Search Results (97)

This paper investigates the volatility spillover effects from the crude oil market to domestic stock markets using high-frequency data. We propose an enhanced methodology, the MS-HAR-TVP model, which extends the standard HAR framework. Our model decomposes crude oil price impacts on domestic financial markets into trend and jump volatility spillover components via the TVP framework, while incorporating a Markov switching mechanism to capture regime changes in volatility dynamics. This paper selects the CSI coal index and the CSI new energy index as the representatives of the domestic energy stock market, uses the rolling window method and the MCS test method to evaluate the predictive performance of the model, and compares it with other commonly used models. The empirical results show that (1) the decomposed high-frequency volatility spillover has obvious volatility clustering and asymmetry and the trend and jump spillover have significant improvement in the predictive ability of future volatility; (2) the short-term trend of crude oil is opposite to the trend of the new energy index, but the same as the short-term trend of the coal index, indicating that the impact of crude oil prices on different energy stock markets is different; and (3) the MS-HAR-TVP model and MS-HAR-TVP-J/TCJ model combined with the crude oil volatility spillover have significantly higher in-sample and out-of-sample prediction accuracy than other models in high volatility periods, indicating that the model proposed in this paper can better characterize and predict the volatility characteristics of the domestic energy stock market. Full article

Stock trend prediction is a complex and crucial task due to the dynamic and nonlinear nature of stock price movements. Traditional models struggle to capture the non-stationary and volatile characteristics of financial time series. To address this challenge, we propose the Hybrid Relational Transformer (HRformer), which specifically decomposes time series into multiple components, enabling more accurate modeling of both short-term and long-term dependencies in stock data. The HRformer mainly comprises three key modules: the Multi-Component Decomposition Layer, the Component-wise Temporal Encoder (CTE), and the Inter-Stock Correlation Attention (ISCA). Our approach first employs the Multi-Component Decomposition Layer to decompose the stock sequence into trend, cyclic, and volatility components, each of which is independently modeled by the CTE to capture distinct temporal dynamics. These component representations are then adaptively integrated through the Adaptive Multi-Component Integration (AMCI) mechanism, which dynamically fuses their information. The fused output is subsequently refined by the ISCA module to incorporate inter-stock correlations, leading to more accurate and robust predictions. Extensive experiments on the NASDAQ100 and CSI300 datasets demonstrate that HRformer consistently outperforms state-of-the-art methods, e.g., achieving about 0.83% higher Accuracy and 1.78% higher F1-score than TDformer on NASDAQ100, with Sharpe Ratios of 1.5354 on NASDAQ100 and 0.5398 on CSI300, especially in volatile market conditions. Backtesting results validate its practical utility in real-world trading scenarios, showing its potential to enhance investment decisions and portfolio performance. Full article

Financial news has a significant impact on investor sentiment and short-term stock price trends. While many studies have applied natural language processing (NLP) techniques to financial forecasting, most have focused on single tasks or English corpora, with limited research in non-English language contexts such as Taiwan. This study develops a joint framework to perform sentiment classification and short-term stock price prediction using Chinese financial news from Taiwan’s top 50 listed companies. Five types of word embeddings—one-hot, TF-IDF, CBOW, skip-gram, and BERT—are systematically compared across 17 traditional, deep, and Transformer models, as well as a large language model (LLaMA3) fully fine-tuned on the Chinese financial texts. To ensure annotation quality, sentiment labels were manually assigned by annotators with finance backgrounds and validated through a double-checking process. Experimental results show that a CNN using skip-gram embeddings achieves the strongest performance among deep learning models, while LLaMA3 yields the highest overall F1-score for sentiment classification. For regression, LSTM consistently provides the most reliable predictive power across different volatility groups, with Bayesian Linear Regression remaining competitive for low-volatility firms. LLaMA3 is the only Transformer-based model to achieve a positive $R^2$ under high-volatility conditions. Furthermore, forecasting accuracy is higher for the five-day horizon than for the fifteen-day horizon, underscoring the increasing difficulty of medium-term forecasting. These findings confirm that financial news provides valuable predictive signals for emerging markets and that short-term sentiment-informed forecasts enhance real-time investment decisions. Full article

