Daily Papers

Investment Analysis is a cornerstone of the Financial Services industry. The rapid integration of advanced machine learning techniques, particularly Large Language Models (LLMs), offers opportunities to enhance the equity rating process. This paper explores the application of LLMs to generate multi-horizon stock ratings by ingesting diverse datasets. Traditional stock rating methods rely heavily on the expertise of financial analysts, and face several challenges such as data overload, inconsistencies in filings, and delayed reactions to market events. Our study addresses these issues by leveraging LLMs to improve the accuracy and consistency of stock ratings. Additionally, we assess the efficacy of using different data modalities with LLMs for the financial domain. We utilize varied datasets comprising fundamental financial, market, and news data from January 2022 to June 2024, along with GPT-4-32k (v0613) (with a training cutoff in Sep. 2021 to prevent information leakage). Our results show that our benchmark method outperforms traditional stock rating methods when assessed by forward returns, specially when incorporating financial fundamentals. While integrating news data improves short-term performance, substituting detailed news summaries with sentiment scores reduces token use without loss of performance. In many cases, omitting news data entirely enhances performance by reducing bias. Our research shows that LLMs can be leveraged to effectively utilize large amounts of multimodal financial data, as showcased by their effectiveness at the stock rating prediction task. Our work provides a reproducible and efficient framework for generating accurate stock ratings, serving as a cost-effective alternative to traditional methods. Future work will extend to longer timeframes, incorporate diverse data, and utilize newer models for enhanced insights.

To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various classification machine learning models, trading data of the 505 equities on the US S&P500 over the past 20 years was analysed to develop a classifier effective for our cause. From any given day, we were able to predict the direction of change in price by 1% up to 10 days in the future. The predictions had an overall accuracy of 83.62% with a precision of 85% for buy signals and a recall of 100% for sell signals. Moreover, we grouped equities by their sector and repeated the experiment to see if grouping similar assets together positively effected the results but concluded that it showed no significant improvements in the performance rejecting the idea of sector-based analysis. Also, using feature ranking we could identify an even smaller set of 6 indicators while maintaining similar accuracies as that from the original 28 features and also uncovered the importance of buy, hold and sell analyst ratings as they came out to be the top contributors in the model. Finally, to evaluate the effectiveness of the classifier in real-life situations, it was backtested on FAANG equities using a modest trading strategy where it generated high returns of above 60% over the term of the testing dataset. In conclusion, our proposed methodology with the combination of purposefully picked features shows an improvement over the previous studies, and our model predicts the direction of 1% price changes on the 10th day with high confidence and with enough buffer to even build a robotic trading system.

Foundation Models (FMs) have improved time series forecasting in various sectors, such as finance, but their vulnerability to input disturbances can hinder their adoption by stakeholders, such as investors and analysts. To address this, we propose a causally grounded rating framework to study the robustness of Foundational Models for Time Series (FMTS) with respect to input perturbations. We evaluate our approach to the stock price prediction problem, a well-studied problem with easily accessible public data, evaluating six state-of-the-art (some multi-modal) FMTS across six prominent stocks spanning three industries. The ratings proposed by our framework effectively assess the robustness of FMTS and also offer actionable insights for model selection and deployment. Within the scope of our study, we find that (1) multi-modal FMTS exhibit better robustness and accuracy compared to their uni-modal versions and, (2) FMTS pre-trained on time series forecasting task exhibit better robustness and forecasting accuracy compared to general-purpose FMTS pre-trained across diverse settings. Further, to validate our framework's usability, we conduct a user study showcasing FMTS prediction errors along with our computed ratings. The study confirmed that our ratings reduced the difficulty for users in comparing the robustness of different systems.

Stock recommendation is vital to investment companies and investors. However, no single stock selection strategy will always win while analysts may not have enough time to check all S&P 500 stocks (the Standard & Poor's 500). In this paper, we propose a practical scheme that recommends stocks from S&P 500 using machine learning. Our basic idea is to buy and hold the top 20% stocks dynamically. First, we select representative stock indicators with good explanatory power. Secondly, we take five frequently used machine learning methods, including linear regression, ridge regression, stepwise regression, random forest and generalized boosted regression, to model stock indicators and quarterly log-return in a rolling window. Thirdly, we choose the model with the lowest Mean Square Error in each period to rank stocks. Finally, we test the selected stocks by conducting portfolio allocation methods such as equally weighted, mean-variance, and minimum-variance. Our empirical results show that the proposed scheme outperforms the long-only strategy on the S&P 500 index in terms of Sharpe ratio and cumulative returns. This work is fully open-sourced at https://github.com/AI4Finance-Foundation/Dynamic-Stock-Recommendation-Machine_Learning-Published-Paper-IEEE{GitHub}.

Prediction of stock prices plays a significant role in aiding the decision-making of investors. Considering its importance, a growing literature has emerged trying to forecast stock prices with improved accuracy. In this study, we introduce an innovative approach for forecasting stock prices with greater accuracy. We incorporate external economic environment-related information along with stock prices. In our novel approach, we improve the performance of stock price prediction by taking into account variations due to future expected macroeconomic policy changes as investors adjust their current behavior ahead of time based on expected future macroeconomic policy changes. Furthermore, we incorporate macroeconomic variables along with historical stock prices to make predictions. Results from this strongly support the inclusion of future economic policy changes along with current macroeconomic information. We confirm the supremacy of our method over the conventional approach using several tree-based machine-learning algorithms. Results are strongly conclusive across various machine learning models. Our preferred model outperforms the conventional approach with an RMSE value of 1.61 compared to an RMSE value of 1.75 from the conventional approach.

This paper presents a dynamic cryptocurrency portfolio optimization strategy that integrates technical indicators and sentiment analysis to enhance investment decision-making. The proposed method employs the 14-day Relative Strength Index (RSI) and 14-day Simple Moving Average (SMA) to capture market momentum, while sentiment scores are extracted from news articles using the VADER (Valence Aware Dictionary and sEntiment Reasoner) model, with compound scores quantifying overall market tone. The large language model Google Gemini is used to further verify the sentiment scores predicted by VADER and give investment decisions. These technical indicator and sentiment signals are incorporated into the expected return estimates before applying mean-variance optimization with constraints on asset weights. The strategy is evaluated through a rolling-window backtest over cryptocurrency market data, with Bitcoin (BTC) and an equal-weighted portfolio of selected cryptocurrencies serving as benchmarks. Experimental results show that the proposed approach achieves a cumulative return of 38.72, substantially exceeding Bitcoin's 8.85 and the equal-weighted portfolio's 21.65 over the same period, and delivers a higher Sharpe ratio (1.1093 vs. 0.8853 and 1.0194, respectively). However, the strategy exhibits a larger maximum drawdown (-18.52%) compared to Bitcoin (-4.48%) and the equal-weighted portfolio (-11.02%), indicating higher short-term downside risk. These results highlight the potential of combining sentiment and technical signals to improve cryptocurrency portfolio performance, while also emphasizing the need to address risk exposure in volatile markets.

In the realm of financial decision-making, predicting stock prices is pivotal. Artificial intelligence techniques such as long short-term memory networks (LSTMs), support-vector machines (SVMs), and natural language processing (NLP) models are commonly employed to predict said prices. This paper utilizes stock percentage change as training data, in contrast to the traditional use of raw currency values, with a focus on analyzing publicly released news articles. The choice of percentage change aims to provide models with context regarding the significance of price fluctuations and overall price change impact on a given stock. The study employs specialized BERT natural language processing models to predict stock price trends, with a particular emphasis on various data modalities. The results showcase the capabilities of such strategies with a small natural language processing model to accurately predict overall stock trends, and highlight the effectiveness of certain data features and sector-specific data.

Stock price prediction is a rich research topic that has attracted interest from various areas of science. The recent success of machine learning in speech and image recognition has prompted researchers to apply these methods to asset price prediction. The majority of literature has been devoted to predicting either the actual asset price or the direction of price movement. In this paper, we study a hitherto little explored question of predicting significant changes in stock price based on previous changes using machine learning algorithms. We are particularly interested in the performance of neural network classifiers in the given context. To this end, we construct and test three neural network models including multi-layer perceptron, convolutional net, and long short term memory net. As benchmark models we use random forest and relative strength index methods. The models are tested using 10-year daily stock price data of four major US public companies. Test results show that predicting significant changes in stock price can be accomplished with a high degree of accuracy. In particular, we obtain substantially better results than similar studies that forecast the direction of price change.

We examine the potential of ChatGPT and other large language models in predicting stock market returns using news headlines. We use ChatGPT to assess whether each headline is good, bad, or neutral for firms' stock prices. We document a significantly positive correlation between ChatGPT scores and subsequent daily stock returns. We find that ChatGPT outperforms traditional sentiment analysis methods. More basic models such as GPT-1, GPT-2, and BERT cannot accurately forecast returns, indicating return predictability is an emerging capacity of complex language models. Long-short strategies based on ChatGPT-4 deliver the highest Sharpe ratio. Furthermore, we find predictability in both small and large stocks, suggesting market underreaction to company news. Predictability is stronger among smaller stocks and stocks with bad news, consistent with limits-to-arbitrage also playing an important role. Finally, we propose a new method to evaluate and understand the models' reasoning capabilities. Overall, our results suggest that incorporating advanced language models into the investment decision-making process can yield more accurate predictions and enhance the performance of quantitative trading strategies.

Stock selection, which aims to predict stock prices and identify the most profitable ones, is a crucial task in finance. While existing methods primarily focus on developing model structures and building graphs for improved selection, pre-training strategies remain underexplored in this domain. Current stock series pre-training follows methods from other areas without adapting to the unique characteristics of financial data, particularly overlooking stock-specific contextual information and the non-stationary nature of stock prices. Consequently, the latent statistical features inherent in stock data are underutilized. In this paper, we propose three novel pre-training tasks tailored to stock data characteristics: stock code classification, stock sector classification, and moving average prediction. We develop the Stock Specialized Pre-trained Transformer (SSPT) based on a two-layer transformer architecture. Extensive experimental results validate the effectiveness of our pre-training methods and provide detailed guidance on their application. Evaluations on five stock datasets, including four markets and two time periods, demonstrate that SSPT consistently outperforms the market and existing methods in terms of both cumulative investment return ratio and Sharpe ratio. Additionally, our experiments on simulated data investigate the underlying mechanisms of our methods, providing insights into understanding price series. Our code is publicly available at: https://github.com/astudentuser/Pre-training-Time-Series-Models-with-Stock-Data-Customization.

This chapter presents a calendar rebalancing approach to portfolios of stocks in the Indian stock market. Ten important sectors of the Indian economy are first selected. For each of these sectors, the top ten stocks are identified based on their free-float market capitalization values. Using the ten stocks in each sector, a sector-specific portfolio is designed. In this study, the historical stock prices are used from January 4, 2021, to September 20, 2023 (NSE Website). The portfolios are designed based on the training data from January 4, 2021 to June 30, 2022. The performances of the portfolios are tested over the period from July 1, 2022, to September 20, 2023. The calendar rebalancing approach presented in the chapter is based on a yearly rebalancing method. However, the method presented is perfectly flexible and can be adapted for weekly or monthly rebalancing. The rebalanced portfolios for the ten sectors are analyzed in detail for their performances. The performance results are not only indicative of the relative performances of the sectors over the training (i.e., in-sample) data and test (out-of-sample) data, but they also reflect the overall effectiveness of the proposed portfolio rebalancing approach.

Designing robust systems for precise prediction of future prices of stocks has always been considered a very challenging research problem. Even more challenging is to build a system for constructing an optimum portfolio of stocks based on the forecasted future stock prices. We present a deep learning-based regression model built on a long-and-short-term memory network (LSTM) network that automatically scraps the web and extracts historical stock prices based on a stock's ticker name for a specified pair of start and end dates, and forecasts the future stock prices. We deploy the model on 75 significant stocks chosen from 15 critical sectors of the Indian stock market. For each of the stocks, the model is evaluated for its forecast accuracy. Moreover, the predicted values of the stock prices are used as the basis for investment decisions, and the returns on the investments are computed. Extensive results are presented on the performance of the model. The analysis of the results demonstrates the efficacy and effectiveness of the system and enables us to compare the profitability of the sectors from the point of view of the investors in the stock market.

