Forecasting Variation Trends of Stocks via Multiscale Feature Fusion and Long Short-Term Memory Learning

• Main Authors: Yezhen Liu, Xilong Yu, Yanhua Wu, Shuhong Song
• Format: Article
• Language: English
• Published: Hindawi Limited 2021-01-01
• Series: Scientific Programming
• Online Access: http://dx.doi.org/10.1155/2021/5113151

Forecasting stock price trends accurately appears a huge challenge because the environment of stock markets is extremely stochastic and complicated. This challenge persistently motivates us to seek reliable pathways to guide stock trading. While the Long Short-Term Memory (LSTM) network has the dedicated gate structure quite suitable for the prediction based on contextual features, we propose a novel LSTM-based model. Also, we devise a multiscale convolutional feature fusion mechanism for the model to extensively exploit the contextual relationships hidden in consecutive time steps. The significance of our designed scheme is twofold. (1) Benefiting from the gate structure designed for both long- and short-term memories, our model can use the given stock history data more adaptively than traditional models, which greatly guarantees the prediction performance in financial time series (FTS) scenarios and thus profits the prediction of stock trends. (2) The multiscale convolutional feature fusion mechanism can diversify the feature representation and more extensively capture the FTS feature essence than traditional models, which fairly facilitates the generalizability. Empirical studies conducted on three classic stock history data sets, i.e., S&P 500, DJIA, and VIX, demonstrated the effectiveness and stability superiority of the suggested method against a few state-of-the-art models using multiple validity indices. For example, our method achieved the highest average directional accuracy (around 0.71) on the three employed stock data sets.