Intelligent System for Intraday Stock Market
Forecasting
Badre LABIAD Abdelaziz Berrado
Equipe AMIPS Equipe AMIPS
Ecole Mohammadia d’Ingénieurs Ecole Mohammadia d’Ingénieurs
Mohammed V University Mohammed V University
Rabat Morocco Rabat Morocco
Email: labiad.badre@gmail.com Email: berrado@emi.ac.ma
Abstract—During recent years, the trading of financial in-
struments is becoming reliant upon different type of intelligent
systems to make buy/sell decisions. These systems use different
machine learning techniques to come up with the wanted in-
vestment decision. Artificial Neural Networks (ANN) are among
the most used techniques for stock markets forecasting. In this
work, we present an end-to-end system to implement ANNs
for intraday forecasting of Moroccan stock market. Different
ANN architectures are implemented and tested. Experimental
results show that ANN can be used to make satisfactory intraday
predictions.
Index Terms—Stock Market, Artificial Neural Network, Short
Term Forecasting
I. I NTRODUCTION
Stock markets are indispensable levers for the economies of
the countries. In these markets, issuers seek to finance their
projects and investors want to grow their money. The prices
of financial assets on these markets are affected by factors of
different kinds: economic, psychological and political. This
exposure to exogenous factors makes these markets very
volatile or even unstable.
To maximize profits and limit potential losses, actors
on these markets (investors, traders and even academic
researchers) are constantly looking for tools that can offer
accurate forecasting in a very short time.
For some dynamic markets, intraday trading strategies tend
to be more profitable, hence the need for highly accurate
forecasting tools to track future trends within the desired
forecasting horizon. Developed stock markets have been the
subject of several studies that have tried to offer tools of
various kinds to achieve this goal: Times Series Analysis,
Technical Analysis and Machine Learning Techniques.For the
Moroccan stock market, there is a limited number of studies
on this subject.
This work contributes to this research area. Our goal is the
prediction of the movements of the stock market prices in
the very short term (60 min ahead) using Artificial Neural
Networks.
978-1-7281-1482-8/19/$31.00 © 2019 IEEE
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Loubna Benabbou
Département Sciences de la Gestion
Université du Québec à Rimouski (UQAR)
Campus de Lévis
Québec Canada
Email: Loubna benabbou@uqar.ca
The remainder of this paper is organized as follows. Section
II deals with the literature review. Details about experimental
setups can be found in section III. The experimental results
are presented in section IV. Finally, we conclude this study
and discuss possible future work in section V.
II. L ITERATURE R EVIEW
The diversification of financial instruments and the
increase in the number of transactions per second, even per
millisecond, and the permanent changes in price trends have
accentuated the need for models capable of capturing this
complexity in order to obtain the most accurate forecasts in a
very short time. Artificial neural networks have shown their
adaptation to this type of problem [1].
A. Artificial Neural Networks
Artificial Neural Networks are computing system with
non-linear processing units connected by edges (weights).
They are used for a wide variety of problems from time series
modeling, image classification to text mining.
The learning phase of the ANN is done through the
adjustment of the weights. To do this, an error is calculated
by comparing the output of the model and the target value.
We can formulate the learning task of an ANN as follows:
For a training set D = (Y, X) with k elements and a loss
function L(Yi , YW,b (Xi )) we search parameters (W, b) such
as :
k
1X
Args min L(Yi , YW,b (Xi )) (1)
W,b k i=1
To find thes parameters, the error of prediction is back-
propagated through the ANN and the weights are adjusted
proportionally. Using the gradient descent algorithm each
weight Wij is corrected proportionally to the present input
and error:
Wij (n + 1) = Wij (n) + ηδi Xj(n) (2)
 Where δi is the local error of the network, the constant η III. T HE EXPERIMENTAL SETUPS
is the learning rate wich indicates the step size.
Our goal is the prediction of short-term price changes of
For effective implementation of ANNs, particular attention
listed securities in the Moroccan stock market. We present in
should be paid to the following:
the following the experimental setups adopted in this work
(a) The most critical part of ANN’s implementation is the
fig.1.
choice of its architecture: the number of layers and hidden
units. The choice of a complicated structure can negatively A. Tick by tick Data
impact the generalization of the model.
(b) Particular attention should be given to the choice of In this work we use intraday data, they are called Tick
learning rate, the use of very small values can slow down by tick data. They capture all the price values recorded in
the learning process and the use of very large values can lead a trading session. The advantage of using these data is their
to a divergence in the process. large numbers and the variety of information they can provide
(c) It is also important to reduce the number of input variables. on price behavior in very short time intervals.
using a large number of input variables can slow down the
learning process. TABLE II
T ICK BY TICK DATA
(d) It is important to standardize the values of the input
variables. Time Price Quantity
(e) ANNs suffer from their tendency to over-fit. To remedy 9:00:00 100 1000
this problem, it is necessary to use early stop criteria and a
9:01:00 103 800
regularization techniques.
9:01:55 98 900
B. ANN for Stock Market 9:02:11 105 60
For the Moroccan stock market, few studies have tried to
treat the prediction of movements in the very short term [2],
and this, contrary to the more developed markets for which
the literature is much richer:

