Multivariate CNN‐LSTM Model for Multiple Parallel Financial Time‐Series Prediction

Harya Widiputra · Adele B. L. Mailangkay · Elliana Gautama

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Stock Market Forecasting Methods Forecasting Techniques and Applications Time Series Analysis and Forecasting

Abstract

At the macroeconomic level, the movement of the stock market index, which is determined by the moves of other stock market indices around the world or in that region, is one of the primary factors in assessing the global economic and financial situation, making it a critical topic to monitor over time. As a result, the potential to reliably forecast the future value of stock market indices by taking trade relationships into account is critical. The aim of the research is to create a time‐series data forecasting model that incorporates the best features of many time‐series data analysis models. The hybrid ensemble model built in this study is made up of two main components, each with its own set of functions derived from the CNN and LSTM models. For multiple parallel financial time‐series estimation, the proposed model is called multivariate CNN‐LSTM. The effectiveness of the evolved ensemble model during the COVID‐19 pandemic was tested using regular stock market indices from four Asian stock markets: Shanghai, Japan, Singapore, and Indonesia. In contrast to CNN and LSTM, the experimental results show that multivariate CNN‐LSTM has the highest statistical accuracy and reliability (smallest RMSE value). This finding supports the use of multivariate CNN‐LSTM to forecast the value of different stock market indices and that it is a viable choice for research involving the development of models for the study of financial time‐series prediction.

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References

2017Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies 2018Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models 2019CNNpred: CNN-based stock market prediction using a diverse set of variables 2020A CNN-LSTM-Based Model to Forecast Stock Prices 2020Deep Learning for Stock Market Prediction 2017A feature weighted support vector machine and K-nearest neighbor algorithm for stock market indices prediction 2020Optimizing LSTM for time series prediction in Indian stock market 2019Predicting the daily return direction of the stock market using hybrid machine learning algorithms

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