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ALERTA-Net: A Temporal Distance-Aware Recurrent Networks for Stock Movement and Volatility Prediction

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arxiv 2310.18706 v1 pith:STXUDKG3 submitted 2023-10-28 cs.LG

classification cs.LG
keywords stockdatamarketmodelsentimentvolatilityaccuracyalerta-net
verification ladder T0 review T1 audit T2 compute T3 formal
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For both investors and policymakers, forecasting the stock market is essential as it serves as an indicator of economic well-being. To this end, we harness the power of social media data, a rich source of public sentiment, to enhance the accuracy of stock market predictions. Diverging from conventional methods, we pioneer an approach that integrates sentiment analysis, macroeconomic indicators, search engine data, and historical prices within a multi-attention deep learning model, masterfully decoding the complex patterns inherent in the data. We showcase the state-of-the-art performance of our proposed model using a dataset, specifically curated by us, for predicting stock market movements and volatility.

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Cited by 1 Pith paper

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  1. PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning

    q-fin.ST 2024-12 reject novelty 3.0 of 10

    A hedge fund portfolio study finds that XGBoost selection and comprehensive PolyModel filters raise cumulative returns, while equal-weighting outperforms AUM-weighting.

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