A CNN-LSTM-Based Model to Forecast Stock Prices
Joint Authors
Wang, Jingyang
Li, Jiazheng
Li, Yifan
Lu, Wenjie
Sun, Aijun
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-11-24
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
Stock price data have the characteristics of time series.
At the same time, based on machine learning long short-term memory (LSTM) which has the advantages of analyzing relationships among time series data through its memory function, we propose a forecasting method of stock price based on CNN-LSTM.
In the meanwhile, we use MLP, CNN, RNN, LSTM, CNN-RNN, and other forecasting models to predict the stock price one by one.
Moreover, the forecasting results of these models are analyzed and compared.
The data utilized in this research concern the daily stock prices from July 1, 1991, to August 31, 2020, including 7127 trading days.
In terms of historical data, we choose eight features, including opening price, highest price, lowest price, closing price, volume, turnover, ups and downs, and change.
Firstly, we adopt CNN to efficiently extract features from the data, which are the items of the previous 10 days.
And then, we adopt LSTM to predict the stock price with the extracted feature data.
According to the experimental results, the CNN-LSTM can provide a reliable stock price forecasting with the highest prediction accuracy.
This forecasting method not only provides a new research idea for stock price forecasting but also provides practical experience for scholars to study financial time series data.
American Psychological Association (APA)
Lu, Wenjie& Li, Jiazheng& Li, Yifan& Sun, Aijun& Wang, Jingyang. 2020. A CNN-LSTM-Based Model to Forecast Stock Prices. Complexity،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1143045
Modern Language Association (MLA)
Lu, Wenjie…[et al.]. A CNN-LSTM-Based Model to Forecast Stock Prices. Complexity No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1143045
American Medical Association (AMA)
Lu, Wenjie& Li, Jiazheng& Li, Yifan& Sun, Aijun& Wang, Jingyang. A CNN-LSTM-Based Model to Forecast Stock Prices. Complexity. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1143045
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1143045