DPP: Deep predictor for price movement from candlestick charts.

Forecasting the stock market prices is complicated and challenging since the price movement is affected by many factors such as releasing market news about earnings and profits, international and domestic economic situation, political events, monetary policy, major abrupt affairs, etc. In this work,...

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Autores principales:	Chih-Chieh Hung, Ying-Ju Chen
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/80bb1d9b61a748c59096b4f4e0d494a8
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id	oai:doaj.org-article:80bb1d9b61a748c59096b4f4e0d494a8
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spelling	oai:doaj.org-article:80bb1d9b61a748c59096b4f4e0d494a82021-12-02T20:03:51ZDPP: Deep predictor for price movement from candlestick charts.1932-620310.1371/journal.pone.0252404https://doaj.org/article/80bb1d9b61a748c59096b4f4e0d494a82021-01-01T00:00:00Zhttps://doi.org/10.1371/journal.pone.0252404https://doaj.org/toc/1932-6203Forecasting the stock market prices is complicated and challenging since the price movement is affected by many factors such as releasing market news about earnings and profits, international and domestic economic situation, political events, monetary policy, major abrupt affairs, etc. In this work, a novel framework: deep predictor for price movement (DPP) using candlestick charts in the stock historical data is proposed. This framework comprises three steps: 1. decomposing a given candlestick chart into sub-charts; 2. using CNN-autoencoder to acquire the best representation of sub-charts; 3. applying RNN to predict the price movements from a collection of sub-chart representations. An extensive study is operated to assess the performance of the DPP based models using the trading data of Taiwan Stock Exchange Capitalization Weighted Stock Index and a stock market index, Nikkei 225, for the Tokyo Stock Exchange. Three baseline models based on IEM, Prophet, and LSTM approaches are compared with the DPP based models.Chih-Chieh HungYing-Ju ChenPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 16, Iss 6, p e0252404 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Chih-Chieh Hung Ying-Ju Chen DPP: Deep predictor for price movement from candlestick charts.
description	Forecasting the stock market prices is complicated and challenging since the price movement is affected by many factors such as releasing market news about earnings and profits, international and domestic economic situation, political events, monetary policy, major abrupt affairs, etc. In this work, a novel framework: deep predictor for price movement (DPP) using candlestick charts in the stock historical data is proposed. This framework comprises three steps: 1. decomposing a given candlestick chart into sub-charts; 2. using CNN-autoencoder to acquire the best representation of sub-charts; 3. applying RNN to predict the price movements from a collection of sub-chart representations. An extensive study is operated to assess the performance of the DPP based models using the trading data of Taiwan Stock Exchange Capitalization Weighted Stock Index and a stock market index, Nikkei 225, for the Tokyo Stock Exchange. Three baseline models based on IEM, Prophet, and LSTM approaches are compared with the DPP based models.
format	article
author	Chih-Chieh Hung Ying-Ju Chen
author_facet	Chih-Chieh Hung Ying-Ju Chen
author_sort	Chih-Chieh Hung
title	DPP: Deep predictor for price movement from candlestick charts.
title_short	DPP: Deep predictor for price movement from candlestick charts.
title_full	DPP: Deep predictor for price movement from candlestick charts.
title_fullStr	DPP: Deep predictor for price movement from candlestick charts.
title_full_unstemmed	DPP: Deep predictor for price movement from candlestick charts.
title_sort	dpp: deep predictor for price movement from candlestick charts.
publisher	Public Library of Science (PLoS)
publishDate	2021
url	https://doaj.org/article/80bb1d9b61a748c59096b4f4e0d494a8
work_keys_str_mv	AT chihchiehhung dppdeeppredictorforpricemovementfromcandlestickcharts AT yingjuchen dppdeeppredictorforpricemovementfromcandlestickcharts
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DPP: Deep predictor for price movement from candlestick charts.

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