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Impact of Time Steps on Stock Market Prediction with LSTM
KTH, School of Electrical Engineering and Computer Science (EECS).
KTH, School of Electrical Engineering and Computer Science (EECS).
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Machine learning models as tools for predicting time series have in recent years proven to perform exceptionally well. With financial time series in the form of stock indices being inherently complex and subject to noise and volatility, the prediction of stock market movements has proven to be especially difficult throughout extensive research. The objective of this study is to thoroughly analyze the LSTM architecture for neural networks and its performance when applied to the S&P 500 stock index. The main research question revolves around quantifying the impact of varying the number of time steps in the LSTM model on predictive performance when applied to the S&P 500 index. The data used in the model is of high reliability downloaded from the Bloomberg Terminal, where the closing price has been used as feature in the model. Other constituents of the model have been based in previous research, where satisfactory results have been reached. The results indicate that among the evaluated time steps, ten steps provided the superior performance. However, the impact of varying time steps is not all too significant for the overall performance of the model. Finally, the implications of the results for the field of research present themselves as good basis for future research, where parameters are varied and fine-tuned in pursuit of optimal performance.

Abstract [sv]

Maskininlärningsmodeller som redskap för att förutspå tidsserier har de senaste åren visat sig prestera exceptionellt bra. Vad gäller finansiella tidsserier i formen av aktieindex, som har en inneboende komplexitet, och är föremål för störningar och volatilitet, har förutsägelse av aktiemarknadsrörelser visat sig vara särskilt svårt igenom omfattande forskning. Målet med denna studie är att grundligt undersöka LSTM-arkitekturen för neurala nätverk och dess prestanda när den appliceras på aktieindexet S&P 500. Huvudfrågan kretsar kring att kvantifiera inverkan som varierande av antal tidssteg i LTSM-modellen har på prediktivprestanda när den appliceras på aktieindexet S&P 500. Data som använts i modellen är av hög pålitlighet, nedladdad frånBloomberg-terminalen, där stängningskurs har använts som feature i modellen. Andra beståndsdelar av modellen har baserats i tidigare forskning, där tillfredsställande resultat har uppnåtts. Resultaten indikerar att bland de testade tidsstegen så producerartio tidssteg bäst resultat. Dock verkar inte påverkan av antalet tidssteg vara särskilt signifikant för modellens övergripandeprestanda. Slutligen så presenterar sig implikationerna av resultaten för forskningsområdet som god grund för framtida forskning, där parametrar kan varieras och finjusteras i strävan efter optimal prestanda.

Place, publisher, year, edition, pages
2019. , p. 10
Series
TRITA-EECS-EX ; 2019:292
Keywords [en]
Stock market, efficient market hypothesis, machine learning, neural networks, LSTM, time series.
National Category
Computer and Information Sciences
Identifiers
URN: urn:nbn:se:kth:diva-262221OAI: oai:DiVA.org:kth-262221DiVA, id: diva2:1361305
Examiners
Available from: 2019-11-07 Created: 2019-10-15 Last updated: 2019-11-07Bibliographically approved

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