COVID19-HPSMP: COVID-19 Adopted Hybrid and Parallel Deep Information Fusion Framework for Stock Price Movement Prediction
This research aims to improve stock price movement prediction for investors and financial analysts by incorporating COVID-19 related social media trends, which is an incremental step in financial econometrics.
This paper addresses the challenge of predicting stock price movements during the COVID-19 pandemic by introducing a new dataset, COVID19 PRIMO, which integrates social media trends related to COVID-19 with historical market data. The authors propose COVID19-HPSMP, a hybrid and parallel deep neural network framework that combines CNN with attention modules and an integrated CNN-BiLSTM path, demonstrating superior performance on their new dataset.
The novel of coronavirus (COVID-19) has suddenly and abruptly changed the world as we knew at the start of the 3rd decade of the 21st century. Particularly, COVID-19 pandemic has negatively affected financial econometrics and stock markets across the globe. Artificial Intelligence (AI) and Machine Learning (ML)-based prediction models, especially Deep Neural Network (DNN) architectures, have the potential to act as a key enabling factor to reduce the adverse effects of the COVID-19 pandemic and future possible ones on financial markets. In this regard, first, a unique COVID-19 related PRIce MOvement prediction (COVID19 PRIMO) dataset is introduced in this paper, which incorporates effects of social media trends related to COVID-19 on stock market price movements. Afterwards, a novel hybrid and parallel DNN-based framework is proposed that integrates different and diversified learning architectures. Referred to as the COVID-19 adopted Hybrid and Parallel deep fusion framework for Stock price Movement Prediction (COVID19-HPSMP), innovative fusion strategies are used to combine scattered social media news related to COVID-19 with historical mark data. The proposed COVID19-HPSMP consists of two parallel paths (hence hybrid), one based on Convolutional Neural Network (CNN) with Local/Global Attention modules, and one integrated CNN and Bi-directional Long Short term Memory (BLSTM) path. The two parallel paths are followed by a multilayer fusion layer acting as a fusion centre that combines localized features. Performance evaluations are performed based on the introduced COVID19 PRIMO dataset illustrating superior performance of the proposed framework.