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Applied Intelligence

, Volume 49, Issue 3, pp 897–911 | Cite as

A study on novel filtering and relationship between input-features and target-vectors in a deep learning model for stock price prediction

  • Yoojeong Song
  • Jae Won Lee
  • Jongwoo LeeEmail author
Article

Abstract

From past to present, the prediction of stock price in stock market has been a knotty problem. Many researchers have made various attempts and studies to predict stock prices. The prediction of stock price in stock market has been of concern to researchers in many disciplines, including economics, mathematics, physics, and computer science. This study intends to learn fluctuation of stock prices in stock market by using recently spotlighted techniques of deep learning to predict future stock price. In previous studies, we have used price-based input-features to measure performance changes in deep learning models. Results of this studies have revealed that the performance of stock price models would change according to varied input-features configured based on stock price. Therefore, we have concluded that more novel input-feature in deep learning model is needed to predict patterns of stock price fluctuation more precisely. In this paper, for predicting stock price fluctuation, we design deep learning model using 715 novel input-features configured on the basis of technical analyses. The performance of the prediction model was then compared to another model that employed simple price-based input-features. Also, rather than taking randomly collected set of stocks, stocks of a similar pattern of price fluctuation were filtered to identify the influence of filtering technique on the deep learning model. Finally, we compared and analyzed the performances of several models using different configuration of input-features and target-vectors.

Keywords

Deep learning Stock prediction Novel input feature Technical analysis Novel filtering technique 

Notes

Acknowledgements

This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology (NRF-2018R1D1A1B07040312)

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018
corrected publication 2018

Authors and Affiliations

  1. 1.Sookmyung Women’s UniversitySeoulKorea
  2. 2.Sungshin Women’s UniversitySeoulKorea

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