Predicting the Brazilian Stock Market with Sentiment Analysis, Technical Indicators and Stock Prices: A Deep Learning Approach

Arthur Emanuel de Oliveira Carosia (), Ana Estela Antunes Silva () and Guilherme Palermo Coelho ()
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Arthur Emanuel de Oliveira Carosia: Federal Institute of São Paulo (IFSP)
Ana Estela Antunes Silva: University of Campinas (UNICAMP)
Guilherme Palermo Coelho: University of Campinas (UNICAMP)

Computational Economics, 2025, vol. 65, issue 4, No 19, 2378 pages

Abstract: Abstract Recent advances in Machine Learning and, especially, Deep Learning, have led to applications of these areas in different fields of knowledge, with great emphasis on stock market prediction. There are two main approaches in the literature to predict future prices in the stock market: (1) considering historical stock prices; and (2) considering news or social media documents. Despite the recent efforts to combine these two approaches, the literature lacks works in which both strategies are performed with Deep Learning, which has led to state-of-art results in many regression and classification tasks. To overcome these limitations, in this work we proposed a new Deep Learning-based approach to predict the Brazilian stock market combining the use of historical stock prices, financial technical indicators, and financial news. The experiments were performed considering the period from 2010 to 2019 with the Ibovespa index and the historical prices of the following Brazilian companies: Banco do Brasil, Itaú, Ambev, and Gerdau, which have significant contribution to the Ibovespa index. Our results show that the combination of stock prices, technical indicators and news improves the stock market prediction considering both the prediction error and return-of-investment.

Keywords: Sentiment analysis; Artificial neural networks; Deep learning; Stock market (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10614-024-10636-y

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