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Assessing Text Mining and Technical Analyses on Forecasting Financial Time Series

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  • Ali Lashgari

Abstract

Forecasting financial time series (FTS) is an essential field in finance and economics that anticipates market movements in financial markets. This paper investigates the accuracy of text mining and technical analyses in forecasting financial time series. It focuses on the S&P500 stock market index during the pandemic, which tracks the performance of the largest publicly traded companies in the US. The study compares two methods of forecasting the future price of the S&P500: text mining, which uses NLP techniques to extract meaningful insights from financial news, and technical analysis, which uses historical price and volume data to make predictions. The study examines the advantages and limitations of both methods and analyze their performance in predicting the S&P500. The FinBERT model outperforms other models in terms of S&P500 price prediction, as evidenced by its lower RMSE value, and has the potential to revolutionize financial analysis and prediction using financial news data. Keywords: ARIMA, BERT, FinBERT, Forecasting Financial Time Series, GARCH, LSTM, Technical Analysis, Text Mining JEL classifications: G4, C8

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  • Ali Lashgari, 2023. "Assessing Text Mining and Technical Analyses on Forecasting Financial Time Series," Papers 2304.14544, arXiv.org.
    • Handle: RePEc:arx:papers:2304.14544
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    References listed on IDEAS

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    1. Wataru Souma & Irena Vodenska & Hideaki Aoyama, 2019. "Enhanced news sentiment analysis using deep learning methods," Journal of Computational Social Science, Springer, vol. 2(1), pages 33-46, January.
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    Cited by:

    1. Mario Zupan, 2024. "Accounting journal entries as a long‐term multivariate time series: Forecasting wholesale warehouse output," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(1), March.

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    More about this item

    Keywords

    arima; bert; finbert; forecasting financial time series; garch; lstm; technical analysis; text mining jel classifications: g4; c8;
    All these keywords.

    JEL classification:

    • G4 - Financial Economics - - Behavioral Finance
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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