to download project abstract/base paper


The rapid advancement in artificial intelligence and machine learning techniques, availability of large-scale data, and increased computational capabilities of the machine opens the door to develop sophisticated methods in predicting stock price. In the meantime, easy access to investment opportunities has made the stock market more complex and volatile than ever. The world is looking for an accurate and reliable predictive model which can capture the market’s highly volatile and nonlinear behavior in a holistic framework. This study uses a long short-term memory (LSTM), a particular neural network architecture, to predict the next-day closing price of the S&P 500 index. A well-balanced combination of nine predictors is carefully constructed under the umbrella of the fundamental market data, macroeconomic data, and technical indicators to capture the behavior of the stock market in a broader sense. Single layer and multilayer LSTM models are developed using the chosen input variables, and their performances are compared using standard assessment metrics–Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE), and Correlation Coefficient (R). The experimental results show that the single layer LSTM model provides a superior fit and high prediction accuracy compared to multilayer LSTM models.

Leave a Comment


No comments yet. Why don’t you start the discussion?

Leave a Reply

Your email address will not be published. Required fields are marked *