An Intelligent Fusion Model with Portfolio Selection and Machine Learning for Stock Market Prediction

Table 1

Numerous research studies conducted based on batch learning techniques.

SL. No.	Authors (year)/publisher	Dataset used	Target output	Period of forecasting	Preferred technique
1	Jiang et al. (2019) [98]	Three major US stock indices (S&P 500, Dow 30, Nasdaq)	Market direction	Short	Tree-based ensemble method + deep learning
2	Ayala et al. (2021) [99]	IBEX, DAX, and DJIA	Stock index prediction	Short span (for a particular window)	Linear regression and ANN regression model performed well among all ML models
3	Nabipour et al. (2020) [100]	Tehran Stock Exchange	Price prediction	Short term	Technical indicators + LSTM
4	Shafiq et al. (2020) [101, 102]	Chinese stock market	Index trend	Short-time period	Feature engineering-based fusion model using PCA and LSTM
5	Jothimani and Yadav (2019) [28]	Nifty Index	Asset price	Short span	CEEMDAN, ANN, SVR, EEMD, EMD
6	Zhong and Enke (2019) [44]	US SPDR S&P 500 ETF (SPY)	Daily return direction	Short term	Fusion of deep neural network and principal component analysis.
7	Ampomah et al. (2020) [50]	NYSE, Nasdaq, NSE	Daily return direction	Short term	A comparative study done using different tree-based ensemble models where extra tree performs better
8	Sun et al. (2020) [103]	Chinese stock market	Return direction of asset	Short period	AdaBoost-SVM + SMOTE
9	Yang et al. (2020) [104]	Shanghai and Shenzhen 300 Index	Market volatility forecast	Short term	SVM
10	Jiayu et al. (2020) [62]	S&P 500, DJIA, HSI	Index price	Short term	Long short memory with attention mechanism
11	Boonpeng and Jeatrakul (2016) [57]	Thailand Stock Exchange	Index price	Short term	OAA-neural network
12	Yang et al. (2019) [58]	China Stock Exchange	Market volatility	Intra-day	SVM
13	Yun et al.(2021) [68]	Apple and Yahoo	Index price	Short term	XGBoost
14	Ecer et al. (2020) [63]	Borsa Istanbul	Return direction of asset	Short term	MLP–GA, MLP–PSO
15	Wang et al. (2012) [70]	Shenzhen Integrated Index and DJIA	Index price	Weekly	BPNN, ARIMA, and ESM
16	Chenglin et al., (2020) [71]	China Stock Exchange	Trend of stock market	Short term	ARI-MA-LS-SVM
17	Tiwari et al. (2010) [72]	BSE, India	Index price	Short term	Markov model + decision tree
18	Paiva et al.(2018) [85]	IBOVESPA	Portfolio selection and stock prediction	Dailly	SVM+ mean-variance
19	Wang et al. (2020) [86]	US Stock Exchange 100 Index	Portfolio selection and stock prediction	Return per year	LSTM + mean-variance
20	Basak et al. (2018) [25]	10 Indian Stock Exchange Companies	Index price increase or decrease	Medium to long run	XGBoost + random forest