Enhancing Stock Market Prediction with Extended Coupled Hidden Markov Model over Multi-Sourced Data

Xi Zhang, Yixuan Li, Senzhang Wang, Binxing Fang and Philip S. Yu

Papers from arXiv.org

Abstract: Traditional stock market prediction methods commonly only utilize the historical trading data, ignoring the fact that stock market fluctuations can be impacted by various other information sources such as stock related events. Although some recent works propose event-driven prediction approaches by considering the event data, how to leverage the joint impacts of multiple data sources still remains an open research problem. In this work, we study how to explore multiple data sources to improve the performance of the stock prediction. We introduce an Extended Coupled Hidden Markov Model incorporating the news events with the historical trading data. To address the data sparsity issue of news events for each single stock, we further study the fluctuation correlations between the stocks and incorporate the correlations into the model to facilitate the prediction task. Evaluations on China A-share market data in 2016 show the superior performance of our model against previous methods.

Date: 2018-09
New Economics Papers: this item is included in nep-fmk and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/1809.00306 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1809.00306

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().