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Leveraging Financial News for Stock Trend Prediction with Attention-Based Recurrent Neural Network

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  • Huicheng Liu

Abstract

Stock market prediction is one of the most attractive research topic since the successful prediction on the market's future movement leads to significant profit. Traditional short term stock market predictions are usually based on the analysis of historical market data, such as stock prices, moving averages or daily returns. However, financial news also contains useful information on public companies and the market. Existing methods in finance literature exploit sentiment signal features, which are limited by not considering factors such as events and the news context. We address this issue by leveraging deep neural models to extract rich semantic features from news text. In particular, a Bidirectional-LSTM are used to encode the news text and capture the context information, self attention mechanism are applied to distribute attention on most relative words, news and days. In terms of predicting directional changes in both Standard & Poor's 500 index and individual companies stock price, we show that this technique is competitive with other state of the art approaches, demonstrating the effectiveness of recent NLP technology advances for computational finance.

Suggested Citation

  • Huicheng Liu, 2018. "Leveraging Financial News for Stock Trend Prediction with Attention-Based Recurrent Neural Network," Papers 1811.06173, arXiv.org.
  • Handle: RePEc:arx:papers:1811.06173
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    File URL: http://arxiv.org/pdf/1811.06173
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    References listed on IDEAS

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    1. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
    2. repec:pri:cepsud:91malkiel is not listed on IDEAS
    3. Ronny Luss & Alexandre D'Aspremont, 2015. "Predicting abnormal returns from news using text classification," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 999-1012, June.
    4. Nofsinger, John R., 2001. "The impact of public information on investors," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1339-1366, July.
    5. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    6. Ayodele Ariyo Adebiyi & Aderemi Oluyinka Adewumi & Charles Korede Ayo, 2014. "Comparison of ARIMA and Artificial Neural Networks Models for Stock Price Prediction," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-7, March.
    7. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    8. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
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    Cited by:

    1. Yiqi Deng & Siu Ming Yiu, 2022. "Deep Multiple Instance Learning For Forecasting Stock Trends Using Financial News," Papers 2206.14452, arXiv.org.
    2. Süreyya Özöğür Akyüz & Pınar Karadayı Ataş & Aymane Benkhaldoun, 2024. "Predicting stock market by sentiment analysis and deep learning," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(2), pages 85-107.
    3. Jiayu Qiu & Bin Wang & Changjun Zhou, 2020. "Forecasting stock prices with long-short term memory neural network based on attention mechanism," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-15, January.
    4. Saurabh Kamal & Sahil Sharma & Vijay Kumar & Hammam Alshazly & Hany S. Hussein & Thomas Martinetz, 2022. "Trading Stocks Based on Financial News Using Attention Mechanism," Mathematics, MDPI, vol. 10(12), pages 1-30, June.
    5. Zhihan Zhou & Liqian Ma & Han Liu, 2021. "Trade the Event: Corporate Events Detection for News-Based Event-Driven Trading," Papers 2105.12825, arXiv.org, revised May 2021.

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