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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| Vydané v: | Multimedia systems Ročník 29; číslo 3; s. 1751 - 1770 |
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| Hlavní autori: | , , , , |
| Médium: | Journal Article |
| Jazyk: | English |
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Berlin/Heidelberg
Springer Berlin Heidelberg
01.06.2023
Springer Nature B.V |
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| ISSN: | 0942-4962, 1432-1882 |
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| Abstract | 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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| AbstractList | 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. |
| Author | Vo, Bay Wu, Jimmy Ming-Tai Herencsar, Norbert Lin, Jerry Chun-Wei Li, Zhongcui |
| Author_xml | – sequence: 1 givenname: Jimmy Ming-Tai surname: Wu fullname: Wu, Jimmy Ming-Tai organization: Shandong University of Science and Technology – sequence: 2 givenname: Zhongcui surname: Li fullname: Li, Zhongcui organization: Shandong University of Science and Technology – sequence: 3 givenname: Norbert surname: Herencsar fullname: Herencsar, Norbert organization: Department of Telecommunications, Faculty of Electrical Engineering and Communication, Brno University of Technology – sequence: 4 givenname: Bay surname: Vo fullname: Vo, Bay organization: Faculty of Information Technology, Ho Chi Minh City University of Technology – sequence: 5 givenname: Jerry Chun-Wei orcidid: 0000-0001-8768-9709 surname: Lin fullname: Lin, Jerry Chun-Wei email: jerrylin@ieee.org organization: Department of Computer Science, Electrical Engineering and Mathematical Sciences, Western Norway University of Applied Sciences |
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| Keywords | Long–short-term memory neural network Leading indicators Stock price prediction Convolution neural network |
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