Market Confidence Predicts Stock Price: Beyond Supply and Demand

doi:10.1371/journal.pone.0158742

	Market Confidence Predicts Stock Price: Beyond Supply and Demand
	Sun, Xiao-Qian 1,2; Shen, Hua-Wei 2; Cheng, Xue-Qi 2; Zhang, Yuqing 1
	2016-07-08
发表期刊	PLOS ONE
ISSN	1932-6203
卷号	11 期号:7 页码:10
摘要	Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.
DOI	10.1371/journal.pone.0158742
收录类别	SCI
语种	英语
资助项目	National Basic Research Program of China (the 973 program)[2014CB340401] ; National Basic Research Program of China (the 973 program)[2012CB316303] ; National Natural Science Foundation of China[61232010] ; National Natural Science Foundation of China[61425016] ; National Natural Science Foundation of China[61433014]
WOS研究方向	Science & Technology - Other Topics
WOS类目	Multidisciplinary Sciences
WOS记录号	WOS:000380005400112
出版者	PUBLIC LIBRARY SCIENCE
引用统计	被引频次：6[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://119.78.100.204/handle/2XEOYT63/8265
专题	中国科学院计算技术研究所期刊论文_英文
通讯作者	Shen, Hua-Wei
作者单位	1.Univ Chinese Acad Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Inst Comp Technol, CAS Key Lab Network Data Sci & Technol, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Sun, Xiao-Qian,Shen, Hua-Wei,Cheng, Xue-Qi,et al. Market Confidence Predicts Stock Price: Beyond Supply and Demand[J]. PLOS ONE,2016,11(7):10.
APA	Sun, Xiao-Qian,Shen, Hua-Wei,Cheng, Xue-Qi,&Zhang, Yuqing.(2016).Market Confidence Predicts Stock Price: Beyond Supply and Demand.PLOS ONE,11(7),10.
MLA	Sun, Xiao-Qian,et al."Market Confidence Predicts Stock Price: Beyond Supply and Demand".PLOS ONE 11.7(2016):10.