akanle M.B.,
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Wang; College of Computer Science and Technology, Harbin Institute of Technology,
Shenzhen, 518055, China; email: [email protected]",,Elsevier
Ltd,,,,,,9574174,,ESAPE,,English,Expert Sys Appl,Article,Final,All Open Access;
Hybrid Gold Open Access,Scopus,2-s2.0-85133216215
Rustam Z.; Kintandani P.,"Rustam, Zuherman (26422482100); Kintandani, Puteri
(57208718541)",26422482100; 57208718541,Application of Support Vector Regression in
Indonesian Stock Price Prediction with Feature Selection Using Particle Swarm
Optimisation,2019,Modelling and Simulation in
Engineering,2019,,8962717,,,,25,10.1155/2019/8962717,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85065615566&doi=10.1155%2f2019%2f8962717&partnerID=40&md5=704ac03b97dbd3e8afa688829
87f2953,"Department of Mathematics, FMIPA Universitas Indonesia Kampus UI Depok,
Depok, 16424, Indonesia","Rustam Z., Department of Mathematics, FMIPA Universitas
Indonesia Kampus UI Depok, Depok, 16424, Indonesia; Kintandani P., Department of
Mathematics, FMIPA Universitas Indonesia Kampus UI Depok, Depok, 16424,
Indonesia","Stock investing is one of the most popular types of investments since
it provides the highest return among all investment types; however, it is also
associated with considerable risk. Fluctuating stock prices provide an opportunity
for investors to make a high profit. We can see the movement of groups of stock
prices from the stock index, which is called Jakarta Composite Index (JKSE) in
Indonesia. Several studies have focused on the prediction of stock prices using
machine learning, while one uses support vector regression (SVR). Therefore, this
study examines the application of SVR and particle swarm optimisation (PSO) in
predicting stock prices using stock historical data and several technical
indicators, which are selected using PSO. Subsequently, a support vector machine
(SVM) was applied to predict stock prices with the technical indicator selected by
PSO as the predictor. The study found that stock price prediction using SVR and PSO
shows good performances for all data, and many features and training data used by
the study have relatively low error probabilities. Thereby, an accurate model was
obtained to predict stock prices in Indonesia. © 2019 Zuherman Rustam and Puteri
Kintandani.",,Costs; Financial markets; Forecasting; Investments; Support vector
machines; Support vector regression; Accurate modeling; Composite index; Error
probabilities; Historical data; Particle swarm optimisation; Stock price
prediction; Support vector regression (SVR); Technical indicator; Particle swarm
optimization (PSO),,,,,Indonesia Ministry of Research and Higher Education,"*is
research was financially supported by the Indonesia Ministry of Research and Higher
Education, with a PDUPT 2018 research grant scheme (ID number 389/UN2.R3.1/
HKP05.00/2018).","Penawar H.K., Rustam Z., A fuzzy logic model to forecast stock
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machine learning classification for financial trading: An empirical approach,
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Rustam; Department of Mathematics, FMIPA Universitas Indonesia Kampus UI Depok,
Depok, 16424, Indonesia; email: [email protected]",,Hindawi
Limited,,,,,,16875591,,,,English,Model. Simul. Eng.,Article,Final,All Open Access;
Gold Open Access,Scopus,2-s2.0-85065615566
Iyyappan M.; Ahmad S.; Jha S.; Alam A.; Yaseen M.; Abdeljaber H.A.M.,"Iyyappan, M.
(57204486424); Ahmad, Sultan (57194429140); Jha, Sudan (59307702300); Alam, Afroj
(57212871511); Yaseen, Muhammad (57189034582); Abdeljaber, Hikmat A. M.
(57194425778)",57204486424; 57194429140; 59307702300; 57212871511; 57189034582;
57194425778,A Novel AI-Based Stock Market Prediction Using Machine Learning
Algorithm,2022,Scientific
Programming,2022,,4808088,,,,25,10.1155/2022/4808088,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85128330200&doi=10.1155%2f2022%2f4808088&partnerID=40&md5=ad4e5ad0dab4324e706ee58de
8712bf2,"School of Sciences, Christ (Deemed to Be University), Delhi-NCR,
Ghaziabad, 201003, India; Department of Computer Science, College of Computer
Engineering and Sciences, Prince Sattam Bin Abdulaziz University, Alkharj, 11942,
Saudi Arabia; Department of Computer Science, Bakhtar University, Kabul,
Afghanistan; Faculty of Information Technology, University of Central Punjab,
Lahore, Pakistan; Department of Computer Science, Faculty of Information
Technology, Applied Science Private University, Amman, Jordan","Iyyappan M., School
of Sciences, Christ (Deemed to Be University), Delhi-NCR, Ghaziabad, 201003, India;
Ahmad S., Department of Computer Science, College of Computer Engineering and
Sciences, Prince Sattam Bin Abdulaziz University, Alkharj, 11942, Saudi Arabia; Jha
S., School of Sciences, Christ (Deemed to Be University), Delhi-NCR, Ghaziabad,
201003, India; Alam A., Department of Computer Science, Bakhtar University, Kabul,
Afghanistan; Yaseen M., Faculty of Information Technology, University of Central
Punjab, Lahore, Pakistan; Abdeljaber H.A.M., Department of Computer Science,
Faculty of Information Technology, Applied Science Private University, Amman,
Jordan","The time series forecasting system can be used for investments in a safe
environment with minimized chances of loss. The Holt-Winters algorithm followed
various procedures and observed the multiple factors applied to the neural network.
