Stock Index Forecasting Using a Novel Integrated Model Based on CEEMDAN and TCN-GRU-CBAM

S. Li · Guoqiang Tang · Xuchang Chen · Tongzhi Lin

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

Abstract

In the context of the current rapid development of the financial market, how to establish an effective stock price index model to avoid investment risks and enhance investment returns for investors has become a subject of great concern. On this basis, a new method of stock price index prediction employing deep neural networks is investigated. This paper employs the Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) technique to break down the time series of the stock index into its constituent Intrinsic Modal Functions (IMFs). According to the similarity of the values of Fuzzy Entropy (FE), the subsequence is reorganized to become a new sequence, which highlights the fluctuation state of the stock index at different frequencies and improves the forecasting efficiency. In terms of a forecasting method, the combination of Temporal Convolutional Network (TCN), Gated Recurrent Unit (GRU), and Convolutional Block Attention Module (CBAM) is used to forecast the reorganized subsequence, and the final forecast results are reconstructed to obtain the final prediction value. To further evaluate the performance of the proposed CEEMDAN-TCN-GRU-CBAM model, this paper selects four representative stock indices in emerging and developed markets while comparing them with the benchmark model. It uses four evaluation metrics to measure the model performance. The study shows that the proposed model outperforms other benchmark models has better robustness and universality, and has higher forecasting accuracy.

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References

2004Forecasting stock market movement direction with support vector machine 2004A hybrid ARIMA and support vector machines model in stock price forecasting 2018Financial time series forecasting model based on CEEMDAN and LSTM 2019CNNpred: CNN-based stock market prediction using a diverse set of variables 2020Deep Learning-Based Stock Price Prediction Using LSTM and Bi-Directional LSTM Model 2022Forecasting gold price using a novel hybrid model with ICEEMDAN and LSTM-CNN-CBAM 2021Stock Prediction Based on Optimized LSTM and GRU Models 2020Stock Price Prediction Using CNN and LSTM-Based Deep Learning Models

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