A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models

Sidra Mehtab and Jaydip Sen

Papers from arXiv.org

Abstract: Prediction of future movement of stock prices has always been a challenging task for the researchers. While the advocates of the efficient market hypothesis (EMH) believe that it is impossible to design any predictive framework that can accurately predict the movement of stock prices, there are seminal work in the literature that have clearly demonstrated that the seemingly random movement patterns in the time series of a stock price can be predicted with a high level of accuracy. Design of such predictive models requires choice of appropriate variables, right transformation methods of the variables, and tuning of the parameters of the models. In this work, we present a very robust and accurate framework of stock price prediction that consists of an agglomeration of statistical, machine learning and deep learning models. We use the daily stock price data, collected at five minutes interval of time, of a very well known company that is listed in the National Stock Exchange (NSE) of India. The granular data is aggregated into three slots in a day, and the aggregated data is used for building and training the forecasting models. We contend that the agglomerative approach of model building that uses a combination of statistical, machine learning, and deep learning approaches, can very effectively learn from the volatile and random movement patterns in a stock price data. We build eight classification and eight regression models based on statistical and machine learning approaches. In addition to these models, a deep learning regression model using a long-and-short-term memory (LSTM) network is also built. Extensive results have been presented on the performance of these models, and the results are critically analyzed.

Date: 2020-04, Revised 2021-05
New Economics Papers: this item is included in nep-big, nep-cmp, nep-for and nep-gen
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Citations: View citations in EconPapers (12)

Published in International Journal of Business Forecasting and Marketing Intelligence (IJBFMI), Vol 6, No 4, pp. 272 - 335, 2020. Inderscience Publishers

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2004.11697

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