-The creation of a predictive system that correctly forecasts future changes of a stock price is crucial for investment management and algorithmic trading. The use of technical analysis for financial forecasting has been successfully employed by many researchers. Input window length is a time frame parameter required to be set when calculating many technical indicators. This study explores how the performance of the predictive system depends on a combination of a forecast horizon and an input window length for forecasting variable horizons. Technical indicators are used as input features for machine learning algorithms to forecast future directions of stock price movements. The dataset consists of ten years daily price time series for fifty stocks. The highest prediction performance is observed when the input window length is approximately equal to the forecast horizon. This novel pattern is studied using multiple performance metrics: prediction accuracy, winning rate, return per trade and Sharpe ratio.
-The market state changes when a new piece of information arrives. It affects decisions made by investors and is considered to be an important data source that can be used for financial forecasting. Recently information derived from news articles has become a part of financial predictive systems. The usage of news articles and their forecasting potential have been extensively researched.However, so far no attempts have been made to utilise different categories of news articles simultaneously. This paper studies how the concurrent, and appropriately weighted, usage of news articles, having different degrees of relevance to the target stock, can improve the performance of financial forecasting and support the decision-making process of investors and traders. Stock price movements are predicted using the multiple kernel learning technique which integrates information extracted from multiple news categories while separate kernels are utilised to analyse each category.News articles are partitioned according to their relevance to the target stock, its sub industry, industry, group industry and sector. The experiments are run on stocks from the Health Care sector and show that increasing the number of relevant news categories used as data sources for financial forecasting improves the performance of the predictive system in comparison with approaches based on a lower number of categories.
Publications of financial news articles impact the decisions made by investors and, therefore, change the market state. It makes them an important source of data for financial predictions. Forecasting models based on information derived from news have been recently developed and researched. However, the advantages of combining different categories of news articles have not been investigated. This research paper studies how the results of financial forecasting can be improved when news articles with different levels of relevance to the target stock are used simultaneously. Integration of information extracted from five categories of news articles partitioned by sectors and industries is performed using the multiple kernel learning technique for predicting price movements. News articles are divided into the five categories of relevance to a targeted stock, its sub industry, industry, group industry and sector while separate kernels are employed to analyze each one. The experimental results show that the simultaneous usage of five news categories improves the prediction performance in comparison with methods based on a lower number of news categories.
Accurate forecasting of directional changes in stock prices is important for algorithmic trading and investment management. Technical analysis has been successfully used in financial forecasting and recently researchers have explored the optimization of parameters for technical indicators. This study investigates the relationship between the window size used for calculating technical indicators and the accuracy of one-stepahead (variable steps) forecasting. The directions of the future price movements are predicted using technical analysis and machine learning algorithms. Results show a correlation between window size and forecasting step size for the Support Vector Machines approach but not for the other approaches.
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