Stock Market Prediction Via Deep Learning Techniques: A Survey

Stock Market Prediction via Deep Learning Techniques: A Survey
JINAN ZOU∗ and QINGYING ZHAO∗ , University of Adelaide, Australia

YANG JIAO, University of Adelaide, Australia
HAIYAO CAO, University of Adelaide, Australia
YANXI LIU, University of Adelaide, Australia
QINGSEN YAN, Northwestern Polytechnical University, China
EHSAN ABBASNEJAD, University of Adelaide, Australia
arXiv:2212.12717v2 [q-fin.GN] 9 Feb 2023
LINGQIAO LIU, University of Adelaide, Australia

JAVEN QINFENG SHI, University of Adelaide, Australia
Existing surveys on stock market prediction often focus on traditional machine learning methods instead of deep learning methods.
This motivates us to provide a structured and comprehensive overview of the research on stock market prediction. We present four
elaborated subtasks of stock market prediction and propose a novel taxonomy to summarize the state-of-the-art models based on deep
neural networks. In addition, we also provide detailed statistics on the datasets and evaluation metrics commonly used in the stock
market. Finally, we point out several future directions by sharing some new perspectives on stock market prediction.
CCS Concepts: • Applied computing → Economics; • Computing methodologies → Artificial intelligence; Machine learn-
ing.
Additional Key Words and Phrases: Deep learning, Machine learning, Finance, AI in finance, Stock market prediction
ACM Reference Format:

Jinan Zou, Qingying Zhao, Yang Jiao, Haiyao Cao, Yanxi Liu, Qingsen Yan, Ehsan Abbasnejad, Lingqiao Liu, and Javen Qinfeng Shi. 2023.
Stock Market Prediction via Deep Learning Techniques: A Survey. 1, 1 (February 2023), 34 pages. https://doi.org/XXXXXXX.XXXXXXX
1 INTRODUCTION
The financial market plays a crucial role in shaping the development of global economies. As the stock market gains
more prominence in the economic sphere, it has garnered increasing attention from the general public. One theory
that explains the pricing of financial assets and the reasoning behind stock market volatility is the efficient market
hypothesis [88]. The efficient market hypothesis posits that in a legally sound, well-functioning, transparent, and
competitive stock market, rational investors can quickly and rationally react to all market information. As a result,
stock prices will accurately, sufficiently, and promptly reflect all important facts, including a company’s present and
future value. However, the fluctuation of stock prices is influenced by a complex array of factors, including company
∗ Both authors contributed equally to this research.
Authors’ addresses: Jinan Zou, jinan.zou@adelaide.edu.au; Qingying Zhao, University of Adelaide, Australia; Yang Jiao, University of Adelaide, Australia;
Haiyao Cao, University of Adelaide, Australia; Yanxi Liu, University of Adelaide, Australia; Qingsen Yan, Northwestern Polytechnical University, China;
Ehsan Abbasnejad, University of Adelaide, Australia; Lingqiao Liu, University of Adelaide, Australia; Javen Qinfeng Shi, University of Adelaide, Australia.
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Manuscript submitted to ACM
Manuscript submitted to ACM 1

2 Zou and Zhao, et al.
earnings reports, national policies, influential shareholders, and expert speculations on current events. Therefore, there
is a need to utilize machine learning techniques for stock market prediction tasks, such as stock movement prediction,
stock price prediction, portfolio management, and trading strategies.
The stock market is characterized by both uncertainty and variability, making it challenging to accurately predict
market trends. Machine learning techniques have been employed in stock price prediction to improve the accuracy
of predictions and alleviate these difficulties. Historically, conventional models such as decision tree-based models
[56, 97, 124] and Support Vector Machines (SVM) [138] have been utilized in stock market forecasting.
As deep learning models have evolved, the methods used for predicting the stock market have shifted from traditional
techniques to advanced deep learning techniques such as Recurrent Neural Networks (RNNs), Long Short-Term Memory
(LSTM), Gated Recurrent Units (GRUs), Graph Neural Networks (GNNs), and Convolutional Neural Networks (CNNs).
Recently, researchers have also begun to explore the use of Transformer-based models and Reinforcement learning (RL)
models in stock market forecasting. Despite the abundance of surveys on stock market forecasting, existing surveys
[4, 5, 73, 122] had limitations. For instance, some surveys have focused on traditional technologies without critically
examining the latest advancements, such as Transformer models. Additionally, some surveys have been vague in their
classification of models and have not used an authoritative criterion. Furthermore, many of the challenges and open
issues identified in previous studies have already been addressed. This survey aims to fill these gaps by providing a
comprehensive and insightful overview of the latest techniques and trends in stock market forecasting. By reviewing
high-quality papers from top conferences, this survey summarizes the most recent advancements in techniques such as
Transformer and RL and provides in-depth analysis and discussion. It is intended to provide researchers, practitioners,
and educators with a systematic overview and a comprehensive understanding of relevant deep learning techniques
and the most promising directions for future research.
This survey aims to gain insight into the advancements in stock market forecasting by categorizing the models and
analyzing their publication year. Additionally, the survey aims to provide a detailed understanding of the structure and
application of each model in stock market forecasting.
The three key contributions of this survey are as follows:
• In this survey, we thoroughly examine stock market prediction, which encompasses four distinct tasks: stock
movement prediction, stock price prediction, portfolio management, and trading strategies. To conduct this
study, we have compiled a collection of 94 papers that focus on these highly relevant topics.
• This survey introduces a new deep-learning classification system for predicting stock market performance. The
reviewed literature, which is organized according to this taxonomy, explores various deep learning models
such as RNN, CNN, GNN, Transformer, and RL. Furthermore, the survey compiles a summary of the datasets,
evaluation techniques, and model inputs used in these studies.
• In this study, we delve into the unresolved challenges faced by deep learning-based stock market prediction and
offer thorough insights into potential future research in this area.
Organization of the Survey. This survey is organized into eight sections. The hierarchical structure of the survey is
illustrated in Figure 1. The first section provides an overview of the background, research motivation, and objectives of
stock market forecasting. In Section 2, previous surveys on the topic are reviewed, and their limitations and areas for
improvement are identified. Section 3 details the methodology used for reviewing papers, including the criteria for
categorization, such as conference, model, and year of publication. In Section 4, various deep learning models used in
the stock market prediction are discussed, and the papers are analyzed based on model types. The datasets and model
Stock Market Prediction via Deep Learning Techniques: A Survey 3
Stock
Market
prediction
Related Future
Review Deep
Datasets and Evaluation directions
Introduction literature methodology learning
Input metrics and open
review and criteria based models
issues
Recurrent
Review Neural Accuracy-
methodology Convolutional Datasets
Networks- based
Neural based models
Networks-
based models
Graph
Selected
Neural
paper Input Error-based
Networks-
statistics
Transformer- based models
based models
Reinforcement
learning Return-based
models
Others
Fig. 1. The hierarchical structure of this survey with eight sections.
input features used in the reviewed methods are discussed in Section 5. Evaluation metrics commonly used in the stock
market prediction are introduced in Section 6. Section 7 focuses on open issues and potential future developments in
the field. The survey concludes with a summary in Section 8.
2 RELATED WORK
In past studies on stock prediction, traditional methods such as SVM, regression, and KNN have been widely used.
However, with the advancement of neural networks, there has been a shift towards utilizing these networks in stock
prediction research. Atsalakis and Valavanis [4] conducted a survey of 100 papers on stock market prediction, focusing
on neural and neuro-fuzzy techniques. They classified and analyzed papers published from 1990 to 2006 by comparing
different stock markets, input variables, prediction approaches, and evaluation metrics. Li and Ma [73] published a
survey on using artificial neural networks in financial market applications, including stock price prediction and option
pricing. Ballings et al. [5] focused on classifier models for ensemble methods in stock price prediction and single
classifier models. The ensemble methods included Random Forest, Adaboost, and Kernel Factory, while the single
classifier models included Neural Networks, Linear Regression, SVM, and K-Nearest Neighbors. This was the first
study to make an extensive benchmark. Tkac and Verner [122] provided a systematic overview of 412 papers published
between 1994 and 2015 on the commercial application of artificial neural networks in the financial industry. The
main applications of this survey included financial distress, bankruptcy problems, and decision support for stock price
forecasting, with a focus on classification tasks. Cavalcante et al. [12] reviewed influential papers using various machine
learning algorithms from 2009 to 2015 in financial applications, and discussed challenges and unsolved problems in
this field. The main machine learning methods covered included artificial neural networks, SVMs, hybrid methods,
optimization methods, and ensemble methods. The applications included preprocessing and clustering financial data,
forecasting future market trends, and mining financial text information. Li et al. [66] surveyed 229 papers from 2007 to
2016 investigating the relationship between web media and stock markets, and proposed directions for further research.
They proposed a taxonomy that divided machine learning techniques into statistical models, regression models, and
5.3% 25
9
24.2% 16.8%
Number of papers 8
7 18.9% 20
Number of papers
6
5 18.9% 15
4 15.8%
3
2 10
1
0 RNN based models GNN based models 5
S
I
LP
G
CL
CL
CO IF
A
CA
IP
D
N
A
A
N
A
N
LI
IC
IJ
A
EM
CNN based models Transformer based models 0

2012 2014 2015 2016 2017 2018 2019 2020 2021 2022
Conferences
Reinforcement learning models others Publication years
(a) The number of papers in top conferences (b) The proportion of papers with different models (c) The number of papers in top conferences
Fig. 2. Three Figures show the statistics of the papers according to different criteria.
machine learning-based models. The neural network models included Bayesian classifiers and SVMs. Xing, Cambria,
and Welsch [139] investigated papers on applying natural language processing methods to financial forecasting tasks,
mainly focusing on three aspects: different types of text sources, algorithms, and results based on different evaluation
metrics. The text sources included news, social media, financial reports, and message boards. The model types included
regressions, SVM, ensemble learning, and CNN. Nti, Adekoya, and Weyori [96] reviewed papers from 2007 to 2018,
focusing on three categories of analysis: technical, fundamental, and combined analysis. The models were limited, and
only three techniques were well discussed: decision tree, SVM and ANN. Ersan, Nishioka, and Scherp [37] also focused
on three prediction models: KNN, ANN, and SVM. This survey aims to make comparisons among various machine
learning approaches on DAX 30 and the S&P 500 datasets at daily and hourly levels.
Recent surveys on stock market prediction have primarily focused on deep learning techniques such as CNN, RNN,
and GNN. Jiang [54] stood out among others as it took into consideration the implementation and reproducibility of
the research. Specifically, the paper highlighted the main tools used for implementation, including Keras, TensorFlow,
PyTorch, Theano, and scikit-learn. The data and code availability of several papers were also investigated to demonstrate
reproducibility. This study placed emphasis on the recent advancements in deep learning methods applied to stock
market prediction. Thakkar and Chaudhari [120] examined various deep learning-based neural network approaches for
stock market prediction. The study summarizes and analyzes the need, challenges, and future directions based on papers
from 2017 to 2020. Kumbure et al. [60] conducted a literature review of 138 journal articles on stock market forecasting
published between 2000 and 2019. The survey places particular attention on the features and unique variables in the
datasets. The survey categorizes the deep learning methods into two groups, supervised and unsupervised machine
learning methods. However, some of the surveys still lack the inclusion of the latest techniques such as Transformer
and pre-trained BERT models, which are also reviewed in this survey.
Previous surveys have extensively covered traditional methods and older neural network techniques, leaving a gap
in understanding current research trends. Recent surveys have not been fully updated to include the latest techniques.
Additionally, some existing surveys [50, 54, 59, 60, 66, 120] have not adequately classified papers by targets or have only
focused on stock market forecasting tasks. Given this need for an updated survey that incorporates the latest techniques
for stock market prediction, this survey proposes a new deep learning model classification method and aims to provide
a more comprehensive and up-to-date analysis. The focus will be on newer papers and the most current technology.
3 REVIEW METHODOLOGY AND CRITERIA

