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A comparative study on effect of news sentiment on stock price prediction with deep learning architecture

The accelerated progress in artificial intelligence encourages sophisticated deep learning methods in predicting stock prices. In the meantime, easy accessibility of the stock market in the palm of one’s hand has made its behavior more fuzzy, volatile, and complex than ever. The world is looking at...

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Detalles Bibliográficos
Autores principales: Dahal, Keshab Raj, Pokhrel, Nawa Raj, Gaire, Santosh, Mahatara, Sharad, Joshi, Rajendra P., Gupta, Ankrit, Banjade, Huta R., Joshi, Jeorge
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10128930/
https://www.ncbi.nlm.nih.gov/pubmed/37098089
http://dx.doi.org/10.1371/journal.pone.0284695
Descripción
Sumario:The accelerated progress in artificial intelligence encourages sophisticated deep learning methods in predicting stock prices. In the meantime, easy accessibility of the stock market in the palm of one’s hand has made its behavior more fuzzy, volatile, and complex than ever. The world is looking at an accurate and reliable model that uses text and numerical data which better represents the market’s highly volatile and non-linear behavior in a broader spectrum. A research gap exists in accurately predicting a target stock’s closing price utilizing the combined numerical and text data. This study uses long short-term memory (LSTM) and gated recurrent unit (GRU) to predict the stock price using stock features alone and incorporating financial news data in conjunction with stock features. The comparative study carried out under identical conditions dispassionately evaluates the importance of incorporating financial news in stock price prediction. Our experiment concludes that incorporating financial news data produces better prediction accuracy than using the stock fundamental features alone. The performances of the model architecture are compared using the standard assessment metrics —Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE), and Correlation Coefficient (R). Furthermore, statistical tests are conducted to further verify the models’ robustness and reliability.