A stock price prediction method based on deep learning technology

Purpose: Stock price prediction is a hot topic and traditional prediction methods are usually based on statistical and econometric models. However, these models are difficult to deal with nonstationary time series data. With the rapid development of the internet and the increasing popularity of social media, online news and comments often reflect investors’ emotions and attitudes toward stocks, which contains a lot of important information for predicting stock price. This paper aims to develop a stock price prediction method by taking full advantage of social media data. Design/methodology/approach: This study proposes a new prediction method based on deep learning technology, which integrates traditional stock financial index variables and social media text features as inputs of the prediction model. This study uses Doc2Vec to build long text feature vectors from social media and then reduce the dimensions of the text feature vectors by stacked auto-encoder to balance the dimensions between text feature variables and stock financial index variables. Meanwhile, based on wavelet transform, the time series data of stock price is decomposed to eliminate the random noise caused by stock market fluctuation. Finally, this study uses long short-term memory model to predict the stock price. Findings: The experiment results show that the method performs better than all three benchmark models in all kinds of evaluation indicators and can effectively predict stock price. Originality/value: In this paper, this study proposes a new stock price prediction model that incorporates traditional financial features and social media text features which are derived from social media based on deep learning technology. © 2020, Xuan Ji, Jiachen Wang and Zhijun Yan.