# Multimodal deep learning for short-term stock volatility prediction

arXiv: https://arxiv.org/abs/1812.10479 · HTML: https://mlsanity.com/paper/1812.10479/

## Key facts

- Cited by 7 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 25 Dec 2018.

## Built on by (most cited first, 7 of 7)

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- [AI in Finance: Challenges, Techniques and Opportunities](https://mlsanity.com/paper/2107.09051/) (2021)
- [Progressive Fusion for Multimodal Integration](https://mlsanity.com/paper/2209.00302/) (2022)
- [DAM: A Universal Dual Attention Mechanism for Multimodal Timeseries Cryptocurrency Trend Forecasting](https://mlsanity.com/paper/2405.00522/) (2024)
- [FETILDA: An Effective Framework For Fin-tuned Embeddings For Long Financial Text Documents](https://mlsanity.com/paper/2206.06952/) (2022)
- [Foundations of Multisensory Artificial Intelligence](https://mlsanity.com/paper/2404.18976/) (2024)
- [Selecting Datasets for Evaluating an Enhanced Deep Learning Framework](https://mlsanity.com/paper/2109.10442/) (2021)

## Abstract (arXiv)

Stock market volatility forecasting is a task relevant to assessing market risk. We investigate the interaction between news and prices for the one-day-ahead volatility prediction using state-of-the-art deep learning approaches. The proposed models are trained either end-to-end or using sentence encoders transfered from other tasks. We evaluate a broad range of stock market sectors, namely Consumer Staples, Energy, Utilities, Heathcare, and Financials. Our experimental results show that adding news improves the volatility forecasting as compared to the mainstream models that rely only on price data. In particular, our model outperforms the widely-recognized GARCH(1,1) model for all sectors in terms of coefficient of determination R2, MSE and MAE, achieving the best performance when training from both news and price data.