914122, 621 PM Turnitin Turnitin Originality Report Processed on: 14-Sep-2022 13:14 +07 Simiarity by Source 19: 1899472008 imilarity Index , Simianty Index | rere Sources: 0% Word Count 4174 % Dubleations: 0% ‘Submitted: 1 O*m Student Papers: 0% Forcasting VN-index with ANN and LSTM and revisiting EMH for Viet Nam By Phat Pham Tai Abstract Given futures products are now available in Viet Nam (futures of VN- Index ~ Vietnam top exchange index), what if we can predict VN-index closing prices with high accuracy? Traders and investors could utilize such Predictions to adjust their trading strategies and optimize returns, The aims of this paper are simple, we try to predict daily VN-index prices with several neural networks (NN) models with the highest accuracy thus providing ‘empirical evidence for VN-index not achieving weak form efficiency. On the output side, we focus on predicting VN-index closing return (i.e, next-day return) (a regression). On the input side, we first use VN-index historical candle data and technical indicators data (i.e. Technical Analysis data - "TA data’). We'd also incorporate trading and TA data of other international major ‘exchanges and assets prices (S&P500, Dow Jones, Nasdaq, FTSE 100, DAX, Gold prices, Silver Prices) since it's clear in the literature that co-movements are found between VN-index and other major indexes. We employ a set of NN models and perform analyses of their performance (in terms of prediction accuracy) and offer our evaluation of their performances. We'd also perform a set of statistical tests and perform an analysis of weak form efficiency of VN- index. Introduction Price prediction has always been a challenging problem. Fama (Fama, 1995) suggested even in a weak form efficiency stock price follows a random work and predictions of prices are not feasible. Yet a whole industry of investment banking exists trying to do this. Academia has also challenged this notion both theoretically and empirically (Naseer & Bin Tariq, 2015). The advancement of technology has enabled the production and testing of ML models trying to predict stock prices at speed. The volume of papers that attempted to build and test ML models predicting prices (of different types of assets) is numerous. This paper is one of such attempts. The main purpose of this paper is to predict next-day return of VN-index using a few ML models. This paper only focus on forecasting VN-Index, not the hundreds of stock tickers on Ho Chi Minh stock exchange. A few attempts had been made to forecast VN-index, and most of them fall under engineering researches domain focusing on comparing and technical aspects of the models deployed (Co et al., 2020), (Minh et al., 2018), (Toai et al., 2021) (Tra et al., 2019), (An & Anh, 2015)). The main models tested were Long-Short Term Memory (LSTM) models. Minh et al, (Minh et al., 2018) attempted to incorporate include sentiment information (news) in predicting \VN-index. However, the main inputs used in these models were historical candle data. There have been no attempts to utilize other major exchanges (such as S&P500, FTSE 100) as input for the deployment of models while clear empirical evidence backed transmission of risk (Moslehpour et al., 2022) and spillover effects (Nguyen, 2011), Furthermore, there have not been itpsi/apiurnitn.com/newreport_printviow-asp?eq=18ed=1Sesm=1008o1d=18994720088sid-08n-0&m=28sv"=6341=72.0856800177788 8lang=en w914122, 621 PM Turnitin attempts to incorporate TA data even though the literature suggests its usefulness and widespread applications in ML models (Bustos & Pomares- Quimbaya, 2020). This paper attempts to deal with the mentioned short- coming by using not only historical data of the assets being predicted (VN- index) but also TA data and historical data from major international indexes fas inputs for the ML models. Under Efficiency Market Hypothesis (EMH) theory, it would be not possible to predict prices, meaning that no ML with high accuracy can be created. Being a heavily debated topic, whether predictability exists to some degree has been suggested by several studies backed by empirical evidence ((Lo, 1991) (Gao, 1998)). However, In the case of Vietnam, most empirical testing indicated that the market does not achieve weak form efficiency ((Dong Loc et al., 2010), (Guidi & Gupta, 2011). Hence, an attempt to search for a ML model that can predict VN-index with high accuracy have high chance to yields results. To further contribute to the issue of testing efficiency, this paper also perform statistics tests and attempt to offer a evidence either supporting or rejecting EMH. Literature review Is the market predictable? The never-ending debated theory of Efficient Market Hypothesis (EMH) given by Fama (Fama, 1970) proposed that alll information is accounted for at any point in time in stocks’ prices and hence any effort to predict price would be in vain. Three forms of efficiency were proposed. In a weak form EMH, prices reflect all historical information. A semi-strong form, EMH, all public information is reflected in prices. A strong form EMH stated all information (historical, public, and private information) are