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Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model

Author(s): Jaydip Sen, Saikat Mondal, Sidra Mehtab

Abstract

Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the real world which is affected by numerous controllable and uncontrollable variables. This paper presents an optimized predictive model built on long- and-short-term memory (LSTM) architecture for automatically extracting past stock prices from the web over a specified time interval and predicting their future prices for a specified forecast horizon and forecasts future stock prices. The model is deployed for making buy and sell transactions based on its predicted results for 70 important stocks from seven different sectors listed on the National Stock Exchange (NSE) of India. The profitability of each sector is derived based on the total profit yielded by the stocks in that sector over a period from Jan 1, 2010, to Aug 26, 2021. The sectors are compared based on their profitability values. The prediction accuracy of the model is also evaluated for each sector. The results indicate that the model is highly accurate in predicting future stock prices.

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