ALERTA-Net: A Temporal Distance-Aware Recurrent Networks for Stock Movement and Volatility Prediction

Shengkun Wang, YangXiao Bai, Kaiqun Fu, Linhan Wang, Chang-Tien Lu +1 more
10/28/2023
cs.LG

Official code: hao1zhao/ALERTA-Net (10 stars, last commit 2023-12-08).

Abstract

For both investors and policymakers, forecasting the stock market is essential as it serves as an indicator of economic well-being. To this end, we harness the power of social media data, a rich source of public sentiment, to enhance the accuracy of stock market predictions. Diverging from conventional methods, we pioneer an approach that integrates sentiment analysis, macroeconomic indicators, search engine data, and historical prices within a multi-attention deep learning model, masterfully decoding the complex patterns inherent in the data. We showcase the state-of-the-art performance of our proposed model using a dataset, specifically curated by us, for predicting stock market movements and volatility.

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Code Implementations(1)

hao1zhao/ALERTA-NetOfficial
101Aug 1, 20232 years ago

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Cite this paper

@article{wang2023alertanet,
  title  = {ALERTA-Net: A Temporal Distance-Aware Recurrent Networks for Stock Movement and Volatility Prediction},
  author = {Shengkun Wang and YangXiao Bai and Kaiqun Fu and Linhan Wang and Chang-Tien Lu and Taoran Ji},
  year   = {2023},
  eprint = {2310.18706},
  archivePrefix = {arXiv},
  url    = {http://arxiv.org/abs/2310.18706v1}
}

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