TABLE I
ANN FOR S TOCK M ARKET

Studies Studied Market Used methods

[3] Nasdaq-100 index + 6 stocks ANN + Fuzzy
in Nasdaq-100 index Inference System

[4] 5 futures contracts: Multilayer ANN; SVR;

Chicago Mercantile Market Regularized RBF ANN

[5] Turkish stock market Recurrent ANN; Mixture of Experts

[6] 367 public corporations: Univariate ANN / Multivariate ANN
Shanghai Stock Exchange
[7] 4 stocks: NASDAQ ANN + Hidden Markov Model
+ Genetic Algorithm
[8] 9 stocks from Taiwan stock market ANN
+ Case based dynamic window
[9] 4 stocks: NASDAQ ANN + Hidden Markov Model
+ Genetic Algorithm
[10] Sub-index of TAIEX SOM ANN
Taiwan stock market + Genetic Programming
Fig. 1. Main steps of the experimental framework.
[11] Securities from ANN; CART
Taiwan stock market and Logistic regression
[12] Intraday data for the SP500 ANN; GARCH; As experimental datasets we use a selection of 4 stock’s
SVR; Combination prices series from the Moroccan stock market. The entire
dataset covers a period of three years 2013-2015.
Regarding the choice of explanatory variables, most studies The choice of these stocks is motivated by the diversity of
[8, 13–18] use what stock market analysts call Technical In- their behaviors over the period studied, as shown in Figures
dicators. Technical Indicators are handcrafted features largely 2, 3, 4 and 5.
used by market analysts to model markets dynamics. They The datasets are divided into two parts. The first part (2/3
can be roughly classified under the following categories: Sen- of observations) is used to train the models. The second
timent, Flow-of-fund, Raw data, Trend, Momentum, Volume, (1/3) part is for out-of-sample evaluation and comparison of
Cycle and Volatility. performances of different tested models.

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 TABLE III
C ARACTERISTICS OF THE SELECTED STOCKS

Stocks Mean value Standard Max - Min Number of

Deviation trades
BCP 204 15 243 - 173 24 332
ADI 250 182 558 - 25 27 723
TQM 454 43 595 - 343 28 328
SNP 219 65 335 - 71 13 258

