Forecasting stock price movement direction by machine learning algorithm

Bui Thanh Khoa, Tran Trong Huynh

Abstract


Forecasting stock price movement direction (SPMD) is an essential issue for short-term investors and a hot topic for researchers. It is a real challenge concerning the efficient market hypothesis that historical data would not be helpful in forecasting because it is already reflected in prices. Some commonly-used classical methods are based on statistics and econometric models. However, forecasting becomes more complicated when the variables in the model are all nonstationary, and the relationships between the variables are sometimes very weak or simultaneous. The continuous development of powerful algorithms features in machine learning and artificial intelligence has opened a promising new direction. This study compares the predictive ability of three forecasting models, including support vector machine (SVM), artificial neural networks (ANN), and logistic regression. The data used is those of the stocks in the VN30 basket with a holding period of one day. With the rolling window method, this study got a highly predictive SVM with an average accuracy of 92.48%.


Keywords


Artificial neural network; Forecasting; Logistic regression; Stock price movement direction; Support vector machine

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DOI: http://doi.org/10.11591/ijece.v12i6.pp6625-6634

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International Journal of Electrical and Computer Engineering (IJECE)
p-ISSN 2088-8708, e-ISSN 2722-2578