Prediction of Stock Price and Direction Using Neural Networks: Datasets Hybrid Modeling Approach

Stock prices prediction is one of the most daunting tasks to achieve for day traders, investors, and data scientists. They are complex functions of a wide array of contributing factors that affects the movement dynamics. Politics, social outlook, the company's sales performance, and socio-economic factors all have an influence of how the stock is perceived globally and thus affecting the price movement based on the supply/demand balance. In this work a Framework is proposed to predict the price and movement direction by using multiple datasets that includes news sentiment, social sentiment, company earnings announcement, and technical indicators. A case study was applied on the Apple Inc. stock using Long short-term Memory Neural Networks (LSTM) and Deep Neural Networks (DNN). Results showed superiority of the LSTM model in both predicting stock value [ 75.4 MSE, +-2.52 PE] and the direction with [70.1% classification accuracy] over the DNN model which suffered from prediction lag and dependency on trend indicators achieving [53.1%] in predicting the direction of the stock.