Machine learning in weekly movement prediction

Han Gui

Papers from arXiv.org

Abstract: To predict the future movements of stock markets, numerous studies concentrate on daily data and employ various machine learning (ML) models as benchmarks that often vary and lack standardization across different research works. This paper tries to solve the problem from a fresh standpoint by aiming to predict the weekly movements, and introducing a novel benchmark of random traders. This benchmark is independent of any ML model, thus making it more objective and potentially serving as a commonly recognized standard. During training process, apart from the basic features such as technical indicators, scaling laws and directional changes are introduced as additional features, furthermore, the training datasets are also adjusted by assigning varying weights to different samples, the weighting approach allows the models to emphasize specific samples. On back-testing, several trained models show good performance, with the multi-layer perception (MLP) demonstrating stability and robustness across extensive and comprehensive data that include upward, downward and cyclic trends. The unique perspective of this work that focuses on weekly movements, incorporates new features and creates an objective benchmark, contributes to the existing literature on stock market prediction.

Date: 2024-07
New Economics Papers: this item is included in nep-big, nep-cmp and nep-fmk
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