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http://dx.doi.org/10.9708/jksci.2020.25.05.047

Stock prediction using combination of BERT sentiment Analysis and Macro economy index  

Jang, Euna (Dept. of Industrial Engineering, Korea University)
Choi, HoeRyeon (Dept. of Industrial Engineering, Korea University)
Lee, HongChul (Dept. of Industrial Engineering, Korea University)
Publication Information
Journal of the Korea Society of Computer and Information / v.25, no.5, 2020 , pp. 47-56 More about this Journal
Abstract
The stock index is used not only as an economic indicator for a country, but also as an indicator for investment judgment, which is why research into predicting the stock index is ongoing. The task of predicting the stock price index involves technical, basic, and psychological factors, and it is also necessary to consider complex factors for prediction accuracy. Therefore, it is necessary to study the model for predicting the stock price index by selecting and reflecting technical and auxiliary factors that affect the fluctuation of the stock price according to the stock price. Most of the existing studies related to this are forecasting studies that use news information or macroeconomic indicators that create market fluctuations, or reflect only a few combinations of indicators. In this paper, this we propose to present an effective combination of the news information sentiment analysis and various macroeconomic indicators in order to predict the US Dow Jones Index. After Crawling more than 93,000 business news from the New York Times for two years, the sentiment results analyzed using the latest natural language processing techniques BERT and NLTK, along with five macroeconomic indicators, gold prices, oil prices, and five foreign exchange rates affecting the US economy Combination was applied to the prediction algorithm LSTM, which is known to be the most suitable for combining numeric and text information. As a result of experimenting with various combinations, the combination of DJI, NLTK, BERT, OIL, GOLD, and EURUSD in the DJI index prediction yielded the smallest MSE value.
Keywords
Natural Language; Sentiment Analysis; Stock Prediction; Macro Economy Index; Deep learning;
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Times Cited By KSCI : 3  (Citation Analysis)
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