3.1 Review Methodology
In this study, we focus on literature pertaining to stock market prediction. To gather a comprehensive collection of
papers, we implemented a strategy as follows. Initially, we limited the timeframe to the last decade. Next, we identified
the leading Natural Language Processing (NLP) and Artificial Intelligence (AI) conferences, including ACL, EMNLP,
AAAI, IJCAI, ICAIF, NeurIPS, and KDD. Within these conferences, we utilized the search engine Google Scholar with
specific keywords such as stock prediction, market, finance and portfolio. We also included the names of deep learning
models as keywords, such as RNN, LSTM, and GNN, Transformer, and RL. By using these keywords, we were able to
find papers related to stock market prediction, finance, trading, and portfolio. We then used machine learning to filter
papers that predicted the stock market. After filtering, we selected 42 high-quality papers related to stock prediction.
After excluding papers with less than two pages of content, 39 papers were screened. By reading the cited papers in
these 39 papers, we also included the top-ranked papers from journals and conferences in our research paper list. In
total, this survey includes 94 high-quality papers that cover a diverse range of deep learning methods.
3.2 Selected Paper Statistics

This section presents statistics from the stock market forecast papers included in the survey through various charts.
First, the papers are grouped by top conference. Figure 2(a) displays the number of papers from top conferences, such
as ACL1 , NAACL2 , EMNLP3 , AAAI4 , IJCAI5 , ICAIF6 , NeurIPS7 , ICML8 , ICLR9 , and KDD10 . As seen in Figure 2(a), a
total of 39 high-quality papers were included in this survey. The conferences of ACL and AAAI had the most papers on
stock market prediction. Figure 2(b) illustrates the proportion of papers utilizing five different models. This survey
covers all the types of models mentioned, with each model having more than 15 papers. The survey includes advanced
models, such as Transformer-based and RL models, which make up 18.9% and 24.2% respectively. Figure 2(c) shows the
number of papers by publication year. The largest proportion of papers in this survey were published in 2021, with a
total of 24 papers. During the five-year period from 2012 to 2016, there were 11 papers.
4 STOCK MARKET PREDICTION IN MACHINE LEARNING

4.1 Stock Prediction Related Tasks
Before delving into the specifics of the deep learning model, we will first define four key stock market prediction tasks
and provide an overview of the concepts associated with each task. These tasks include stock price prediction, stock
movement prediction, portfolio management, and trading strategies. These categories encapsulate the majority of
existing stock market prediction tasks.
• Stock Price Prediction. The objective of Stock Price Prediction utilizing time-series data is to anticipate future
values for stocks and financial assets traded on an exchange by researchers. The ultimate goal of this prediction
1 Annual Meeting of the Association for Computational Linguistics.
2 Conference of the North American Chapter of the Association for Computational Linguistics.
3 Empirical Methods in Natural Language Processing.
4 Association for the Advancement of Artificial Intelligence.
5 International Joint Conference on Artificial Intelligence.
6 ACM International Conference on AI in Finance.
7 Conference and Workshop on Neural Information Processing Systems.
8 International Conference on Machine Learning.
9 International Conference on Learning Representations.
10 Knowledge Discovery and Data Mining.

is to achieve substantial profits. Additionally, various factors also influence the prediction process, including
psychological factors as well as rational and irrational behavior. All of these factors work together to make share
prices dynamic and volatile.
• Stock Movement Prediction. The task of Stock Movement Prediction typically categorizes stock trends into
three categories: uptrend, downtrend and sideways. This task is formalized by analyzing the difference between
the adjusted closing prices of a stock over a certain period of trading days.
• Portfolio Management. Portfolio management involves the strategic selection and oversight of a collection
of investments with the aim of achieving financial objectives. The goal of portfolio management is to allocate
resources in a way that maximizes returns while minimizing risks.
• Trading Strategies. A trading strategy is a pre-established set of guidelines and criteria that are used to make
trading decisions, and it is a methodical approach to buying and selling stocks. Trading strategies can range from
simple to complex, and factors such as investment style (e.g., value vs. growth), market cap, technical indicators,
fundamental analysis, level of portfolio diversification, risk tolerance, and leverage are taken into consideration.
In stock market prediction tasks that utilize deep learning, common trading strategies include event-driven,
data-driven, and policy optimization.
The above tasks center around the process of stock market prediction. To provide a comprehensive understanding of
deep learning-based approaches, Figure 3 illustrates the prediction process. The first step involves processing input
data, including stock data, graphs, and texts. After that, relevant stock features are selected and collected. The next step
is to input the extracted features into a deep learning model for training. Lastly, the model’s experimental results will
be obtained and analyzed.
Fig. 3. The Processing Framework.
4.2 Deep Learning Based Models

We categorized the papers based on the models and presented the different models in Figure 4. Figure 5 provides a
general overview of the mainstream deep learning models used in stock market prediction. These models include:
RNN-based models (Figure 5(a)), CNN-based models (Figure 5(b)), GNN-based models (Figure 5(c)), RL models (Figure
5(d)), Transformer-based models (Figure 5(e)), as well as other unique methods. The input for these models can be stock
price-related data, text data, and relationships between companies, and the models generate outputs based on the goals
outlined in the papers.
Models in
Stock
Market
prediction
RNN based CNN based GNN based Transformer- Reinforcement

Others
models models models based models learning
Recurrent Graph
Neural Neural Transformer
Networks Networks Model-based Model-free
Gate Graph Pre-trained Policy

Recurrent Convolution language Q-learning
Gradient
Unit Networks models
DQN REINFORCE
Long Short
Term DDPG
Graph
Memory Attention
Networks Networks A2C/A3C
TD3
Bi-
directional TRPO/PPO
Knowledge
Long Short
Graph
Term
SAC
Memory
Fig. 4. The classification method of stock market prediction papers according to the models.
Fig. 5. The general view of mainstream deep learning models for stock market prediction.
4.3 Recurrent Neural Network Based Models

The RNN, as described in [107], is a deep learning model that can efficiently process sequential data. Stock market data
is commonly represented as time series, making RNN an ideal choice for making predictions by modeling historical data.
However, RNNs have the drawback of gradient vanishing when processing data over a long-term period. To address this
issue, several variants of RNN have been developed, including LSTM [46], GRU [20], and Bidirectional LSTM (Bi-LSTM)
[43]. RNNs can be thought of as a recurrent combination of multiple identical network cells, where the output of each
cell is provided as input to the next cell [62]. Each cell contains a set of input, hidden, and output units. The LSTM unit
has three gates, the update gate, the forget gate, and the output gate, which help to control short-term and long-term
memory. The GRU model is an improvement over the LSTM model, which combines the input gate and the forget gate
into an update gate, and adds a reset gate to control the information to be forgotten [20]. These models have improved
RNNs and made significant progress in stock market prediction.
Recurrent Neural Network (RNN). RNN is a well-established deep learning model that has been applied in stock
prediction. However, in recent years, researchers have sought to enhance the performance of RNN by exploring its hybrid
application with other machine learning techniques. Agarwal and Sastry [106] proposed a novel and robust hybrid
prediction model (HPM) that combines three prediction models: RNN, Exponential smooth (ES) and Autoregressive
moving average model (ARMA). They also used genetic algorithms to optimize the model by providing optimal weights
which significantly improves the prediction accuracy. Another approach, proposed by Zhang, Aggarwal and Qi [152], is
the State Frequency Memory (SFM) based on RNN, which is able to capture multi-frequency trading patterns from the
stock market underlying the fluctuation of stock prices.
Long Short-Term Memory (LSTM). The LSTM model boasts the ability to effectively handle text and time-series
data, making it ideal for stock market forecasting. LSTM addresses the problem of preserving information over longer
time intervals through the use of the gradient method, which is an improvement over RNN models. For example, Akita
et al. [1] proposed a Paragraph Vector method to represent textual information and utilized LSTM for the prediction
model. In this experiment, ten companies were represented as ten articles, where the vector of articles is represented as
𝑃𝑡 . The prices of these companies were represented as {𝑐1, 𝑐2fi, 𝑐10} at a single timestep 𝑡 and concatenated as a stock
prices vector 𝑁𝑡 . The input of LSTM is the combination of 𝑃𝑡 and 𝑁𝑡 . LSTM significantly outperforms the baselines,
Multi-Layer Perceptron (MLP), Support Vector Regression (SVR), and Simple-RNN, for the opening prices prediction.
Another example, Ma et al. [87] proposed the News2vec model, in which dense vectors represent news features. They
used LSTM with the self-attention mechanism as the predictive model. This text embedding model News2vec helps to
uncover the potential relationship between news and its event elements. Nelson, Pereira and Oliveira [94] used LSTM
for stock movement prediction, but the model inputs were numerical information, including stock prices and volume.
In stock prediction research, it is common to process stock prices as a time series analysis, but few researchers take
into account the potential time dependency of the data. Zhao et al. [156] proposed a time-weighted LSTM model with
trend retracement, which assigns weights to data based on its temporal proximity to the data to be predicted. Hybrid
models, which are a combination of LSTM with other models, have been proposed to improve prediction performance.
Polamuri et al. [98] proposed the Generative Adversarial Network-based Hybrid Prediction Algorithm (GAN-HPA)
to implement the Stock-GAN developed from a GAN-based framework. The framework takes various inputs, such as
stock datasets and hyperparameters. Linear and non-linear models are used to extract features from the dataset, and
the hyperparameters and pre-processing results are used as inputs to the LSTM. The output of the generator and raw
data are provided to the discriminator, and Bayesian approximation is used to adjust the parameters and update the
prediction results. Wang et al. [130] made a significant contribution by proposing a method for dynamically extracting
potential representations of financial market trends from transaction data. They proposed a hybrid Convolutional
LSTM-based Variational Sequence-to-Sequence model with Attention (CLVSA). The model consists of convolutional
LSTM units and a sequence-to-sequence framework with self-attention and inter-attention mechanisms.
Nguyen and Yoon [95] developed a framework called deep transfer with related stock information (DTRSI) that
takes into account stock relationships to predict stock price movements. To achieve this, the authors employed LSTM
cells during pre-training on large-scale data to optimize parameters and then fine-tuned the base model using a small
amount of target data to obtain the final model. This approach addresses the problem of overfitting due to the small
sample size and accounts for the relationship between stocks.
Adversarial training can simulate stock price fluctuations by introducing perturbations, which can enhance the
accuracy of stock movement prediction. In 2019, Feng et al. [40] proposed a method that combines attentive LSTM
and adversarial training to predict stock market movements. Another approach to predicting multiple stock prices
simultaneously is the associated network model proposed by Ding and Qin [27], which consists of three branches that
predict the opening price, the lowest price, and the highest price respectively.
Chen et al. [14] used Bi-LSTM to encode stock data and financial news representations in their models, namely
the Structured Stock Prediction Model (SSPM) and multi-task Structured Stock Prediction Model (MSSPM). They
also incorporated representations of trading events consisting of event roles embeddings, which are the subject and
object extracted using the 𝑆𝑡𝑎𝑛𝑑 𝑓 𝑜𝑟𝑑 𝐶𝑜𝑟𝑒𝑁 𝐿𝑃 2 tool [106]. The MSSPM model was uniquely trained on both stock
prediction and event extraction tasks, as the authors believed these tasks have an intrinsic relationship, and accurate
extraction results would benefit stock prediction results. To make time-aware predictions, Sawhney et al. [110] proposed
a hierarchical learning method named FAST for ranking stocks based on expected profit. This model used a time-aware
LSTM to model temporal irregularities in news and tweets. The FAST model demonstrates the positive effects of
factoring in-text fine-grained temporal irregularities in simulations on the S&P 500 and China A-shares indexes.
Li and Pan [74] proposed that stock prices are impacted by a variety of factors and put forth an ensemble deep
learning model that combines LSTM and GRU. They also determined the window size for textual information by
consulting psychological and economic theories to account for the lasting or fleeting impact of news.
Gated Recurrent Unit (GRU). GRUs are a variation of LSTMs that have been found to perform well in stock market
prediction. They address the issue of vanishing gradients and improve training speed by reducing the number of cells
[20]. Inspired by the work of Qin et al. [103], who proposed a dual-stage attention-based RNN for time series prediction,
Yang et al. [146] proposed a dual-level attention mechanism for stock price prediction using a GRU network. This
mechanism allocates different weights to different financial news titles based on their impact on the stock price, with a
focus on explaining the reasons for the prediction and avoiding errors from natural language processing tools. Similarly,
Li, Shen, and Zhu [63] proposed a novel multi-input LSTM (MI-LSTM) model that uses attention to differentiate between
main and auxiliary factors and assign different weights to these inputs to prevent the influence of irrelevant factors on
the final result.
To address the challenge of chaotic news, Hu et al. [49] developed a Hybrid Attention Network (HAN) that incorporates
a self-paced learning mechanism. This approach takes into account both the credibility and comprehensiveness of
financial news. The HAN consists of two attention layers, one at the news level and the other at the temporal level.
Bi-directional GRU layers are also utilized to encode the temporal sequence of corpus vectors. After back-testing, the
annualized rate of return in simulated transactions was significantly improved. Similarly, Wang et al. [129] proposed a
framework for the stock prediction that incorporates expert opinions. The multi-view fusion network stance detection
model (MFN) framework uses text features from multiple views and relevant financial domain knowledge to determine
texts’ upside and downside investment opinions. A stance aggregation module is then used to identify and aggregate
high-quality opinions based on a dynamic expert mining procedure. Finally, a stock prediction module is used to predict
the future trend of individual stocks using the input expert opinion indicators from the first two sections. The prediction
component utilizes a GRU to encode a time-ordered sequence of features and a time-aware attention mechanism to
dynamically incorporate hidden states in the stocks. The model was validated using real-world datasets, demonstrating
its effectiveness in making investment recommendations and individual stock predictions.
In an effort to tackle the difficulties of stock trend forecasting caused by non-smooth dynamics and complex market
dependencies, Wang et al. [127] introduced a new Hierarchical Adaptive Temporal-Relational Network (HATR) for
describing and predicting the evolution of stocks in 2021. The HATR model captures both short-term and long-term
transition characteristics from multi-scale local combinations of stock trading series through the use of expanding causal
convolutions and gating paths. This model builds upon their previous work, in which they utilized a dual attention
mechanism with a Hawkes process and target-specific queries to detect key time points and scales based on individual
stock characteristics. Additionally, to uncover hidden interdependencies among stocks, the authors incorporated a
multi-graph interaction module that combines prior domain knowledge with data-driven adaptive learning.
4.4 Convolutional Neural Network Based Models

