Stock Price Forecast Based on CNN-BiLSTM-ECA Model

• Published in: Scientific programming 2021, Vol.2021, p.1-20
• Main Authors: Chen, Yu, Fang, Ruixin, Liang, Ting, Sha, Zongyu, Li, Shicheng, Yi, Yugen, Zhou, Wei, Song, Huilin
• Format: Article
• Language: English
• Subjects: Artificial neural networks; Data analysis; Deep learning; Econometrics; Feature extraction; Investments; Machine learning; Mathematical models; Multimedia; Neural networks; Nonlinearity; Prediction models; Pricing; Securities markets; Social research; Stock exchanges; Support vector machines; Time series
• ISSN: 1058-9244; 1875-919X
• DOI: 10.1155/2021/2446543

Financial data as a kind of multimedia data contains rich information, which has been widely used for data analysis task. However, how to predict the stock price is still a hot research problem for investors and researchers in financial field. Forecasting stock prices becomes an extremely challenging task due to high noise, nonlinearity, and volatility of the stock price time series data. In order to provide better prediction results of stock price, a new stock price prediction model named as CNN-BiLSTM-ECA is proposed, which combines Convolutional Neural Network (CNN), Bidirectional Long Short-term Memory (BiLSTM) network, and Attention Mechanism (AM). More specifically, CNN is utilized to extract the deep features of stock data for reducing the influence of high noise and nonlinearity. Then, BiLSTM network is employed to predict the stock price based on the extracted deep features. Meanwhile, a novel Efficient Channel Attention (ECA) module is introduced into the network model to further improve the sensitivity of the network to the important features and key information. Finally, extensive experiments are conducted on the three stock datasets such as Shanghai Composite Index, China Unicom, and CSI 300. Compared with the existing methods, the experimental results verify the effectiveness and feasibility of the proposed CNN-BILSTM-ECA network model, which can provide an important reference for investors to make decisions.