Annual Reports of publicly listed companies contain vital information about their financial health which can help assess the potential impact on Stock price of the firm. These reports are comprehensive in nature, going up to, and sometimes exceeding, 100 pages. Analysing these reports is cumbersome even for a single firm, let alone the whole universe of firms that exist. Over the years, financial experts have become proficient in extracting valuable information from these documents relatively quickly. However, this requires years of practice and experience. This paper aims to simplify the process of assessing Annual Reports of all the firms by leveraging the capabilities of Large Language Models (LLMs). The insights generated by the LLM are compiled in a Quant styled dataset and augmented by historical stock price data. A Machine Learning model is then trained with LLM outputs as features. The walkforward test results show promising outperformance wrt S&P500 returns. This paper intends to provide a framework for future work in this direction. To facilitate this, the code has been released as open source.

The stock market is a network which provides a platform for almost all major economic transactions. While investing in the stock market is a good idea, investing in individual stocks may not be, especially for the casual investor. Smart stock-picking requires in-depth research and plenty of dedication. Predicting this stock value offers enormous arbitrage profit opportunities. This attractiveness of finding a solution has prompted researchers to find a way past problems like volatility, seasonality, and dependence on time. This paper surveys recent literature in the domain of natural language processing and machine learning techniques used to predict stock market movements. The main contributions of this paper include the sophisticated categorizations of many recent articles and the illustration of the recent trends of research in stock market prediction and its related areas.

For a long-time, researchers have been developing a reliable and accurate predictive model for stock price prediction. According to the literature, if predictive models are correctly designed and refined, they can painstakingly and faithfully estimate future stock values. This paper demonstrates a set of time series, econometric, and various learning-based models for stock price prediction. The data of Infosys, ICICI, and SUN PHARMA from the period of January 2004 to December 2019 was used here for training and testing the models to know which model performs best in which sector. One time series model (Holt-Winters Exponential Smoothing), one econometric model (ARIMA), two machine Learning models (Random Forest and MARS), and two deep learning-based models (simple RNN and LSTM) have been included in this paper. MARS has been proved to be the best performing machine learning model, while LSTM has proved to be the best performing deep learning model. But overall, for all three sectors - IT (on Infosys data), Banking (on ICICI data), and Health (on SUN PHARMA data), MARS has proved to be the best performing model in sales forecasting.

Designing an optimum portfolio for allocating suitable weights to its constituent assets so that the return and risk associated with the portfolio are optimized is a computationally hard problem. The seminal work of Markowitz that attempted to solve the problem by estimating the future returns of the stocks is found to perform sub-optimally on real-world stock market data. This is because the estimation task becomes extremely challenging due to the stochastic and volatile nature of stock prices. This work illustrates three approaches to portfolio design minimizing the risk, optimizing the risk, and assigning equal weights to the stocks of a portfolio. Thirteen critical sectors listed on the National Stock Exchange (NSE) of India are first chosen. Three portfolios are designed following the above approaches choosing the top ten stocks from each sector based on their free-float market capitalization. The portfolios are designed using the historical prices of the stocks from Jan 1, 2017, to Dec 31, 2022. The portfolios are evaluated on the stock price data from Jan 1, 2022, to Dec 31, 2022. The performances of the portfolios are compared, and the portfolio yielding the higher return for each sector is identified.

The stock market is extremely difficult to predict in the short term due to high market volatility, changes caused by news, and the non-linear nature of the financial time series. This research proposes a novel framework for improving minute-level prediction accuracy using semantic sentiment scores from top ten different large language models (LLMs) combined with minute interval intraday stock price data. We systematically constructed a time-aligned dataset of AAPL news articles and 1-minute Apple Inc. (AAPL) stock prices for the dates of April 4 to May 2, 2025. The sentiment analysis was achieved using the DeepSeek-V3, GPT variants, LLaMA, Claude, Gemini, Qwen, and Mistral models through their APIs. Each article obtained sentiment scores from all ten LLMs, which were scaled to a [0, 1] range and combined with prices and technical indicators like RSI, ROC, and Bollinger Band Width. Two state-of-the-art such as Reformer and Mamba were trained separately on the dataset using the sentiment scores produced by each LLM as input. Hyper parameters were optimized by means of Optuna and were evaluated through a 3-day evaluation period. Reformer had mean squared error (MSE) or the evaluation metrics, and it should be noted that Mamba performed not only faster but also better than Reformer for every LLM across the 10 LLMs tested. Mamba performed best with LLaMA 3.3--70B, with the lowest error of 0.137. While Reformer could capture broader trends within the data, the model appeared to over smooth sudden changes by the LLMs. This study highlights the potential of integrating LLM-based semantic analysis paired with efficient temporal modeling to enhance real-time financial forecasting.

The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more accuracy in stock price prediction. Portfolio construction refers to the allocation of different sector stocks optimally to achieve a maximum return by taking a minimum risk. A good portfolio can help investors earn maximum profit by taking a minimum risk. Beginning with Dow Jones Theory a lot of advancement has happened in the area of building efficient portfolios. In this project, we have tried to predict the future value of a few stocks from six important sectors of the Indian economy and also built a portfolio. As part of the project, our team has conducted a study of the performance of various Time series, machine learning, and deep learning models in stock price prediction on selected stocks from the chosen six important sectors of the economy. As part of building an efficient portfolio, we have studied multiple portfolio optimization theories beginning with the Modern Portfolio theory. We have built a minimum variance portfolio and optimal risk portfolio for all the six chosen sectors by using the daily stock prices over the past five years as training data and have also conducted back testing to check the performance of the portfolio. We look forward to continuing our study in the area of stock price prediction and asset allocation and consider this project as the first stepping stone.

Stock price prediction is a challenging task and a lot of propositions exist in the literature in this area. Portfolio construction is a process of choosing a group of stocks and investing in them optimally to maximize the return while minimizing the risk. Since the time when Markowitz proposed the Modern Portfolio Theory, several advancements have happened in the area of building efficient portfolios. An investor can get the best benefit out of the stock market if the investor invests in an efficient portfolio and could take the buy or sell decision in advance, by estimating the future asset value of the portfolio with a high level of precision. In this project, we have built an efficient portfolio and to predict the future asset value by means of individual stock price prediction of the stocks in the portfolio. As part of building an efficient portfolio we have studied multiple portfolio optimization methods beginning with the Modern Portfolio theory. We have built the minimum variance portfolio and optimal risk portfolio for all the five chosen sectors by using past daily stock prices over the past five years as the training data, and have also conducted back testing to check the performance of the portfolio. A comparative study of minimum variance portfolio and optimal risk portfolio with equal weight portfolio is done by backtesting.

We used a dataset of daily Bloomberg Financial Market Summaries from 2010 to 2023, reposted on large financial media, to determine how global news headlines may affect stock market movements using ChatGPT and a two-stage prompt approach. We document a statistically significant positive correlation between the sentiment score and future equity market returns over short to medium term, which reverts to a negative correlation over longer horizons. Validation of this correlation pattern across multiple equity markets indicates its robustness across equity regions and resilience to non-linearity, evidenced by comparison of Pearson and Spearman correlations. Finally, we provide an estimate of the optimal horizon that strikes a balance between reactivity to new information and correlation.

Prediction of future movement of stock prices has always been a challenging task for the researchers. While the advocates of the efficient market hypothesis (EMH) believe that it is impossible to design any predictive framework that can accurately predict the movement of stock prices, there are seminal work in the literature that have clearly demonstrated that the seemingly random movement patterns in the time series of a stock price can be predicted with a high level of accuracy. Design of such predictive models requires choice of appropriate variables, right transformation methods of the variables, and tuning of the parameters of the models. In this work, we present a very robust and accurate framework of stock price prediction that consists of an agglomeration of statistical, machine learning and deep learning models. We use the daily stock price data, collected at five minutes interval of time, of a very well known company that is listed in the National Stock Exchange (NSE) of India. The granular data is aggregated into three slots in a day, and the aggregated data is used for building and training the forecasting models. We contend that the agglomerative approach of model building that uses a combination of statistical, machine learning, and deep learning approaches, can very effectively learn from the volatile and random movement patterns in a stock price data. We build eight classification and eight regression models based on statistical and machine learning approaches. In addition to these models, a deep learning regression model using a long-and-short-term memory (LSTM) network is also built. Extensive results have been presented on the performance of these models, and the results are critically analyzed.

This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) architectures are used to forecast parameters of three probability distributions: Normal, Student's t, and skewed Student's t. Using custom negative log-likelihood loss functions, distribution parameters are optimized directly. The models are tested on six major equity indices (S\&P 500, BOVESPA, DAX, WIG, Nikkei 225, and KOSPI) using probabilistic evaluation metrics including Log Predictive Score (LPS), Continuous Ranked Probability Score (CRPS), and Probability Integral Transform (PIT). Results show that deep learning models provide accurate distributional forecasts and perform competitively with classical GARCH models for Value-at-Risk estimation. The LSTM with skewed Student's t distribution performs best across multiple evaluation criteria, capturing both heavy tails and asymmetry in financial returns. This work shows that deep neural networks are viable alternatives to traditional econometric models for financial risk assessment and portfolio management.

AI systems are notorious for their fragility; minor input changes can potentially cause major output swings. When such systems are deployed in critical areas like finance, the consequences of their uncertain behavior could be severe. In this paper, we focus on multi-modal time-series forecasting, where imprecision due to noisy or incorrect data can lead to erroneous predictions, impacting stakeholders such as analysts, investors, and traders. Recently, it has been shown that beyond numeric data, graphical transformations can be used with advanced visual models to achieve better performance. In this context, we introduce a rating methodology to assess the robustness of Multi-Modal Time-Series Forecasting Models (MM-TSFM) through causal analysis, which helps us understand and quantify the isolated impact of various attributes on the forecasting accuracy of MM-TSFM. We apply our novel rating method on a variety of numeric and multi-modal forecasting models in a large experimental setup (six input settings of control and perturbations, ten data distributions, time series from six leading stocks in three industries over a year of data, and five time-series forecasters) to draw insights on robust forecasting models and the context of their strengths. Within the scope of our study, our main result is that multi-modal (numeric + visual) forecasting, which was found to be more accurate than numeric forecasting in previous studies, can also be more robust in diverse settings. Our work will help different stakeholders of time-series forecasting understand the models` behaviors along trust (robustness) and accuracy dimensions to select an appropriate model for forecasting using our rating method, leading to improved decision-making.

MarketSenseAI is a novel framework for holistic stock analysis which leverages Large Language Models (LLMs) to process financial news, historical prices, company fundamentals and the macroeconomic environment to support decision making in stock analysis and selection. In this paper, we present the latest advancements on MarketSenseAI, driven by rapid technological expansion in LLMs. Through a novel architecture combining Retrieval-Augmented Generation and LLM agents, the framework processes SEC filings and earnings calls, while enriching macroeconomic analysis through systematic processing of diverse institutional reports. We demonstrate a significant improvement in fundamental analysis accuracy over the previous version. Empirical evaluation on S\&P 100 stocks over two years (2023-2024) shows MarketSenseAI achieving cumulative returns of 125.9% compared to the index return of 73.5%, while maintaining comparable risk profiles. Further validation on S\&P 500 stocks during 2024 demonstrates the framework's scalability, delivering a 33.8% higher Sortino ratio than the market. This work marks a significant advancement in applying LLM technology to financial analysis, offering insights into the robustness of LLM-driven investment strategies.

This paper presents a comparative analysis of the performances of three portfolio optimization approaches. Three approaches of portfolio optimization that are considered in this work are the mean-variance portfolio (MVP), hierarchical risk parity (HRP) portfolio, and reinforcement learning-based portfolio. The portfolios are trained and tested over several stock data and their performances are compared on their annual returns, annual risks, and Sharpe ratios. In the reinforcement learning-based portfolio design approach, the deep Q learning technique has been utilized. Due to the large number of possible states, the construction of the Q-table is done using a deep neural network. The historical prices of the 50 premier stocks from the Indian stock market, known as the NIFTY50 stocks, and several stocks from 10 important sectors of the Indian stock market are used to create the environment for training the agent.

High-frequency stock price prediction is challenging due to non-stationarity, noise, and volatility. To tackle these issues, we propose the Hybrid Attentive Ensemble Learning Transformer (HAELT), a deep learning framework combining a ResNet-based noise-mitigation module, temporal self-attention for dynamic focus on relevant history, and a hybrid LSTM-Transformer core that captures both local and long-range dependencies. These components are adaptively ensembled based on recent performance. Evaluated on hourly Apple Inc. (AAPL) data from Jan 2024 to May 2025, HAELT achieves the highest F1-Score on the test set, effectively identifying both upward and downward price movements. This demonstrates HAELT's potential for robust, practical financial forecasting and algorithmic trading.

