Precise Stock Price Prediction for Optimized Portfolio Design Using an LSTM Model

Jaydip Sen, Sidra Mehtab, Abhishek Dutta and Saikat Mondal

Papers from arXiv.org

Abstract: Accurate prediction of future prices of stocks is a difficult task to perform. Even more challenging is to design an optimized portfolio of stocks with the identification of proper weights of allocation to achieve the optimized values of return and risk. We present optimized portfolios based on the seven sectors of the Indian economy. The past prices of the stocks are extracted from the web from January 1, 2016, to December 31, 2020. Optimum portfolios are designed on the selected seven sectors. An LSTM regression model is also designed for predicting future stock prices. Five months after the construction of the portfolios, i.e., on June 1, 2021, the actual and predicted returns and risks of each portfolio are computed. The predicted and the actual returns indicate the very high accuracy of the LSTM model.

Date: 2022-03
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2203.01326 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:2203.01326

Access Statistics for this paper

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