S&P 500 Stock Price Prediction Using Technical, Fundamental and Text Data

Keywords: Stacking, LSTM, Random Forest, Text Sentiment


We summarized both common and novel predictive models used for stock price prediction and combined them with technical indices, fundamental characteristics and text-based sentiment data to predict S&P stock prices. A 66.18% accuracy in S&P 500 index directional prediction and 62.09% accuracy in individual stock directional prediction was achieved by combining different machine learning models such as Random Forest and LSTM together into state-of-the-art ensemble models. The data we use contains weekly historical prices, finance reports, and text information from news items associated with 518 different common stocks issued by current and former S&P 500 large-cap companies, from January 1, 2000 to December 31, 2019. Our study's innovation includes utilizing deep language models to categorize and infer financial news item sentiment; fusing different models containing different combinations of variables and stocks to jointly make predictions; and overcoming the insufficient data problem for machine learning models in time series by using data across different stocks.


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How to Cite
Zhong, S., & Hitchcock, D. (2021). S&P 500 Stock Price Prediction Using Technical, Fundamental and Text Data. Statistics, Optimization & Information Computing, 9(4), 769-788. https://doi.org/10.19139/soic-2310-5070-1362
Research Articles