Portfolio optimization is a challenging problem that has attracted considerable attention and effort from researchers. The optimization of stock portfolios is a particularly hard problem since the stock prices are volatile and estimation of their future volatilities and values, in most cases, is very difficult, if not impossible. This work uses three ratios, the Sharpe ratio, the Sortino ratio, and the Calmar ratio, for designing the mean-variance optimized portfolios for six important sectors listed in the National Stock Exchange (NSE) of India. Three portfolios are designed for each sector maximizing the ratios based on the historical prices of the ten most important stocks of each sector from Jan 1, 2017, to Dec 31, 2020. The evaluation of the portfolios is done based on their cumulative returns over the test period from Jan 1, 2021, to Dec 31, 2021. The ratio that yields the maximum cumulative returns for both the training and the test periods for the majority of the sectors is identified. The sectors that exhibit the maximum cumulative returns for the same ratio are also identified. The results provide useful insights for investors in the stock market in making their investment decisions based on the current return and risks associated with the six sectors and their stocks.

This chapter presents a comparative study of the three portfolio optimization methods, MVP, HRP, and HERC, on the Indian stock market, particularly focusing on the stocks chosen from 15 sectors listed on the National Stock Exchange of India. The top stocks of each cluster are identified based on their free-float market capitalization from the report of the NSE published on July 1, 2022 (NSE Website). For each sector, three portfolios are designed on stock prices from July 1, 2019, to June 30, 2022, following three portfolio optimization approaches. The portfolios are tested over the period from July 1, 2022, to June 30, 2023. For the evaluation of the performances of the portfolios, three metrics are used. These three metrics are cumulative returns, annual volatilities, and Sharpe ratios. For each sector, the portfolios that yield the highest cumulative return, the lowest volatility, and the maximum Sharpe Ratio over the training and the test periods are identified.

Stock market is often important as it represents the ownership claims on businesses. Without sufficient stocks, a company cannot perform well in finance. Predicting a stock market performance of a company is nearly hard because every time the prices of a company stock keeps changing and not constant. So, its complex to determine the stock data. But if the previous performance of a company in stock market is known, then we can track the data and provide predictions to stockholders in order to wisely take decisions on handling the stocks to a company. To handle this, many machine learning models have been invented but they didn't succeed due to many reasons like absence of advanced libraries, inaccuracy of model when made to train with real time data and much more. So, to track the patterns and the features of data, a CNN-LSTM Neural Network can be made. Recently, CNN is now used in Natural Language Processing (NLP) based applications, so by identifying the features from stock data and converting them into tensors, we can obtain the features and then send it to LSTM neural network to find the patterns and thereby predicting the stock market for given period of time. The accuracy of the CNN-LSTM NN model is found to be high even when allowed to train on real-time stock market data. This paper describes about the features of the custom CNN-LSTM model, experiments we made with the model (like training with stock market datasets, performance comparison with other models) and the end product we obtained at final stage.

Prediction of stock groups' values has always been attractive and challenging for shareholders. This paper concentrates on the future prediction of stock market groups. Four groups named diversified financials, petroleum, non-metallic minerals and basic metals from Tehran stock exchange are chosen for experimental evaluations. Data are collected for the groups based on ten years of historical records. The values predictions are created for 1, 2, 5, 10, 15, 20 and 30 days in advance. The machine learning algorithms utilized for prediction of future values of stock market groups. We employed Decision Tree, Bagging, Random Forest, Adaptive Boosting (Adaboost), Gradient Boosting and eXtreme Gradient Boosting (XGBoost), and Artificial neural network (ANN), Recurrent Neural Network (RNN) and Long short-term memory (LSTM). Ten technical indicators are selected as the inputs into each of the prediction models. Finally, the result of predictions is presented for each technique based on three metrics. Among all the algorithms used in this paper, LSTM shows more accurate results with the highest model fitting ability. Also, for tree-based models, there is often an intense competition between Adaboost, Gradient Boosting, and XGBoost.

Building predictive models for robust and accurate prediction of stock prices and stock price movement is a challenging research problem to solve. The well-known efficient market hypothesis believes in the impossibility of accurate prediction of future stock prices in an efficient stock market as the stock prices are assumed to be purely stochastic. However, numerous works proposed by researchers have demonstrated that it is possible to predict future stock prices with a high level of precision using sophisticated algorithms, model architectures, and the selection of appropriate variables in the models. This chapter proposes a collection of predictive regression models built on deep learning architecture for robust and precise prediction of the future prices of a stock listed in the diversified sectors in the National Stock Exchange (NSE) of India. The Metastock tool is used to download the historical stock prices over a period of two years (2013- 2014) at 5 minutes intervals. While the records for the first year are used to train the models, the testing is carried out using the remaining records. The design approaches of all the models and their performance results are presented in detail. The models are also compared based on their execution time and accuracy of prediction.

Accurate prediction of future prices of stocks is a difficult task to perform. Even more challenging is to design an optimized portfolio with weights allocated to the stocks in a way that optimizes its return and the risk. This paper presents a systematic approach towards building two types of portfolios, optimum risk, and eigen, for four critical economic sectors of India. The prices of the stocks are extracted from the web from Jan 1, 2016, to Dec 31, 2020. Sector-wise portfolios are built based on their ten most significant stocks. An LSTM model is also designed for predicting future stock prices. Six months after the construction of the portfolios, i.e., on Jul 1, 2021, the actual returns and the LSTM-predicted returns for the portfolios are computed. A comparison of the predicted and the actual returns indicate a high accuracy level of the LSTM model.

Stock Price Trend Prediction (SPTP) based on Limit Order Book (LOB) data is a fundamental challenge in financial markets. Despite advances in deep learning, existing models fail to generalize across different market conditions and struggle to reliably predict short-term trends. Surprisingly, by adapting a simple MLP-based architecture to LOB, we show that we surpass SoTA performance; thus, challenging the necessity of complex architectures. Unlike past work that shows robustness issues, we propose TLOB, a transformer-based model that uses a dual attention mechanism to capture spatial and temporal dependencies in LOB data. This allows it to adaptively focus on the market microstructure, making it particularly effective for longer-horizon predictions and volatile market conditions. We also introduce a new labeling method that improves on previous ones, removing the horizon bias. We evaluate TLOB's effectiveness using the established FI-2010 benchmark, which exceeds the state-of-the-art by an average of 3.7 F1-score(\%). Additionally, TLOB shows improvements on Tesla and Intel with a 1.3 and 7.7 increase in F1-score(\%), respectively. Additionally, we empirically show how stock price predictability has declined over time (-6.68 absolute points in F1-score(\%)), highlighting the growing market efficiencies. Predictability must be considered in relation to transaction costs, so we experimented with defining trends using an average spread, reflecting the primary transaction cost. The resulting performance deterioration underscores the complexity of translating trend classification into profitable trading strategies. We argue that our work provides new insights into the evolving landscape of stock price trend prediction and sets a strong foundation for future advancements in financial AI. We release the code at https://github.com/LeonardoBerti00/TLOB.

Portfolio optimization has been a broad and intense area of interest for quantitative and statistical finance researchers and financial analysts. It is a challenging task to design a portfolio of stocks to arrive at the optimized values of the return and risk. This paper presents an algorithmic approach for designing optimum risk and eigen portfolios for five thematic sectors of the NSE of India. The prices of the stocks are extracted from the web from Jan 1, 2016, to Dec 31, 2020. Optimum risk and eigen portfolios for each sector are designed based on ten critical stocks from the sector. An LSTM model is designed for predicting future stock prices. Seven months after the portfolios were formed, on Aug 3, 2021, the actual returns of the portfolios are compared with the LSTM-predicted returns. The predicted and the actual returns indicate a very high-level accuracy of the LSTM model.

Designing an optimum portfolio that allocates weights to its constituent stocks in a way that achieves the best trade-off between the return and the risk is a challenging research problem. The classical mean-variance theory of portfolio proposed by Markowitz is found to perform sub-optimally on the real-world stock market data since the error in estimation for the expected returns adversely affects the performance of the portfolio. This paper presents three approaches to portfolio design, viz, the minimum risk portfolio, the optimum risk portfolio, and the Eigen portfolio, for seven important sectors of the Indian stock market. The daily historical prices of the stocks are scraped from Yahoo Finance website from January 1, 2016, to December 31, 2020. Three portfolios are built for each of the seven sectors chosen for this study, and the portfolios are analyzed on the training data based on several metrics such as annualized return and risk, weights assigned to the constituent stocks, the correlation heatmaps, and the principal components of the Eigen portfolios. Finally, the optimum risk portfolios and the Eigen portfolios for all sectors are tested on their return over a period of a six-month period. The performances of the portfolios are compared and the portfolio yielding the higher return for each sector is identified.

This paper presents a multi-label topic model for financial texts like ad-hoc announcements, 8-K filings, finance related news or annual reports. I train the model on a new financial multi-label database consisting of 3,044 German ad-hoc announcements that are labeled manually using 20 predefined, economically motivated topics. The best model achieves a macro F1 score of more than 85%. Translating the data results in an English version of the model with similar performance. As application of the model, I investigate differences in stock market reactions across topics. I find evidence for strong positive or negative market reactions for some topics, like announcements of new Large Scale Projects or Bankruptcy Filings, while I do not observe significant price effects for some other topics. Furthermore, in contrast to previous studies, the multi-label structure of the model allows to analyze the effects of co-occurring topics on stock market reactions. For many cases, the reaction to a specific topic depends heavily on the co-occurrence with other topics. For example, if allocated capital from a Seasoned Equity Offering (SEO) is used for restructuring a company in the course of a Bankruptcy Proceeding, the market reacts positively on average. However, if that capital is used for covering unexpected, additional costs from the development of new drugs, the SEO implies negative reactions on average.

We develop a portfolio allocation framework that leverages deep learning techniques to address challenges arising from high-dimensional, non-stationary, and low-signal-to-noise market information. Our approach includes a dynamic embedding method that reduces the non-stationary, high-dimensional state space into a lower-dimensional representation. We design a reinforcement learning (RL) framework that integrates generative autoencoders and online meta-learning to dynamically embed market information, enabling the RL agent to focus on the most impactful parts of the state space for portfolio allocation decisions. Empirical analysis based on the top 500 U.S. stocks demonstrates that our framework outperforms common portfolio benchmarks and the predict-then-optimize (PTO) approach using machine learning, particularly during periods of market stress. Traditional factor models do not fully explain this superior performance. The framework's ability to time volatility reduces its market exposure during turbulent times. Ablation studies confirm the robustness of this performance across various reinforcement learning algorithms. Additionally, the embedding and meta-learning techniques effectively manage the complexities of high-dimensional, noisy, and non-stationary financial data, enhancing both portfolio performance and risk management.

Prediction of stock price and stock price movement patterns has always been a critical area of research. While the well-known efficient market hypothesis rules out any possibility of accurate prediction of stock prices, there are formal propositions in the literature demonstrating accurate modeling of the predictive systems that can enable us to predict stock prices with a very high level of accuracy. In this paper, we present a suite of deep learning-based regression models that yields a very high level of accuracy in stock price prediction. To build our predictive models, we use the historical stock price data of a well-known company listed in the National Stock Exchange (NSE) of India during the period December 31, 2012 to January 9, 2015. The stock prices are recorded at five minutes intervals of time during each working day in a week. Using these extremely granular stock price data, we build four convolutional neural network (CNN) and five long- and short-term memory (LSTM)-based deep learning models for accurate forecasting of the future stock prices. We provide detailed results on the forecasting accuracies of all our proposed models based on their execution time and their root mean square error (RMSE) values.

Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and derive profit from it. Improving the prediction accuracy remains the single most challenge in this area of research. We propose a hybrid approach for stock price movement prediction using machine learning, deep learning, and natural language processing. We select the NIFTY 50 index values of the National Stock Exchange of India, and collect its daily price movement over a period of three years (2015 to 2017). Based on the data of 2015 to 2017, we build various predictive models using machine learning, and then use those models to predict the closing value of NIFTY 50 for the period January 2018 till June 2019 with a prediction horizon of one week. For predicting the price movement patterns, we use a number of classification techniques, while for predicting the actual closing price of the stock, various regression models have been used. We also build a Long and Short-Term Memory - based deep learning network for predicting the closing price of the stocks and compare the prediction accuracies of the machine learning models with the LSTM model. We further augment the predictive model by integrating a sentiment analysis module on twitter data to correlate the public sentiment of stock prices with the market sentiment. This has been done using twitter sentiment and previous week closing values to predict stock price movement for the next week. We tested our proposed scheme using a cross validation method based on Self Organizing Fuzzy Neural Networks and found extremely interesting results.

