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Forecasting stock prices with long-short term memory neural network based on attention mechanism

PLoS One. 2020 Jan 3;15(1):e0227222. doi: 10.1371/journal.pone.0227222. eCollection 2020.

Abstract

The stock market is known for its extreme complexity and volatility, and people are always looking for an accurate and effective way to guide stock trading. Long short-term memory (LSTM) neural networks are developed by recurrent neural networks (RNN) and have significant application value in many fields. In addition, LSTM avoids long-term dependence issues due to its unique storage unit structure, and it helps predict financial time series. Based on LSTM and an attention mechanism, a wavelet transform is used to denoise historical stock data, extract and train its features, and establish the prediction model of a stock price. We compared the results with the other three models, including the LSTM model, the LSTM model with wavelet denoising and the gated recurrent unit(GRU) neural network model on S&P 500, DJIA, HSI datasets. Results from experiments on the S&P 500 and DJIA datasets show that the coefficient of determination of the attention-based LSTM model is both higher than 0.94, and the mean square error of our model is both lower than 0.05.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Attention
  • Commerce*
  • Forecasting
  • Humans
  • Neural Networks, Computer*
  • Wavelet Analysis

Grants and funding

This work is supported by the National Natural Science Foundation of China(Nos. 61672121, 61425002, 61751203, 61772100, 61972266, 61802040, 61572093), Program for Changjiang Scholars and Innovative Research Team in University (No.IRT_15R07), the Program for Liaoning Innovative Research Team in University(No.LT2017012), the Natural Science Foundation of Liaoning Province (No.20180551241, 2019-ZD-0567), the High-level Talent Innovation Support Program of Dalian City (No.2017RQ060, 2018RQ75), and the Dalian Outstanding Young Science and Technology Talent Support Program No. 2017RJ08.