User2Vec: A Novel Representation for the Information of the Social Networks for Stock Market Prediction Using Convolutional and Recurrent Neural Networks

Pegah Eslamieh, Mehdi Shajari and Ahmad Nickabadi ()
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Pegah Eslamieh: Computer Engineering Department, Amirkabir University of Technology, Tehran 1591634311, Iran
Mehdi Shajari: Computer Engineering Department, Amirkabir University of Technology, Tehran 1591634311, Iran
Ahmad Nickabadi: Computer Engineering Department, Amirkabir University of Technology, Tehran 1591634311, Iran

Mathematics, 2023, vol. 11, issue 13, 1-26

Abstract: Predicting stock market trends is an intriguing and complex problem, which has drawn considerable attention from the research community. In recent years, researchers have employed machine learning techniques to develop prediction models by using numerical market data and textual messages on social networks as their primary sources of information. In this article, we propose User2Vec, a novel approach to improve stock market prediction accuracy, which contributes to more informed investment decision making. User2Vec is a unique method that recognizes the unequal impact of different user opinions on specific stocks, and it assigns weights to these opinions based on the accuracy of their associated social metrics. The User2Vec model begins by encoding each message as a vector. These vectors are then fed into a convolutional neural network (CNN) to generate an aggregated feature vector. Following this, a stacked bi-directional long short-term memory (LSTM) model provides the final representation of the input data over a period. LSTM-based models have shown promising results by effectively capturing the temporal patterns in time series market data. Finally, the output is fed into a classifier that predicts the trend of the target stock price for the next day. In contrast to previous attempts, User2Vec considers not only the sentiment of the messages, but also the social information associated with the users and the text content of the messages. It has been empirically proven that this inclusion provides valuable information for predicting stock direction, thereby significantly enhancing prediction accuracy. The proposed model was rigorously evaluated using various combinations of market data, encoded messages, and social features. The empirical studies conducted on the Dow Jones 30 stock market showed the model’s superiority over existing state-of-the-art models. The findings of these experiments reveal that including social information about users and their tweets, in addition to the sentiment and textual content of their messages, significantly improves the accuracy of stock market prediction.

Keywords: stock market prediction; social network analysis; deep learning; user behavior modeling; financial market emotion analysis (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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