The final module helps filter the system to predict the various factors and
provides a rating for the system. This research work uses real-time dataset of
fifteen stocks as input into the system and, based on the data, predicts or
forecasts future stock prices of different companies belonging to different
sectors. The dataset includes approximately fifteen companies from different
sectors and forecasts their results based on which the user can decide whether to
invest in the particular company or not; the forecasting will give an accurate
result for the customer investments. © 2022 Iyyappan. M et al.",,Electronic
trading; Financial markets; Investments; Learning algorithms; Machine learning;
Forecasting system; Holt-Winters; Machine learning algorithms; Multiple factors;
Neural-networks; Real-time dataset; Stock market prediction; Time series
forecasting; Forecasting,,,,,,,"Wang X., The Short-term Passenger Flow Forecasting
of Urban Rail Transit Based on Holt-winters' Seasonal Method, pp. 265-268; Chen W.,
Zhang Y., Yeo C.K., Lau C.T., Lee B.S., Stock Market Prediction Using Neural
Network Through News on Online Social Networks, pp. 1-6; Gelper S.E.C., Fried R.,
Croux C., Robust forecasting with exponential and holt-winters smoothing, Journal
of Forecasting, 29, 3, pp. 285-300, (2010); Fama E.F., Fisher L., Jensen M.C., Roll
R., The adjustment of stock prices to new information, International Economic
Review, 10, 1, pp. 1-21, (1969); Fama E.F., Efficient capital markets: Ii, The
Journal of Finance, 46, 5, pp. 1575-1617, (1991); Biktimirov E.N., Xu Y., Market
reactions to changes in the Dow Jones industrial average index, International
Journal of Managerial Finance, 15, 5, pp. 792-812, (2019); Rajagopal A., Jha S.,
Khari M., Ahmad S., Alouffi B., Alharbi A., A novel approach in prediction of crop
production using recurrent cuckoo search optimization neural networks, Applied
Sciences, 11, 21, (2021); Sherstinsky A., Fundamentals of recurrent neural network
(RNN) and long short-term memory (LSTM) network, Physica D: Nonlinear Phenomena,
404, (2020); Shen J., Shafiq M.O., Short-term stock market price trend prediction
using a comprehensive deep learning system, Journal of Big Data, 7, 1, (2020);
Atsalakis G.S., Valavanis K.P., Forecasting stock market short-term trends using a
neuro-fuzzy based methodology, Expert Systems with Applications, 36, 7, pp. 696-
707, (2009); Nekoeiqachkanloo H., Ghojogh B., Pasand A.S., Crowley M., Artificial
Counselor System for Stock Investment, (2019); Rouf N., Malik M.B., Arif T., Sharma
S., Singh S., Aich S., Kim H.-C., Stock market prediction using machine learning
techniques: A decade survey on methodologies, recent developments, and future
directions, Electronics, 10, 21, (2021); Idrees S.M., Alam M.A., Agarwal P., A
prediction approach for stock market volatility based on time series data, IEEE
Access, 7, pp. 17287-17298, (2019); Hafezi R., Shahrabi J., Hadavandi E., A bat-
neural network multi-agent system (BNNMAS) for stock price prediction: Case study
of DAX stock price, Applied Soft Computing, 29, pp. 196-210, (2015); Iyyappan M.,
Kumar A., Optimization of software package selection using cohesion measurement and
complexity metric for CBSS development, International Journal on Emerging
Technology, 10, 1, pp. 211-217, (2019); Rahman H.U., Raza M., Afsar P., Alharbi A.,
Ahmad S., Alyami H., Multi-criteria decision making model for application
maintenance offshoring using analytic hierarchy process, Applied Sciences, 11, 18,
(2021); Mentzer J.T., Gomes R., Further extensions of adaptive extended exponential
smoothing and comparison with the M-Competition, Journal of the Academy of
Marketing Science, 22, 4, pp. 372-382, (1994); Tan C.C., Beaulieu N.C., First-order
Markov modeling for the Rayleigh fading channel, IEEE GLOBECOM 1998 (Cat. NO.