CNNs have been widely studied for their effectiveness in both computer vision (CV) and natural language processing
(NLP) tasks [52]. A CNN model is composed of several convolutional and pooling layers that are used for feature
extraction. The traditional convolutional layers use two-dimensional filters (kernels) and activation functions to process
image features. However, in the stock prediction domain, CNNs are used to process time series data, which are one-
dimensional features. To accommodate for this difference in data shape, CNNs for time series utilize a one-dimensional
filter that slides over the time series with a stride determined by the data granularity.
It is commonly believed that CNNs excel at capturing important features through the use of convolution layers,
making them effective at predicting stock fluctuations. Selvin et al. [115] supported this view. Additionally, Ding
et al. [30] improved upon the event embedding method [29] by incorporating a CNN for training on input history
event embeddings, with the pooling layer effectively extracting representative event history features. The Universal
CNN-based predictor (U-CNN pred) [47] was trained using a layer-wise approach, where the subCNNs layers were
pre-trained sequentially until the proposed model structure was completed. This model showed reasonable results and
was proven effective due to its shallow structure, which reduced the risk of overfitting as there were less weights to be
learned.
To fully utilize the information contained within industrial relations, some models have integrated knowledge graphs
with CNNs in order to enhance their performance. One such model is the Knowledge-Driven Temporal Convolutional
Network (KDTCN) proposed by Deng et al. [25]. This model utilizes the Open IE [38] to extract events related to
the knowledge graph and make interpretable stock predictions. A common issue with traditional one-dimensional
convolutional layers is data leakage, where information from time 𝑡 − 1 and 𝑡 + 1 could influence the data at time 𝑡. To
address this issue, the KDTCN model employs causal convolution, which only used information from the current and
previous time steps in the previous layer. The KDTCN model has been shown to be effective in explaining abrupt price
changes by extracting significant features in the price time series [25].
The integration of CNN and LSTM can enhance time series prediction even further. Lu et al. [83] introduced a
CNN-LSTM model for forecasting daily stock closing prices, where the CNN component extracts features from a 10-day
historical data time series, and the LSTM component makes the price prediction. In a subsequent study, Lu et al. [84]
proposed a CNN-BiLSTM-AM model which incorporates the attention mechanism to capture historical influential
stock fluctuations on price time series and improve the performance of the CNN-based model. Wang et al. [128] also
presented a CNN-BiLSTM model for stock closing price prediction and improved the model’s performance by adding a
tanh function to the output gate of the Bi-LSTM. Mehtab and Sen [91] proposed a univariable convolutional LSTM
model for predicting the opening price of Indian stocks and improved the model’s performance by partitioning a 10-day
time series into two 5-day data sequences to allow the convolutional layer to extract more historical data features.
Additionally, the use of GRU has also been recently demonstrated as efficient in processing tasks. Zhou, Zhou, and
Wang [157] proposed an ensemble stock market prediction model consisting of CNN and Bidirectional GRU, which is
feature-selection-based. The CNN is responsible for feature extraction, while the GRU is responsible for processing the
time series data. They used the closing price of the stock market as the model output and all other data as inputs and
obtained results with less error than other basic models.
Some recent studies have explored the integration of knowledge graphs, LSTM, and CNN for stock prediction. Wu et
al. [137] developed a CNN-based framework that utilized historical stock prices and future data, such as leading financial
indicators. In their subsequent work [136], they proposed a graph-based CNN-LSTM model that uses a combination
image composed of an option image, a future image, and a historical image. This image contains 30-day information,
including stock price and financial indices of one specific stock. The rows of the combination image represent the time
series changes, while the columns represent the features that are fed into the CNN-LSTM model. To address the issues
of overfitting and slow convergence in fuzzy systems, Chandar [13] developed a robust stock trading model. This model
extracted ten technical indicators from historical stock data and used them as feature vectors. By setting the data range,
the convergence rate was improved. These feature vectors were then transformed into images and used as input for a
CNN model to obtain labelled sell points, buy points, and hold points. The dropout layer added in the CNN models
helped to prevent overfitting. The effectiveness of this model was measured by accuracy and F1-score.
4.5 Graph Neural Network Based Models

GNN is a type of artificial neural network that process data in the form of graphs, as outlined in [112]. They play a
crucial role in stock market prediction, as they are able to operate on irregularly structured data, unlike CNNs which
are designed for Euclidean structured data. The structure of a GNN is made up of nodes and edges, which allows it to
model the relationships between entities. In the context of stock market prediction, nodes typically represent companies
or stocks and edges represent the relationships between them. For example, the share prices of linked companies often
fluctuate simultaneously, such as when a piece of good news is released and corresponding stocks see an immediate
surge. This highlights the importance of taking relationships into account when making predictions. This chapter
will explore four main graph-based models: GNN, Graph Convolutional Networks (GCN) [58], and Graph Attention
Networks (GAT).
Graph Neural Network (GNN). Matsunaga, Suzumura and Takahashi [90] employed a knowledge graph to integrate
information on companies and GNN models as a means of predicting individual stock performance. The use of knowledge
graphs allows for the representation of relationships between entities that represent companies in the context of stock
market predictions. One of the key contributions of the paper is the utilization of a backtesting approach through
rolling window analysis. Similarly, Ding et al. [31] built upon their previous event-driven works [29, 30] by introducing
a Knowledge Graph Neural Tensor Network (NTN) model. This model encodes the entity vectors that represent the
relationship between entities of extracted events and feeds them into the event-embedding learning process, addressing
the limitation of event embedding in revealing syntactic or semantic relationships between events.
Xu et al. [141] tackled the challenge of stock price limit prediction by introducing the Hierarchical Graph Neural
Network (HGNN). This model takes into account the various properties of the market state by constructing a stock
market relationship graph and extracting information from multiple perspectives, such as the node view, relation
view, and graph view in a hierarchical manner. The HGNN achieved excellent results in classifying the type of price-
limit-hitting stocks and resulted in an improvement in the investment return ratio. Similarly, Li et al. [70] proposed
a GNN-based model for predicting the stock market by fusing multi-source heterogeneous subgraphs. The datasets
used in this research included three types of subgraphs representing the relationships between the stock market index,
stock market news, and graphical indicators. The fusion of these subgraphs was then converted into a fully connected
classification layer to make predictions. Ang and Lim [141] utilized a graph encoding module to propagate multimodal
information across companies’ relationships. Additionally, they introduced an attention module for capturing global
and local information among inter-company relations and different modalities. The model performed robustly on three
forecasting tasks and two applications on real-world datasets.
Graph Convolutional Network (GCN). GCN is a type of deep learning model that are specifically designed to handle
graph data, which uses graph convolutional layers to extract features from the graph and make predictions based on
the relationships between nodes in the graph. GCN is often combined with other deep learning models. For example,
Chen and Wei [18] proposed a pipeline prediction model that integrates the relationships between corporations by
using a GCN model. In this model, each corporation is represented as a node in the graph, with edges representing the
relationships between corporations and the weights of those edges representing the shareholding ratios. Additionally,
the LSTM-based encoder layer is used to encode historical features of corporations, resulting in improved performance.
Similarly, Li et al. [69] proposed an LSTM Relational Graph Convolutional Network (LSTM-RGCN) model that handles
both positive and negative correlations among stocks. The correlation matrix between companies is calculated based
on historical market data, and the LSTM mechanism added to the RGCN layers helps to alleviate the over-smoothing
problem when predicting overnight stock price movements. A novel Gated temporal convolution is also introduced to
learn the temporal evolution of stock features.
Several existing models aimed to capture the temporal dependence between stock prices and news information.
However, they did not fully utilize information from other highly correlated stocks. To address this gap, Yin et al. [149]
introduced a graph convolutional network model that integrates GCN and GRU. GCN extracts features from stocks
that have a high degree of similarity, which are then fed into the GRU model to capture the time dependence. Another
approach to consider the relationship between stocks is the Relational Stock Ranking (RSR) framework proposed by
Feng et al. [41]. The RSR framework consists of three layers: a sequential embedding layer using LSTM, a relational
embedding layer, and a prediction layer. Additionally, they proposed a temporal graph convolution model to solve the
ranking problem. Sawhney et al. proposed the Spatio-Temporal Hypergraph Convolution Network (STHGCN) [109], a
notable approach that used a hypergraph structure to model relationships among stocks and applies spatial hypergraph
convolutions. This was the first hypergraph learning approach.
Predicting the price movements of individual stocks can be a difficult task due to various factors such as company
operations and public opinion. However, stock market indices provide a more reliable means of understanding the
overall trend of a specific industry or company in the stock market as they are less affected by the variables of a single
company. In a recent study, Wang et al. [125] employed the use of a GCN to analyze the correlation of indicators in
stock trend prediction. They introduced the MG-Conv model, which is based on a multi-Graph Convolutional neural
network and utilizes static graphs between indices that are constructed using constituent stock data. Additionally, they
created dynamic graphs based on trend correlations between indices with different portfolio strategies and defined
multi-graph convolution operations based on both graphs.
Graph Attention Networks (GAT). The Graph Attention Network (GAT) combines the strengths of GNN and
attention layers to improve performance in large-scale graphs. Attention mechanisms help to focus on the most critical
nodes, reducing the impact of complex background noise and improving the signal-to-noise ratio. Additionally, attention
allows for exploiting interconnectedness and hierarchical connections among nodes to enhance the relevant information
for the task at hand. Kim et al. [57] proposed using a hierarchical attention network (HATs) to predict individual stock
prices and market index movements using relational data. HATs employ LSTM and GRU as feature extraction modules
for these respective tasks and achieve better results than previous methods by aggregating different types of data and
adding this information to each representation. Similarly, Sawhney et al. [108] proposed a multipronged attention
network for stock forecasting (MAN-SF) that fuses information from financial data, social media, and inter-stock
relationships using hierarchical attention to train a GAT.
One approach for forecasting a specific firm’s trend is using GCNs based on pre-established relationships among
firms. However, momentum spillovers can occur through various firm connections, the significance of which can
change over time. Cheng and Li [19] introduced an attribute-driven graph attention network (AD-GAT) to capture these
attribute-driven momentum spillovers. This network utilizes an unmasked attention mechanism to infer the dynamic
firm relationships within the market signal, utilizing a feature extraction module based on tensors. The proposed model
was found to be more accurate and have a higher AUC than GCN, eLSTM [67], and TGC [41] in experiments using
three years of data from the S&P 500.
4.6 Transformer Based Models

