A stock price prediction method based on meta-learning and variational mode decomposition

PMANet: a time series forecasting model for Chinese stock price prediction

Forecasting stock movements is a crucial research endeavor in finance, aiding traders in making informed decisions for enhanced profitability. Utilizing actual stock prices and correlating factors from the Wind platform presents a potent yet intricate forecasting approach. While previous methodologies have explored this avenue, they encounter challenges including limited comprehension of interrelations among stock data elements, diminished accuracy in extensive series, and struggles with anomaly points. This paper introduces an advanced hybrid model for stock price prediction, termed PMANet. PMANet is founded on Multi-scale Timing Feature Attention, amalgamating Multi-scale Timing Feature Convolution and Ant Particle Swarm Optimization. The model elevates the understanding of dependencies and interrelations within stock data sequences through Probabilistic Positional Attention. Furthermore, the Encoder incorporates Multi-scale Timing Feature Convolution, augmenting the model's capacity to discern multi-scale and significant features while adeptly managing lengthy input sequences. Additionally, the model's proficiency in addressing anomaly points in stock sequences is enhanced by substituting the optimizer with Ant Particle Swarm Optimization. To ascertain the model's efficacy and applicability, we conducted an empirical study using stocks from four pivotal industries in China. The experimental outcomes demonstrate that PMANet is both feasible and versatile in its predictive capability, yielding forecasts closely aligned with actual values, thereby fulfilling application requirements more effectively.

Multi level perspectives in stock price forecasting: ICE2DE-MDL

This study proposes a novel hybrid model, called ICE2DE-MDL, integrating secondary decomposition, entropy, machine and deep learning methods to predict a stock closing price. In this context, first of all, the noise contained in the financial time series was eliminated. A denoising method, which utilizes entropy and the two-level ICEEMDAN methodology, is suggested to achieve this. Subsequently, we applied many deep learning and machine learning methods, including long-short term memory (LSTM), LSTM-BN, gated recurrent unit (GRU), and SVR, to the IMFs obtained from the decomposition, classifying them as noiseless. Afterward, the best training method was determined for each IMF. Finally, the proposed model's forecast was obtained by hierarchically combining the prediction results of each IMF. The ICE2DE-MDL model was applied to eight stock market indices and three stock data sets, and the next day's closing price of these stock items was predicted. The results indicate that RMSE values ranged from 0.031 to 0.244, MAE values ranged from 0.026 to 0.144, MAPE values ranged from 0.128 to 0.594, and R-squared values ranged from 0.905 to 0.998 for stock indices and stock forecasts. Furthermore, comparisons were made with various hybrid models proposed within the scope of stock forecasting to evaluate the performance of the ICE2DE-MDL model. Upon comparison, The ICE2DE-MDL model demonstrated superior performance relative to existing models in the literature for both forecasting stock market indices and individual stocks. Additionally, to our knowledge, this study is the first to effectively eliminate noise in stock item data using the concepts of entropy and ICEEMDAN. It is also the second study to apply ICEEMDAN to a financial time series prediction problem.

Gold price prediction by a CNN-Bi-LSTM model along with automatic parameter tuning

Banking and stock markets consider gold to be an important component of their economic and financial status. There are various factors that influence the gold price trend and its fluctuations. Accurate and reliable prediction of the gold price is an essential part of financial and portfolio management. Moreover, it could provide insights about potential buy and sell points in order to prevent financial damages and reduce the risk of investment. In this paper, different architectures of deep neural network (DNN) have been proposed based on long short-term memory (LSTM) and convolutional-based neural networks (CNN) as a hybrid model, along with automatic parameter tuning to increase the accuracy, coefficient of determination, of the forecasting results. An illustrative dataset from the closing gold prices for 44 years, from 1978 to 2021, is provided to demonstrate the effectiveness and feasibility of this method. The grid search technique finds the optimal set of DNNs' parameters. Furthermore, to assess the efficiency of DNN models, three statistical indices of RMSE, RMAE, and coefficient of determination (R2), were calculated for the test set. Results indicate that the proposed hybrid model (CNN-Bi-LSTM) outperforms other models in total bias, capturing extreme values and obtaining promising results. In this model, CNN is used to extract features of input dataset. Furthermore, Bi-LSTM uses CNN's outputs to predict the daily closing gold price.

Decomposition aided attention-based recurrent neural networks for multistep ahead time-series forecasting of renewable power generation

Renewable energy plays an increasingly important role in our future. As fossil fuels become more difficult to extract and effectively process, renewables offer a solution to the ever-increasing energy demands of the world. However, the shift toward renewable energy is not without challenges. While fossil fuels offer a more reliable means of energy storage that can be converted into usable energy, renewables are more dependent on external factors used for generation. Efficient storage of renewables is more difficult often relying on batteries that have a limited number of charge cycles. A robust and efficient system for forecasting power generation from renewable sources can help alleviate some of the difficulties associated with the transition toward renewable energy. Therefore, this study proposes an attention-based recurrent neural network approach for forecasting power generated from renewable sources. To help networks make more accurate forecasts, decomposition techniques utilized applied the time series, and a modified metaheuristic is introduced to optimized hyperparameter values of the utilized networks. This approach has been tested on two real-world renewable energy datasets covering both solar and wind farms. The models generated by the introduced metaheuristics were compared with those produced by other state-of-the-art optimizers in terms of standard regression metrics and statistical analysis. Finally, the best-performing model was interpreted using SHapley Additive exPlanations.

COVID19-MLSF: A multi-task learning-based stock market forecasting framework during the COVID-19 pandemic

The sudden outbreak of COVID-19 has dramatically altered the state of the global economy, and the stock market has become more volatile and even fallen sharply as a result of its negative impact, heightening investors' apprehension regarding the correlation between unexpected events and stock market volatility. Additionally, internal and external characteristics coexist in the stock market. Existing research has struggled to extract more effective stock market features during the COVID-19 outbreak using a single time-series neural network model. This paper presents a framework for multitasking learning-based stock market forecasting (COVID-19-MLSF), which can extract the internal and external features of the stock market and their relationships effectively during COVID-19.The innovation comprises three components: designing a new market sentiment index (NMSI) and COVID-19 index to represent the external characteristics of the stock market during the COVID-19 pandemic. Besides, it introduces a multi-task learning framework to extract global and local features of the stock market. Moreover, a temporal convolutional neural network with a multi-scale attention mechanism is designed (MA-TCN) alongside a Multi-View Convolutional-Bidirectional Recurrent Neural Network with Temporal Attention (MVCNN-BiLSTM-Att), adjusting the model to account for the changing status of COVID-19 and its impact on the stock market. Experiments indicate that our model achieves superior performance both in terms of predicting the accuracy of the China CSI 300 Index during the COVID-19 period and in terms of sing market trading.