Journal Article

Stock price prediction based on deep neural networks

Yan, Xuesong, Yu, Pengfei

2020

Overview

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.

• Publisher: Springer London,Springer Nature B.V
• Subject: Algorithms / Artificial Intelligence / Artificial neural networks / Chaos theory / Computational Biology/Bioinformatics / Computational Science and Engineering / Computer Science / Data Mining and Knowledge Discovery / Deep Learning for Big Data Analytics / Forecasting / Image Processing and Computer Vision / Machine learning / Model accuracy / Neural networks / Prediction models / Probability and Statistics in Computer Science / Time dependence / Variations