CNNs excel in handling spatial data by creating an internal representation of two-dimensional information. In addition,
RNNs are better suited for tasks involving temporal or sequential data, such as financial news, tweets, and stock price
time series. However, RNNs may struggle with processing long sequences as the model can forget the contents of distant
locations or mix up the contents of nearby positions. The Transformer addresses this issue by utilizing a self-attention
mechanism and positional embedding to process sentences. As a result, the Transformer model has shown promising
results in various stock market prediction tasks.
Transformer Based Models. In an effort to enhance stock volatility models, Ramos-PÃľrez et al. [104] implemented
machine learning and deep learning techniques. They proposed the Multi-Transformer model, a variation of the existing
Transformer model, which utilizes a strategy of randomly selecting various training data subsets and incorporating multi-
attention methods to increase the stability and accuracy of attention processes. Similarly, Ding et al. [28] introduced the
hierarchical multi-Scale Gaussian Transformer for predicting stock movements. They improved upon the traditional
Transformer by incorporating multi-scale Gaussian prior and optimizing locality, as well as implementing Orthogonal
Regularization to prevent redundant learning heads under multiple attention. Additionally, they developed the Trading
Gap Splitter for the Transformer to aid in learning the structural hierarchy of high-frequency financial data.
Transformer models have been shown to effectively capture long-term dependencies, making them well-suited
for tackling problems related to temporal dependence. Li et al. [72] proposed a novel Transformer encoder attention
(TEA) framework that utilizes attention mechanisms to address issues of time dependency in financial data and reveal
hidden information in stock prices related to social media texts. The TEA model utilizes a feature extractor and cascade
processor architecture, consisting of a Transformer encoder, attention mechanism, and normalization technique. The
feature extractor effectively gathers information from past text and stock prices for five calendar days in order to
extract crucial information. Similarly, Zhang et al. [153] introduced the Transformer-based attention network (TEANet)
architecture to handle time-dependent problems utilizing five calendar-day data. The TEANet framework includes a
deep textual feature extractor that utilizes the Transformer and a concatenation processor to effectively incorporate and
balance the influence of various elements, such as tweets and market prices. Yoo et al. [150] improved predictive accuracy
by leveraging connections between multiple equities. To achieve this, they introduced the Data-axis Transformer with
Multi-Level Contexts (DTML). The DTML model builds asymmetric and dynamic correlations in an end-to-end approach
to learn the correlations between stocks and provide final predictions for all individual stocks.
Many studies utilizing Transformer-based models employed textual information as input to understand the sentiment
in stock-related news media. The goal of financial news sentiment analysis is to predict market reactions to the
underlying information in texts [148]. According to Li et al. [68], social sentiment plays a crucial role in reflecting
public views on stock trends. To gather this information, a collection of social sentiments and professional opinions
was collected from both social platforms and financial news articles. This data was then fed into a tensor Transformer
for model training, which helped to eliminate noise and capture more intrinsic relationships. The trained model could
then be used to explore the impact and function of social emotions using data from various sources. Liu et al. [78]
argued that existing social media-based stock prediction algorithms only considered individual stock semantics and
correlations, but failed to account for the contradicting information present on vast social media platforms. They
proposed a Capsule network based on Transformer Encoder (CapTE) as a solution, which includes a Transformer
Encoder to capture deep semantic features and structured relationships among tweets. Yang et al. [145] proposed a
Hierarchical, Transformer-based, multi-task (HTML) model for predicting short-term and long-term asset volatility.
Additionally, they used audio data in addition to common news and reports about finance to make predictions.
Chen et al. [15] introduced the Gated Three-Tower Transformer (GT3) as a solution for extracting and integrating
multivariate stock time series. To address the challenge of limited receptive fields, they implemented the Shifted
Window Tower Encoder (CWTE) for capturing channel-wise features from data embedding. In order to extract and
aggregate multi-scale temporal information, the team developed the Shifted Window Tower Encoder (SWTE) with
multi-temporal aggregation. For sophisticated text feature extraction, the team employed a vanilla Transformer encoder
as the Text Tower Encoder (TTE). Additionally, the Cross-Tower Attention method was implemented to aid the model
in understanding market tendencies and the meanings conveyed by social media content. The features from CWTE,
SWTE, and TTE are then fused through an adaptive gate layer for efficient and accurate results.
Pre-trained Language Model. BERT, a language model based on the Transformer architecture, has become a popular
choice for pre-training in natural language processing tasks [26]. The model utilized two unique training methods,
namely masked-language modeling (MLM) and next sentence prediction (NSP) [26], to gain an understanding of
relationships between words and long-term dependencies between sentences. Additionally, BERT’s pre-trained model
could be fine-tuned to suit specific use cases.
Financial news is considered a key source of information for stock market analysis and its impact on stock returns
has been well-documented [71]. Dong et al. [32] proposed a BERT-LSTM model that uses the BERT to extract the
direction of stock prices based on social media news, while the autoregressive LSTM integrates information features as
covariates. The model also utilizes historical price trends to predict future stock price movements. Sonkiya et al. [118]
employed the BERT model for sentiment analysis on news and headlines about Apple Incorporation. The sentiment
scores obtained from the analysis were used as input vectors for a GAN, which consisted of a GRU and a CNN as the
generator and discriminator. The GAN was able to generate data continuously and discriminate between true and
generated samples of stock prices, thus achieving the desired prediction effect. The model’s early convergence was
optimized by using sentiment scores as input. Colasanto et al. [21] improved stock forecasting by utilizing AlBERTo
[99], a Transformer-based model, for sentiment analysis of Italian social media. This model calculates the sentiment
values of various event news in the market that may affect stocks.
Instead of relying solely on the sentiment found in texts for stock market prediction, some researchers propose
that news comments can influence investors’ sentiment and ultimately affect their estimation of market trends and
investment decisions. Li et al. [65] used the BERT pre-training model to evaluate and classify investor comments found
on news websites. They applied a cross-sectional regression analysis approach to validate the relationship between
Agent: Trader
R !"# Reward R ! (Reinforced Trading Model)
S!"# State S!
Environment Action A!
(Stock Market) Policy Network / Q Network
Fig. 6. In the field of financial trading, the interaction between the agent (trader) and the environment (financial market) is crucial.
RL algorithms utilize this interaction by considering the financial market and trader as the environment and agent, respectively.
Within the agent, different RL algorithms may incorporate the use of policy networks and Q networks. The financial data and returns
in finance can be viewed as the state 𝑆 and reward 𝑅 in RL, while the trading transaction can be considered as the action 𝐴 in RL.
investor emotions and stock returns, utilizing a two-step cross-sectional regression validation [39] to eliminate any
potential issues with heteroskedasticity and consistency in the data. Zhao et al. [155] also acknowledged the importance
of expert stock commentary for accurate stock prediction and thus chose to utilize BERT for more comprehensive and
accurate translations of comments from field experts. They noted that the fixed-length text input of BERT can lead to
poor performance in exploring long text information. To overcome this limitation, they employed a sliding window
technique to segment the original text, increasing the sample size and reducing over-fitting, to capture all information
from the lengthy text. Furthermore, they extracted the output features from each layer of the BERT model and applied
an ablation strategy to extract useful information from these features.
The utilization of BERT in the stock market is not limited to just predicting prices or movements. Zhou et al.
[158] proposed a bi-level BERT-based model for detecting predefined trading events, which is further enhanced by
incorporating a wide range of financial texts. The low-level model is a multi-label token classifier that identifies events
for each token in each phrase. The high-level model combines the output of the low-level model with the entire article
to determine the likelihood of each event occurring. The final trading strategy is based on the recognized time and
ticker, utilizing string matching to detect events. Hsu et al. [48] adopted a selective perturbed masking (SPM) approach
for aspect-based sentiment analysis. SPM analyzes the value of each word in a sentence and replaces insignificant
words using two replacement strategies without compromising aspect-level polarity to tackle readability and semantic
consistency issues. The authors tested SPM for stock price and risk change prediction as a real-world scenario for
sentiment analysis and further evaluated it in sub-tasks such as aspect term sentiment classification (ATSC) and aspect
term extraction (ATE).
4.7 Reinforcement Learning Models

