Stock Market Forecasting using Ensemble Learning and Statistical Indicators

  • Anunay R. Bagga School of Computer Science and Engineering, Vellore Institute of Technology, Vellore, India-632014
  • Harshita Patel School of Information Technology and Engineering, Vellore Institute of Technology, Vellore, India-632014


With a volume of 2 billion+ trades per day and a market capitalization of 2.56 trillion USD the national stock exchange (NSE), India is one of the largest stock exchanges in the world. Every day the value of stocks, commodities, bonds and futures fluctuate inducing volatility and forecasting these fluctuations to make money requires deep knowledge about the market and their historical data. Thus, a simple time series forecasting model is not enough to predict future movements as we need to know about the market sentiment, trend and industry fundamentals to bolster our stand of declaring a stock or commodity as bearish or bullish.

In this research, using machine learning forecasting models like Attention integrated Long Short Term Memory (LSTM) Model and a Reinforcement Learning agent coupled with statistical indicators and trading strategies like Auto Regression Integrated Moving Average (ARIMA), Prophet, Momentum trading and Pairwise trading to quantify the trend and market sentiment an approach to predict movements is devised.

Computer Engineering