Xinyi Li

Xinyi Li, Yinchuan Li, Hongyang Yang et al.

Stock price prediction is important for value investments in the stock market. In particular, short-term prediction that exploits financial news articles is promising in recent years. In this paper, we propose a novel deep neural network DP-LSTM for stock price prediction, which incorporates the news articles as hidden information and integrates difference news sources through the differential privacy mechanism. First, based on the autoregressive moving average model (ARMA), a sentiment-ARMA is formulated by taking into consideration the information of financial news articles in the model. Then, an LSTM-based deep neural network is designed, which consists of three components: LSTM, VADER model and differential privacy (DP) mechanism. The proposed DP-LSTM scheme can reduce prediction errors and increase the robustness. Extensive experiments on S&P 500 stocks show that (i) the proposed DP-LSTM achieves 0.32% improvement in mean MPA of prediction result, and (ii) for the prediction of the market index S&P 500, we achieve up to 65.79% improvement in MSE.

Xinyi Li, Yinchuan Li, Xiao-Yang Liu et al.

Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters large cumulative errors because they cannot avoid anomalies. In this paper, we propose a novel deep neural network Mid-LSTM for midterm stock prediction, which incorporates the market trend as hidden states. First, based on the autoregressive moving average model (ARMA), a midterm ARMA is formulated by taking into consideration both hidden states and the capital asset pricing model. Then, a midterm LSTM-based deep neural network is designed, which consists of three components: LSTM, hidden Markov model and linear regression networks. The proposed Mid-LSTM can avoid anomalies to reduce large prediction errors, and has good explanatory effects on the factors affecting stock prices. Extensive experiments on S&P 500 stocks show that (i) the proposed Mid-LSTM achieves 2-4% improvement in prediction accuracy, and (ii) in portfolio allocation investment, we achieve up to 120.16% annual return and 2.99 average Sharpe ratio.