In recent years, with the rapid development of the economy, more and more people begin to invest into the stock market. Accurately predicting the change of stock price can reduce the investment risk of stock investors and effectively improve the investment return. Due to the volatility characteristics of the stock market, stock price prediction is often a nonlinear time series prediction. Stock price is affected by many factors. It is difficult to predict through a simple model. Therefore, this paper proposes a CNN-BiLSTM-AM method to predict the stock closing price of the next day. This method is composed of convolutional neural networks (CNN), bi-directional long short-term Memory (BiLSTM), and attention mechanism (AM). CNN is used to extract the features of the input data. BiLSTM uses the extracted feature data to predict stock closing price of the next day. AM is used to capture the influence of feature states on the stock closing price at different times in the past to improve the prediction accuracy. In order to prove the effectiveness of this method, this method and other seven methods are used to predict the stock closing price of the next day for 1000 trading days of the Shanghai Composite Index. The results show that the performance of this method is the best, MAE and RMSE are the smallest (which are 21.952 and 31.694). R2 is the largest (its value is 0.9804). Compared with other methods, the CNN-BiLSTM-AM method is more suitable for the prediction of stock price and for providing a reliable way for investors’ to make stock investment decisions.

A CNN-BiLSTM-AM method for stock price prediction

We present a transformer-based image anomaly detection and localization network. Our proposed model is a combination of a reconstruction-based approach and patch embedding. The use of transformer networks helps preserving the spatial information of the embedded patches, which is later processed by a Gaussian mixture density network to localize the anomalous areas. In addition, we also publish BTAD, a real-world industrial anomaly dataset. Our results are compared with other state-of-the-art algorithms using publicly available datasets like MNIST and MVTec.

VT-ADL: A Vision Transformer Network for Image Anomaly Detection and Localization

The stock market has performed one of the most important functions in a laissez-faire economic system by gathering people, companies, and flows of money for several centuries. There have been numerous studies on the stock market among researchers to predict stock prices, and a growing number of studies employed machine learning or deep learning techniques on the stock market predictions with the advent of big data and the rapid development of artificial intelligence techniques. However, making accurate predictions of stock price direction remains difficult because stock prices are inherently complex, nonlinear, nonstationary, and sometimes too irrational to be predictable. Despite the wealth of information, previous prediction systems often overlooked key indicators and the importance of feature engineering. This study proposes a hybrid GA-XGBoost prediction system with an enhanced feature engineering process consisting of feature set expansion, data preparation, and optimal feature set selection using the hybrid GA-XGBoost algorithm. This study experimentally verifies the importance of feature engineering process in stock price direction prediction by comparing obtained feature sets to original dataset as well as improving prediction performance to outperform benchmark models. Specifically, the most significant accuracy increment comes from feature expansion that adds 67 technical indicators to the original historical stock price data. This study also produces a parsimonious optimal feature set using the GA-XGBoost algorithm that can achieve the desired performance with substantially fewer features. Consequently, this study empirically proves that a successful prediction performance largely depends on a deliberate combination of feature engineering processes with a baseline learning model to make a good balance and harmony between the curse of dimensionality and the blessing of dimensionality.

Prediction of stock price direction using a hybrid GA-XGBoost algorithm with a three-stage feature engineering process

Recurrent neural networks (RNN) such as Long Short-Term Memory and Gated Recurrent Unit have recently emerged as a state-of-art neural network architectures to process sequential data efficiently. Thereby, they can be used to model prediction of time series data, since time series values are also a sequence of discrete time data. However, due to various existing RNN architectures, their functioning modes, the growth of hyper parameters and some other bottlenecks arise when it comes to train them. Thus, it becomes perplex to find out the most suited model for a given task. To address these matters, we propose a step-wise approach to predict the time series data, especially net asset value in this paper. We have started the study with the memory size of RNN to set the optimal memory size based on the prediction accuracy. Then, the study follows by analyzing existing data preparation methods and proposing a new one. The proposed data preparation methods prove their effectiveness in both stateless and stateful mode with single RNN layer. Finally, we confront the single RNN layer to stacked and bidirectional RNN to sort out the best performing models based on their prediction accuracy in various time horizons.

A stateless deep learning framework to predict net asset value

The prediction of stock and foreign exchange (Forex) had always been a hot and profitable area of study. Deep learning application had proven to yields better accuracy and return in the field of financial prediction and forecasting. In this survey we selected papers from the DBLP database for comparison and analysis. We classified papers according to different deep learning methods, which included: Convolutional neural network (CNN), Long Short-Term Memory (LSTM), Deep neural network (DNN), Recurrent Neural Network (RNN), Reinforcement Learning, and other deep learning methods such as HAN, NLP, and Wavenet. Furthermore, this paper reviewed the dataset, variable, model, and results of each article. The survey presented the results through the most used performance metrics: RMSE, MAPE, MAE, MSE, accuracy, Sharpe ratio, and return rate. We identified that recent models that combined LSTM with other methods, for example, DNN, are widely researched. Reinforcement learning and other deep learning method yielded great returns and performances. We conclude that in recent years the trend of using deep-learning based method for financial modeling is exponentially rising.

A Survey of Forex and Stock Price Prediction Using Deep Learning

Understanding the pattern of financial activities and predicting their development and changes are research hotspots in academic and financial circles. Because financial data contain complex, incomplete and fuzzy information, predicting their development trends is an extremely difficult challenge. Fluctuations in financial data depend on a myriad of correlated constantly changing factors. Therefore, predicting and analysing financial data are a nonlinear, time-dependent problem. Deep neural networks (DNNs) combine the advantages of deep learning (DL) and neural networks and can be used to solve nonlinear problems more satisfactorily compared to conventional machine learning algorithms. In this paper, financial product price data are treated as a one-dimensional series generated by the projection of a chaotic system composed of multiple factors into the time dimension, and the price series is reconstructed using the time series phase-space reconstruction (PSR) method. A DNN-based prediction model is designed based on the PSR method and a long- and short-term memory networks (LSTMs) for DL and used to predict stock prices. The proposed and some other prediction models are used to predict multiple stock indices for different periods. A comparison of the results shows that the proposed prediction model has higher prediction accuracy.

Pengfei Yu

Papers

Stock price prediction based on deep neural networks