This study develops FinText, a financial word embedding compiled from 15 years of business news archives. The results show that FinText produces substantially more accurate results than general word embeddings based on the gold-standard financial benchmark we introduced. In contrast to well-known econometric models, and over the sample period from 27 July 2007 to 27 January 2022 for 23 NASDAQ stocks, using stock-related news, our simple natural language processing model supported by different word embeddings improves realised volatility forecasts on high volatility days. This improvement in realised volatility forecasting performance switches to normal volatility days when general hot news is used. By utilising SHAP, an Explainable AI method, we also identify and classify key phrases in stock-related and general hot news that moved volatility.

This study develops and empirically validates a Mixture of Experts (MoE) framework for stock price prediction across heterogeneous volatility regimes using real market data. The proposed model combines a Recurrent Neural Network (RNN) optimized for high-volatility stocks with a linear regression model tailored to stable equities. A volatility-aware gating mechanism dynamically weights the contributions of each expert based on asset classification. Using a dataset of 30 publicly traded U.S. stocks spanning diverse sectors, the MoE approach consistently outperforms both standalone models. Specifically, it achieves up to 33% improvement in MSE for volatile assets and 28% for stable assets relative to their respective baselines. Stratified evaluation across volatility classes demonstrates the model's ability to adapt complexity to underlying market dynamics. These results confirm that no single model suffices across market regimes and highlight the advantage of adaptive architectures in financial prediction. Future work should explore real-time gate learning, dynamic volatility segmentation, and applications to portfolio optimization.

Large language models (LLMs) have recently demonstrated strong capabilities as autonomous agents, showing promise in reasoning, tool use, and sequential decision-making. While prior benchmarks have evaluated LLM agents in domains such as software engineering and scientific discovery, the finance domain remains underexplored, despite its direct relevance to economic value and high-stakes decision-making. Existing financial benchmarks primarily test static knowledge through question answering, but they fall short of capturing the dynamic and iterative nature of trading. To address this gap, we introduce StockBench, a contamination-free benchmark designed to evaluate LLM agents in realistic, multi-month stock trading environments. Agents receive daily market signals -- including prices, fundamentals, and news -- and must make sequential buy, sell, or hold decisions. Performance is assessed using financial metrics such as cumulative return, maximum drawdown, and the Sortino ratio. Our evaluation of state-of-the-art proprietary (e.g., GPT-5, Claude-4) and open-weight (e.g., Qwen3, Kimi-K2, GLM-4.5) models shows that while most LLM agents struggle to outperform the simple buy-and-hold baseline, several models demonstrate the potential to deliver higher returns and manage risk more effectively. These findings highlight both the challenges and opportunities in developing LLM-powered financial agents, showing that excelling at static financial knowledge tasks does not necessarily translate into successful trading strategies. We release StockBench as an open-source resource to support reproducibility and advance future research in this domain.

Prediction of future movement of stock prices has been a subject matter of many research work. In this work, we propose a hybrid approach for stock price prediction using machine learning and deep learning-based methods. We select the NIFTY 50 index values of the National Stock Exchange of India, over a period of four years, from January 2015 till December 2019. Based on the NIFTY data during the said period, we build various predictive models using machine learning approaches, and then use those models to predict the Close value of NIFTY 50 for the year 2019, with a forecast horizon of one week. For predicting the NIFTY index movement patterns, we use a number of classification methods, while for forecasting the actual Close values of NIFTY index, various regression models are built. We, then, augment our predictive power of the models by building a deep learning-based regression model using Convolutional Neural Network with a walk-forward validation. The CNN model is fine-tuned for its parameters so that the validation loss stabilizes with increasing number of iterations, and the training and validation accuracies converge. We exploit the power of CNN in forecasting the future NIFTY index values using three approaches which differ in number of variables used in forecasting, number of sub-models used in the overall models and, size of the input data for training the models. Extensive results are presented on various metrics for all classification and regression models. The results clearly indicate that CNN-based multivariate forecasting model is the most effective and accurate in predicting the movement of NIFTY index values with a weekly forecast horizon.

Accurate stock market predictions following earnings reports are crucial for investors. Traditional methods, particularly classical machine learning models, struggle with these predictions because they cannot effectively process and interpret extensive textual data contained in earnings reports and often overlook nuances that influence market movements. This paper introduces an advanced approach by employing Large Language Models (LLMs) instruction fine-tuned with a novel combination of instruction-based techniques and quantized low-rank adaptation (QLoRA) compression. Our methodology integrates 'base factors', such as financial metric growth and earnings transcripts, with 'external factors', including recent market indices performances and analyst grades, to create a rich, supervised dataset. This comprehensive dataset enables our models to achieve superior predictive performance in terms of accuracy, weighted F1, and Matthews correlation coefficient (MCC), especially evident in the comparison with benchmarks such as GPT-4. We specifically highlight the efficacy of the llama-3-8b-Instruct-4bit model, which showcases significant improvements over baseline models. The paper also discusses the potential of expanding the output capabilities to include a 'Hold' option and extending the prediction horizon, aiming to accommodate various investment styles and time frames. This study not only demonstrates the power of integrating cutting-edge AI with fine-tuned financial data but also paves the way for future research in enhancing AI-driven financial analysis tools.

With the increasing volume of high-frequency data in the information age, both challenges and opportunities arise in the prediction of stock volatility. On one hand, the outcome of prediction using tradition method combining stock technical and macroeconomic indicators still leaves room for improvement; on the other hand, macroeconomic indicators and peoples' search record on those search engines affecting their interested topics will intuitively have an impact on the stock volatility. For the convenience of assessment of the influence of these indicators, macroeconomic indicators and stock technical indicators are then grouped into objective factors, while Baidu search indices implying people's interested topics are defined as subjective factors. To align different frequency data, we introduce GARCH-MIDAS model. After mixing all the above data, we then feed them into Transformer model as part of the training data. Our experiments show that this model outperforms the baselines in terms of mean square error. The adaption of both types of data under Transformer model significantly reduces the mean square error from 1.00 to 0.86.

Stock prediction, a subject closely related to people's investment activities in fully dynamic and live environments, has been widely studied. Current large language models (LLMs) have shown remarkable potential in various domains, exhibiting expert-level performance through advanced reasoning and contextual understanding. In this paper, we introduce PriceSeer, a live, dynamic, and data-uncontaminated benchmark specifically designed for LLMs performing stock prediction tasks. Specifically, PriceSeer includes 110 U.S. stocks from 11 industrial sectors, with each containing 249 historical data points. Our benchmark implements both internal and external information expansion, where LLMs receive extra financial indicators, news, and fake news to perform stock price prediction. We evaluate six cutting-edge LLMs under different prediction horizons, demonstrating their potential in generating investment strategies after obtaining accurate price predictions for different sectors. Additionally, we provide analyses of LLMs' suboptimal performance in long-term predictions, including the vulnerability to fake news and specific industries. The code and evaluation data will be open-sourced at https://github.com/BobLiang2113/PriceSeer.

We propose a reinforcement learning (RL) framework that leverages multimodal data including historical stock prices, sentiment analysis, and topic embeddings from news articles, to optimize trading strategies for SP100 stocks. Building upon recent advancements in financial reinforcement learning, we aim to enhance the state space representation by integrating financial sentiment data from SEC filings and news headlines and refining the reward function to better align with portfolio performance metrics. Our methodology includes deep reinforcement learning with state tensors comprising price data, sentiment scores, and news embeddings, processed through advanced feature extraction models like CNNs and RNNs. By benchmarking against traditional portfolio optimization techniques and advanced strategies, we demonstrate the efficacy of our approach in delivering superior portfolio performance. Empirical results showcase the potential of our agent to outperform standard benchmarks, especially when utilizing combined data sources under profit-based reward functions.

Stock prediction is a topic undergoing intense study for many years. Finance experts and mathematicians have been working on a way to predict the future stock price so as to decide to buy the stock or sell it to make profit. Stock experts or economists, usually analyze on the previous stock values using technical indicators, sentiment analysis etc to predict the future stock price. In recent years, many researches have extensively used machine learning for predicting the stock behaviour. In this paper we propose data driven deep learning approach to predict the future stock value with the previous price with the feature extraction property of convolutional neural network and to use Neural Arithmetic Logic Units with it.

Financial market predictions utilize historical data to anticipate future stock prices and market trends. Traditionally, these predictions have focused on the statistical analysis of quantitative factors, such as stock prices, trading volumes, inflation rates, and changes in industrial production. Recent advancements in large language models motivate the integrated financial analysis of both sentiment data, particularly market news, and numerical factors. Nonetheless, this methodology frequently encounters constraints due to the paucity of extensive datasets that amalgamate both quantitative and qualitative sentiment analyses. To address this challenge, we introduce a large-scale financial dataset, namely, Financial News and Stock Price Integration Dataset (FNSPID). It comprises 29.7 million stock prices and 15.7 million time-aligned financial news records for 4,775 S&P500 companies, covering the period from 1999 to 2023, sourced from 4 stock market news websites. We demonstrate that FNSPID excels existing stock market datasets in scale and diversity while uniquely incorporating sentiment information. Through financial analysis experiments on FNSPID, we propose: (1) the dataset's size and quality significantly boost market prediction accuracy; (2) adding sentiment scores modestly enhances performance on the transformer-based model; (3) a reproducible procedure that can update the dataset. Completed work, code, documentation, and examples are available at github.com/Zdong104/FNSPID. FNSPID offers unprecedented opportunities for the financial research community to advance predictive modeling and analysis.

Understanding customer sentiments is of paramount importance in marketing strategies today. Not only will it give companies an insight as to how customers perceive their products and/or services, but it will also give them an idea on how to improve their offers. This paper attempts to understand the correlation of different variables in customer reviews on a women clothing e-commerce, and to classify each review whether it recommends the reviewed product or not and whether it consists of positive, negative, or neutral sentiment. To achieve these goals, we employed univariate and multivariate analyses on dataset features except for review titles and review texts, and we implemented a bidirectional recurrent neural network (RNN) with long-short term memory unit (LSTM) for recommendation and sentiment classification. Results have shown that a recommendation is a strong indicator of a positive sentiment score, and vice-versa. On the other hand, ratings in product reviews are fuzzy indicators of sentiment scores. We also found out that the bidirectional LSTM was able to reach an F1-score of 0.88 for recommendation classification, and 0.93 for sentiment classification.

Recently, large language models (LLMs) have demonstrated outstanding reasoning capabilities on mathematical and coding tasks. However, their application to financial tasks-especially the most fundamental task of stock movement prediction-remains underexplored. We study a three-class classification problem (up, hold, down) and, by analyzing existing reasoning responses, observe that: (1) LLMs follow analysts' opinions rather than exhibit a systematic, independent analytical logic (CoTs). (2) LLMs list summaries from different sources without weighing adversarial evidence, yet such counterevidence is crucial for reliable prediction. It shows that the model does not make good use of its reasoning ability to complete the task. To address this, we propose Reflective Evidence Tuning (RETuning), a cold-start method prior to reinforcement learning, to enhance prediction ability. While generating CoT, RETuning encourages dynamically constructing an analytical framework from diverse information sources, organizing and scoring evidence for price up or down based on that framework-rather than on contextual viewpoints-and finally reflecting to derive the prediction. This approach maximally aligns the model with its learned analytical framework, ensuring independent logical reasoning and reducing undue influence from context. We also build a large-scale dataset spanning all of 2024 for 5,123 A-share stocks, with long contexts (32K tokens) and over 200K samples. In addition to price and news, it incorporates analysts' opinions, quantitative reports, fundamental data, macroeconomic indicators, and similar stocks. Experiments show that RETuning successfully unlocks the model's reasoning ability in the financial domain. Inference-time scaling still works even after 6 months or on out-of-distribution stocks, since the models gain valuable insights about stock movement prediction.

Designing robust frameworks for precise prediction of future prices of stocks has always been considered a very challenging research problem. The advocates of the classical efficient market hypothesis affirm that it is impossible to accurately predict the future prices in an efficiently operating market due to the stochastic nature of the stock price variables. However, numerous propositions exist in the literature with varying degrees of sophistication and complexity that illustrate how algorithms and models can be designed for making efficient, accurate, and robust predictions of stock prices. We present a gamut of ten deep learning models of regression for precise and robust prediction of the future prices of the stock of a critical company in the auto sector of India. Using a very granular stock price collected at 5 minutes intervals, we train the models based on the records from 31st Dec, 2012 to 27th Dec, 2013. The testing of the models is done using records from 30th Dec, 2013 to 9th Jan 2015. We explain the design principles of the models and analyze the results of their performance based on accuracy in forecasting and speed of execution.