In the stock market, RL is utilized to design trading strategies and manage portfolios. RL is a framework that allows for
learning through interactions with the environment, as depicted in Figure 6. Key concepts in RL include the Markov
Decision Process (MDP) [102], agent, environment, and reward signal. The RL problem can be formulated as follows:
the agent optimizes its policy through interactions with the environment. Specifically, the agent consists of a state and
a policy represented by 𝑆𝑡 and 𝜋 at time t. When the agent interacts with the environment, a reward 𝑟 is received and
the agent’s state is updated to 𝑆𝑡 +1 . A decision process is considered Markov if the next state is solely dependent on the
current state.
MDP also can be defined in the form of a tuple: M = {S, A, R, T , 𝛾 }, where the states and actions are represented by
S ∈ R𝑛 and A ∈ R𝑚 , respectively. The function R : S ×A → R represents the reward, and the function T : S ×A → S
represents the next state. The discount factor 𝛾 is used to decrease the impact of future rewards. The objective of RL is
to optimize the policy, in order to maximize the expected return.
The general trading process, which includes both high-frequency trading and portfolio management, can be visualized
in Figure 6. This process can be formalized as a decision-making process, represented by the MDP M = S, A, R, T , 𝛾. In
this MDP, the state 𝑠 contains fundamental information and market data for companies, as well as the position held by
the agent. The action 𝑎𝑡 is a continuous or discrete vector indicating the number of stocks being traded at a given time
step. The reward 𝑟 for each time step is the profit gained at that step. The state transition T is determined by both the
Í∞ 𝑡 −1
state and action. The goal of RL algorithms is to find a policy that maximizes the expected return 𝑅 = 𝐸 [ 𝑖=1 𝛾 𝑟𝑡 ]
𝜏
over a trajectory 𝜏.
4.7.1 Model-free Reinforcement Learning. Model-free RL algorithms are a well-established branch developed in recent
decades where the agent interacts directly with the environment. In model-free settings, policy gradient, Q-learning,
and hybrid algorithms are widely used in the financial market.
Policy Gradient. The RL aims to maximize the expected return. One direct way is to maximize the objective function
𝐽 (𝜋𝜃 ) = 𝐸𝜏∼𝜋𝜃 [𝑅(𝜏)]. The gradient of this function, known as ∇𝐽 (𝜋𝜃 ), is called the policy gradient. By using the
Log-Derivative Trick, the gradient can be transformed into:
"𝑇 #
∑︁
∇𝜃 𝐽 (𝜋𝜃 ) = E ∇𝜃 log 𝜋𝜃 (𝑎𝑡 | 𝑠𝑡 ) 𝑅(𝜏) . (1)
𝜏∼𝜋𝜃
𝑡 =0
The REINFORCE algorithm [135] is the basic policy gradient algorithm. The Advantage Actor-Critic (A2C) [92]
algorithm improves REINFORCE by adding a baseline to reduce the variance and a critic to estimate the state values,
which can evaluate the action token. To improve the efficiency of A2C, the Asynchronous Advantage Actor-Critic (A3C)
[92] algorithm was proposed, which uses multiple agents to train the actor-critic network asynchronously. The Trust
Region Policy Optimization (TRPO) [113] and Proximal Policy Optimization Algorithms (PPO) [114] set constraints on
the KL-Divergence and clip, respectively, on how much difference there is between the old policy and the new policy
and take the biggest improvement step under these constraints.
The REINFORCE algorithm has gained attention in the field of financial trading due to its ability to be optimized
through gradient ascent. For instance, Liang et al. [76] evaluated the effectiveness of three different RL algorithms,
including DDPG, PPO, and REINFORCE, in an adversarial training setting and found that REINFORCE performed the
best. These experiments were conducted on the China stock market and the authors suggested that the policy gradient-
based method is particularly well-suited for financial scenarios. Additionally, incorporating historical information into
the state by using a policy gradient with a recurrent network has also been a promising approach. Jiang, Xu, and Liang
[55] developed a model-free financial RL framework for portfolio management that incorporates CNN, RNN, and LSTM,
and was built on the deterministic policy gradient (DPG). The framework was tested in the cryptocurrency market and
was shown to outperform other methods.
The actor-critic-based method has been shown to be effective in reducing policy variance by incorporating state
value. Li, Rao, and Shi [64] and Ponomarev, Oseledetsa, and Cichocki [100] both employed actor-critic methods (A2C
and A3C respectively) in combination with CNNs to analyze the China stock market and RTS index future respectively.
In their study, Li, Rao, and Shi [64] found that their proposed Deep Actor-Critic Trading (DACT) strategy outperformed
other methods such as buying and holding, DQN, and REINFORCE. Meanwhile, Ponomarev, Oseledetsa, and Cichocki
[100] achieved promising results, achieving 66% profitability per year even when accounting for commission fees.
Several studies have sought to improve performance in quantitative trading by utilizing information on the rela-
tionships between different stocks, rather than solely focusing on improving RL algorithms. For instance, Wang et al.
[131] developed the AlphaStock method, which utilizes a sharp ratio-oriented policy gradient approach to address
challenges in portfolio management such as balancing profit and risk and avoiding extreme losses. The method fuses
information on the relationships between assets and is the first to implement an interpretable trading strategy using
Deep Reinforcement Learning (DRL). The algorithm was tested in both the US and China stock markets, and the results
showed its effectiveness, robustness, and generalization ability. It tends to select stocks that have increasing tendencies
and low volatility. Building on AlphaStock, Wang et al. [133] proposed a new policy gradient trading algorithm called
DeepTrader for portfolio management. It includes an Asset Scoring Unit (ASU) and a Market Scoring Unit (MSU). The
ASU extracts temporal and spatial features crossing assets using dilated CNN and attention mechanisms, respectively,
and also introduces GCNs to represent interrelationships and causal relationships between assets. The MSU controls
overall positions for long and short, and its main network is an LSTM that extracts historical market representation.
DeepTrader was tested in different stock markets and achieved the most profitable performance with less risk compared
to baselines.
Q-learning method. Q-learning is a method for obtaining the optimal policy by updating the action-state value,
represented by 𝑄. The Bellman update is used to update 𝑄 until it converges to the optimal value. The optimal
policy can then be found by searching the 𝑄 values greedily. The emergence of the Deep Q-learning Network (DQN)
brought Q-learning to a new level by using a deep neural network to approximate the Q value. Prior to DQN, many
studies in finance trading utilized tabular Q-learning algorithms [8, 17, 24, 36, 53, 61]. DQN-based models have shown
promising results in this field. Carapucco Neves and Horta [10] used a DQN-based RL agent for forex trading, resulting
in stable learning and environmental construction. Lucarelli and Borrotti [85] proposed a Double Dueling DQN for
cryptocurrency trading and evaluated the performance of different reward functions, such as the profit reward function
and sharp ratio reward function. Theatre and Ernst [121] developed a DQN-based trading algorithm using a limited
stock market dataset and introduced new assessment indicators, including the Sharp ratio, Sortino Ratio, and profit or
loss ratio.
Researchers have been increasingly drawn to variants of DQN with recurrent networks due to their ability to handle
time-series data. Huang [51] proposed an MDP model for stock trading that combines time, market, and position
features, and leveraged a recurrent DQN with small replay memory and action augmentation to solve the model. Chen
and Gao [16] also used a variant of DQN, the Deep Recurrent Q-network (DRQN), for automated trading on S&P 500
ETF data and achieved superior performance compared to other methods. Additionally, Tsantekidis et al. [123] applied
recurrent DQN in the forex market with the use of a novel reward function that incorporates price trailing, profit,
Sharpe ratio, and maximum drawdown to enhance the algorithm’s simplicity and effectiveness.
Recurrent algorithms, such as RNN, LSTM and GRU, that predict market behaviour often rely solely on price
information. However, as Carta et al. [11] have noted, using only price information and a supervised method to
predict future market behaviour is highly challenging. To address this issue, the authors proposed a multi-layer and
ensemble-based trading agent utilizing the DQN. This algorithm utilizes different meta-learners to maximize rewards
and generate trading signals in various iterations. Additionally, all the learners are fused to make the final decision for
trading. The proposed algorithm was tested in both future and stock markets and was found to outperform considered
baselines.
Hybrid methods. Hybrid RL algorithms simultaneously learn both the policy and Q function. One such example is the
Deterministic Policy Gradient method, which includes variations such as Deep Deterministic Policy Gradient (DDPG)
[77], Twin Delay DDPG (TD3) [42], and Soft Actor-Critic (SAC) [44]. In particular, DDPG utilizes an off-policy approach
to learn both the Q value and policy from the Q function. TD3 incorporates techniques such as Clipped Double-Q
Learning, Delay Policy Updates, and Target Policy Smoothing to prevent the overestimation of Q values. SAC, on the
other hand, combines entropy regularization with Clipped Double-Q Learning and updates the Q-network using Polyak
averaging.
The use of DDPG in the financial market has been widely studied by researchers due to its ability to combine the
strengths of policy gradient and Q-learning in continuous action spaces. Xiong et al. [140] applied DDPG algorithms to
a custom environment consisting of 30 Dow Jones Industrial Average component stocks in order to develop a stock
strategy. The agent’s performance was evaluated by comparing it to the Dow Jones Industrial Average index and
a traditional min-variance portfolio allocation strategy. The results revealed that the proposed agent demonstrated
exceptional profitability.
In a similar vein, Bao and Liu [6] employed DDPG with multiple agents to tackle the Liquidation problem. This
approach allows agents to both compete and cooperate with one another, resulting in a significant improvement over
single-agent algorithms. Additionally, Sawhney et al. [111] introduced the PROFIT model, a deep RL-based approach
that utilizes time-aware text analysis to model market information and optimize trading actions. This model was found
to surpass competing methods in terms of profitability and risk management on the S&P 500 and China A-shares
indexes.
RL algorithms have the potential to be used in stock trading, however, creating and training a practical RL algorithm
can be challenging and prone to errors. To address this issue, Liu et al. developed the FinRL library [80], which focuses
on model-free RL algorithms and simplifies the implementation process for users. The library includes tutorials and
various financial environments such as NASDAQ-100, DJIA, S&P 500, HSI, SSE 50, and CSI 300, as well as popular DRL
algorithms like DQN, DDPG, PPO, SAC, A2C, and TD3. Additionally, FinRL includes backtesting metrics for fair and
objective evaluation. The authors has continued to improve the platform with updates such as [75, 79, 81].
Researchers have continued to investigate alternative approaches to RL despite its advancements in the field. Liu et
al. [82] identified two major challenges in the application of RL to quantitative trading: handling noisy high-frequency
financial data and balancing exploration and exploitation. To address these challenges, they proposed the adaptive
trading method iRDPG, which combines imitation learning with the Recurrent Deterministic Policy Gradient. This
approach treated the trading process as a partially observable MDP and was trained using minute-level data, highlighting
its robustness and adaptability in different markets. Similarly, Wang et al. [132] recognized that existing methods
were impractical due to their disregard for price slippage. To address this issue, they proposed a hierarchical model
that incorporated a Reinforcement Learning algorithm for maximum return at the lower level and a policy gradient
algorithm for portfolio weight generation at the higher level. The low-level RL also utilizes one-step temporal-difference
learning to minimize trading costs and make quick trades.

4.7.2 Model-based Reinforcement Learning. In recent years, model-based algorithms have gained increased attention
in the field of RL. These algorithms utilize a parameterized approximator, denoted as 𝑝ˆ𝜂 , to simulate the dynamics of a
MDP defined by the set of states and actions S, A. The model allows for the approximation of both the reward and the
next state, given a specific state and action. Compared to model-free RL algorithms, model-based methods offer several
advantages. Firstly, they can improve data efficiency by addressing challenges related to real-world data sampling,
such as time-consuming or hardware-sensitive processes. Secondly, the parameterized model allows for interesting
exploration strategies. Additionally, model-based methods can improve performance by combining local planning and
global learning. Furthermore, dynamic models can be deployed in new tasks, making them useful in transfer learning
scenarios. Additionally, the model’s ability to capture causality can aid in solving both the intervention problem, which
addresses the impact of a specific action and the counterfactual problem, which addresses the potential outcome of
different actions in a specific situation.
Model-based RL has been used in the development of several trading algorithms due to its potential to improve
the performance of dynamics transition models. Researchers, such as Yang, Yu, and Almahdi [147], have noted that
investor sentiment plays a significant role in the market and have therefore sought to design trading systems that
incorporate this sentiment using the Gaussian inverse RL method. This method aimed to uncover the intrinsic mapping
of investors’ sentiment to market conditions and predict future market trends. While not a model-based method, the
research by Yang et al. [147] provided insight into the potential for using such methods in trading. Wei et al. [134] took
a different approach by training a world model using Limit Order Book data with a frequency of once per 0.17s. By
using a dynamics transition model, the RL agent can interact with a simulated world for optimization instead of the real
environment. The authors also claimed that the trading policy trained using this model can be transferred directly to the
real environment with stable profitability. Model-based RL has also been applied to portfolio management tasks. Yu et
al. [151] proposed an architecture that includes a prediction model, a generative adversarial data augmentation model,
and a policy cloning model. When combined with the DDPG algorithm and trained on hourly price data, the model
demonstrated both profitability and robustness. Briola et al. [9] also employed a model-based approach by building an
end-to-end DRL agent using the PPO algorithm. The agent learns the transition dynamics and implements planning to
achieve long-term returns. The algorithm uses limited order book data and selects training samples with significant
price changes. The results showed that the proposed agent could produce stable profits in non-stationary markets.
4.8 Other Deep Learning Methods

In the field of event-driven stock forecasting, there are two key issues related to the use of indicator data sources: (1) the
low reliability of individual sources and (2) the lack of understanding of the interactions and correlations among multiple
sources. To address these challenges, Zhang et al. [154] developed a coupled matrix and tensor factorization approach.
This approach involves the creation of a quantitative feature matrix, the construction of a matrix, the extraction of
events and sentiments, and the application of coupled matrix and tensor factorization. The resulting model is able to
effectively fill in missing values in sparse tensors, allowing for accurate forecasting of market movements through the
use of factorized low-rank matrices.
Stock movement prediction is challenging in highly stochastic stock markets. To solve this problem, Xu and Cohen
[143] have proposed a solution through their novel deep generative model, Stocknet. This model utilizes both text
and price signals from Twitter data and the previous five days’ price data to predict the stock movement on the sixth
day. The Stocknet model is composed of three parts: the Market Information Encoder (MIE), which encodes tweets
and prices; the Variational Movement Decoder (VMD), which decodes stock movements; and the Attentive Temporal
Auxiliary (ATA), which integrates temporal losses through an attention mechanism.
To address the issue of inadequate generalization caused by uncertainty in data and models, Wang et al. [126]
introduced a copula-based contrastive predictive coding (Co-CPC) method. Co-CPC considers the dependencies between
a stock class, sector, and related macroeconomic variables, and learns stock representations from a micro perspective
in a self-supervised manner. This allows for the mapping of stock characteristics to a generalized embedding space.
The system combines microstock context with diverse macroeconomic factors and captures the coupling through a
self-supervised objective of minimizing uncertainty in data and the model. Similarly, Duan et al. [33] proposed a novel
target-specific abstract-guided news document representation model for extracting the most informative content. The
model uses a target-sensitive representation of the news abstract to weigh sentences in the news content, allowing for
the selection and combination of the most informative sentences for market modelling.
The factor model is a commonly employed asset pricing model in quantitative investment strategies. One of the
major obstacles in constructing efficient factor models is the low signal-to-noise ratio present in financial data. To
address this issue, Duan et al. [34] introduced the FactorVAE, which combines a dynamic factor model with the use of a
variational autoencoder for noise modeling. By approximating the factor posterior factor model with future information,
the FactorVAE can effectively guide the learning process.
5 DATASET AND MODEL INPUT

In the field of stock prediction, the datasets utilized by machine learning models vary depending on the perspective
being taken in different stock markets. Two tasks that draw the most attention are predicting stock prices and price
movements. Additionally, much of the research utilizing reinforcement learning (RL) centers around developing trading
policies. When it comes to the input features used in the models, datasets can be broadly classified into two groups:
intrinsic and extrinsic data. Intrinsic data primarily includes information extracted from the stock data itself, such as
historical stock prices, financial indexes, and other technical analysis data. As stock data is inherently time-series in
nature, intrinsic data is typically composed of time-series data. Moreover, extrinsic data can be quite varied and may
include information such as text, fundamental data, industrial knowledge graphs, and more [54]. Furthermore, the
datasets used in this area of research can cover a wide range of time periods, from a few months to a decade or more.
Another notable characteristic of the datasets is that they often come from different regions, with the majority being
based on the US market, but also including markets from China, Japan, and India. A list of commonly used stock market
abbreviations with country information can be found in Table 1. Table 2 provides an overview of the datasets and model
details used in the reviewed papers.
(1) Stock Price. The stock price is considered the most direct reflection of the stock market’s performance and is
commonly used as both an input feature and a predicted target in various models. In the papers reviewed in this
survey, the use of stock price was prevalent, but it was utilized in various forms such as open, high, low, and
closed data, depending on the model design.
(2) Technical analysis tools. Technical analysis tools, commonly employed in traditional stock analysis, have a
strong correlation with stock market performance. These tools take into account factors such as exchange rate,
book-market ratio, trading volume, and other relevant financial indicators.
(3) Macroeconomic data. Macroeconomic data reflects the economic status of a specific region. Two commonly used
indicators that are linked to the stock market are the Consumer Price Index (CPI) and Gross Domestic Product
Table 1. Introduced Stock Market Abbreviations.
Abbreviation Country Full Name

CSI-300 China Index of top 300 stocks in Shanghai and Shenzhen stock exchanges
SSE China Shanghai Stock Exchange
SZI China Shenzhen Component Index
SZSW China Shenzhen Stock Exchange
HKEX China Honkong Stock Exchange
NSE India National stock exchange of India
Nifty 50 India The benchmark index of the NSE (National Stock Exchange) of India
BSE India Bombay stock exchange
Nikkei 225 Japan 225 companies in Tokyo Stock Exchange
TOPIX Japan Tokyo Stock Price Index
KOSPI Korea The Korea Composite Stock Price Index
S&P 500 US Standard and Poor 500 Index
SPX US S&P 500 index
DJIA US Dow Jones Industrial Average
NASDAQ US National Association of Securities Dealers Automated Quotations Stock Market
NYSE US New York Stock Exchange
IWD US iShares Russell 1000 Value
IWC US iShares Micro-Cap
SPY US SPDR S&P 500 ETF
DEM US WisdomTree Emerging Markets High Dividend
VTI US Vanguard Total Stock Market ETF
(GDP). These indexes provide insight into the current market conditions and indicate whether the stock market
is experiencing growth or decline [54].
(4) Fundamental data. Fundamental data refers to comprehensive information about an economic entity, including
financial conditions, corporate structure, and any other information shared with shareholders. However, when it
comes to utilizing this data in deep learning models, only a small portion is utilized due to limitations such as
low reporting frequency and unstructured textual information.
(5) Knowledge graph. Different industries may have intrinsic connections, such as corporations in a single supply
chain being affected by the same news. Recent experiments have shown that incorporating knowledge graphs
from open sources with traditional stock data can improve the performance of models.
(6) Textual information. Textual information encompasses a wide range of sources, including but not limited to news
articles, reports, social media posts, and user comments. Given that a majority of this information is unstructured,
sentiment analysis is a widely employed technique for extracting insights through deep machine learning. The
data can be categorized into various classes, such as positive, neutral, or negative, for further analysis and
utilization.
5.1 Input Features

The input features are extracted and organized based on the prediction target and dataset constitution, which can be
roughly divided into four groups: time series, texts, knowledge graphs, and others.
(1) Time series. Time series data is a prevalent input in stock prediction due to the fact that many models rely on
modeling stock price over time. The specific time frame of the prediction, such as intraday or interday, can
determine the granularity of the data used, ranging from minute-level to day-level. Additionally, in the context
of reinforcement learning, the time series data can be transformed into an environment where features can be
utilized for creating states and rewards. This allows agents to interact with the environment and continually
improve their decision-making policies.
(2) Text. Textual information encompasses a broad range of information sources such as news and articles. This
type of information is thought to have a ripple effect on investor emotions. However, before being utilized in
models, the textual information must undergo preprocessing and structuring, as it may originate from various
languages and sources.
(3) Graph. The industrial knowledge graph is widely utilized, not only for displaying direct connections between
corporations but also for uncovering internal relationships such as upstream and downstream supply chains.
(4) Others. Different data sources have been utilized in the stock prediction task, each offering unique perspectives.
These include image data and audio data [145]. These data are employed as supplementary information, for
instance, vocal features, such as voice tones, which can indicate the sentiment of speakers.
Table 2. Datasets and models in reviewed papers. The column ’Input’ refers to the model input features, while ’Target’ refers to the
model prediction target.
Author Methods Input Target Dataset Time Span
Rather [106] RNN Price Stock Return NSE 2007 - 2010

Akita [106] LSTM Price, Text Stock Price Nikkei 225 2001 - 2008
Nelson [1] LSTM Price Price Movement Brazilian stock exchange 2014
Zhao [156] LSTM Price Price Movement Yahoo! Finance. 2002 - 2007
Zhang [152] RNN Price Price Movement Yahoo! Finance 2007 - 2016
Yang [146] GRU Text, S&P 500 Price Movement Reuters, Bloomberg 2006 - 2013
Li [63] LSTM Price Stock Price CSI-300 index 2013 - 2017
Hu [49] GRU Price, News Price Movement Chinese stock data, Economic news 2014 - 2017
Nguyen [95] LSTM Stock pice Price Movement KOSPI 200 and the S&P 500 2012 - 2018
Wang [130] LSTM Price, Indicators Price Movement Oil, Gold, Gas, Soybeans, S&P 500 and Nasdaq 100 2010 - 2017
Feng [40] LSTM Price Price Movement NASDAQ, NYSE 2007 - 2017
Ma [87] LSTM Price, News Price Movement Sohu, SSE 2009 - 2016
Chen [14] Bi-LSTM Event, Price, News Price Movement finance news related to TOPIX top 1000 stocks 2011 - 2017
Ding [27] LSTM Price Stock Price SSE, PetroChina on SSE, ZTE on SZI.
Shen [117] Hypergraph Price, Indicator Price Movement SSE 2008
Luo [86] Hypergraph Price Price Movement SSE 2008
Chen [18] GCN Stock data, Graph Stock Price CSI 300 2017 - 2017
Kim [57] GAT Stock data, Graph Price Movement U.S. stock market, related Wikidata 2013 - 2019
Feng [41] GCN Stock data, Graph Return Ratio NASDAQ, NYSE 2013 - 2017
Matsunaga [90] GNN Stock data, Graph Stock Price Nikkei 225 2009 - 2019
Sawhney [109] GCN Price, Graph Price Movement S&P 500, Yahoo finance 2013 - 2019
Sawhney [108] GAT Price, Graph, Text Price Movement S&P 500, NYSEïĳŇNASDAQ, Yahoo Finance. 2014 - 2016
Li [69] GCN Price, Graph, Text Price Movement TPX500, TPX100 index, Reuters Financial News 2018 - 2018
Wang [129] MFN Price, Text Stock Price Guba 2017 - 2018
Wang [127] Conv., Gating Price, Text Price Movement CSI-300, S&P 500, TOPIX-100 2015-2020
Xu [141] HGNN Stock data, Graph Price-limit-hitting Stocks SSE, SZSE 2018 - 2019
Li [70] GNN Stock, Text, Graphi- Price Movement SSE,CSI,SZI 2013 - 2019
cal Indicators
Xu [142] HIST Stock Data Price Movement CSI 100, CSI 300 2007 - 2020
Ding [30] NTN Price, Text Price, Index S&P 500, related news 1999
Deng [25] KDTCN DJIA, Text Price Movement DJIA, Reddit news, Freebase, Wikidata 2008 - 2016
Rasheed [105] CNN Price Stock Price Amerisource Bergen Corporation, Cardinal Health
Eapen [35] CNN Price Stock Price S&P 500 grand challenge dataset on Yahoo 2008 - 2018
Wu [137] CNN Price, Indicators Price Movement TSM, NYSE, NASDAQ

Continued
Lu [84] CNN-BiLSTM- Price Stock Price SCI 1991 - 2020

AM
Lu [83] CNN-LSTM Price Stock Price SCI 1991 - 2020
Wu [136] SACLSTM Price Stock Price Stock price of USA and Taiwan
Wang [128] CNN-BiSLSTM Price Stock Price SZCI 1991 - 2020
Mehtab [91] CNN-LSTM Stock index, Price Stock Price NIFTY 50 2009 - 2020
Hoseinzade [47] U-CNNpred Stock index, Price Price Movement S&P 500 2010 - 2017
Zhou [158] BERT Price, Text Stock Events EDT dataset, Financial articles, S&P 500 index, ETF 2020 - 2021
Ding [28] Transformer Price, Indicator Price Movement NASDAQ, CSI-500 2010 - 2019
Dong [32] BERT+LSTM Stock data, Text Stock Price Tweet news, DJIA stocks 2019 - 2020
Yang [145] Transformer Price, Text, Audio, Volatility S&P 500 Earning Conference Calls dataset 2017
Video
Man [89] BERT Stock data, Text Trading Strategy CSI 300 index, Related news 2018 - 2019
Hsu [48] BERT,seq2seq Text Price Movement Lap14,Rest14, Rest15, Rest16, SST-2, MR 2014 - 2016
Yoo [150] Transformer Price Price Movement ACL181, KDD171, NDX100, CSI300, NI225, FTSE100 2007 - 2019
Ramos-PÃľrez MultiâĂŚTransformerPrice Volatility S&P 500 2016 - 2020
[104]
Sonkiya [118] FinBERT, GAN Stock data,Text Stock Price NYSE, NASDAQ, S&P 500, NIffty 50, SSE, HKI, HKEX, 2010 - 2020
News
Li [65] BERT Price, Text Stock sentiment Oriental Fortune online review, Monthly yield 2018 - 2020
Li [68] Tensor Trans- Price, Text Stock movement CSI 100 companies, news, social reviews 2010 - 2011
former
Liu [78] Transformer Price, Text Price Movement S&P 500 2017
Zhang [153] Transformer Price, Text Price Movement Stocks, Twitter, CHRNN, Stocknet-dataset 2008 - 2019
Colasanto [21] AlBERTINO, Price, Text Stock Price FinancialPhrasebank, EssilorLuxottica, Intesa San- 2012 - 2022
Transformer Paolo, UnipolSai
Chen [15] Transformer Price, Text Stock movement S&P 500, Tweets, Stock consequential data 2014 - 2019
Li [72] Transformer, Price, Text Stock movement 88 highest-ranked stocks
LSTM
Jiang [55] Deterministic Cryptocurrency Portfolio Tradable cryptocurrency pair, cryptocurrencies 2014 - 2017
Policy Gradient price
Liang [76] Adversarial PG Price Portfolio China stock market and US stock market –
Li [64] A2C Price Policy CSI 300 stocks 2005 - 2018
Huang [51] DQN Tick-by-tick forex Policy 12 currency pairs from TrueFX.com 2012 - 2017
Xiong [140] DDPG Price, Assets Policy 30 DJIA stocks 2016 - 2018
Yang [147] IRL Stock return rate Policy, Stock Movement SPX, IWD, IWC, SPY, DEM, VTI 2008 - 2015
Chen [16] DQN Price Policy S&P 500 stocks 2000 - 2018
Ponomarev [100] A3C Future Price Policy RTS Index futures (MOEX:RTSI) asks and bids 2015 - 2016
Wang [131] Policy Gradient Trading features Portfolio U.S. stock markers 1970 - 2016
Bao [6] DDPG Stock data Policy Simulation Environment –
Tsantekidis [123] PPO, DQN forex price Policy Instrument combinations with currencies 2009 - 2018
Liu [80] DQN, PPO, TD3, Balance Shares own Policy NASDAQ-100, DJIA, S&P 500, SSE 50, CSI 300, HSI, -
DDPG, SAC, A2C price
Liu [82] iRDPG Indicators Policy 300 stocks on SSI and SZI 2016 - 2019
Wang [133] Policy Gradient Indicators Portfolio DJIA 30, HSI 49, CSI100 1971 - 2019
Carta [11] DQN Price Policy S&P 500 future market, J.P. Morgan, Microsoft 2012 - 2019
Wang [132] REINFORCE, Stock, States. Portfolio 23 DJIA stocks, 23 SSE 50 Index stocks 2000 - 2018
DDQN
Briola [9] PPO, DQN Volumns, Position Policy scale market activities description 2019
Liu [81] DQN, PPO, TD3, States, Price, Senti- Policy Dow-30, NASDAQ-100, S&P-500, Cryptocurrencies, -
DDPG, SAC, A2C ment Currency, Futures
Li [75] Ensemble Strat- States, Price, Senti- RL policy Acceleration. NASDAQ stocks 2019 - 2021
egy ment