Financial time series prediction remains a challenging task due to the inherent non-stationarity, noise, and complex temporal dependencies present in market data. Traditional forecasting methods often fail to capture the multifaceted nature of financial markets, where temporal proximity, trend dynamics, and volatility patterns simultaneously influence price movements. To address these limitations, this paper proposes the Enhanced Multi-Aspect Transformer (EMAT), a novel deep learning architecture specifically designed for stock market prediction. EMAT incorporates a Multi-Aspect Attention Mechanism that simultaneously captures temporal decay patterns, trend dynamics, and volatility regimes through specialized attention components. The model employs an encoder–decoder architecture with enhanced feed-forward networks utilizing SwiGLU activation, enabling superior modeling of complex non-linear relationships. Furthermore, we introduce a comprehensive multi-objective loss function that balances point-wise prediction accuracy with volatility consistency. Extensive experiments on multiple stock market datasets demonstrate that EMAT consistently outperforms a wide range of state-of-the-art baseline models, including various recurrent, hybrid, and Transformer architectures. Our ablation studies further validate the design, confirming that each component of the Multi-Aspect Attention Mechanism makes a critical and quantifiable contribution to the model’s predictive power. The proposed architecture’s ability to simultaneously model these distinct financial characteristics makes it a particularly effective and robust tool for financial forecasting, offering significant improvements in accuracy compared to existing approaches. Full article

The prediction of stock price trends is of vital importance for maintaining the stability of the financial market, optimizing resource allocation and preventing systemic risks. To ensure the practical application value of the prediction model, it is necessary to maintain prediction accuracy while ensuring that the output results of the model are interpretable, enabling decision-makers to understand and verify the prediction basis. Belief Rule Base (BRB) models, grounded in IF-THEN rule semantics, offer inherent interpretability. However, optimizing BRB models can erode this interpretability, and they are susceptible to combinatorial explosion in multi-attribute scenarios, disrupting the structural symmetry and escalating model complexity. To address these challenges while preserving both accuracy and interpretability symmetry, this paper proposes a new method based on hierarchical Belief Rule Base with balanced accuracy and interpretability (HBRB-b) for stock price trend prediction. First, a hierarchical model structure is constructed to overcome the rule combinatorial explosion problem, ensuring initial structural symmetry and interpretability. Second, several interpretability criteria specifically designed for stock prediction and compatible with maintaining model balance during optimization are proposed to guide the modeling process. Finally, an improved Whale Optimization Algorithm is proposed, incorporating constraints to preserve the interpretability symmetry throughout the optimization process. A case study validates the model’s effectiveness in stock price trend prediction. Comparative results demonstrate that the HBRB-b-based model achieves a favorable symmetry between prediction accuracy and model interpretability, offering distinct advantages in both aspects. Full article

Owing to the high volatility, non-stationarity, and complexity of financial time-series data, stock market trend prediction remains a crucial but difficult endeavor. To address this, we present a novel Multi-Perspective Fused Attention model (SGR-Net) that amalgamates Random, Global, and Sparse Attention mechanisms to improve stock trend forecasting accuracy and generalization capability. The proposed Fused Attention model (SGR-Net) is trained on a rich feature space consisting of thirteen widely used technical indicators derived from raw stock index prices to effectively classify stock index trends as either uptrends or downtrends. Across nine global stock indices—DJUS, NYSE AMEX, BSE, DAX, NASDAQ, Nikkei, S&P 500, Shanghai Stock Exchange, and NIFTY 50—we evaluated the proposed model and compared it against baseline deep learning techniques, which include LSTM, GRU, Vanilla Attention, and Self-Attention. Experimental results across nine global stock index datasets show that the Fused Attention model produces the highest accuracy of 94.36% and AUC of 0.9888. Furthermore, even at lower epochs of training, i.e., 20 epochs, the proposed Fused Attention model produces faster convergence and better generalization, yielding an AUC of 0.9265, compared with 0.9179 for Self-Attention, on the DJUS index. The proposed model also demonstrates competitive training time and noteworthy performance on all nine stock indices. This is due to the incorporation of Sparse Attention, which lowers computation time to 57.62 s, only slightly more than the 54.22 s required for the Self-Attention model on the Nikkei 225 index. Additionally, the model incorporates Global Attention, which captures long-term dependencies in time-series data, and Random Attention, which addresses the problem of overfitting. Overall, this study presents a robust and reliable model that can help individuals, research communities, and investors identify profitable stocks across diverse global markets. Full article

The stock market plays a crucial role in the financial system, with its price movements reflecting macroeconomic trends. Due to the influence of multifaceted factors such as policy shifts and corporate performance, stock prices exhibit nonlinearity, high noise, and non-stationarity, making them difficult to model accurately using a single approach. To enhance forecasting accuracy, this study proposes a hybrid forecasting framework that integrates wavelet denoising, multi-head attention-based BiLSTM, ARIMA, and XGBoost. Wavelet transform is first employed to enhance data quality. The multi-head attention BiLSTM captures nonlinear temporal dependencies, ARIMA models linear trends in residuals, and XGBoost improves the recognition of complex patterns. The final prediction is obtained by combining the outputs of all models through an inverse-error weighted ensemble strategy. Using the CSI 300 Index as an empirical case, we construct a multidimensional feature set including both market and technical indicators. Experimental results show that the proposed model clearly outperforms individual models in terms of RMSE, MAE, MAPE, and R². Ablation studies confirm the importance of each module in performance enhancement. The model also performs well on individual stock data (e.g., Fuyao Glass), demonstrating promising generalization ability. This research provides an effective solution for improving stock price forecasting accuracy and offers valuable insights for investment decision-making and market regulation. Full article

Quantum finance, as a key application scenario of quantum computing, showcases multiple significant advantages of quantum machine learning over traditional machine learning methods. This paper first aims to overcome the limitations of the hidden quantum Markov model (HQMM) in handling continuous data and proposes an innovative method to convert continuous data into discrete-time sequence data. Second, a hybrid quantum computing model is developed to forecast stock market trends. The model was used to predict 15 stock indices from the Shanghai and Shenzhen Stock Exchanges between June 2018 and June 2021. Experimental results demonstrate that the proposed quantum model outperforms classical algorithmic models in handling higher complexity, achieving improved efficiency, reduced computation time, and superior predictive performance. This validation of quantum advantage in financial forecasting enables the practical deployment of quantum-inspired prediction models by investors and institutions in trading environments. This quantum-enhanced model empowers investors to predict market regimes (bullish/bearish/range-bound) using real-time data, enabling dynamic portfolio adjustments, optimized risk controls, and data-driven allocation shifts. Full article

The study relies on an extensive dataset (≈1.86 million news headlines) to investigate the heterogeneity and predictive power of explicit sentiment signals (TextBlob, VADER, and FinBERT) and implied sentiment (VIX) for stock market trends. We find that news content predominantly consists of objective or neutral information, with only a small portion carrying subjective or emotive weight. There is a structural market bias toward upswings (bullish market states). Market behavior appears anticipatory rather than reactive: forward-looking implied sentiment captures a substantial share (≈45–50%) of the variation in stock returns. By contrast, sentiment scores, even when disaggregated into firm- and non-firm-specific subscores, lack robust predictive power. However, weekend and holiday sentiment contains modest yet valuable market signals. Algorithm-wise, Gradient Boosting Machine (GBM) stands out in both classification (bullish vs. bearish) and regression tasks. Neither FinBERT news sentiment, historical returns, nor implied volatility offer a consistently exploitable edge over market efficiency. Thus, our findings lend empirical support to both the weak-form and semi-strong forms of the Efficient Market Hypothesis. In the realm of exploitable trading strategies, markets remain an enigma against systematic alpha. Full article

Recent years have seen a rise in combining deep learning and technical analysis for stock price prediction. However, technical indicators are often prioritized over technical charts due to quantification challenges. While some studies use closing price charts for predicting stock trends, they overlook charts from other indicators and their relationships, resulting in underutilized information for predicting stock. Therefore, we design a novel framework to address the underutilized information limitations within technical charts generated by different indicators. Specifically, different sequences of stock indicators are used to generate various technical charts, and an adaptive relationship graph learning layer is employed to learn the relationships among technical charts generated by different indicators. Finally, by applying a GNN model combined with the relationship graphs of diverse technical charts, temporal patterns of stock indicator sequences are captured, fully utilizing the information between various technical charts to achieve accurate stock price predictions. Additionally, we further tested our framework with real-world stock data, showing superior performance over advanced baselines in predicting stock prices, achieving the highest net value in trading simulations. Our research results not only complement the existing applications of non-singular technical charts in deep learning but also offer backing for investment applications in financial market decision-making. Full article

The stock price of PT Indika Energy Tbk (INDY) reflects the dynamics of Indonesia’s energy sector, which is heavily influenced by global coal price fluctuations, national energy policies, and geopolitical conditions. This study aimed to develop an accurate forecasting model to predict the movement of INDY stock prices using a hybrid machine learning approach called CNN-BiGRU-AM. The objective was to generate future forecasts of INDY stock prices based on historical data from 28 August 2019 to 24 February 2025. The method applied a hybrid model combining a Convolutional Neural Network (CNN), Bidirectional Gated Recurrent Unit (BiGRU), and an Attention Mechanism (AM) to address the nonlinear, volatile, and noisy characteristics of stock data. The results showed that the CNN-BiGRU-AM model achieved high accuracy with a Mean Absolute Percentage Error (MAPE) below 3%, indicating its effectiveness in capturing long-term patterns. The CNN helped extract local features and reduce noise, the BiGRU captured bidirectional temporal dependencies, and the Attention Mechanism allocated weights to the most relevant historical information. The model remained robust even when stock prices were sensitive to external factors such as global commodity trends and geopolitical events. This study contributes to providing more accurate forecasting solutions for companies, investors, and stakeholders in making strategic decisions. It also enriches the academic literature on the application of deep learning techniques in financial data analysis and stock market forecasting within a complex and dynamic environment. Full article

