An improved long short-term memory neural network for stock forecast

• Main Authors: Lv Liujia, Kong Weijian, Qi Jie, Zhang Jue
• Format: Article
• Language: English
• Published: EDP Sciences 2018-01-01
• Series: MATEC Web of Conferences
• Online Access: https://doi.org/10.1051/matecconf/201823201024

This paper presents an improved long short-term memory (LSTM) neural network based on particle swarm optimization (PSO), which is applied to predict the closing price of the stock. PSO is introduced to optimize the weights of the LSTM neural network, which reduces the prediction error. After preprocessing the historical data of the stock, including opening price, closing price, highest price, lowest price, and daily volume these five attributes, we train the LSTM by employing time series of the historical data. Finally, we apply the proposed LSTM to predict the closing price of the stock in the last two years. Compared with typical algorithms by simulation, we find the LSTM has better performance in reliability and adaptability, and the improved PSO-LSTM algorithm has better accuracy.