Stock Price Prediction Using CNN-BiLSTM-Attention Model

Abstract

Accurate stock price prediction has an important role in stock investment. Because stock price data are characterized by high frequency, nonlinearity, and long memory, predicting stock prices precisely is challenging. Various forecasting methods have been proposed, from classical time series methods to machine-learning-based methods, such as random forest (RF), recurrent neural network (RNN), convolutional neural network (CNN), Long Short-Term Memory (LSTM) neural networks and their variants, etc. Each method can reach a certain level of accuracy but also has its limitations. In this paper, a CNN-BiLSTM-Attention-based model is proposed to boost the accuracy of predicting stock prices and indices. First, the temporal features of sequence data are extracted using a convolutional neural network (CNN) and bi-directional long and short-term memory (BiLSTM) network. Then, an attention mechanism is introduced to fit weight assignments to the information features automatically; and finally, the final prediction results are output through the dense layer. The proposed method was first used to predict the price of the Chinese stock index—the CSI300 index and was found to be more accurate than any of the other three methods—LSTM, CNN-LSTM, CNN-LSTM-Attention. In order to investigate whether the proposed model is robustly effective in predicting stock indices, three other stock indices in China and eight international stock indices were selected to test, and the robust effectiveness of the CNN-BiLSTM-Attention model in predicting stock prices was confirmed. Comparing this method with the LSTM, CNN-LSTM, and CNN-LSTM-Attention models, it is found that the accuracy of stock price prediction is highest using the CNN-BiLSTM-Attention model in almost all cases.