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Short-Term Price Movement Prediction for Stock Market Indexes and its Application

Goraya, Tejveer Singh (2021) Short-Term Price Movement Prediction for Stock Market Indexes and its Application. Masters thesis, Dublin, National College of Ireland.

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Machine Learning algorithms have been applied to a wide variety of applications in the domain of finance. One such application of ML is predicting future prices/values of stocks and indexes listed in the stock market. Primarily, this research will make an attempt at predicting stock prices/index values for a period 30 days in the future.Secondly,this research will explore a niche in the market that has been slightly overlooked due to its feasibility in the financial derivatives domain and demonstrate an application for the same. This research will shed a light on two main types of financial derivatives(Call and Put Options) and how machine learning will help in predicting the price of these financial derivative over a period of 30 days(As these financial products are only valid for 30 days). By taking advantage of the large amount of literature available in the stock market prediction domain, this research will aim to predict the stock prices/index values over a period of 30 days by modelling and testing several types of Machine learning algorithms ranging from LSTM,GRU and CNN including each of their types. The final outcome of this study is to accurately predict the stock prices/index values for a short period of time(30 days) and implement this information in order to select an appropriate Call/Put option with a help of a Simulation technique(Monte Carlo Simulation and its type) in order to yield a maximum profit in the market.

Item Type: Thesis (Masters)
Subjects: Q Science > QA Mathematics > Electronic computers. Computer science
T Technology > T Technology (General) > Information Technology > Electronic computers. Computer science
Q Science > Q Science (General) > Self-organizing systems. Conscious automata > Machine learning
H Social Sciences > HG Finance > Investment > Stock Exchange
Divisions: School of Computing > Master of Science in Data Analytics
Depositing User: Tamara Malone
Date Deposited: 24 Jan 2023 17:54
Last Modified: 03 Mar 2023 12:02

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