Fig. 3. ADI Stock variation

Fig. 2. BCP Stock variation

Fig. 4. TQM Stock variation

B. Data Discretization
As shown in Table 2, the intraday data are not uniformly
spaced. To correct this irregularity we perform a discretization
of our database in the form of intervals of 60 minutes.
C. Input variables : Technical Indicators
As input variable we select 21 technical indicators among
the most frequently used ones by market analysts Table 4.
D. Data Normalization
The input variables have different absolute values. To fix
this issue we use the normalization technique to transform
these variables. The normalization prevents large input values
from slowing down the learning process.
0 Xij − µj
Xij = (11)
σj
For the hidden units we use the ReLU function wich is
defined as :
ReLU (x) = max(x, 0) (12)
The ReLU is known to provide a faster learning speed than
the sigmoid function.
To find the arguments defined in the Eq.(1) our ANNs are
trained with 2000 epochs (iterations).
The optimal combination of hyper-parameters of the tested
models is found by the grid search technique.
F. Artificial Neural Networks Testing
We evaluate the forecasting performance using Mean
Absolute Percentage Error (MAPE)
Given the error et wich mesures the difference between
the predicted value and the target value, MAPE is defined
as follows:
k  
100% X  et 
Where µj and σj is the mean and standard deviation of M AP E = (13)
variable j. The preprocessed data is fed into the classifiers for
forecasting stocks mouvements.
E. Artificial Neural Networks Training
For the scope of this study, we use different simple and
shallow feedforword ANN with the following architectures:
- Input layers: with [21+1] neurons for the 21 input variables
and a neuron for the bais b;
- Hidden layer: All the tested models have one hidden layer;
- Hidden units: The number of hidden units differs between
the tested ANN;
- Output layer: with a single output unit.
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k t=1  yt 
where: k is the total number of test data and yt is the actuel
stock price.
IV. E XPERIMENTAL RESULTS
In this section, we present the results of the different tested
ANN architectures on the experimental data of four stocks
from the moroccan stock market. Tables 5 and 6 present
the comparison of AMPE of ANN architectures with 4, 10,
15 and 20 hidden units. A comparison beteween the results
on the training and on the testing set is also presented on fig. 7.
 TABLE IV
L IST OF T ECHNICAL I NDICATORS CONSIDERED

Features Description and Formula

MA5, MA3, MA[q]: is the average price of a stock over q
MA10 intervals.
Pi
Pj
j=i−9
M A10i = (3)
10

EMA5, EMA3, EMA[q]: like MA but assigns weight to more recent

Fig. 5. SNEP Stock variation EMA10 prices.
EM A[q]i = (Pi − EM Ai−1 ) ∗ γ + EM Ai−1
(4)
γ = 2/(1+q)

P(t-q), q=1 to 5 5 lagged values

ROC(q), q=1 to 5
Pi − Pi−q
ROC(q)i = 100 ∗ (5)
Pi−q

SD10 Standard Deviation over 10 previous intervals.

v
u
u 1 X i
SD[q]i = t (Pj − P )2 (6)
q − 1 j=i−9

PSL10 Psychological line over 10 previous intervals.

U Pqi
P SL(q)i = 100 ∗ (7)
q
Fig. 6. Example of tested architecture
UPqi is the total number of intervals regarding stock
price rises of the previous 10 intervals.

The following conclusions can be made from the experi- %K50, %D50 Stochastic oscillator: it contains two lines %K and
mental results: %D over 50 previous intervals
- A ANN with simple architecture (4 hidden units) does not
fully capture the complexity of stock price behavior; Pi − M inq (Pi )
%K(q)i = 100 ∗ (8)
- An improvement was observed following the increase in the M axq (Pi ) − M inq (Pi )
complexity of the architecture used (10 hidden units); %D(q)i = 3 − day M A of %K
- The use of more complex models (15 hidden units) does
not necessarily make it possible to significantly improve the RSI10 Relative strength index line over the 10 previous
quality of forecasts; intervals
- The most complicated models (20 hidden units) fail on the
100
test set and lose the power of generalization obtained by the RSI10 = 100 − (9)
1 + RS10
simple models.
Average gain in 10 intervals
RS10 = (10)
Average loss in 10 intervals

Fig. 7. Comparison of performance measure
V. C ONCLUDING REMARKS
The prediction of short term variations of stock markets
presents more difficulties than prediction based on daily data
due to the noisy behavior of intraday movements. We pro-
pose a framework to overcome the difficulties related to the
implementation of ANN techniques on this type of data. The
framework consists of different steps of data preprocessing
to get meaningful and ready to use input data. The results
of experimentations show that the proposed approach makes
it possible to obtain very good outputs using ANN. Further

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