reflected in prices. Studies into EMH were conducted as efficiency tests of different levels of EMH. Opposing evidences for and against EMH were conducted over the years. Naseer et al. (Naseer & Bin Tariq, 2015) conducted a systematic review of 20 years of the literature, discuss both the evidence for and against EMH, and concluded that “markets may often be efficient, they are not necessarily always efficient”. Aminimehr et al. (Aminimehr et al., 2022) argued some studies supporting EMH at different levels (weak, semi-strong, strong) did not consider the non-linear behavior of data and that there were clear evidences supporting long-term memory of prices and hence predictability to a certain extend, Various studies into EMH reported anomalies (an unusual or odd occurrence). Latif et al. (Latif et al., 2011) discussed at length different types of anomalies (calendar, fundamental, technical analysis, and insider trading) and concluded that these may be utilised to make abnormal returns, thus, challenging EMH. Practical evidence using TA to craft strategies that beat the market was also performed and tested against actual data as proof against EMH (Leigh et al., 2007). The question is such markets like NASDAQ, NYSE must be efficient at least at the weak form and practical and empirical evidence clearly showed prices are to an extent predictable and the market may at times be beaten, Given the proof, can there be an alternative hypothesis other than EMH to explain the market movements? In an effort to expand the theoretical hypothesis on prices movements, a group of researchers focused on behavioral effects on prices. Most notably, (Lo, 2004) hypothesised the adaptive market hypothesis (AMH) which discarded EMH’s major assumptions that investors are rational In AMH, an investor's decision is a result of various psychological factors. Continued researches after Lo 2004 took a shift and focus on challenging EMH in its weak form efficiency. Fama (Fama, 1995) suggested that a weak form efficient market comforts to random walk hypothesis and that the use of historical data to predict prices is not a fruitful effort. Sarcastically, a huge number of researchers and the whole investment banking industry had spent millions of hours and money trying to do just that. Chong et. al. (Chong et al., 2017), Arévalo et. al. (Arévalo et al., 2017) and many other studies demonstrated the ability to predict market prices to some degrees using ML models. The advance of technology allows for the use of advance itpsi/apLturnitn.com/newreport_printviow-asp?eq=18ed=1Sesm=1008o1d=18994720088sid-08n-0&m=28svr=6341=72.0856800177788 8lang=en914122, 621 PM Turnitin mathematics and statistics to attempt at predicting prices (Naseer & Bin Tariq, 2015). Researches into price predicting using statistical, econometric methods and more recently ML models exploded in number, The issue whether a market is efficient and the correctness of EMH is left unconfirmed (Naseer & Bin Tariq, 2015), rather, every one nowadays just tries to come up with a model that can beat the market. This paper, caustically, is one of such attempt. Machines are trying to beat the market Money makes the world go round, Researches into prices prediction has always been plentiful. Traditionally an investor typically relies on technical analysis ("TA") and/or fundamental analysis ("FA") to make an investing decision (stock analysis tools) (Park & Irwin, 2007). ML has enable a new set of tools which is stock predictions. We would evade discussing in details both TA (and the new developments in TA techniques that technology enables) and FA and focus on the body of researches in stock predictions. There are different ways of classification of ML techniques, this paper focuses on their use-case (we do not focus on their architectural structure). We adopt the view of Shah et al. (Shah et al., 2019), who proposed an overall look at the ML techniques as follows: Stock prediction techniques Statistical Pattern Recognition Machine Learning Sentiment Analysis Hybrid ARIMA ESN Regression Template Matching PIP Supervised Unsupervised The ML models this papers utilized are a small subset of the Supervised Machine Learning models. Hence, we only focus on discussing the literature related to ML. Before discussing further, some definitions and explanations of terms are necessary. Artificial Neural Networks are general terms describing a system of computation inspired by the neural network system of the brain (Yang, 2014). Such an definition is wide and includes @ wide rage of classes of ML models. Confusingly, the abbreviated ANN" is also used as the name of a specific class of ML models (typically includes ANN, Convolutional Network-CNN and Recurrent Neural Network-RNN). Hence, here onwards, we'd refer to ANN as the specific class of model or the specific model itself. ANN in stock predicting In simple terms, ANN Is just a mesh of calculations performed in layers, where the output of one layer will feed (will be in input) of the next layer. The process continue until the calculation reach the output layer. Each circle in Fig. 1 represents an activate function that