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All Journal International Journal of Electrical and Computer Engineering
Tran Trong Huynh
FPT University
Computer Science & IT Electrical & Electronics Engineering

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Forecasting stock price movement direction by machine learning algorithm Bui Thanh Khoa; Tran Trong Huynh
International Journal of Electrical and Computer Engineering (IJECE) Vol 12, No 6: December 2022
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijece.v12i6.pp6625-6634

Abstract

Forecasting stock price movement direction (SPMD) is an essential issue for short-term investors and a hot topic for researchers. It is a real challenge concerning the efficient market hypothesis that historical data would not be helpful in forecasting because it is already reflected in prices. Some commonly-used classical methods are based on statistics and econometric models. However, forecasting becomes more complicated when the variables in the model are all nonstationary, and the relationships between the variables are sometimes very weak or simultaneous. The continuous development of powerful algorithms features in machine learning and artificial intelligence has opened a promising new direction. This study compares the predictive ability of three forecasting models, including support vector machine (SVM), artificial neural networks (ANN), and logistic regression. The data used is those of the stocks in the VN30 basket with a holding period of one day. With the rolling window method, this study got a highly predictive SVM with an average accuracy of 92.48%.
Co-Authors Bui Thanh Khoa