A stock price prediction method based on deep learning technology

Xuan Ji; Jiachen Wang; Zhijun Yan

doi:10.1108/IJCS-05-2020-0012

International Journal of Crowd Science 2021, 5(1): 55-72 https://doi.org/10.1108/IJCS-05-2020-0012

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Open Access | Issue | Published: 05 March 2021

A stock price prediction method based on deep learning technology

Show Author's Information Hide Author's Information Xuan Ji, Jiachen Wang, Zhijun Yan(

)

School of Management and Economics, Beijing Institute of Technology, Beijing, China

Keywords:

Text mining, Deep learning, Financial social media, Stock price prediction

Cite this article:

Ji X, Wang J, Yan Z. A stock price prediction method based on deep learning technology. International Journal of Crowd Science, 2021, 5(1): 55-72. https://doi.org/10.1108/IJCS-05-2020-0012

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Abstract Full text About this article

Abstract

Purpose

Stock price prediction is a hot topic and traditional prediction methods are usually based on statistical and econometric models. However, these models are difficult to deal with nonstationary time series data. With the rapid development of the internet and the increasing popularity of social media, online news and comments often reflect investors’ emotions and attitudes toward stocks, which contains a lot of important information for predicting stock price. This paper aims to develop a stock price prediction method by taking full advantage of social media data.

Design/methodology/approach

This study proposes a new prediction method based on deep learning technology, which integrates traditional stock financial index variables and social media text features as inputs of the prediction model. This study uses Doc2Vec to build long text feature vectors from social media and then reduce the dimensions of the text feature vectors by stacked auto-encoder to balance the dimensions between text feature variables and stock financial index variables. Meanwhile, based on wavelet transform, the time series data of stock price is decomposed to eliminate the random noise caused by stock market fluctuation. Finally, this study uses long short-term memory model to predict the stock price.

Findings

The experiment results show that the method performs better than all three benchmark models in all kinds of evaluation indicators and can effectively predict stock price.

Originality/value

In this paper, this study proposes a new stock price prediction model that incorporates traditional financial features and social media text features which are derived from social media based on deep learning technology.

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Abstract

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About this article

A stock price prediction method based on deep learning technology

Show Author's information Hide Author's Information Xuan Ji, Jiachen Wang, Zhijun Yan(

)

School of Management and Economics, Beijing Institute of Technology, Beijing, China

Abstract

Purpose

Design/methodology/approach

Findings

The experiment results show that the method performs better than all three benchmark models in all kinds of evaluation indicators and can effectively predict stock price.

Originality/value

Keywords: Text mining, Deep learning, Financial social media, Stock price prediction

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Acknowledgements

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Publication history

Received: 31 May 2020

Revised: 26 August 2020

Accepted: 07 September 2020

Published: 05 March 2021

Issue date: April 2021

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Acknowledgements

Funding: This work was supported by National Key Research and Development Plan of China (Grant No: 2017YFB1400101), National Natural Science Foundation of China (Grant No: 71572013, 71872013, 72072011) and Beijing Municipal Social Science Foundation (Grant No: 18JDGLB040).

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Xuan Ji, Jiachen Wang and Zhijun Yan. Published in International Journal of Crowd Science. Published by Emerald Publishing Limited. This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode