Data-driven stock forecasting models based on neural networks: A review

As a core branch of financial forecasting, stock forecasting plays a crucial role for financial analysts, investors, and policymakers in managing risks and optimizing investment strategies, significantly enhancing the efficiency and effectiveness of economic decision-making. With the rapid development of information technology and computer science, data-driven neural network technologies have increasingly become the mainstream method for stock forecasting. Although recent review studies have provided a basic introduction to deep learning methods, they still lack detailed discussion on network architecture design and innovative details. Additionally, the latest research on emerging large language models and neural network structures has yet to be included in existing review literature. In light of this, this paper comprehensively reviews the literature on data-driven neural networks in the field of stock forecasting from 2015 to 2023, discussing various classic and innovative neural network structures, including Recurrent Neural Networks (RNNs), Convolutional Neural Networks (CNNs), Transformers, Graph Neural Networks (GNNs), Generative Adversarial Networks (GANs), and Large Language Models (LLMs). It analyzes the application and achievements of these models in stock market forecasting. Moreover, the article also outlines the commonly used datasets and various evaluation metrics in the field of stock forecasting, further exploring unresolved issues and potential future research directions, aiming to provide clear guidance and reference for researchers in stock forecasting.