would be performed on the inputs and some weight to that function. The optimization process begins with random weights. After every permutation, the weights are changed. How the weight change depends on an optimization algorithm that compares the output with actual results. Generally, the more permutations the network runs through the more accuracy it might achieve. We intentionally stay away from discussing in detail the engineering/architectural aspects of ML models, i.e. what activate functions are used, what optimization algorithms, or how to evaluate accuracy. Various attempts at utilizing ANN to predict stock prices had been performed each with some optimization/boosting process added to the structure of ANN. We focus on such attempts that tried to predict composite indexes of stock exchanges. Jamous et al. (Jamous et al., 2021) conducted a prediction of S&P500 using ANN with PSO and achieve very low error parameters. Earlier in 2012, Bernal et al. (Bernal et al., 2012) implement an RNN model to also predict S&P500 and proved it outperformed Kalman Filter technique (a statistical approach to predict price). Moghaddam et al. tried to predict NASDAQ (Moghaddam et al., 2016) with satisfactory results. In the case of NYSE, research done by Wamkaya and Muchemi (Wanjawa & Muchemi, 2014) achieve very low error. Selvamuthu et al. (Selvamuthu et al, 2019) experienced ANN with several different optimization algorithms on Indian stocks and find very high accuracy. Chopra et al. (Chopra et al., 2019) and Shahvaroughi Farahani & Razavi Hajiagha (Shahvaroughi Farahani & Razavi Hajiagha, 2021) also attained effective prediction using ANN to predict Indian stock market. The general consensus was that ANN outperformed the itpsi/apLturnitn.com/newreport_printviow-asp?eq=18ed=1Sesm=1008o1d=18994720088sid-08n-0&m=28svr=6341=72.0856800177788 8lang=en914122, 621 PM Turnitin statistical approach in predicting stock prices. Shahvaroughi Farahani & Razavi Hajiagha (Shahvaroughi Farahani & Razavi Hajiagha, 2021) suggested that hybrid models achieve higher levels of accuracy, Chhajer et al. (Chhajer et al., 2022) stated stand-alone ANN face several limitations. This had led to ‘a number of researches attempting to develope hybrid ANN models. Most notably, recently, is the emerging trend of incorporating particle swarm ‘optimization (PSO). Thakkar & Chaudhari (Thakkar & Chaudhari, 2021) conducted a comprehensive review of all ML models using PSO and concluded that PSO provides superiority. LSTM in stock predicting Long Short-Term Memory or LSTM networks are a form of recurrent neural network. LTMS is widely used in Natural Languages Processing, dealing with problems like language translation, and speech recognition. LSTM can store past features of a data-series, such property contributes to LSTM's ability to predict stock Prices as historical prices play an important role in predicting future prices. LSTM differs from feed-forward networks (i.e. most ANN networks) because of its feedback connections ((Chaudhari & Thakkar, 2021), (Breuel, 2015)). Each LSTM cell comprises four components: a cell state (memory), an input gate, an output gate, and a forget gate. The cell contains memory passed from previous time-step. Input gate control what information goes into the cell state. The output gate controls what data from the cell can be added to the output of the block, Finally, the forget gate decides what data to be removed from the cell state, LSTM has gained strong attention due to its high performance in predicting stock prices. Prediction performances by LSTM models had generally been positive. Moghar & Hamiche (Moghar & Hamiche, 2020), Qiu et al. (Qiu et al., 2020) performed different versions of LSTMs models and concluded favorably on LSTM prediction power. Sang & Di Pierro (Sang & Di Pierro, 2019), Ta et al. (Ta et al., 2020), Wang et al, (Wang et al., 2020) stated LSTM may effectively improve the performance of trading algorithms and portfolio management. Bucci (Bucci, 2020) tested performance on various models for predicting volatility in financial markets and conclude LSTM outperformed classic econometrics and other NNs networks. Kim & Won (Kim & Won, 2018) proposed again combining LSTM. with other feature generating techniques enhances prediction performance, Methods and Data Data and data collection A typical candle data record consists of Open-High-Low-Close (OHLC) data points: ? Opening Price is the first transacted price of a ticker at the beginning of a trading day. ? High and Low Prices are the highest and lowest price of the ticker on that day ? Closing Price is a price of the ticker at the close of the trading day Other data fields commonly found in financial data sets includes volumes and adjusted closing prices. However, this study focus on the predictions of composite indexes, hence these fields do not apply. We'd then calculate daily return by dividing d price over d-1 price (minus 1), This is the primary target out put of our regression model. We'd also calculate up/down data and denoted up to be 1 and down to be 0 (note that 0 includes cases where d price <= d-1 price) This is our main target