Continued
Liu [79] DRL-based strat- States, Price, Senti- RL environments 30 DJIA stocks, 10 market cap cryptocurrencies -
egy ment
Zhang [154] CMT Stock data, Text Stock Price CSI 100, HKEX, Wind data and news, Guba posts 2015
Duan [33] Bi-LSTM Stock Return Stock Return NYSE, Amex, NASDAQ news 2006 - 2015
Xu [143] Deep Generative Text, Price Stock Movement Conglomerates sector stocks 2014 - 2016
Sawhney [111] RL Tweets, News, Price Stock Price StockNet, China, Hong Kong 2014-2016
Ang [3] GNN News, Price Stock return IN-NY, IN-NA, BE-NY, BE-NA 2015-2019
Sawhney [110] LSTM Tweets, News, Price Stock Price StockNet, China, Hong Kong 2014-2016
Zhou [157] GRU, CNN Stock data Stock Price China 1991-2020
Chandar [13] CNN Stock data Stock Trading NASDAQ and NYSE 2009-2018
Li [74] LSTM+GRU Stock data + news Stock Movement S&P 500 Index 2017-2018
Wang [125] GCN Stock data Stock Trading 42 commonly used indices 2009-2021
Duan [34] VAE Price stock return China A share 2017-2020
Wei [134] Model-Based RL LOB, Trade prints Trading strategy Hong Kong Stock Exchange. 2018
Yu [151] Model-Based RL Stock Price Portfolio U.S. equities 2005-2018
Yin [149] GCN+GRU Price, trade volume Price, Price direction DJIA,exchange-traded funds (ETFs) 2010-2020
Zhao [155] BERT stock price,text Stock Movement East Money 2020
6 EVALUATION
Evaluation measures play a crucial role in assessing the performance of stock market forecasting models. They are used
to compare the forecasts made by different models to actual values. Commonly used evaluation metrics for classification
models include accuracy-based metrics, while error-based metrics such as MAE and RMSE are commonly used for
regression models. In this article, we classify the existing evaluation metrics into three categories: accuracy-based,
error-based, and return-based. The accuracy-based and return-based metrics are considered to be better when their
values are larger, while the error-based metrics are considered to be better when their values are smaller. Table 3
provides a summary of the papers that use these three types of evaluation metrics.
6.1 Accuracy-based Evaluation Metrics

In this section, we will clarify a few key terms used throughout. The acronym TP stands for "True Positive," indicating
a scenario where both the actual class and the model’s prediction are positive. TN, or "True Negative," represents a
situation where both the actual class and the model’s prediction are negative. FP, or "False Positive," refers to when the
model predicts a positive class, but the actual class is negative. Lastly, FN, or "False Negative," denotes when the actual
class is positive, but the model’s prediction is negative.
Accuracy. Accuracy, which evaluates the proportion of correctly classified predictions to the total number of predic-
tions, is the most commonly used metric in classification tasks. It can be represented by the equation: 𝐴𝑐𝑐𝑢𝑟𝑎𝑐𝑦 =
𝑇 𝑃 +𝑇 𝑁 .
𝑇 𝑃 +𝑇 𝑁 +𝐹 𝑃 +𝐹 𝑁
In a multi-classification confusion matrix, the correctly classified samples are represented on the diagonal line from
top left to bottom right. This metric, known as Accuracy, evaluates the overall performance of a model in identifying
samples. For instance, in the study conducted by Hu et al. [49], Accuracy was used to measure the annualized rate of
return, and in the research by Chen et al. [18], it was employed to evaluate the outcomes of stock price prediction.
However, it is important to note that Accuracy may not be an appropriate metric for datasets with imbalanced class
Table 3. The typical papers are in three evaluation methods, Accuracy-based, Error-based, and Return-based evaluation metrics.
Evaluation methods Author Year Conference/Journal name Methods Evaluation methods

Nelson et al. [94] 2017 IJCNN LSTM Accuracy, Precision, Recall, F1-
score
Zhao et al. [156] 2017 ICTAI LSTM Accuracy
Accuracy-based
Hu et al. [49] 2018 WSDM GRU Accuracy
Chen et al. [18] 2018 CIKM GCN Accuracy
Deng et al. [25] 2019 World Wide Web Conference KDTCN Accuracy, F1-score
Li et al. [72] 2022 Complexity Transformer, Accuracy, MCC
LSTM
Rather, Agarwal and Sastry [106] 2015 ESA RNN MSE, MAE
Zhang et al. [152] 2017 KDD RNN MSE
Li et al. [68] 2017 MTA Tensor Trans- RMSE
former
Error-based
Li et al. [63] 2018 PMLR LSTM MSE
Feng et al. [41] 2019 TOIS GCN MSE
Rasheed et al. [105] 2020 IEEE CNN MAE, RMSE
Eapen et al. [35] 2019 IEEE CNN MSE
Dong et al. [32] 2020 IEEE BERT, LSTM RMSE
Li Rao and Shi [64] 2018 ISCID A2C SR
Xiong et al. [140] 2018 NeurIPS DDPG SR
Feng et al. [41] 2019 TOIS GCN MSE, IRR
Sawhney et al. [109] 2020 ICDM GCN SR
Return-based
Li et al. [70] 2022 MTA GNN SR, IR, MD
Zhou et al [158] 2021 IJCNLP BERT Average Return
Wang et al. [131] 2019 AAAI PG SR
Wang et al. [132] 2021 AAAI REINFORCE, AAR, SR
DDQN
distribution, and additional indicators should be employed to provide a more accurate representation of the model’s
performance.
Precision, Recall, F-measure. The precision, recall and F1-score can be represented as equation 𝑃𝑟𝑒𝑐𝑖𝑠𝑖𝑜𝑛 = 𝑇 𝑃𝑇+𝐹
𝑃 ,
𝑃
𝑇 𝑃 2×𝑃𝑟𝑒𝑐𝑖𝑠𝑖𝑜𝑛×𝑅𝑒𝑐𝑎𝑙𝑙 2×𝑇 𝑃
𝑅𝑒𝑐𝑎𝑙𝑙 = 𝑇 𝑃 +𝐹 𝑁 , and 𝐹 1 = 𝑃𝑟𝑒𝑐𝑖𝑠𝑖𝑜𝑛+𝑅𝑒𝑐𝑎𝑙𝑙 = 2×𝑇 𝑃 +𝐹 𝑃 +𝐹 𝑁 .
In a multi-classification task, the performance for each class can be evaluated using precision, recall, and F1-score.
Precision refers to the number of true positive cases that are predicted by the binary classifier. This metric reflects the
reliability of the model in correctly identifying positive samples. Recall, on the other hand, measures the number of
true positive cases in the test set that are predicted by the binary classifier. It indicates the model’s ability to detect
positive samples. The F1-score is a combination of both precision and recall, and it has been widely used in recent works
such as [21, 25, 94, 117, 150] to evaluate the performance of neural networks. The F1-score aims to strike a balance
between precision and recall for a fair evaluation of the model. However, it should be noted that when the model’s
performance is evaluated using precision, recall, and F1-score, it may lead to an imbalance and ignore the true negative
cases. Therefore, the Matthews Correlation Coefficient (MCC) can also be introduced as a possible evaluation strategy.
Matthews Correlation Coefficient (MCC). The MCC (Matthews Correlation Coefficient) is a useful tool for evaluating
the performance of a single-value classification model. It provides a summary of the information contained in a confusion
matrix, which is a matrix used to represent the results of a classification model. The confusion matrix is typically
represented in the following format: 𝑀𝐶𝐶 = √ 𝑇 𝑃 ×𝑇 𝑁 −𝐹 𝑃 ×𝐹 𝑁 .
(𝑇 𝑃 +𝐹 𝑃 ) (𝑇 𝑃 +𝐹 𝑁 ) (𝑇 𝑁 +𝐹 𝑃 ) (𝑇 𝑁 +𝐹 𝑁 )
The MCC is a measure of the correlation between predicted and actual samples, with a range of values from -1 to 1. A
value of 1 indicates a perfect positive correlation, while a value of -1 indicates a perfect negative correlation, which
occurs when the classifier misclassifies. The MCC is more robust to imbalanced categories compared to accuracy-based
metrics. Several studies, such as [72, 126, 143, 154], have used MCC to evaluate their prediction results.
6.2 Error-based Metrics

Evaluating the performance of a prediction model can be done by comparing the predicted values to the actual values.
One of the most widely used methods for this is measuring the error between the two. A lower error value indicates a
better performance. In the context of stock market prediction, various error-based evaluation metrics are commonly
utilized. These include the mean absolute error, mean square error, root-mean-square deviation, and mean absolute
percentage error. In these metrics, a higher value indicates a better prediction.
Mean Absolute Error (MAE). The metric of MAE, which stands for Mean Absolute Error, calculates the average
number of absolute differences between the predicted and actual values. Several studies, such as [105, 106], have
employed MAE as a means of evaluating the discrepancy between the actual and predicted values. The formula for
1Í
MAE is as follows: 𝑀𝐴𝐸 = 𝑖 = 1𝑛 |𝑦𝑖 − 𝑦ˆ𝑖 |.
𝑛
Mean Square Error (MSE). The MSE, or Mean Squared Error, is a metric used to determine the average squared
distance between the actual value and the predicted value. Unlike the MAE, or Mean Absolute Error, which calculates
absolute errors, the MSE amplifies errors to their maximum by using the sum of squares of errors. Several studies, such
as [35, 41, 68, 106, 152], have employed the MSE method to evaluate the discrepancy between actual and predicted
1Í
values. The formula for MSE is represented as 𝑀𝑆𝐸 = 𝑖 = 1𝑛 (𝑦𝑖 − 𝑦ˆ𝑖 ) 2
𝑛
Root-Mean-Square Deviation (RMSE). The Root Mean Squared Error (RMSE) is a commonly used metric for evalu-
ating the accuracy of predictions by measuring the square root of the second sample moment of the differences between
predicted and actual values. It is similar to Mean Squared Error (MSE), with the only difference being the inclusion of
the square root. It is therefore challenging to determine which evaluation metric is superior. In the works of [68, 105],
the authors employed RMSE
√︃ to assess the discrepancy between predicted and actual values. The equation for RMSE is
2
Í𝑛
𝑖=1 (𝑦𝑖 −𝑦ˆ𝑖 )
represented as: 𝑅𝑀𝑆𝐸 = 𝑛 .
Mean Absolute Percentage Error (MAPE). The Mean Absolute Percentage Error (MAPE) is a metric used to evaluate
the accuracy of forecasting models. It calculates the average of the absolute percentage difference between the predicted
and actual values. This method has been widely used in the literature, as seen in studies such as [3, 157]. The formula
100% Í𝑛 𝑦𝑖 −𝑦ˆ𝑖
for MAPE can be represented as: 𝑀𝐴𝑃𝐸 = 𝑛 𝑖=1 𝑦𝑖 , where 𝑛 is the number of observations, 𝑦𝑖 is the actual
value, and 𝑦ˆ𝑖 is the predicted value.
6.3 Return-based Evaluation Metrics

