Leveraging RNNs and LSTMs for Synchronization Analysis in the Indian Stock Market: A Threshold-Based Classification Approach
This provides a method for predicting stock synchronization to aid trading strategies and risk management in finance, but it is incremental as it applies existing techniques to a specific dataset.
The paper tackled forecasting stock price synchronization in the Indian market by using recurrence plots and cross-recurrence quantification analysis with RNNs and LSTMs, achieving an accuracy of 0.98 and an F1 score of 0.83.
Our research presents a new approach for forecasting the synchronization of stock prices using machine learning and non-linear time-series analysis. To capture the complex non-linear relationships between stock prices, we utilize recurrence plots (RP) and cross-recurrence quantification analysis (CRQA). By transforming Cross Recurrence Plot (CRP) data into a time-series format, we enable the use of Recurrent Neural Networks (RNN) and Long Short-Term Memory (LSTM) networks for predicting stock price synchronization through both regression and classification. We apply this methodology to a dataset of 20 highly capitalized stocks from the Indian market over a 21-year period. The findings reveal that our approach can predict stock price synchronization, with an accuracy of 0.98 and F1 score of 0.83 offering valuable insights for developing effective trading strategies and risk management tools.