References
[1]. Chavan, S., Doshi, H., Godbole, D., Parge, P. & Gore, D.: 1D Convolutional Neural Network for Stock Market Prediction using Tensorflow. International Journal of Innovative Science and Research Technology, 4, 272–275 (2019).
[2]. Huang, C. J., Chen, P. W. & Pan, W. T.: Using multi-stage data mining technique to build forecast model for Taiwan stocks. Neural Computing and Applications, 21, 2057–2063 (2012).
[3]. Neto, M. C. A., Calvalcanti, G. D. C. & Ren, T. I. Financial time series prediction using exogenous series and combined neural networks. International Joint Conference on Neural Networks, 149–156 (2009).
[4]. Hsu, M. W., Lessmann, S., Sung, M. C., Ma, T. & Johnson, J. E. V.: Bridging the divide in financial market forecasting: machine learners vs. financial economists. Expert Systems with Application, 61, 215–234 (2016).
[5]. Sezer, O. B., Gudelek, M. U. & Ozbayoglu, A. M. Financial time series forecasting with deep learning: A systematic literature review: 2005–2019. Applied Soft Computing, 149-156 (2020).
[6]. Fawaz, H. I., Forestier, G., Weber, J., Idoumghar, L., Muller, P. A.: Deep Neural Network Ensembles for Time Series Classification. International Joint Conference on Neural Networks (IJCNN), 1-6 (2019).
[7]. Gozalpour, N., Teshnehlab, M.: Forecasting Stock Market Price Using Deep Neural Networks. In: 7th Iranian Joint Congress on Fuzzy and Intelligent Systems (CFIS), 7, 1–4 (2019). IEEE
[8]. Kumar Chandar, S.: Grey Wolf optimization-Elman neural network model for stock price prediction. Soft Computing, 25(1), 649–658 (2020).
[9]. Ingle, V. & Deshmukh, S.: Ensemble deep learning framework for stock market data prediction (EDLF-DP). Global Transitions Proceedings, 2(1), 47–66 (2021).
[10]. Huynh, H. D., Dang, L. M., Duong, D.: A new model for stock price movements prediction using deep neural network. International Symposium on Information and Communication Technology, 57–62 (2017).
[11]. Wu, Q., Zhang, Z., Pizzoferroto, A., Cucuringu, M., Liu, Z.: A Deep Learning Framework for Pricing Financial Instruments. ArXivorg (2019).
[12]. Nikou, M., Mansourfar, G., Bagherzadeh, J.: Stock price prediction using DEEP learning algorithm and its comparison with machine learning algorithms. Intelligent Systems in Accounting, Finance and Management, 26(4), 164–174 (2019).
[13]. Pang, X., Zhou, Y., Wang, P., Lin, W., Chang, V.: An innovative neural network approach for stock market prediction. The Journal of Supercomputing, 76(3), 2098–2118 (2020).
[14]. Nabipour, M., Nayyeri, P., Jabani, H., Mosavi, A., & Salwana, E.: Deep learning for stock market prediction. Entropy, 22(8), 1–23 (2020).
[15]. Putri, K. S., Halim, S.: Currency movement forecasting using time series analysis and long short-term memory. International Journal of Industrial Optimization, 1(2), 71 (2020).
[16]. Vargas, M. R., Lima, B. S. L. P. De, Evsukoff, A. G.: Deep learning for stock market prediction from financial news articles. In: international conference on computational intelligence and virtual environments for measurement systems and applications (CIVEMSA), 60–65 (2017). IEEE
[17]. Oncharoen, P., Vateekul, P.: Deep Learning for Stock Market Prediction Using Event Embedding and Technical Indicators. In: 5th international conference on advanced informatics: concept theory and applications (ICAICTA), 19-24 (2018).
[18]. Yang, C., Zhai, J., Tao, G., Haajek, P.: Deep Learning for Price Movement Prediction Using Convolutional Neural Network and Long Short-Term Memory. Mathematical Problems in Engineering, (2020).