The rapid advancement of machine learning and deep learning techniques has revolutionized stock market prediction, providing innovative methods to analyze financial trends and market behavior. This review paper presents a comprehensive analysis of various machine learning and deep learning approaches utilized in stock market prediction, focusing on their methodologies, evaluation metrics, and datasets. Popular models such as LSTM, CNN, and SVM are examined, highlighting their strengths and limitations in predicting stock prices, volatility, and trends. Additionally, we address persistent challenges, including data quality and model interpretability, and explore emerging research directions to overcome these obstacles. This study aims to summarize the current state of research, provide insights into the effectiveness of predictive models. Full article

Forecasting financial time series is challenging due to their intrinsic nonlinearity, high volatility, and complex dependencies across temporal scales. This study introduces MSGformer, a novel hybrid architecture that integrates multi-scale graph neural networks (MSGNet) with Transformer encoders to capture both local temporal fluctuations and long-term global trends in high-frequency financial data. The MSGNet module constructs multi-scale representations using adaptive graph convolutions and intra-sequence attention, while the Transformer component enhances long-range dependency modeling via multi-head self-attention. We evaluate MSGformer on minute-level stock index data from the Chinese A-share market, including CSI 300, SSE 50, CSI 500, and SSE Composite indices. Extensive experiments demonstrate that MSGformer significantly outperforms state-of-the-art baselines (e.g., Transformer, PatchTST, Autoformer) in terms of MAE, RMSE, MAPE, and R². The results confirm that the proposed hybrid model achieves superior prediction accuracy, robustness, and generalization across various forecasting horizons, providing an effective solution for real-world financial decision-making and risk assessment. Full article

This study introduces a novel forecasting framework that identifies and predicts recurrently emerging structural patterns in stock trends using rising visibility graphs (RVGs) and the Weisfeiler–Lehman (WL) subtree kernel. The proposed method, RVGWL, addresses a key limitation of traditional visibility graphs, namely the structural indistinguishability between rising and falling trends, by selectively constructing edges only along upward price movements. This approach produces graph representations that capture direction-sensitive market dynamics and facilitate the extraction of meaningful topological features from price data. By applying the WL kernel, RVGWL quantifies structural similarities between graph-transformed time series, enabling the identification of structurally similar preceding patterns and the probabilistic forecasting of their subsequent trajectories based on nine canonical trend templates. Experiments on time series data from four major stock indices and their constituent stocks during the year 2023—characterized by diverse market regimes across the U.S., Japan, the U.K., and China—demonstrate that RVGWL consistently outperforms classical rule-based strategies. These results support the predictive value of recurring topological structures in financial time series and higight the potential of structure-aware forecasting methods in quantitative analysis. Full article

Accurate stock price prediction requires the integration of heterogeneous data streams, yet conventional techniques struggle to simultaneously leverage fine-grained micro-stock features and broader macroeconomic indicators. To address this gap, we propose MambaLLM, a novel framework that fuses macro-index and micro-stock inputs through the synergistic use of state-space models (SSMs) and large language models (LLMs). Our two-branch architecture comprises (i) Micro-Stock Encoder, a Mamba-based temporal encoder for processing granular stock-level data (prices, volumes, and technical indicators), and (ii) Macro-Index Analyzer, an LLM module—employing DeepSeek R1 7B distillation—capable of interpreting market-level index trends (e.g., S&P 500) to produce textual summaries. These summaries are then distilled into compact embeddings via FinBERT. By merging these multi-scale representations through a concatenation mechanism and subsequently refining them with multi-layer perceptrons (MLPs), MambaLLM dynamically captures both asset-specific price behavior and systemic market fluctuations. Extensive experiments on six major U.S. stocks (AAPL, AMZN, MSFT, TSLA, GOOGL, and META) reveal that MambaLLM delivers up to a 28.50% reduction in RMSE compared with suboptimal models, surpassing traditional recurrent neural networks and MAMBA-based baselines under volatile market conditions. This marked performance gain highlights the framework’s unique ability to merge structured financial time series with semantically rich macroeconomic narratives. Altogether, our findings underscore the scalability and adaptability of MambaLLM, offering a powerful, next-generation tool for financial forecasting and risk management. Full article