Evaluating the accuracy of stock market predictions can be done effectively using return-based evaluation metrics. Two
commonly used metrics in finance for assessing earnings are the return ratio and the Sharpe ratio. The higher the value
of these metrics, the better the prediction.
Investment Return Ratio (IRR). IRR, or internal rate of return, is a metric used to measure the performance of an
investment. It is calculated by determining the percentage difference between the value of an asset at the current time
(𝑝𝑡 ) and the value of the same asset at the previous time (𝑝𝑡 −1 ), divided by the previous value (𝑝𝑡 −1 ). Studies such as
[41, 110] have used IRR as an evaluation metric to assess the return ratio of investments. The equation for calculating
𝑝𝑡 −𝑝𝑡 −1
IRR is 𝑅𝑒𝑡𝑢𝑟𝑛𝑟𝑎𝑡𝑖𝑜 = 𝑝𝑡 −1 × 100%.
Average Annual Return (AAR). The Average Annual Return (AAR) is a metric that measures the historical average
return of a mutual fund as a percentage. Unlike the Internal Rate of Return (IRR), AAR calculates returns on an annual
basis. It is particularly useful for assessing the performance of investments over a prolonged period. In their study,
Wang et al. [130] utilized a dataset spanning seven years from 2010 to 2017 and employed AAR as one of the evaluation
methods to determine the average annual rate of return.

Sharpe Ratio (SR). The Sharpe Ratio (SR) takes into account both return and risk and calculates the average return per
𝑅𝑡 −𝑅 𝑓
unit of volatility in relation to the risk-free rate [116]. This is represented by the equation: 𝑆𝑅 = 𝜎 ×100%, where
𝑅𝑡 represents the return, 𝑅 𝑓 represents the risk-free rate, and 𝜎 represents the standard deviation of the returns [90].
Several studies [64, 109, 132, 140] have utilized the SR as an evaluation metric to assess the performance of return ratios.
7 FUTURE DIRECTIONS AND OPEN ISSUES

The stock market prediction task has greatly contributed to the advancement of machine learning, particularly in the
areas of natural language processing (NLP) and reinforcement learning (RL). However, there are still several potential
research directions and open questions that need to be addressed in order to further improve and develop this field.
Improving Generalization Ability For Stock Market Prediction. The ability of a machine learning model to ac-
curately classify or predict unseen data is known as generalization. In the context of stock market prediction, a deep
learning model must possess both high timelessness and strong generalization capabilities in order to be effective.
However, some previous methods have struggled to generalize well to real-world trading scenarios or perform poorly
on certain subsets of unseen data. Recent studies have suggested that incorporating self-supervised learning tasks into
classification tasks can improve generalization, as demonstrated in works such as [45, 93, 159]. Further research in this
area, both in terms of exploring existing methods and developing new ones, may be a promising direction for stock
market prediction tasks. A self-supervised approach to enhancing generalization may be worth investigating in the
future.
Integrating Deep Learning Techniques with Online Learning Approaches Online learning is a training approach
that utilizes the results of online training as feedback in order to optimize models. This method is particularly useful
in mitigating the effects of volatility, uncertainty, and high noise factors in the stock market. Its application in stock
market investment strategies is valuable as investors must constantly adjust their investment plans based on changes in
stock prices. Online learning enables the simultaneous updating of the model and automatic control of the difference
between predicted results and desired values. Other areas of application for online learning methods include dealing
with abruptly changing time series. For example, Habibi [101] proposed using a Bayesian setting for online change
point detection, taking into account sudden variations in the Dow Jones Industrial Average’s daily results. While this
work contributes to detecting change points in time, it does not provide feedback for changing trading policies. We
believe that integrating online learning and machine learning holds great potential for stock market prediction.
Improving Evaluation and Datasets for Stock Market Prediction. Currently, many stock market prediction models
only evaluate intermediate performance metrics such as stock movement prediction accuracy. However, it is unclear
how well these models can support a practical trading system and there is a lack of uniform evaluation criteria for
profitability. Each paper often uses different evaluation metrics on different datasets. Therefore, new stock market
prediction models should be able to evaluate financial-relevant metrics, which can be grouped into three categories:
profit criterion, including Annualized Rate of Return (ARR); risk criterion, including Maximum DrawDown (MDD) and
Annualized Volatility (AVol); and risk-profit criterion, including Calmar Ratio (CR), Sortino ratio (SoR), and Annualized
Sharpe Ratio (ASR). Furthermore, the stock market prediction task is currently fragmented with a lack of unified
benchmark datasets and clear task descriptions, which greatly hinders the progress of this field.
Improving Time Series Anomaly Detection for Stock Market Prediction. It is a practical proposition to quickly
and effectively identify out-of-performance stocks from among thousands of stocks across the market. Instability in
financial markets poses significant risks to investors; examples of instability include market crashes due to systemic risk
and abnormal stock price movements caused by artificially large publicity. The most common stock market prediction
models failed to capture the best trading points without considering the existence of anomaly outliers. Time-serious
anomaly detection will facilitate stock market prediction for capturing outliers in stock market trading prices, which
can help investors adjust their strategies and reduce investment risk. In addition, the model can be used to model
multiple financial time series datasets and capture anomalies in the companies of interest. To this end, a promising and
essential anomaly detection would be to design a better mechanism based on time series anomaly detection tasks to
capture the best trading points for prediction tasks when trading in the real world.
Tasks All In One On Continual Learning For Stock Market Prediction. Continual learning is a technique for
training a model on multiple tasks consecutively while retaining information learned from previous tasks, even when
the data from those tasks is no longer available. This enables neural networks to continuously accumulate knowledge
and mitigate "catastrophic forgetting" in tasks such as stock prediction. However, current deep learning models for
stock prediction are typically trained on static, homogeneously distributed data that cannot adapt or extend over time.
To the best of our knowledge, there are no continual learning models specifically designed for stock market prediction,
as the fluctuation of the stock market environment requires models to autonomously acquire new skills and adapt to
new situations. Existing stock market prediction methods evaluate a single task on a single dataset, which can lead to
overfitting of recent input data. Continual learning methods, such as those based on parameter isolation, can overcome
this issue by freezing a portion of parameters after learning each task, allowing for more accurate and effective updating
of the model for new tasks.
Leveraging Distributional RL For Stock Trading. Quantitative trading algorithms still struggle with balancing profit
and risk due to the volatility and noise in the financial market [2, 119]. One potential solution is the use of distributional
RL, first proposed by Bellemare et al. in their paper C51 [7]. Distributional RL goes beyond traditional values by utilizing
a defined random variable, whose expectation represents the state-action value, to form the distributional Bellman
equation [7]. This equation is proven to be contracted under the measure of 𝑝-Wassertain distance. Many state-of-the-art
Q-learning algorithms in RL are distributional, such as C51 [7], Quantile Regression DQN (QR-DQN) [23], Implicit
Quantile Network (IQN) [22], and Fully Parameterized Quantile Function (FQF) [144]. Distributional RL can provide
more information about the distribution of returns, which can help algorithms reduce risk or improve robustness.
Previous research has demonstrated the effectiveness of Distributional RL in Atari games, where algorithms achieved
scores higher than human players. However, there has been limited exploration of the application of Distributional RL
in financial trading. Therefore, it is worth investigating the potential of distributional RL in this field.
Treating Stock Trading As Partially Observable Markov Decision Process. RL algorithms have been widely used
in financial trading, as discussed in section . These include model-free methods such as policy gradient, Q-learning, and
hybrid methods. However, these methods assume a fully observed MDP which does not accurately reflect the open
and ever-changing nature of the financial market. To address this issue, there are two potential solutions for future
research. The first solution is to collect all the transactions to make the dynamics fully observed, which may require
significant storage and computational resources. For example, Briola et al. [9] have used transaction data on a small
scale, which serves as a potential direction for future research. Another solution is to approximate the dynamics using
a model-based RL approach. Researchers such as Wei et al. [134], Yu et al. [151], and Liu et al. [82] have demonstrated
the effectiveness of transition dynamics models. Thus, the application of model-based methods in financial trading has
a considerable potential and is worth exploring. By using a transition dynamics model, the policy could be capable of
planning for a longer horizon.
8 CONCLUSION
In this paper, we present a comprehensive examination of the most prominent studies on utilizing deep learning
for stock market prediction. To aid in understanding and organizing previous research in this area, we propose a
classification system for categorizing and grouping similar works. Additionally, we provide an overview of current
primary methods, evaluation metrics, and datasets used in stock market prediction. We also explore open questions and
highlight promising future directions for machine learning research in stock market prediction. Through this survey,
we aim to provide readers with a thorough understanding of the use of deep learning in stock market prediction.
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Stock Market Prediction Via Deep Learning Techniques: A Survey

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Stock Market Prediction via Deep Learning Techniques: A Survey

JINAN ZOU∗ and QINGYING ZHAO∗ , University of Adelaide, Australia

LINGQIAO LIU, University of Adelaide, Australia

ACM Reference Format:

Manuscript submitted to ACM 1

Fig. 1. The hierarchical structure of this survey with eight sections.

CNN based models Transformer based models 0

3 REVIEW METHODOLOGY AND CRITERIA

3.2 Selected Paper Statistics

4 STOCK MARKET PREDICTION IN MACHINE LEARNING

Manuscript submitted to ACM

Fig. 3. The Processing Framework.

4.2 Deep Learning Based Models

RNN based CNN based GNN based Transformer- Reinforcement

Gate Graph Pre-trained Policy

4.3 Recurrent Neural Network Based Models

4.4 Convolutional Neural Network Based Models

4.5 Graph Neural Network Based Models

4.6 Transformer Based Models

4.7 Reinforcement Learning Models

Manuscript submitted to ACM

4.8 Other Deep Learning Methods

5 DATASET AND MODEL INPUT

Table 1. Introduced Stock Market Abbreviations.

Abbreviation Country Full Name

5.1 Input Features

Author Methods Input Target Dataset Time Span

Rather [106] RNN Price Stock Return NSE 2007 - 2010

Manuscript submitted to ACM

Author Methods Input Target Dataset Time Span

Lu [84] CNN-BiLSTM- Price Stock Price SCI 1991 - 2020

Manuscript submitted to ACM

Author Methods Input Target Dataset Time Span

6.1 Accuracy-based Evaluation Metrics

Evaluation methods Author Year Conference/Journal name Methods Evaluation methods

6.2 Error-based Metrics

6.3 Return-based Evaluation Metrics

methods to determine the average annual rate of return.

7 FUTURE DIRECTIONS AND OPEN ISSUES

Manuscript submitted to ACM

Manuscript submitted to ACM

Manuscript submitted to ACM

Manuscript submitted to ACM

Manuscript submitted to ACM

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