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Forecasting with Deep Learning: S&P 500 index

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  • Firuz Kamalov
  • Linda Smail
  • Ikhlaas Gurrib

Abstract

Stock price prediction has been the focus of a large amount of research but an acceptable solution has so far escaped academics. Recent advances in deep learning have motivated researchers to apply neural networks to stock prediction. In this paper, we propose a convolution-based neural network model for predicting the future value of the S&P 500 index. The proposed model is capable of predicting the next-day direction of the index based on the previous values of the index. Experiments show that our model outperforms a number of benchmarks achieving an accuracy rate of over 55%.

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  • Firuz Kamalov & Linda Smail & Ikhlaas Gurrib, 2021. "Forecasting with Deep Learning: S&P 500 index," Papers 2103.14080, arXiv.org.
    • Handle: RePEc:arx:papers:2103.14080
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    References listed on IDEAS

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    1. Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 2020. "Forecasting S&P 500 spikes: an SVM approach," Digital Finance, Springer, vol. 2(3), pages 241-258, December.
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    3. Neda Abdelhamid & Arun Padmavathy & David Peebles & Fadi Thabtah & Daymond Goulder-Horobin, 2020. "Data Imbalance in Autism Pre-Diagnosis Classification Systems: An Experimental Study," Journal of Information & Knowledge Management (JIKM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-16, March.
    4. Firuz Kamalov & Ho Hon Leung, 2020. "Outlier Detection in High Dimensional Data," Journal of Information & Knowledge Management (JIKM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-16, March.
    5. Xiao Zhong & David Enke, 2019. "Predicting the daily return direction of the stock market using hybrid machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
    6. Fischer, Thomas & Krauss, Christopher, 2018. "Deep learning with long short-term memory networks for financial market predictions," European Journal of Operational Research, Elsevier, vol. 270(2), pages 654-669.
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