Financial markets have a vital role in the development of modern society. They allow the deployment of economic resources. Changes in stock prices reflect changes in the market. In this study, we focus on predicting stock prices by deep learning model. This is a challenge task, because there is much noise and uncertainty in information that is related to stock prices. So this work uses sparse autoencoders with one-dimension (1-D) residual convolutional networks which is a deep learning model, to de-noise the data. Long-short term memory (LSTM) is then used to predict the stock price. The prices, indices and macroeconomic variables in past are the features used to predict the next day's price. Experiment results show that 1-D residual convolutional networks can de-noise data and extract deep features better than a model that combines wavelet transforms (WT) and stacked autoencoders (SAEs). In addition, we compare the performances of model with two different forecast targets of stock price: absolute stock price and price rate of change. The results show that predicting stock price through price rate of change is better than predicting absolute prices directly.

In this research paper, we investigate into a paper named "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" [arXiv:1706.10059]. It is a portfolio management problem which is solved by deep learning techniques. The original paper proposes a financial-model-free reinforcement learning framework, which consists of the Ensemble of Identical Independent Evaluators (EIIE) topology, a Portfolio-Vector Memory (PVM), an Online Stochastic Batch Learning (OSBL) scheme, and a fully exploiting and explicit reward function. Three different instants are used to realize this framework, namely a Convolutional Neural Network (CNN), a basic Recurrent Neural Network (RNN), and a Long Short-Term Memory (LSTM). The performance is then examined by comparing to a number of recently reviewed or published portfolio-selection strategies. We have successfully replicated their implementations and evaluations. Besides, we further apply this framework in the stock market, instead of the cryptocurrency market that the original paper uses. The experiment in the cryptocurrency market is consistent with the original paper, which achieve superior returns. But it doesn't perform as well when applied in the stock market.

Stock prices forecasting has always been a challenging task. Although many research projects adopt machine learning and deep learning algorithms to address the problem, few of them pay attention to the varying degrees of dependencies between stock prices. In this paper we introduce a hybrid model that improves stock price prediction by emphasizing the dependencies between adjacent stock prices. The proposed model, ResNLS, is mainly composed of two neural architectures, ResNet and LSTM. ResNet serves as a feature extractor to identify dependencies between stock prices across time windows, while LSTM analyses the initial time-series data with the combination of dependencies which considered as residuals. In predicting the SSE Composite Index, our experiment reveals that when the closing price data for the previous 5 consecutive trading days is used as the input, the performance of the model (ResNLS-5) is optimal compared to those with other inputs. Furthermore, ResNLS-5 outperforms vanilla CNN, RNN, LSTM, and BiLSTM models in terms of prediction accuracy. It also demonstrates at least a 20% improvement over the current state-of-the-art baselines. To verify whether ResNLS-5 can help clients effectively avoid risks and earn profits in the stock market, we construct a quantitative trading framework for back testing. The experimental results show that the trading strategy based on predictions from ResNLS-5 can successfully mitigate losses during declining stock prices and generate profits in the periods of rising stock prices.

Current rating systems update ratings incrementally and may not always accurately reflect a player's true strength at all times, especially for rapidly improving players or very rusty players. To overcome this, we explore a method to estimate player ratings directly from game moves and clock times. We compiled a benchmark dataset from Lichess, encompassing various time controls and including move sequences and clock times. Our model architecture comprises a CNN to learn positional features, which are then integrated with clock-time data into a bidirectional LSTM, predicting player ratings after each move. The model achieved an MAE of 182 rating points in the test data. Additionally, we applied our model to the 2024 IEEE Big Data Cup Chess Puzzle Difficulty Competition dataset, predicted puzzle ratings and achieved competitive results. This model is the first to use no hand-crafted features to estimate chess ratings and also the first to output a rating prediction for each move. Our method highlights the potential of using move-based rating estimation for enhancing rating systems and potentially other applications such as cheating detection.

In this paper, we introduce an event-driven trading strategy that predicts stock movements by detecting corporate events from news articles. Unlike existing models that utilize textual features (e.g., bag-of-words) and sentiments to directly make stock predictions, we consider corporate events as the driving force behind stock movements and aim to profit from the temporary stock mispricing that may occur when corporate events take place. The core of the proposed strategy is a bi-level event detection model. The low-level event detector identifies events' existences from each token, while the high-level event detector incorporates the entire article's representation and the low-level detected results to discover events at the article-level. We also develop an elaborately-annotated dataset EDT for corporate event detection and news-based stock prediction benchmark. EDT includes 9721 news articles with token-level event labels as well as 303893 news articles with minute-level timestamps and comprehensive stock price labels. Experiments on EDT indicate that the proposed strategy outperforms all the baselines in winning rate, excess returns over the market, and the average return on each transaction.

This study proposes a behaviorally-informed multi-factor stock selection framework that integrates short-cycle technical alpha signals with deep learning. We design a dual-task multilayer perceptron (MLP) that jointly predicts five-day future returns and directional price movements, thereby capturing nonlinear market behaviors such as volume-price divergence, momentum-driven herding, and bottom reversals. The model is trained on 40 carefully constructed factors derived from price-volume patterns and behavioral finance insights. Empirical evaluation demonstrates that the dual-task MLP achieves superior and stable performance across both predictive accuracy and economic relevance, as measured by information coefficient (IC), information ratio (IR), and portfolio backtesting results. Comparative experiments further show that deep learning methods outperform linear baselines by effectively capturing structural interactions between factors. This work highlights the potential of structure-aware deep learning in enhancing multi-factor modeling and provides a practical framework for short-horizon quantitative investment strategies.

To the naked eye, stock prices are considered chaotic, dynamic, and unpredictable. Indeed, it is one of the most difficult forecasting tasks that hundreds of millions of retail traders and professional traders around the world try to do every second even before the market opens. With recent advances in the development of machine learning and the amount of data the market generated over years, applying machine learning techniques such as deep learning neural networks is unavoidable. In this work, we modeled the task as a multivariate forecasting problem, instead of a naive autoregression problem. The multivariate analysis is done using the attention mechanism via applying a mutated version of the Transformer, "Stockformer", which we created.

Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonparametric evidence for the existence of a universal and stationary price formation mechanism relating the dynamics of supply and demand for a stock, as revealed through the order book, to subsequent variations in its market price. We assess the model by testing its out-of-sample predictions for the direction of price moves given the history of price and order flow, across a wide range of stocks and time periods. The universal price formation model is shown to exhibit a remarkably stable out-of-sample prediction accuracy across time, for a wide range of stocks from different sectors. Interestingly, these results also hold for stocks which are not part of the training sample, showing that the relations captured by the model are universal and not asset-specific. The universal model --- trained on data from all stocks --- outperforms, in terms of out-of-sample prediction accuracy, asset-specific linear and nonlinear models trained on time series of any given stock, showing that the universal nature of price formation weighs in favour of pooling together financial data from various stocks, rather than designing asset- or sector-specific models as commonly done. Standard data normalizations based on volatility, price level or average spread, or partitioning the training data into sectors or categories such as large/small tick stocks, do not improve training results. On the other hand, inclusion of price and order flow history over many past observations is shown to improve forecasting performance, showing evidence of path-dependence in price dynamics.

This paper investigates the application of Deep Reinforcement Learning (DRL) for Environment, Social, and Governance (ESG) financial portfolio management, with a specific focus on the potential benefits of ESG score-based market regulation. We leveraged an Advantage Actor-Critic (A2C) agent and conducted our experiments using environments encoded within the OpenAI Gym, adapted from the FinRL platform. The study includes a comparative analysis of DRL agent performance under standard Dow Jones Industrial Average (DJIA) market conditions and a scenario where returns are regulated in line with company ESG scores. In the ESG-regulated market, grants were proportionally allotted to portfolios based on their returns and ESG scores, while taxes were assigned to portfolios below the mean ESG score of the index. The results intriguingly reveal that the DRL agent within the ESG-regulated market outperforms the standard DJIA market setup. Furthermore, we considered the inclusion of ESG variables in the agent state space, and compared this with scenarios where such data were excluded. This comparison adds to the understanding of the role of ESG factors in portfolio management decision-making. We also analyze the behaviour of the DRL agent in IBEX 35 and NASDAQ-100 indexes. Both the A2C and Proximal Policy Optimization (PPO) algorithms were applied to these additional markets, providing a broader perspective on the generalization of our findings. This work contributes to the evolving field of ESG investing, suggesting that market regulation based on ESG scoring can potentially improve DRL-based portfolio management, with significant implications for sustainable investing strategies.

Accurate prediction of future prices of stocks is a difficult task to perform. Even more challenging is to design an optimized portfolio of stocks with the identification of proper weights of allocation to achieve the optimized values of return and risk. We present optimized portfolios based on the seven sectors of the Indian economy. The past prices of the stocks are extracted from the web from January 1, 2016, to December 31, 2020. Optimum portfolios are designed on the selected seven sectors. An LSTM regression model is also designed for predicting future stock prices. Five months after the construction of the portfolios, i.e., on June 1, 2021, the actual and predicted returns and risks of each portfolio are computed. The predicted and the actual returns indicate the very high accuracy of the LSTM model.

Volatility clustering is a crucial property that has a substantial impact on stock market patterns. Nonetheless, developing robust models for accurately predicting future stock price volatility is a difficult research topic. For predicting the volatility of three equities listed on India's national stock market (NSE), we propose multiple volatility models depending on the generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-GARCH (GJR-GARCH), Exponential general autoregressive conditional heteroskedastic (EGARCH), and LSTM framework. Sector-wise stocks have been chosen in our study. The sectors which have been considered are banking, information technology (IT), and pharma. yahoo finance has been used to obtain stock price data from Jan 2017 to Dec 2021. Among the pulled-out records, the data from Jan 2017 to Dec 2020 have been taken for training, and data from 2021 have been chosen for testing our models. The performance of predicting the volatility of stocks of three sectors has been evaluated by implementing three different types of GARCH models as well as by the LSTM model are compared. It has been observed the LSTM performed better in predicting volatility in pharma over banking and IT sectors. In tandem, it was also observed that E-GARCH performed better in the case of the banking sector and for IT and pharma, GJR-GARCH performed better.

We investigated the use of Empirical Mode Decomposition (EMD) combined with Gaussian Mixture Models (GMM), feature engineering and machine learning algorithms to optimize trading decisions. We used five, two, and one year samples of hourly candle data for GameStop, Tesla, and XRP (Ripple) markets respectively. Applying a 15 hour rolling window for each market, we collected several features based on a linear model and other classical features to predict the next hour's movement. Subsequently, a GMM filtering approach was used to identify clusters among these markets. For each cluster, we applied the EMD algorithm to extract high, medium, low and trend components from each feature collected. A simple thresholding algorithm was applied to classify market movements based on the percentage change in each market's close price. We then evaluated the performance of various machine learning models, including Random Forests (RF) and XGBoost, in classifying market movements. A naive random selection of trading decisions was used as a benchmark, which assumed equal probabilities for each outcome, and a temporal cross-validation approach was used to test models on 40%, 30%, and 20% of the dataset. Our results indicate that transforming selected features using EMD improves performance, particularly for ensemble learning algorithms like Random Forest and XGBoost, as measured by accumulated profit. Finally, GMM filtering expanded the range of learning algorithm and data source combinations that outperformed the top percentile of the random baseline.

With the volatile and complex nature of financial data influenced by external factors, forecasting the stock market is challenging. Traditional models such as ARIMA and GARCH perform well with linear data but struggle with non-linear dependencies. Machine learning and deep learning models, particularly Long Short-Term Memory (LSTM) networks, address these challenges by capturing intricate patterns and long-term dependencies. This report compares ARIMA and LSTM models in predicting the S&P 500 index, a major financial benchmark. Using historical price data and technical indicators, we evaluated these models using Mean Absolute Error (MAE) and Root Mean Squared Error (RMSE). The ARIMA model showed reasonable performance with an MAE of 462.1, RMSE of 614, and 89.8 percent accuracy, effectively capturing short-term trends but limited by its linear assumptions. The LSTM model, leveraging sequential processing capabilities, outperformed ARIMA with an MAE of 369.32, RMSE of 412.84, and 92.46 percent accuracy, capturing both short- and long-term dependencies. Notably, the LSTM model without additional features performed best, achieving an MAE of 175.9, RMSE of 207.34, and 96.41 percent accuracy, showcasing its ability to handle market data efficiently. Accurately predicting stock movements is crucial for investment strategies, risk assessments, and market stability. Our findings confirm the potential of deep learning models in handling volatile financial data compared to traditional ones. The results highlight the effectiveness of LSTM and suggest avenues for further improvements. This study provides insights into financial forecasting, offering a comparative analysis of ARIMA and LSTM while outlining their strengths and limitations.