98CH36250), 6, pp. 3669-3674, (1998); Singh A., Ahmad S., Haque M.I., Big data
science and EXASOL as big data analytics tool, International Journal of Innovative
Technology and Exploring Engineering, 8, 9 S, pp. 933-937, (2019); Ahmad S., Afzal
M.M., Alharbi A., Big data analytics with fog computing in integrated cloud fog and
IoT architecture for smart devices, International Journal of Computer Science and
Network Security (IJCSNS), 6, pp. 171-177, (2020)","A. Alam; Department of Computer
Science, Bakhtar University, Kabul, Afghanistan; email:
[email protected]",,Hindawi Limited,,,,,,10589244,,SCIPE,,English,Sci.
Program,Article,Final,All Open Access; Gold Open Access,Scopus,2-s2.0-85128330200
Ratto A.P.; Merello S.; Oneto L.; Ma Y.; Malandri L.; Cambria E.,"Ratto, Andrea
Picasso (57207730143); Merello, Simone (16064271600); Oneto, Luca (41262130900);
Ma, Yukun (57189601750); Malandri, Lorenzo (57204852435); Cambria, Erik
(56140547500)",57207730143; 16064271600; 41262130900; 57189601750; 57204852435;
56140547500,Ensemble of Technical Analysis and Machine Learning for Market Trend
Prediction,2018,"Proceedings of the 2018 IEEE Symposium Series on Computational
Intelligence, SSCI
2018",,,8628795,2090,2096,6,25,10.1109/SSCI.2018.8628795,https://www-scopus-com-
paruluniversity.knimbus.com/inward/record.uri?eid=2-s2.0-
85062790649&doi=10.1109%2fSSCI.2018.8628795&partnerID=40&md5=f67f612fc2a68c5062852c
a0cc408cbe,"DIBRIS, University of Genova, Via Opera Pia 11A, Genova, I-16145,
Italy; Machine Learning Labs, Continental AG, Continental Building, 80 Boon Keng
Rd, Singapore, Singapore; Department of Management, Economics and Engineering,
Politecnico di Milano, Via Raffaele Lambruschini 4B, Milano, Italy; School of
Computer Science and Engineering, Nanyang Technological University, 50 Nanyang Ave,
Singapore, Singapore","Ratto A.P., DIBRIS, University of Genova, Via Opera Pia 11A,
Genova, I-16145, Italy; Merello S., DIBRIS, University of Genova, Via Opera Pia
11A, Genova, I-16145, Italy; Oneto L., DIBRIS, University of Genova, Via Opera Pia
11A, Genova, I-16145, Italy; Ma Y., Machine Learning Labs, Continental AG,
Continental Building, 80 Boon Keng Rd, Singapore, Singapore; Malandri L.,
Department of Management, Economics and Engineering, Politecnico di Milano, Via
Raffaele Lambruschini 4B, Milano, Italy; Cambria E., School of Computer Science and
Engineering, Nanyang Technological University, 50 Nanyang Ave, Singapore,
Singapore","Over the last twenty years, researchers and practitioners have
attempted in many ways to effectively predict market trends. Till date, however, no
satisfactory solution has been found. Many approaches have been applied to predict
market trends, from technical analysis to fundamental analysis passing through
sentiment analysis. A promising research direction is to exploit market technical
indicators together with market sentiments extracted from social media for
predicting market directional movements. In this paper, we propose a new approach
that leverages technical analysis to predict market directional movements. In
particular, we aim to predict the directional movement of the NASDAQ's most
capitalized stocks by solving a classification problem. The results on real-world
data show that our proposal achieves interesting performance when predicting the
market directional movements. This work focuses on forecasting a portfolio of
different stocks, instead of concentrating on a single stock which most of the
works in this field do. Furthermore, the proposed model is able to solve the issue
of skewed classes through the use of appropriate data balancing techniques. © 2018
IEEE.",Market Trend Prediction; Technical Analysis,Balancing; Commerce; Electronic
trading; Financial markets; Forecasting; Machine learning; Directional movements;
Fundamental analysis; Machine-learning; Market trend prediction; Market trends;
Satisfactory solutions; Sentiment analysis; Technical analysis; Technical
indicator; Trend prediction; Sentiment analysis,,,,,"Ministry of Education -
Singapore, MOE, (MOE2017-T1-001-173)",This research is supported by Singapore
Ministry of Education Academic Research Fund Tier 1 under research grant MOE2017-
T1-001-173.,"Fama E.F., Efficient capital markets: II, The Journal of Finance, 46,
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Discovering Bayesian market views for intelligent asset allocation, ECML, (2018);
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movement direction with support vector machine, Computers & Operations Research,
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78019-5 (hbk