Beyond the Bell: Leveraging Off-market Data for AI-enabled Stock Directionality Forecast

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dc.contributor.authorMukherjee, Himadri
dc.contributor.authorDas, Suchismita
dc.contributor.authorBose, Kaustav
dc.contributor.authorKumar, Kundan
dc.contributor.authorPaul, Souren
dc.contributor.authorGhosh, Alo
dc.date.accessioned2024-12-26T21:05:23Z
dc.date.available2024-12-26T21:05:23Z
dc.date.issued2025-01-07
dc.description.abstractStock directionality forecasts are extremely useful in the financial market aiding in more informed trading decisions. However, it is difficult due to the highly volatile nature of the stock market. The majority of the stock trading takes place during the regular market hours whose data is mostly used for forecasts. Trades are also executed before the market opens (pre-market) and after the market closes (post-market). This off-market trading data is often ignored due to its minute trading volume. Exploration of this data for stock market forecasting is in its nascent state. We forecast the directionality of the end-of-the-day price using this off-market along with regular market hour data. The proposed AI-enabled framework extracts useful features from the off-market data, and 15 technical indicators based on regular market data followed by a tree-based prediction approach. The obtained results show performance improvements of over 7% in closing price directionality forecast when the off-market hour-based features are incorporated.
dc.format.extent10
dc.identifier.doi10.24251/HICSS.2025.142
dc.identifier.isbn978-0-9981331-8-8
dc.identifier.other26522c86-3892-4430-98ab-61e6fbd5dff8
dc.identifier.urihttps://hdl.handle.net/10125/108981
dc.relation.ispartofProceedings of the 58th Hawaii International Conference on System Sciences
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectData Science and Machine Learning to Support Business Decisions
dc.subjectai-enabled directionality forecast, extended hours trading, post-market data, pre-market data
dc.titleBeyond the Bell: Leveraging Off-market Data for AI-enabled Stock Directionality Forecast
dc.typeConference Paper
dc.type.dcmiText
prism.startingpage1193

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