A graph-based CNN-LSTM stock price prediction algorithm with leading indicators

In today’s society, investment wealth management has become a mainstream of the contemporary era. Investment wealth management refers to the use of funds by investors to arrange funds reasonably, for example, savings, bank financial products, bonds, stocks, commodity spots, real estate, gold, art, a...

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Published in:Multimedia systems Vol. 29; no. 3; pp. 1751 - 1770
Main Authors: Wu, Jimmy Ming-Tai, Li, Zhongcui, Herencsar, Norbert, Vo, Bay, Lin, Jerry Chun-Wei
Format: Journal Article
Language:English
Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.06.2023
Springer Nature B.V
Subjects:
Algorithms
Arrays
Artificial neural networks
Business cycles
Computer Communication Networks
Computer Graphics
Computer Science
Corporate profits
Cryptology
Data Storage Representation
Deep learning
Discriminant analysis
Expected values
Financial instruments
Financial management
Genetic algorithms
Investments
Investors
Multimedia Information Systems
Neural networks
Operating Systems
Real estate
Role of Deep Learning Models & Analytics in Industrial Multimedia Environment
Securities markets
Special Issue Paper
Stock exchanges
Stock prices
Time series
Trends
Long–short-term memory neural network
Leading indicators
Stock price prediction
Convolution neural network
ISSN:0942-4962, 1432-1882
Online Access:Get full text
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Summary:In today’s society, investment wealth management has become a mainstream of the contemporary era. Investment wealth management refers to the use of funds by investors to arrange funds reasonably, for example, savings, bank financial products, bonds, stocks, commodity spots, real estate, gold, art, and many others. Wealth management tools manage and assign families, individuals, enterprises, and institutions to achieve the purpose of increasing and maintaining value to accelerate asset growth. Among them, in investment and financial management, people’s favorite product of investment often stocks, because the stock market has great advantages and charm, especially compared with other investment methods. More and more scholars have developed methods of prediction from multiple angles for the stock market. According to the feature of financial time series and the task of price prediction, this article proposes a new framework structure to achieve a more accurate prediction of the stock price, which combines Convolution Neural Network (CNN) and Long–Short-Term Memory Neural Network (LSTM). This new method is aptly named stock sequence array convolutional LSTM (SACLSTM). It constructs a sequence array of historical data and its leading indicators (options and futures), and uses the array as the input image of the CNN framework, and extracts certain feature vectors through the convolutional layer and the layer of pooling, and as the input vector of LSTM, and takes ten stocks in U.S.A and Taiwan as the experimental data. Compared with previous methods, the prediction performance of the proposed algorithm in this article leads to better results when compared directly.
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ISSN:0942-4962
1432-1882
DOI:10.1007/s00530-021-00758-w