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Application of ensemble of recurrent neural networks for forecasting of stock market sentiments

100%

Maknickiene N., Lapinskaite I., Maknickas A.

Equilibrium. Quarterly Journal of Economics and Economic Policy

2018

vol. 13

issue 1

7-27

Research background: Research and measurement of sentiments, and the integration of methods for sentiment analysis in forecasting models or trading strategies for financial markets are gaining increasing attention at present. The theories that claim it is difficult to predict the individual investor's decision also claim that individual investors cause market instability due to their irrationality. The existing instability increases the need for scientific research. Purpose of the article: This paper is dedicated to establishing a link between the individual investors' behavior, which is expressed as sentiments, and the market dynamic, and is evaluated in the stock market. This article hypothesizes that the dynamics in the market is unequivocally related to the individual investor's sentiments, and that this relationship occurs when the sentiments are expressed strongly and are unlimited. Methods: The research was carried out invoking the method of Evolino RNN-based prediction model. The data for the research from AAII (American Association of Individual Investors), an investor sentiment survey, were used. Stock indices and sentiments are forecasted separately before being combined as a single composition of distributions. Findings & Value added: The novelty of this paper is the prediction of sentiments of individual investors using an Evolino RNN-based prediction model. The results of this paper should be seen not only as the prediction of the connection and composition of investors' sentiments and stock indices, but also as the research of the dynamic of individual investors' sentiments and indices.

Neuroekonomia w kontekście zachowań inwestorów

86%

Ostrowska E.

Pieniądze i Więź

2019

vol. 22

issue 3(84)

69-75

W sytuacji nieustających i szybkich zmian otoczenia zewnętrznego, a także konieczności dokonywania ciągłych zmian w zarządzaniu po stronie przedsiębiorstw i instytucji oraz zachowań inwestorów powstają nowe paradygmaty i podejścia do oceny zachowań na rynku inwestycyjnym. Te procesy bowiem mają duży wpływ na wartość różnych aktywów i spółek giełdowych. Ponadto mają wpływ na potrzebę rozwoju neuroekonomii, która jest rozumiana jako połączenie ekonomii z psychologią i neurobiologią. Takie otwarcie się ekonomii na dorobek nauki psychologii i neurobiologii może przynieść duże korzyści dla oceny szczególnie irracjonalnych zachowań rynków inwestycyjnych i samych inwestorów. Psychologia i neurobiologia może bowiem pomóc ekonomistom (finansistom) bardziej adekwatnie opisywać i wyjaśniać współczesne zjawiska ekonomiczno-gospodarcze, w tym na giełdzie papierów wartościowych. Wobec tego wszelkie potrzeby wyjaśniania istoty i roli biologii mózgu w zachowaniach inwestorów powinny być traktowane jako narzędzie wspierające podejmowanie decyzji inwestycyjnych i ich późniejszą ocenę. Głównym przedmiotem artykułu jest pokazanie, że zachowania inwestorów należy analizować nie tylko z tradycyjnej perspektywy ekonomii i psychologii, ale również z perspektywy neurobiologii.

In the situation of continuous and rapid changes of the environment, as well as the necessity of applying constant changes in management of companies and institutions, and the behaviors of investors new paradigms and types of approach to behavior assessment are emerging on the investment market. These processes have a great impact on the value of various assets and exchange companies. In addition, they affect the development of neuroeconomics, which is understood as a fusion of economy with psychology and neuroscience. Such an opening of economy to the achievements of psychology and neuroscience can bring great benefits for assessing particularly irrational behaviors of investment markets and investors themselves. Psychology and neuroscience can help economists (financiers) more adequately describe and clarify modern economic phenomena, including those on the stock exchange. Therefore, the need to explain the nature and role of brain biology in investors’ behavior should be treated as a supporting tool for investment decision making and its subsequent analysis. The main subject of the article is to show that investors’ decisions should be analyzed not only in the traditional perspective of economics and psychology, but also the perspective of neuroscience.

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1 Equilibrium. Quarterly Journal of Economics and Economic Policy

1 Pieniądze i Więź

1 Lapinskaite I.

1 Maknickas A.

1 Maknickiene N.

1 Ostrowska E.

1 2019

1 2018

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Application of ensemble of recurrent neural networks for forecasting of stock market sentiments

Neuroekonomia w kontekście zachowań inwestorów