Deep learning in the Chinese stock market: The role of technical indicators

Chenyao Ma and Sheng Yan

Finance Research Letters, 2022, vol. 49, issue C

Abstract: A convolutional neural network (CNN) is applied to forecast stock price changes in the Chinese stock market. We use 27 technical indicators and 5 original price series as benchmark model setting and further explore the model forecasting performance with social media sentiment. Our results show that our model could obtain 70% forecasting accuracy on average. Moreover, social media sentiment could increase the forecasting performance for both indexes and individual stocks.

Keywords: Convolutional neural network; Technical indicators; Forecast; Stock market (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002653

DOI: 10.1016/j.frl.2022.103025

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