News sensitive stock market prediction: literature review and suggestions

LSTM based stock prediction using weighted and categorized financial news

A significant correlation between financial news with stock market trends has been explored extensively. However, very little research has been conducted for stock prediction models that utilize news categories, weighted according to their relevance with the target stock. In this paper, we show that prediction accuracy can be enhanced by incorporating weighted news categories simultaneously into the prediction model. We suggest utilizing news categories associated with the structural hierarchy of the stock market: that is, news categories for the market, sector, and stock-related news. In this context, Long Short-Term Memory (LSTM) based Weighted and Categorized News Stock prediction model (WCN-LSTM) is proposed. The model incorporates news categories with their learned weights simultaneously. To enhance the effectiveness, sophisticated features are integrated into WCN-LSTM. These include, hybrid input, lexicon-based sentiment analysis, and deep learning to impose sequential learning. Experiments have been performed for the case of the Pakistan Stock Exchange (PSX) using different sentiment dictionaries and time steps. Accuracy and F1-score are used to evaluate the prediction model. We have analyzed the WCN-LSTM results thoroughly and identified that WCN-LSTM performs better than the baseline model. Moreover, the sentiment lexicon HIV4 along with time steps 3 and 7, optimized the prediction accuracy. We have conducted statistical analysis to quantitatively assess our findings. A qualitative comparison of WCN-LSTM with existing prediction models is also presented to highlight its superiority and novelty over its counterparts.

STTM: an efficient approach to estimating news impact on stock movement direction

Open text data, such as financial news, are thought to be able to affect or to describe stock market behavior, however, there are no widely accepted algorithms for extracting the relationship between stock quotes time series and fast-growing textual representation of economic information. The field remains challenging and understudied. In particular, topic modeling as a powerful tool for interpretable dimensionality reduction has been hardly ever used for such tasks. We present a topic modeling framework for assessing the relationship between financial news stream and stock prices in order to maximize trader's gain. To do so, we use a dataset of economic news sections of three Russian national media sources (Kommersant, Vedomosti, and RIA Novosti) containing 197,678 economic articles. They are used to predict 39 time series of the most liquid Russian stocks collected over eight years, from 2013 to 2021. Our approach shows the ability to detect significant return-predictive signals and outperforms 26 existing models in terms of Sharpe ratio and annual return of simple long strategy. In particular, it shows a significant Granger causal relationship for more than 70% of portfolio stocks. Furthermore, the approach produces highly interpretable results, requires no domain-specific dictionaries, and, unlike most existing industrial solutions, can be calibrated for individual time series. This makes it directly usable for trading strategies and analytical tasks. Finally, since topic modeling shows its efficiency for most European languages, our approach is expected to be transferrable to European stock markets as well.

Artificial Intelligence Methodologies for Data Management

This study analyses the main challenges, trends, technological approaches, and artificial intelligence methods developed by new researchers and professionals in the field of machine learning, with an emphasis on the most outstanding and relevant works to date. This literature review evaluates the main methodological contributions of artificial intelligence through machine learning. The methodology used to study the documents was content analysis; the basic terminology of the study corresponds to machine learning, artificial intelligence, and big data between the years 2017 and 2021. For this study, we selected 181 references, of which 120 are part of the literature review. The conceptual framework includes 12 categories, four groups, and eight subgroups. The study of data management using AI methodologies presents symmetry in the four machine learning groups: supervised learning, unsupervised learning, semi-supervised learning, and reinforced learning. Furthermore, the artificial intelligence methods with more symmetry in all groups are artificial neural networks, Support Vector Machines, K-means, and Bayesian Methods. Finally, five research avenues are presented to improve the prediction of machine learning.