A novel ensemble deep learning model for stock prediction based on stock prices and news

In recent years, machine learning and deep learning have become popular methods for financial data analysis, including financial textual data, numerical data, and graphical data. One of the most popular and complex deep learning in finance topics is future stock prediction. The difficulty that causes the future stock forecast is that there are too many different factors that affect the amplitude and frequency of the rise and fall of stocks at the same time. Some of the company-specific factors that can affect the share price like news releases on earnings and profits, future estimated earnings, the announcement of dividends, introduction of a new product or a product recall, secure a new large contract, employee layoffs, a major change of management, anticipated takeover or merger, and accounting errors or scandals. Furthermore, these factors are only company factors, and other factors affect the future trend of stocks, such as industry performance, investor sentiment, and economic factors. This paper proposes a novel deep learning approach to predict future stock movement. The model employs a blending ensemble learning method to combine two recurrent neural networks, followed by a fully connected neural network. In our research, we use the S&P 500 Index as our test case. Our experiments show that our blending ensemble deep learning model outperforms the best existing prediction model substantially using the same dataset, reducing the mean-squared error from 438.94 to 186.32, a 57.55% reduction, increasing precision rate by 40%, recall by 50%, F1-score by 44.78%, and movement direction accuracy by 33.34%, respectively. The purpose of this work is to explain our design philosophy and show that ensemble deep learning technologies can truly predict future stock price trends more effectively and can better assist investors in making the right investment decision than other traditional methods.