International journal of advanced smart convergence

The Institute of Internet, Broadcasting and Communication (한국인터넷방송통신학회)
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A Novel Parameter Initialization Technique for the Stock Price Movement Prediction Model

  • Nguyen-Thi, Thu (Department of Electrical and Computer Engineering, University of Ulsan) ;
  • Yoon, Seokhoon (Department of Electrical and Computer Engineering, University of Ulsan)
  • Received : 2019.04.30
  • Accepted : 2019.05.11
  • Published : 2019.06.30
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Abstract

We address the problem about forecasting the direction of stock price movement in the Korea market. Recently, the deep neural network is popularly applied in this area of research. In deep neural network systems, proper parameter initialization reduces training time and improves the performance of the model. Therefore, in our study, we propose a novel parameter initialization technique and apply this technique for the stock price movement prediction model. Specifically, we design a framework which consists of two models: a base model and a main prediction model. The base model constructed with LSTM is trained by using the large data which is generated by a large amount of the stock data to achieve optimal parameters. The main prediction model with the same architecture as the base model uses the optimal parameter initialization. Thus, the main prediction model is trained by only using the data of the given stock. Moreover, the stock price movements can be affected by other related information in the stock market. For this reason, we conducted our research with two types of inputs. The first type is the stock features, and the second type is a combination of the stock features and the Korea Composite Stock Price Index (KOSPI) features. Empirical results conducted on the top five stocks in the KOSPI list in terms of market capitalization indicate that our approaches achieve better predictive accuracy and F1-score comparing to other baseline models.

Keywords

Table 1. Comparison of our model and baseline models

OTNBCL_2019_v8n2_132_t0001.png 이미지

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