Prediction of stock prices has been an important area of research for a long time. While supporters of the efficient market hypothesis believe that it is impossible to predict stock prices accurately, there are formal propositions demonstrating that accurate modeling and designing of appropriate variables may lead to models using which stock prices and stock price movement patterns can be very accurately predicted. In this work, we propose an approach of hybrid modeling for stock price prediction building different machine learning and deep learning-based models. For the purpose of our study, we have used NIFTY 50 index values of the National Stock Exchange (NSE) of India, during the period December 29, 2014 till July 31, 2020. We have built eight regression models using the training data that consisted of NIFTY 50 index records during December 29, 2014 till December 28, 2018. Using these regression models, we predicted the open values of NIFTY 50 for the period December 31, 2018 till July 31, 2020. We, then, augment the predictive power of our forecasting framework by building four deep learning-based regression models using long-and short-term memory (LSTM) networks with a novel approach of walk-forward validation. We exploit the power of LSTM regression models in forecasting the future NIFTY 50 open values using four different models that differ in their architecture and in the structure of their input data. Extensive results are presented on various metrics for the all the regression models. The results clearly indicate that the LSTM-based univariate model that uses one-week prior data as input for predicting the next week open value of the NIFTY 50 time series is the most accurate model.

Stock price prediction remains a complex and high-stakes task in financial analysis, traditionally addressed using statistical models or, more recently, language models. In this work, we introduce VISTA (Vision-Language Inference for Stock Time-series Analysis), a novel, training-free framework that leverages Vision-Language Models (VLMs) for multi-modal stock forecasting. VISTA prompts a VLM with both textual representations of historical stock prices and their corresponding line charts to predict future price values. By combining numerical and visual modalities in a zero-shot setting and using carefully designed chain-of-thought prompts, VISTA captures complementary patterns that unimodal approaches often miss. We benchmark VISTA against standard baselines, including ARIMA and text-only LLM-based prompting methods. Experimental results show that VISTA outperforms these baselines by up to 89.83%, demonstrating the effectiveness of multi-modal inference for stock time-series analysis and highlighting the potential of VLMs in financial forecasting tasks without requiring task-specific training.

Predicting future stock prices and their movement patterns is a complex problem. Hence, building a portfolio of capital assets using the predicted prices to achieve the optimization between its return and risk is an even more difficult task. This work has carried out an analysis of the time series of the historical prices of the top five stocks from the nine different sectors of the Indian stock market from January 1, 2016, to December 31, 2020. Optimum portfolios are built for each of these sectors. For predicting future stock prices, a long-and-short-term memory (LSTM) model is also designed and fine-tuned. After five months of the portfolio construction, the actual and the predicted returns and risks of each portfolio are computed. The predicted and the actual returns of each portfolio are found to be high, indicating the high precision of the LSTM model.

Review websites, such as TripAdvisor and Yelp, allow users to post online reviews for various businesses, products and services, and have been recently shown to have a significant influence on consumer shopping behaviour. An online review typically consists of free-form text and a star rating out of 5. The problem of predicting a user's star rating for a product, given the user's text review for that product, is called Review Rating Prediction and has lately become a popular, albeit hard, problem in machine learning. In this paper, we treat Review Rating Prediction as a multi-class classification problem, and build sixteen different prediction models by combining four feature extraction methods, (i) unigrams, (ii) bigrams, (iii) trigrams and (iv) Latent Semantic Indexing, with four machine learning algorithms, (i) logistic regression, (ii) Naive Bayes classification, (iii) perceptrons, and (iv) linear Support Vector Classification. We analyse the performance of each of these sixteen models to come up with the best model for predicting the ratings from reviews. We use the dataset provided by Yelp for training and testing the models.

As the Chinese stock market continues to evolve and its market structure grows increasingly complex, traditional quantitative trading methods are facing escalating challenges. Particularly, due to policy uncertainty and the frequent market fluctuations triggered by sudden economic events, existing models often struggle to accurately predict market dynamics. To address these challenges, this paper introduces Stockformer, a price-volume factor stock selection model that integrates wavelet transformation and a multitask self-attention network, aimed at enhancing responsiveness and predictive accuracy regarding market instabilities. Through discrete wavelet transform, Stockformer decomposes stock returns into high and low frequencies, meticulously capturing long-term market trends and short-term fluctuations, including abrupt events. Moreover, the model incorporates a Dual-Frequency Spatiotemporal Encoder and graph embedding techniques to effectively capture complex temporal and spatial relationships among stocks. Employing a multitask learning strategy, it simultaneously predicts stock returns and directional trends. Experimental results show that Stockformer outperforms existing advanced methods on multiple real stock market datasets. In strategy backtesting, Stockformer consistently demonstrates exceptional stability and reliability across market conditions-whether rising, falling, or fluctuating-particularly maintaining high performance during downturns or volatile periods, indicating a high adaptability to market fluctuations. To foster innovation and collaboration in the financial analysis sector, the Stockformer model's code has been open-sourced and is available on the GitHub repository: https://github.com/Eric991005/Multitask-Stockformer.

We develop a tool that extracts emotions from social media text data. Our methodology has three main advantages. First, it is tailored for financial context; second, it incorporates key aspects of social media data, such as non-standard phrases, emojis and emoticons; and third, it operates by sequentially learning a latent representation that includes features such as word order, word usage, and local context. This tool, along with a user guide is available at: https://github.com/dvamossy/EmTract. Using EmTract, we explore the relationship between investor emotions expressed on social media and asset prices. We document a number of interesting insights. First, we confirm some of the findings of controlled laboratory experiments relating investor emotions to asset price movements. Second, we show that investor emotions are predictive of daily price movements. These impacts are larger when volatility or short interest are higher, and when institutional ownership or liquidity are lower. Third, increased investor enthusiasm prior to the IPO contributes to the large first-day return and long-run underperformance of IPO stocks. To corroborate our results, we provide a number of robustness checks, including using an alternative emotion model. Our findings reinforce the intuition that emotions and market dynamics are closely related, and highlight the importance of considering investor emotions when assessing a stock's short-term value.

With consistent growth in Indian Economy, Initial Public Offerings (IPOs) have become a popular avenue for investment. With the modern technology simplifying investments, more investors are interested in making data driven decisions while subscribing for IPOs. In this paper, we describe a machine learning and natural language processing based approach for estimating if an IPO will be successful. We have extensively studied the impact of various facts mentioned in IPO filing prospectus, macroeconomic factors, market conditions, Grey Market Price, etc. on the success of an IPO. We created two new datasets relating to the IPOs of Indian companies. Finally, we investigated how information from multiple modalities (texts, images, numbers, and categorical features) can be used for estimating the direction and underpricing with respect to opening, high and closing prices of stocks on the IPO listing day.

The stock market is a fundamental component of financial systems, reflecting economic health, providing investment opportunities, and influencing global dynamics. Accurate stock market predictions can lead to significant gains and promote better investment decisions. However, predicting stock market trends is challenging due to their non-linear and stochastic nature. This study investigates the efficacy of advanced deep learning models for short-term trend forecasting using daily and hourly closing prices from the S&P 500 index and the Brazilian ETF EWZ. The models explored include Temporal Convolutional Networks (TCN), Neural Basis Expansion Analysis for Time Series Forecasting (N-BEATS), Temporal Fusion Transformers (TFT), Neural Hierarchical Interpolation for Time Series Forecasting (N-HiTS), and Time-series Dense Encoder (TiDE). Furthermore, we introduce the Extended Long Short-Term Memory for Time Series (xLSTM-TS) model, an xLSTM adaptation optimised for time series prediction. Wavelet denoising techniques were applied to smooth the signal and reduce minor fluctuations, providing cleaner data as input for all approaches. Denoising significantly improved performance in predicting stock price direction. Among the models tested, xLSTM-TS consistently outperformed others. For example, it achieved a test accuracy of 72.82% and an F1 score of 73.16% on the EWZ daily dataset. By leveraging advanced deep learning models and effective data preprocessing techniques, this research provides valuable insights into the application of machine learning for market movement forecasting, highlighting both the potential and the challenges involved.

Designing robust and accurate predictive models for stock price prediction has been an active area of research for a long time. While on one side, the supporters of the efficient market hypothesis claim that it is impossible to forecast stock prices accurately, many researchers believe otherwise. There exist propositions in the literature that have demonstrated that if properly designed and optimized, predictive models can very accurately and reliably predict future values of stock prices. This paper presents a suite of deep learning based models for stock price prediction. We use the historical records of the NIFTY 50 index listed in the National Stock Exchange of India, during the period from December 29, 2008 to July 31, 2020, for training and testing the models. Our proposition includes two regression models built on convolutional neural networks and three long and short term memory network based predictive models. To forecast the open values of the NIFTY 50 index records, we adopted a multi step prediction technique with walk forward validation. In this approach, the open values of the NIFTY 50 index are predicted on a time horizon of one week, and once a week is over, the actual index values are included in the training set before the model is trained again, and the forecasts for the next week are made. We present detailed results on the forecasting accuracies for all our proposed models. The results show that while all the models are very accurate in forecasting the NIFTY 50 open values, the univariate encoder decoder convolutional LSTM with the previous two weeks data as the input is the most accurate model. On the other hand, a univariate CNN model with previous one week data as the input is found to be the fastest model in terms of its execution speed.

Excellent tail performance is crucial for modern machine learning tasks, such as algorithmic fairness, class imbalance, and risk-sensitive decision making, as it ensures the effective handling of challenging samples within a dataset. Tail performance is also a vital determinant of success for personalized recommender systems to reduce the risk of losing users with low satisfaction. This study introduces a "safe" collaborative filtering method that prioritizes recommendation quality for less-satisfied users rather than focusing on the average performance. Our approach minimizes the conditional value at risk (CVaR), which represents the average risk over the tails of users' loss. To overcome computational challenges for web-scale recommender systems, we develop a robust yet practical algorithm that extends the most scalable method, implicit alternating least squares (iALS). Empirical evaluation on real-world datasets demonstrates the excellent tail performance of our approach while maintaining competitive computational efficiency.

This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combine sentiment signals from financial news with traditional market indicators. Our three-tier architecture employs base RL agents to process hybrid data, meta-agents to aggregate their decisions, and a super-agent to merge decisions based on market data and sentiment analysis. Evaluated on data from 2018 to 2024, after training on 2000-2017, the framework achieves a 26% annualized return and a Sharpe ratio of 1.2, outperforming equal-weighted and S&P 500 benchmarks. Key contributions include scalable cross-modal integration, a hierarchical RL structure for enhanced stability, and open-source reproducibility.

The feasibility of making profitable trades on a single asset on stock exchanges based on patterns identification has long attracted researchers. Reinforcement Learning (RL) and Natural Language Processing have gained notoriety in these single-asset trading tasks, but only a few works have explored their combination. Moreover, some issues are still not addressed, such as extracting market sentiment momentum through the explicit capture of sentiment features that reflect the market condition over time and assessing the consistency and stability of RL results in different situations. Filling this gap, we propose the Sentiment-Aware RL (SentARL) intelligent trading system that improves profit stability by leveraging market mood through an adaptive amount of past sentiment features drawn from textual news. We evaluated SentARL across twenty assets, two transaction costs, and five different periods and initializations to show its consistent effectiveness against baselines. Subsequently, this thorough assessment allowed us to identify the boundary between news coverage and market sentiment regarding the correlation of price-time series above which SentARL's effectiveness is outstanding.

