Forecasting stock prices with a feature fusion LSTM-CNN model using different representations of the same data
By Taewook Kim, Ha Young Kim. PLoS ONE, 2019
327 citations recorded by the source corpus.
Forecasting stock prices plays an important role in setting a trading strategy or determining the appropriate timing for buying or selling a stock. We propose a model, called the feature fusion long short-term memory-convolutional neural network (LSTM-CNN) model, that combines features learned from different representations of the same data, namely, stock time series and stock chart images, to predict stock prices. The proposed model is composed of LSTM and a CNN, which are utilized for extracting temporal features and image features. We measure the performance of the proposed model relative to those of single models (CNN and LSTM) using SPDR S&P 500 ETF data. Our feature fusion LSTM-CNN model outperforms the single models in predicting stock prices. In addition, we discover that a candlestick chart is the most appropriate stock chart image to use to forecast stock prices. Thus, this study shows that prediction error can be efficiently reduced by using a combination of temporal and image features from the same data rather than using these features separately.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/9acb1283a3c2573bad89e7c446d626423007f849
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Citations in the corpus
- Applications of deep learning in stock market prediction: recent progress (2020, background): “Both bi-directional LSTM (BiLSTM) and bi-directional GRU (BGRU) have been used for stock market prediction.”