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Prediction of the Stock Market From Linguistic Phrases: A Deep Neural Network Approach

Prediction of the Stock Market From Linguistic Phrases: A Deep Neural Network Approach

Prajwal Eachempati, Praveen Ranjan Srivastava
Copyright: © 2023 |Volume: 34 |Issue: 1 |Pages: 22
ISSN: 1063-8016|EISSN: 1533-8010|EISBN13: 9781668478929|DOI: 10.4018/JDM.322020
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MLA

Eachempati, Prajwal, and Praveen Ranjan Srivastava. "Prediction of the Stock Market From Linguistic Phrases: A Deep Neural Network Approach." JDM vol.34, no.1 2023: pp.1-22. http://doi.org/10.4018/JDM.322020

APA

Eachempati, P. & Srivastava, P. R. (2023). Prediction of the Stock Market From Linguistic Phrases: A Deep Neural Network Approach. Journal of Database Management (JDM), 34(1), 1-22. http://doi.org/10.4018/JDM.322020

Chicago

Eachempati, Prajwal, and Praveen Ranjan Srivastava. "Prediction of the Stock Market From Linguistic Phrases: A Deep Neural Network Approach," Journal of Database Management (JDM) 34, no.1: 1-22. http://doi.org/10.4018/JDM.322020

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Abstract

Automation of financial data collection, generation, accumulation, and interpretation for decision making may reduce volatility in the stock market and increase liquidity occasionally. Thus, future markets' prediction factoring in the sentiment of investors and algorithmic traders is an exciting area for research with deep learning techniques emerging to understand the market and its future direction. The paper develops two FINBERT deep neural network models pre-trained on the financial phrase dataset, the first one to extract sentiment from the NSE market news. The second model is adopted to predict the stock market movement of NSE with the above sentiment, historical stock prices, return on investment, and risk as predictors. The accuracy is compared with RNN and LSTM and baseline machine learning classifiers like naïve bayes and support vector machine (SVM). The accuracy of the FINBERT model is found to out-perform the deep learning algorithms and above baseline machine learning classifiers thus justifying the importance of the FINBERT model in stock market prediction.