Open AccessPredicting stock price movement using effective Thai financial probabilistic lexicon
Author(s) -
Surinthip Sakphoowadon,
Nawaporn Wisitpongphan,
Choochart Haruechaiyasak
Publication year - 2021
Publication title -
international journal of power electronics and drive systems/international journal of electrical and computer engineering
Language(s) - English
Resource type - Journals
eISSN - 2722-2578
pISSN - 2722-256X
DOI - 10.11591/ijece.v11i5.pp4313-4324
Subject(s) - lexicon , probabilistic logic , stock market , stock (firearms) , stock price , econometrics , computer science , financial market , financial economics , economics , artificial intelligence , finance , geography , series (stratigraphy) , paleontology , context (archaeology) , archaeology , biology
Predicting stock price fluctuation during critical events remains a big challenge for many researchers because the stock market is extremely vulnerable and sensitive during such time. Most existing works rely on various numerical data of related factors which can impact the stock price direction. However, very few research papers analyzed the effect of information appearing in financial news articles. In this paper, a novel probabilistic lexicon based stock market prediction (PLSP) algorithm is proposed to predict the direction of stock price movement. Our approach used the proposed thai financial probabilistic lexicon (ThaiFinLex) derived from Thai financial news and stock market historical prices. The PLSP development consists of three steps. Firstly, we constructed ThaiFinLex by extracting event terms from news articles and calculating their associated probability of increasing/decreasing values of stock prices. Then, event terms with bad prediction performance were filtered out. Finally, the stock price directions were predicted using the PLSP and the remaining effective event terms. Our results indicated that the proposed model can be used for predicting stock price movement. The performance is as high as 83.33% when PLSP is used to predict stocks from the financial sector.