Cite this article
Olotu,S.I. (2023). A multivariate LSTM-based deep learning model for stock market prediction. Applied and Computational Engineering,2,187-195.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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References
[1]. Chavan, S., Doshi, H., Godbole, D., Parge, P. & Gore, D.: 1D Convolutional Neural Network for Stock Market Prediction using Tensorflow. International Journal of Innovative Science and Research Technology, 4, 272–275 (2019).
[2]. Huang, C. J., Chen, P. W. & Pan, W. T.: Using multi-stage data mining technique to build forecast model for Taiwan stocks. Neural Computing and Applications, 21, 2057–2063 (2012).
[3]. Neto, M. C. A., Calvalcanti, G. D. C. & Ren, T. I. Financial time series prediction using exogenous series and combined neural networks. International Joint Conference on Neural Networks, 149–156 (2009).
[4]. Hsu, M. W., Lessmann, S., Sung, M. C., Ma, T. & Johnson, J. E. V.: Bridging the divide in financial market forecasting: machine learners vs. financial economists. Expert Systems with Application, 61, 215–234 (2016).
[5]. Sezer, O. B., Gudelek, M. U. & Ozbayoglu, A. M. Financial time series forecasting with deep learning: A systematic literature review: 2005–2019. Applied Soft Computing, 149-156 (2020).
[6]. Fawaz, H. I., Forestier, G., Weber, J., Idoumghar, L., Muller, P. A.: Deep Neural Network Ensembles for Time Series Classification. International Joint Conference on Neural Networks (IJCNN), 1-6 (2019).
[7]. Gozalpour, N., Teshnehlab, M.: Forecasting Stock Market Price Using Deep Neural Networks. In: 7th Iranian Joint Congress on Fuzzy and Intelligent Systems (CFIS), 7, 1–4 (2019). IEEE
[8]. Kumar Chandar, S.: Grey Wolf optimization-Elman neural network model for stock price prediction. Soft Computing, 25(1), 649–658 (2020).
[9]. Ingle, V. & Deshmukh, S.: Ensemble deep learning framework for stock market data prediction (EDLF-DP). Global Transitions Proceedings, 2(1), 47–66 (2021).
[10]. Huynh, H. D., Dang, L. M., Duong, D.: A new model for stock price movements prediction using deep neural network. International Symposium on Information and Communication Technology, 57–62 (2017).
[11]. Wu, Q., Zhang, Z., Pizzoferroto, A., Cucuringu, M., Liu, Z.: A Deep Learning Framework for Pricing Financial Instruments. ArXivorg (2019).
[12]. Nikou, M., Mansourfar, G., Bagherzadeh, J.: Stock price prediction using DEEP learning algorithm and its comparison with machine learning algorithms. Intelligent Systems in Accounting, Finance and Management, 26(4), 164–174 (2019).
[13]. Pang, X., Zhou, Y., Wang, P., Lin, W., Chang, V.: An innovative neural network approach for stock market prediction. The Journal of Supercomputing, 76(3), 2098–2118 (2020).
[14]. Nabipour, M., Nayyeri, P., Jabani, H., Mosavi, A., & Salwana, E.: Deep learning for stock market prediction. Entropy, 22(8), 1–23 (2020).
[15]. Putri, K. S., Halim, S.: Currency movement forecasting using time series analysis and long short-term memory. International Journal of Industrial Optimization, 1(2), 71 (2020).
[16]. Vargas, M. R., Lima, B. S. L. P. De, Evsukoff, A. G.: Deep learning for stock market prediction from financial news articles. In: international conference on computational intelligence and virtual environments for measurement systems and applications (CIVEMSA), 60–65 (2017). IEEE
[17]. Oncharoen, P., Vateekul, P.: Deep Learning for Stock Market Prediction Using Event Embedding and Technical Indicators. In: 5th international conference on advanced informatics: concept theory and applications (ICAICTA), 19-24 (2018).
[18]. Yang, C., Zhai, J., Tao, G., Haajek, P.: Deep Learning for Price Movement Prediction Using Convolutional Neural Network and Long Short-Term Memory. Mathematical Problems in Engineering, (2020).