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All Journal International Journal of Electrical and Computer Engineering
Nawaporn Wisitpongphan
King Mongkut's University of Technology North Bangkok
Computer Science & IT Electrical & Electronics Engineering

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Journal : International Journal of Electrical and Computer Engineering

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Predicting stock price movement using effective Thai financial probabilistic lexicon Surinthip Sakphoowadon; Nawaporn Wisitpongphan; Choochart Haruechaiyasak
International Journal of Electrical and Computer Engineering (IJECE) Vol 11, No 5: October 2021
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijece.v11i5.pp4313-4324

Abstract

Predicting stock price fluctuation during critical events remains a big challenge for many researchers because the stock market is extremely vulnerable and sensitive during such time. Most existing works rely on various numerical data of related factors which can impact the stock price direction. However, very few research papers analyzed the effect of information appearing in financial news articles. In this paper, a novel probabilistic lexicon based stock market prediction (PLSP) algorithm is proposed to predict the direction of stock price movement. Our approach used the proposed thai financial probabilistic lexicon (ThaiFinLex) derived from Thai financial news and stock market historical prices. The PLSP development consists of three steps. Firstly, we constructed ThaiFinLex by extracting event terms from news articles and calculating their associated probability of increasing/decreasing values of stock prices. Then, event terms with bad prediction performance were filtered out. Finally, the stock price directions were predicted using the PLSP and the remaining effective event terms. Our results indicated that the proposed model can be used for predicting stock price movement. The performance is as high as 83.33% when PLSP is used to predict stocks from the financial sector.
Co-Authors Choochart Haruechaiyasak Surinthip Sakphoowadon