A Hybrid Deep Learning Approach for Stock Price Prediction

Abstract

Prediction of stock prices has been the primary objective of an investor. Any future decision taken by the investor directly depends on the stock prices associated with a company. This work presents a hybrid approach for the prediction of intra-day stock prices by considering both time-series and sentiment analysis. Furthermore, it focuses on long short-term memory (LSTM) architecture for the time-series analysis of stock prices and Valence Aware Dictionary and sEntiment Reasoner (VADER) for sentiment analysis. LSTM is a modified recurrent neural network (RNN) architecture. It is efficient at extracting patterns over sequential time-series data, where the data spans over long sequences and also overcomes the gradient vanishing problem of RNN. VADER is a lexicon and rule-based sentiment analysis tool attuned to sentiments expressed in social media and news articles. The results of both techniques are combined to forecast the intra-day stock movement and hence the model named as LSTM-VDR. The model is first of its kind, a combination of LSTM and VADER to predict stock prices. The dataset contains closing prices of the stock and recent news articles combined from various online sources. This approach, when applied on the stock prices of Bombay Stock Exchange (BSE) listed companies, has shown improvements in comparison to prior studies.