value output for our classification models. The study would cover the period from 1st Jan 2005 to 31st Aug 2022. The period covered 2 financial crisis (2008 Financial Crisis and 2019 Covid Crisis). The data for VN-index would be collected on cophieu68.vn. The data for other markets (S&P500, Dow Jones, Nasdaq, FTSE 100, DAX, Gold prices, Silver Prices) would be collected on tradingview.com. TA data selected for inputs would includes: ? Simple moving average - SMA10, SMA14, SMA20, SMASO, SMA100, SMA200. ? Stochastic K% ? Stochastic D% ? Relative strength index (RSI) ? Moving average convergence divergence (MACD) The data for these TA would be calculated from the candlestick data using the TA-Lib (a coding Package specialized in calculating TA indicators). The calculations would be performed for all markets in the study. The inclusion of TA indicators is believed to boost the performance of ML models ((Shah et al., 2019), (Kumar itpsi/apLturnitn.com/newreport_printviow-asp?eq=18ed=1Sesm=1008o1d=18994720088sid-08n-0&m=28svr=6341=72.0856800177788 8lang=en914122, 621 PM Turnitin et al., 2021)). We cast a wide net in selecting multiple TA indicators. This would obviously increase the dimensions of the inputs for our models. An additional step of feature selection would be performed to check for the importance of these fields. Regression Models We conceptualized the general concepts of the models in the literature review section. We adopt advices from previous studies and attempt to experiment with hybrid models in hope of improving accuracy ((Thakkar & Chaudhari, 2021), (Chhajer et al., 2022), (Kumar et al., 2021). We decided to mainly experiment with Particle Swarm Optimization (PSO) as the main hybrid component in our models. The models we experiment with are: Regression models to predict next-day return of VN- Index: 1, ANN 2, PCA-ANN 3. PCA-ANN-PSO 4, LSTM 5, PCA-LSTM 6. PCA- LSTM-PSO The output of classification models will be 1 or 0 depicting up/down trend, The output of regressions model will be return percentage. Statistics tests We perform descriptive statistics and statistical tests before implementing the models. The statistical tests we employ includes: ? Jarque- Bera test for testing normality ? Augmented Dicky Fuller (ADF) (Mushtaq, 2011) to test for stationary in time-series data. ? ARCH-LM test (Bollerslev, 1986) to test for the presence of heteroskedasticity. ? BDS test the time series data for its independent and identically distributed; test the residual series (between a linear estimation of the time series with the time itself) for presence of nonlinear characteristics; test the residual series (between a non- linear estimation of the time series with the time itself) for presence of chaotic knowledge in data. Pre-processing We then use discrete wavelet transform to denoise the data. Financial time series data are usually noisy due to the complexity of factors that affect them. This approach has been adopted by various studies ((Sharif et al., 2020) , (Lu, 2010) Li and (Li & Tang, 2020)) Feature selection We perform Principle Component Analyze (PCA) to examine the importance of the features. PCA is an unsupervised feature extraction method. The aim of PCA is to reduce the dimensions of the input data while retaining the maximum amount of variation (knowledge) in the data. PCA achieve this by computing principle components of the matrix then projecting the data points onto a few important principal components. vVasan & Surendiran (Vasan & Surendiran, 2016) suggested PCA enhance classification algorithm. Training and testing We anticipate overfitting to be an issue and various attempts to twist hyperparameters will be needed. Analysis of models performance We'd perform evaluation on various accuracy metrics of the models performed and offer an conclusions of performance of plain vs hybrid models. Analysis of EMH for VN-index With the statistics test performed on VN-index, we effectively test for weak form EMH of VN-index. We'd utilize these test results to perform an evaluation of VN-index weak form efficiency and draw our own conclusions of accepting or rejecting weak form EMH for VN-index. We'd expand our discussion with the results of our predictions models and their validity as proof for or against EMH. 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Y., Z. (2014). Comprehensive Biomedical Physics. https://www-sciencedirect- ‘com. ezproxy.uio.no/topics/neuroscience/artificial-neural-network Pham Téin Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tan Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tén Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tn Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tén Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tén Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tén Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tan Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tén Phat 52210211794 0902357200-tanphat.leo@gmail.com Pham Tén Phat 52210211794 0902357200-tanphat.leo@gmail.com, itpsi/apiturntn.com/newreport_printviow-asp?eq=18ed=1Sesm=1008o1d=18994720088sid-08n-0&m=28svT=6341=72.0856808177788 8lang=en