Stock Market Forecasting Using a Neural Network Through Fundamental Indicators, Technical Indicators and Market Sentiment Analysis

Mónica Andrea Arauco Ballesteros () and Elio Agustín Martínez Miranda
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Mónica Andrea Arauco Ballesteros: Universidad Nacional Autónoma de México
Elio Agustín Martínez Miranda: Universidad Nacional Autónoma de México

Computational Economics, 2025, vol. 66, issue 2, No 27, 1715-1745

Abstract: Abstract The objective of this research is to provide evidence that it is possible to obtain a prediction that better aligns with the future performance of a stock if a neural network model is trained with stock market analysis variables and qualitative variables. As a case study, thirty-three companies’ representative of the S&P 500 are selected, and a multilayer perceptron artificial neural network is built and trained with input parameter indicators of fundamental analysis, technical analysis, and market sentiment. By incorporating the latter as an additional variable, the model's accuracy increases by 1.5% for 66% of the companies analyzed. The results confirm the crucial role played by the selection of the neural network model and its variables depending on the type of company to be analyzed. The main contributions of this research are the identification of the best variables combination to train a neural network model depending on the market sector to be analyzed, likewise it is demonstrated that, by using market sentiment, it is possible obtain a high accuracy or increase the accuracy to an existing model.

Keywords: Stock market; Neural network; Market sentiment; Portfolio management; Investment decisions; Artificial intelligence (search for similar items in EconPapers)
JEL-codes: D71 G11 G12 G17 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10614-024-10711-4

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