Identifying risky traders with high profits in financial markets is crucial for market makers, such as trading exchanges, to ensure effective risk management through real-time decisions on regulation compliance and hedging. However, capturing the complex and dynamic behaviours of individual traders poses significant challenges. Traditional classification and anomaly detection methods often establish a fixed risk boundary, failing to account for this complexity and dynamism. To tackle this issue, we propose a profit-aware risk ranker (PA-RiskRanker) that reframes the problem of identifying risky traders as a ranking task using Learning-to-Rank (LETOR) algorithms. Our approach features a Profit-Aware binary cross entropy (PA-BCE) loss function and a transformer-based ranker enhanced with a self-cross-trader attention pipeline. These components effectively integrate profit and loss (P&L) considerations into the training process while capturing intra- and inter-trader relationships. Our research critically examines the limitations of existing deep learning-based LETOR algorithms in trading risk management, which often overlook the importance of P&L in financial scenarios. By prioritising P&L, our method improves risky trader identification, achieving an 8.4% increase in F1 score compared to state-of-the-art (SOTA) ranking models like Rankformer. Additionally, it demonstrates a 10%-17% increase in average profit compared to all benchmark models.

Portfolio optimization has been an area of research that has attracted a lot of attention from researchers and financial analysts. Designing an optimum portfolio is a complex task since it not only involves accurate forecasting of future stock returns and risks but also needs to optimize them. This paper presents a systematic approach to portfolio optimization using two approaches, the hierarchical risk parity algorithm and the Eigen portfolio on seven sectors of the Indian stock market. The portfolios are built following the two approaches to historical stock prices from Jan 1, 2016, to Dec 31, 2020. The portfolio performances are evaluated on the test data from Jan 1, 2021, to Nov 1, 2021. The backtesting results of the portfolios indicate that the performance of the HRP portfolio is superior to that of its Eigen counterpart on both training and test data for the majority of the sectors studied.

Stock price forecasting has remained an extremely challenging problem for many decades due to the high volatility of the stock market. Recent efforts have been devoted to modeling complex stock correlations toward joint stock price forecasting. Existing works share a common neural architecture that learns temporal patterns from individual stock series and then mixes up temporal representations to establish stock correlations. However, they only consider time-aligned stock correlations stemming from all the input stock features, which suffer from two limitations. First, stock correlations often occur momentarily and in a cross-time manner. Second, the feature effectiveness is dynamic with market variation, which affects both the stock sequential patterns and their correlations. To address the limitations, this paper introduces MASTER, a MArkert-Guided Stock TransformER, which models the momentary and cross-time stock correlation and leverages market information for automatic feature selection. MASTER elegantly tackles the complex stock correlation by alternatively engaging in intra-stock and inter-stock information aggregation. Experiments show the superiority of MASTER compared with previous works and visualize the captured realistic stock correlation to provide valuable insights.

In recent years, multimodal benchmarks for general domains have guided the rapid development of multimodal models on general tasks. However, the financial field has its peculiarities. It features unique graphical images (e.g., candlestick charts, technical indicator charts) and possesses a wealth of specialized financial knowledge (e.g., futures, turnover rate). Therefore, benchmarks from general fields often fail to measure the performance of multimodal models in the financial domain, and thus cannot effectively guide the rapid development of large financial models. To promote the development of large financial multimodal models, we propose MME-Finance, an bilingual open-ended and practical usage-oriented Visual Question Answering (VQA) benchmark. The characteristics of our benchmark are finance and expertise, which include constructing charts that reflect the actual usage needs of users (e.g., computer screenshots and mobile photography), creating questions according to the preferences in financial domain inquiries, and annotating questions by experts with 10+ years of experience in the financial industry. Additionally, we have developed a custom-designed financial evaluation system in which visual information is first introduced in the multi-modal evaluation process. Extensive experimental evaluations of 19 mainstream MLLMs are conducted to test their perception, reasoning, and cognition capabilities. The results indicate that models performing well on general benchmarks cannot do well on MME-Finance; for instance, the top-performing open-source and closed-source models obtain 65.69 (Qwen2VL-72B) and 63.18 (GPT-4o), respectively. Their performance is particularly poor in categories most relevant to finance, such as candlestick charts and technical indicator charts. In addition, we propose a Chinese version, which helps compare performance of MLLMs under a Chinese context.

Portfolio optimization has been an area that has attracted considerable attention from the financial research community. Designing a profitable portfolio is a challenging task involving precise forecasting of future stock returns and risks. This chapter presents a comparative study of three portfolio design approaches, the mean-variance portfolio (MVP), hierarchical risk parity (HRP)-based portfolio, and autoencoder-based portfolio. These three approaches to portfolio design are applied to the historical prices of stocks chosen from ten thematic sectors listed on the National Stock Exchange (NSE) of India. The portfolios are designed using the stock price data from January 1, 2018, to December 31, 2021, and their performances are tested on the out-of-sample data from January 1, 2022, to December 31, 2022. Extensive results are analyzed on the performance of the portfolios. It is observed that the performance of the MVP portfolio is the best on the out-of-sample data for the risk-adjusted returns. However, the autoencoder portfolios outperformed their counterparts on annual returns.

Stock market prediction has remained an extremely challenging problem for many decades owing to its inherent high volatility and low information noisy ratio. Existing solutions based on machine learning or deep learning demonstrate superior performance by employing a single model trained on the entire stock dataset to generate predictions across all types of stocks. However, due to the significant variations in stock styles and market trends, a single end-to-end model struggles to fully capture the differences in these stylized stock features, leading to relatively inaccurate predictions for all types of stocks. In this paper, we present MIGA, a novel Mixture of Expert with Group Aggregation framework designed to generate specialized predictions for stocks with different styles by dynamically switching between distinct style experts. To promote collaboration among different experts in MIGA, we propose a novel inner group attention architecture, enabling experts within the same group to share information and thereby enhancing the overall performance of all experts. As a result, MIGA significantly outperforms other end-to-end models on three Chinese Stock Index benchmarks including CSI300, CSI500, and CSI1000. Notably, MIGA-Conv reaches 24 % excess annual return on CSI300 benchmark, surpassing the previous state-of-the-art model by 8% absolute. Furthermore, we conduct a comprehensive analysis of mixture of experts for stock market prediction, providing valuable insights for future research.

Developing professional, structured reasoning on par with human financial analysts and traders remains a central challenge in AI for finance, where markets demand interpretability and trust. Traditional time-series models lack explainability, while LLMs face challenges in turning natural-language analysis into disciplined, executable trades. Although reasoning LLMs have advanced in step-by-step planning and verification, their application to risk-sensitive financial decisions is underexplored. We present Trading-R1, a financially-aware model that incorporates strategic thinking and planning for comprehensive thesis composition, facts-grounded analysis, and volatility-adjusted decision making. Trading-R1 aligns reasoning with trading principles through supervised fine-tuning and reinforcement learning with a three-stage easy-to-hard curriculum. Training uses Tauric-TR1-DB, a 100k-sample corpus spanning 18 months, 14 equities, and five heterogeneous financial data sources. Evaluated on six major equities and ETFs, Trading-R1 demonstrates improved risk-adjusted returns and lower drawdowns compared to both open-source and proprietary instruction-following models as well as reasoning models. The system generates structured, evidence-based investment theses that support disciplined and interpretable trading decisions. Trading-R1 Terminal will be released at https://github.com/TauricResearch/Trading-R1.

This paper proposes a reinforcement learning framework that employs Proximal Policy Optimization (PPO) to dynamically optimize the weights of multiple large language model (LLM)-generated formulaic alphas for stock trading strategies. Formulaic alphas are mathematically defined trading signals derived from price, volume, sentiment, and other data. Although recent studies have shown that LLMs can generate diverse and effective alphas, a critical challenge lies in how to adaptively integrate them under varying market conditions. To address this gap, we leverage the deepseek-r1-distill-llama-70b model to generate fifty alphas for five major stocks: Apple, HSBC, Pepsi, Toyota, and Tencent, and then use PPO to adjust their weights in real time. Experimental results demonstrate that the PPO-optimized strategy achieves strong returns and high Sharpe ratios across most stocks, outperforming both an equal-weighted alpha portfolio and traditional benchmarks such as the Nikkei 225, S&P 500, and Hang Seng Index. The findings highlight the importance of reinforcement learning in the allocation of alpha weights and show the potential of combining LLM-generated signals with adaptive optimization for robust financial forecasting and trading.

Opinions expressed in online finance-related textual data are having an increasingly profound impact on trading decisions and market movements. This trend highlights the vital role of sentiment analysis as a tool for quantifying the nature and strength of such opinions. With the rapid development of Generative AI (GenAI), supervised fine-tuned (SFT) large language models (LLMs) have become the de facto standard for financial sentiment analysis. However, the SFT paradigm can lead to memorization of the training data and often fails to generalize to unseen samples. This is a critical limitation in financial domains, where models must adapt to previously unobserved events and the nuanced, domain-specific language of finance. To this end, we introduce FinDPO, the first finance-specific LLM framework based on post-training human preference alignment via Direct Preference Optimization (DPO). The proposed FinDPO achieves state-of-the-art performance on standard sentiment classification benchmarks, outperforming existing supervised fine-tuned models by 11% on the average. Uniquely, the FinDPO framework enables the integration of a fine-tuned causal LLM into realistic portfolio strategies through a novel 'logit-to-score' conversion, which transforms discrete sentiment predictions into continuous, rankable sentiment scores (probabilities). In this way, simulations demonstrate that FinDPO is the first sentiment-based approach to maintain substantial positive returns of 67% annually and strong risk-adjusted performance, as indicated by a Sharpe ratio of 2.0, even under realistic transaction costs of 5 basis points (bps).

The financial market is a mission-critical playground for AI agents due to its temporal dynamics and low signal-to-noise ratio. Building an effective algorithmic trading system may require a professional team to develop and test over the years. In this paper, we propose an orchestration framework for financial agents, which aims to democratize financial intelligence to the general public. We map each component of the traditional algorithmic trading system to agents, including planner, orchestrator, alpha agents, risk agents, portfolio agents, backtest agents, execution agents, audit agents, and memory agent. We present two in-house trading examples. For the stock trading task (hourly data from 04/2024 to 12/2024), our approach achieved a return of 20.42%, a Sharpe ratio of 2.63, and a maximum drawdown of -3.59%, while the S&P 500 index yielded a return of 15.97%. For the BTC trading task (minute data from 27/07/2025 to 13/08/2025), our approach achieved a return of 8.39%, a Sharpe ratio of 0.38, and a maximum drawdown of -2.80%, whereas the BTC price increased by 3.80%. Our code is available on https://github.com/Open-Finance-Lab/AgenticTrading{GitHub}.

Stock movement prediction, a fundamental task in financial time-series forecasting, requires identifying and retrieving critical influencing factors from vast amounts of time-series data. However, existing text-trained or numeric similarity-based retrieval methods fall short in handling complex financial analysis. To address this, we propose the first retrieval-augmented generation (RAG) framework for financial time-series forecasting, featuring three key innovations: a fine-tuned 1B parameter large language model (StockLLM) as the backbone, a novel candidate selection method leveraging LLM feedback, and a training objective that maximizes similarity between queries and historically significant sequences. This enables our retriever, FinSeer, to uncover meaningful patterns while minimizing noise in complex financial data. We also construct new datasets integrating financial indicators and historical stock prices to train FinSeer and ensure robust evaluation. Experimental results demonstrate that our RAG framework outperforms bare StockLLM and random retrieval, highlighting its effectiveness, while FinSeer surpasses existing retrieval methods, achieving an 8\% higher accuracy on BIGDATA22 and retrieving more impactful sequences. This work underscores the importance of tailored retrieval models in financial forecasting and provides a novel framework for future research.

This paper presents a novel risk-sensitive trading agent combining reinforcement learning and large language models (LLMs). We extend the Conditional Value-at-Risk Proximal Policy Optimization (CPPO) algorithm, by adding risk assessment and trading recommendation signals generated by a LLM from financial news. Our approach is backtested on the Nasdaq-100 index benchmark, using financial news data from the FNSPID dataset and the DeepSeek V3, Qwen 2.5 and Llama 3.3 language models. The code, data, and trading agents are available at: https://github.com/benstaf/FinRL_DeepSeek

We introduce a new language representation model in finance called Financial Embedding Analysis of Sentiment (FinEAS). In financial markets, news and investor sentiment are significant drivers of security prices. Thus, leveraging the capabilities of modern NLP approaches for financial sentiment analysis is a crucial component in identifying patterns and trends that are useful for market participants and regulators. In recent years, methods that use transfer learning from large Transformer-based language models like BERT, have achieved state-of-the-art results in text classification tasks, including sentiment analysis using labelled datasets. Researchers have quickly adopted these approaches to financial texts, but best practices in this domain are not well-established. In this work, we propose a new model for financial sentiment analysis based on supervised fine-tuned sentence embeddings from a standard BERT model. We demonstrate our approach achieves significant improvements in comparison to vanilla BERT, LSTM, and FinBERT, a financial domain specific BERT.

