Integrating big data driven sentiments polarity and ABC-optimized LSTM for time series forecasting

Abstract

Stock market is a dynamic and volatile market that is considered as time series data. The growth of financial data exposed the computational efficiency of the conventional systems. This paper proposed a hybrid deep learning model based on Long Short- Term Memory (LSTM) and Artificial Bee Colony (ABC) algorithm. ABC is best fit for hyper parameter selection for deep LSTM models and maintains the equilibrium of exploitation and exploration issues. Handling a large volume of multidimensional reviews from social media is a major challenge. This paper evolves the multiple aspects of market sentiments and uses the reliable Big data platform Hadoop ecosystem and its services to compute sentiment polarity index. The ABC-LSTM hybrid model is validated with other core and hybrid models with evolutionary algorithms as Differential Evolution (DE) and Genetic Algorithm (GA). For the experiments, 10\xa0years of historical datasets and social media reviews of IT sector funds Apple Inc. (AAPL), Microsoft corporation (MSFT) and Intel corporation (INTL) from NASDAQ GS, an American stock exchange are considered to validate hybrid forecasting models. Proposed algorithm ABC-LSTM is used to tune the hyperparameters (window size, LSTM units, dropout probability, epochs, batch size and learning rate) and evaluated through Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE) as loss function. Performance analysis proves that with sentiment polarity, ABC optimized LSTM obtains improved forecasting accuracy over its counterpart models.