Stock Price Prediction by Deep Neural Generative Model of News Articles

• Published in: IEICE Transactions on Information and Systems Vol. E101.D; no. 4; pp. 901 - 908
• Main Authors: MATSUBARA, Takashi, AKITA, Ryo, UEHARA, Kuniaki
• Format: Journal Article
• Language: English
• Published: Tokyo The Institute of Electronics, Information and Communication Engineers 01.01.2018; Japan Science and Technology Agency
• Subjects: deep learning; Finished goods; generative model; Mathematical models; Multilayer perceptrons; News; news articles; Predictions; Stock market indexes; stock price prediction; Support vector machines
• ISSN: 0916-8532; 1745-1361
• DOI: 10.1587/transinf.2016IIP0016

In this study, we propose a deep neural generative model for predicting daily stock price movements given news articles. Approaches involving conventional technical analysis have been investigated to identify certain patterns in past price movements, which in turn helps to predict future price movements. However, the financial market is highly sensitive to specific events, including corporate buyouts, product releases, and the like. Therefore, recent research has focused on modeling relationships between these events that appear in the news articles and future price movements; however, a very large number of news articles are published daily, each article containing rich information, which results in overfitting to past price movements used for parameter adjustment. Given the above, we propose a model based on a generative model of news articles that includes price movement as a condition, thereby avoiding excessive overfitting thanks to the nature of the generative model. We evaluate our proposed model using historical price movements of Nikkei 225 and Standard & Poor's 500 Stock Index, confirming that our model predicts future price movements better than such conventional classifiers as support vector machines and multilayer perceptrons. Further, our proposed model extracts significant words from news articles that are directly related to future stock price movements.