{"id":3866,"date":"2024-06-13T00:53:52","date_gmt":"2024-06-12T22:53:52","guid":{"rendered":"https:\/\/nepttp.avidakizomba.co.za\/?p=3866"},"modified":"2025-06-09T12:13:36","modified_gmt":"2025-06-09T10:13:36","slug":"a-comparative-study-of-investor-sentiment-index-and-machine-learning-techniques-in-forecasting-asset-prices","status":"publish","type":"post","link":"https:\/\/www.escience.ac.za\/index.php\/2024\/06\/13\/a-comparative-study-of-investor-sentiment-index-and-machine-learning-techniques-in-forecasting-asset-prices\/","title":{"rendered":"A comparative study of Investor sentiment index and machine learning techniques in forecasting asset prices"},"content":{"rendered":"<p><strong>Researcher:<\/strong> Sizo Mosibi, University of the Witwatersrand, Johannesburg<br \/><strong>Supervisor: <\/strong>Prof. Yudhvir Seetharam, University of the Witwatersrand, Johannesburg<\/p><figure class=\"wp-block-embed is-type-video is-provider-youtube wp-block-embed-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio\"><div class=\"wp-block-embed__wrapper\">\n<iframe title=\"Sizo Mosibi - A comparative study of Investor sentiment index and machine learning techniques....\" width=\"1140\" height=\"641\" src=\"https:\/\/www.youtube.com\/embed\/2yva-QpvY6U?feature=oembed\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" referrerpolicy=\"strict-origin-when-cross-origin\" allowfullscreen><\/iframe>\n<\/div><\/figure><p>Predicting future asset prices with higher accuracy has remained a formidable undertaking. Series of techniques have been developed and implemented to attain the intended result, and significant progress has been made. The use of a sentiment index as an independent variable in a machine learning model to predict asset prices, which utilizes long short-term memory, is one of the techniques employed. We developed a sentiment index to augment the South African economy and included it into the LSTM model to estimate future Sasol prices. We discovered using a sliding window strategy that using raw price in the LSTM model beats the inclusion of investor sentiment index as a variable. We also observed that the arbitrage pricing model (APT) performed the worst at predicting asset returns because it failed to account for non-linearity in price evolution.<\/p><p><br \/><\/p>","protected":false},"excerpt":{"rendered":"<p>Researcher: Sizo Mosibi, University of the Witwatersrand, JohannesburgSupervisor: Prof. Yudhvir Seetharam, University of the Witwatersrand, Johannesburg Predicting future asset prices with higher accuracy has remained a formidable undertaking. Series of techniques have been developed and implemented to attain the intended result, and significant progress has been made.<\/p>\n","protected":false},"author":1,"featured_media":4394,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-3866","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-capstone-projects"],"_links":{"self":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts\/3866","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/comments?post=3866"}],"version-history":[{"count":1,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts\/3866\/revisions"}],"predecessor-version":[{"id":4395,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/posts\/3866\/revisions\/4395"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/media\/4394"}],"wp:attachment":[{"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/media?parent=3866"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/categories?post=3866"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.escience.ac.za\/index.php\/wp-json\/wp\/v2\/tags?post=3866"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}