Attention-based CNN-LSTM and XGBoost hybrid model for stock prediction

TL;DR

This paper introduces a hybrid model combining attention-based CNN-LSTM and XGBoost to improve stock price prediction accuracy by effectively capturing complex nonlinear patterns in historical data.

Contribution

It proposes a novel integration of CNN-LSTM with XGBoost using an attention mechanism, enhancing nonlinear modeling for stock prediction.

Findings

Hybrid model outperforms traditional methods in accuracy

Deep features extracted via CNN improve prediction quality

Long-term dependencies captured by LSTM enhance model performance

Abstract

Stock market plays an important role in the economic development. Due to the complex volatility of the stock market, the research and prediction on the change of the stock price, can avoid the risk for the investors. The traditional time series model ARIMA can not describe the nonlinearity, and can not achieve satisfactory results in the stock prediction. As neural networks are with strong nonlinear generalization ability, this paper proposes an attention-based CNN-LSTM and XGBoost hybrid model to predict the stock price. The model constructed in this paper integrates the time series model, the Convolutional Neural Networks with Attention mechanism, the Long Short-Term Memory network, and XGBoost regressor in a non-linear relationship, and improves the prediction accuracy. The model can fully mine the historical information of the stock market in multiple periods. The stock data is first preprocessed through ARIMA. Then, the deep learning architecture formed in pretraining-finetuning framework is adopted. The pre-training model is the Attention-based CNN-LSTM model based on sequence-to-sequence framework. The model first uses convolution to extract the deep features of the original stock data, and then uses the Long Short-Term Memory networks to mine the long-term time series features. Finally, the XGBoost model is adopted for fine-tuning. The results show that the hybrid model is more effective and the prediction accuracy is relatively high, which can help investors or institutions to make decisions and achieve the purpose of expanding return and avoiding risk. Source code is available at https://github.com/zshicode/Attention-CLX-stock-prediction.