Market manipulation now routinely originates from coordinated social media campaigns, not isolated trades. Retail investors, regulators, and brokerages need tools that connect online narratives and coordination patterns to market behavior. We present AIMM, an AI-driven framework that fuses Reddit activity, bot and coordination indicators, and OHLCV market features into a daily AIMM Manipulation Risk Score for each ticker. The system uses a parquet-native pipeline with a Streamlit dashboard that allows analysts to explore suspicious windows, inspect underlying posts and price action, and log model outputs over time. Due to Reddit API restrictions, we employ calibrated synthetic social features matching documented event characteristics; market data (OHLCV) uses real historical data from Yahoo Finance. This release makes three contributions. First, we build the AIMM Ground Truth dataset (AIMM-GT): 33 labeled ticker-days spanning eight equities, drawing from SEC enforcement actions, community-verified manipulation cases, and matched normal controls. Second, we implement forward-walk evaluation and prospective prediction logging for both retrospective and deployment-style assessment. Third, we analyze lead times and show that AIMM flagged GME 22 days before the January 2021 squeeze peak. The current labeled set is small (33 ticker-days, 3 positive events), but results show preliminary discriminative capability and early warnings for the GME incident. We release the code, dataset schema, and dashboard design to support research on social media-driven market surveillance.

Most recommendation benchmarks evaluate how well a model imitates user behavior. In financial advisory, however, observed actions can be noisy or short-sighted under market volatility and may conflict with a user's long-term goals. Treating what users chose as the sole ground truth, therefore, conflates behavioral imitation with decision quality. We introduce Conv-FinRe, a conversational and longitudinal benchmark for stock recommendation that evaluates LLMs beyond behavior matching. Given an onboarding interview, step-wise market context, and advisory dialogues, models must generate rankings over a fixed investment horizon. Crucially, Conv-FinRe provides multi-view references that distinguish descriptive behavior from normative utility grounded in investor-specific risk preferences, enabling diagnosis of whether an LLM follows rational analysis, mimics user noise, or is driven by market momentum. We build the benchmark from real market data and human decision trajectories, instantiate controlled advisory conversations, and evaluate a suite of state-of-the-art LLMs. Results reveal a persistent tension between rational decision quality and behavioral alignment: models that perform well on utility-based ranking often fail to match user choices, whereas behaviorally aligned models can overfit short-term noise. The dataset is publicly released on Hugging Face, and the codebase is available on GitHub.

Every fiscal quarter, companies hold earnings calls in which company executives respond to questions from analysts. After these calls, analysts often change their price target recommendations, which are used in equity research reports to help investors make decisions. In this paper, we examine analysts' decision making behavior as it pertains to the language content of earnings calls. We identify a set of 20 pragmatic features of analysts' questions which we correlate with analysts' pre-call investor recommendations. We also analyze the degree to which semantic and pragmatic features from an earnings call complement market data in predicting analysts' post-call changes in price targets. Our results show that earnings calls are moderately predictive of analysts' decisions even though these decisions are influenced by a number of other factors including private communication with company executives and market conditions. A breakdown of model errors indicates disparate performance on calls from different market sectors.

Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the real world which is affected by numerous controllable and uncontrollable variables. This paper presents an optimized predictive model built on long-and-short-term memory (LSTM) architecture for automatically extracting past stock prices from the web over a specified time interval and predicting their future prices for a specified forecast horizon, and forecasts the future stock prices. The model is deployed for making buy and sell transactions based on its predicted results for 70 important stocks from seven different sectors listed in the National Stock Exchange (NSE) of India. The profitability of each sector is derived based on the total profit yielded by the stocks in that sector over a period from Jan 1, 2010 to Aug 26, 2021. The sectors are compared based on their profitability values. The prediction accuracy of the model is also evaluated for each sector. The results indicate that the model is highly accurate in predicting future stock prices.

Rating a video based on its content is an important step for classifying video age categories. Movie content rating and TV show rating are the two most common rating systems established by professional committees. However, manually reviewing and evaluating scene/film content by a committee is a tedious work and it becomes increasingly difficult with the ever-growing amount of online video content. As such, a desirable solution is to use computer vision based video content analysis techniques to automate the evaluation process. In this paper, related works are summarized for action recognition, multi-modal learning, movie genre classification, and sensitive content detection in the context of content moderation and movie content rating. The project page is available at https://github.com/fcakyon/content-moderation-deep-learning.

This work aims to implement Long Short-Term Memory mixture density networks (LSTM-MDNs) for Value-at-Risk forecasting and compare their performance with established models (historical simulation, CMM, and GARCH) using a defined backtesting procedure. The focus was on the neural network's ability to capture volatility clustering and its real-world applicability. Three architectures were tested: a 2-component mixture density network, a regularized 2-component model (Arimond et al., 2020), and a 3-component mixture model, the latter being tested for the first time in Value-at-Risk forecasting. Backtesting was performed on three stock indices (FTSE 100, S&P 500, EURO STOXX 50) over two distinct two-year periods (2017-2018 as a calm period, 2021-2022 as turbulent). Model performance was assessed through unconditional coverage and independence assumption tests. The neural network's ability to handle volatility clustering was validated via correlation analysis and graphical evaluation. Results show limited success for the neural network approach. LSTM-MDNs performed poorly for 2017/2018 but outperformed benchmark models in 2021/2022. The LSTM mechanism allowed the neural network to capture volatility clustering similarly to GARCH models. However, several issues were identified: the need for proper model initialization and reliance on large datasets for effective learning. The findings suggest that while LSTM-MDNs provide adequate risk forecasts, further research and adjustments are necessary for stable performance.

In quantitative finance, machine learning methods are essential for alpha generation. This study introduces a new approach that combines Hidden Markov Models (HMM) and neural networks, integrated with Black-Litterman portfolio optimization. During the COVID period (2019-2022), this dual-model approach achieved a 83% return with a Sharpe ratio of 0.77. It incorporates two risk models to enhance risk management, showing efficiency during volatile periods. The methodology was implemented on the QuantConnect platform, which was chosen for its robust framework and experimental reproducibility. The system, which predicts future price movements, includes a three-year warm-up to ensure proper algorithm function. It targets highly liquid, large-cap energy stocks to ensure stable and predictable performance while also considering broker payments. The dual-model alpha system utilizes log returns to select the optimal state based on the historical performance. It combines state predictions with neural network outputs, which are based on historical data, to generate trading signals. This study examined the architecture of the trading system, data pre-processing, training, and performance. The full code and backtesting data are available under the QuantConnect terms.

A pair-trading strategy is an approach that utilizes the fluctuations between prices of a pair of stocks in a short-term time frame, while in the long-term the pair may exhibit a strong association and co-movement pattern. When the prices of the stocks exhibit significant divergence, the shares of the stock that gains in price are sold (a short strategy) while the shares of the other stock whose price falls are bought (a long strategy). This paper presents a cointegration-based approach that identifies stocks listed in the five sectors of the National Stock Exchange (NSE) of India for designing efficient pair-trading portfolios. Based on the stock prices from Jan 1, 2018, to Dec 31, 2020, the cointegrated stocks are identified and the pairs are formed. The pair-trading portfolios are evaluated on their annual returns for the year 2021. The results show that the pairs of stocks from the auto and the realty sectors, in general, yielded the highest returns among the five sectors studied in the work. However, two among the five pairs from the information technology (IT) sector are found to have yielded negative returns.

As a branch of time series forecasting, stock movement forecasting is one of the challenging problems for investors and researchers. Since Transformer was introduced to analyze financial data, many researchers have dedicated themselves to forecasting stock movement using Transformer or attention mechanisms. However, existing research mostly focuses on individual stock information but ignores stock market information and high noise in stock data. In this paper, we propose a novel method using the attention mechanism in which both stock market information and individual stock information are considered. Meanwhile, we propose a novel EMD-based algorithm for reducing short-term noise in stock data. Two randomly selected exchange-traded funds (ETFs) spanning over ten years from US stock markets are used to demonstrate the superior performance of the proposed attention-based method. The experimental analysis demonstrates that the proposed attention-based method significantly outperforms other state-of-the-art baselines. Code is available at https://github.com/DurandalLee/ACEFormer.

In the field of quantitative trading, it is common practice to transform raw historical stock data into indicative signals for the market trend. Such signals are called alpha factors. Alphas in formula forms are more interpretable and thus favored by practitioners concerned with risk. In practice, a set of formulaic alphas is often used together for better modeling precision, so we need to find synergistic formulaic alpha sets that work well together. However, most traditional alpha generators mine alphas one by one separately, overlooking the fact that the alphas would be combined later. In this paper, we propose a new alpha-mining framework that prioritizes mining a synergistic set of alphas, i.e., it directly uses the performance of the downstream combination model to optimize the alpha generator. Our framework also leverages the strong exploratory capabilities of reinforcement learning~(RL) to better explore the vast search space of formulaic alphas. The contribution to the combination models' performance is assigned to be the return used in the RL process, driving the alpha generator to find better alphas that improve upon the current set. Experimental evaluations on real-world stock market data demonstrate both the effectiveness and the efficiency of our framework for stock trend forecasting. The investment simulation results show that our framework is able to achieve higher returns compared to previous approaches.

This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the bitcoin(BTC) and then trade according to the prediction. In contrast to the previous work that treats the cryptocurrencies independently, this paper manages a group of cryptocurrencies by analyzing the relative relationship. Specifically, in each time step, we utilize the neural network to predict the rank of the future return of the managed cryptocurrencies and place weights accordingly. By incorporating such cross-sectional information, the proposed methods is shown to profitable based on the backtesting experiments on the real daily cryptocurrency market data from May, 2020 to Nov, 2023. During this 3.5 years, the market experiences the full cycle of bullish, bearish and stagnant market conditions. Despite under such complex market conditions, the proposed method outperforms the existing methods and achieves a Sharpe ratio of 1.01 and annualized return of 64.26%. Additionally, the proposed method is shown to be robust to the increase of transaction fee.

Stock markets play an important role in the global economy, where accurate stock price predictions can lead to significant financial returns. While existing transformer-based models have outperformed long short-term memory networks and convolutional neural networks in financial time series prediction, their high computational complexity and memory requirements limit their practicality for real-time trading and long-sequence data processing. To address these challenges, we propose SAMBA, an innovative framework for stock return prediction that builds on the Mamba architecture and integrates graph neural networks. SAMBA achieves near-linear computational complexity by utilizing a bidirectional Mamba block to capture long-term dependencies in historical price data and employing adaptive graph convolution to model dependencies between daily stock features. Our experimental results demonstrate that SAMBA significantly outperforms state-of-the-art baseline models in prediction accuracy, maintaining low computational complexity. The code and datasets are available at github.com/Ali-Meh619/SAMBA.

Helpful reviews have been essential for the success of e-commerce services, as they help customers make quick purchase decisions and benefit the merchants in their sales. While many reviews are informative, others provide little value and may contain spam, excessive appraisal, or unexpected biases. With the large volume of reviews and their uneven quality, the problem of detecting helpful reviews has drawn much attention lately. Existing methods for identifying helpful reviews primarily focus on review text and ignore the two key factors of (1) who post the reviews and (2) when the reviews are posted. Moreover, the helpfulness votes suffer from scarcity for less popular products and recently submitted (a.k.a., cold-start) reviews. To address these challenges, we introduce a dataset and develop a model that integrates the reviewer's expertise, derived from the past review history of the reviewers, and the temporal dynamics of the reviews to automatically assess review helpfulness. We conduct experiments on our dataset to demonstrate the effectiveness of incorporating these factors and report improved results compared to several well-established baselines.

Predicting stock market movements has always been of great interest to investors and an active area of research. Research has proven that popularity of products is highly influenced by what people talk about. Social media like Twitter, Reddit have become hotspots of such influences. This paper investigates the impact of social media posts on close price prediction of stocks using Twitter and Reddit posts. Our objective is to integrate sentiment of social media data with historical stock data and study its effect on closing prices using time series models. We carried out rigorous experiments and deep analysis using multiple deep learning based models on different datasets to study the influence of posts by executives and general people on the close price. Experimental results on multiple stocks (Apple and Tesla) and decentralised currencies (Bitcoin and Ethereum) consistently show improvements in prediction on including social media data and greater improvements on including executive posts.