Associating deep learning and the news headlines sentiment for Bursa stock price prediction

Zuleaizal Sidek, Sharifah Sakinah Syed Ahmad, Noor Hasimah Ibrahim Teo


Accurate stock price prediction is appealing to academics, economists, and financial analysts for its potential to increase profits. Although remarkable progress has been made in stock prediction accuracy, studies to explore the relationship between public sentiments and the prediction of stock price movement based on online news portals in Malaysia context are limited. Therefore, this study aims to determine whether news sentiments influence the movement of the Bursa stock price. The stock prediction model was implemented using long short-term memory (LSTM), with stock data from Bursa Malaysia between January 2017 and April 2022, and the root mean squared error (RMSE) value was calculated. In addition, LSTM prediction model was compared to the decision tree algorithm, and LSTM performed significantly better than the decision tree, particularly when using the New York stock exchange (NYSE) dataset. Furthermore, sentiment analysis was carried out using a Malaysian online news portal's business and financial news. The findings showed that i) news has a significant impact on Malaysian stock market price movement; ii) the RMSE of the LSTM model was improved by adding a parameter (news polarity values); and iii) the RMSE value generated is less than one for every company stock and is influenced by stock price and price change magnitude.


Deep learning; Long short-term memory; News sentiment; Sentiment analysis; Stock prediction

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The Indonesian Journal of Electrical Engineering and Computer Science (IJEECS)
p-ISSN: 2502-4752, e-ISSN: 2502-4760
This journal is published by the Institute of Advanced Engineering and Science (IAES) in collaboration with Intelektual Pustaka Media Utama (IPMU).

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