LSTM-based Deep Learning Model for Stock Prediction and Predictive Optimization Model

被引：19
|
作者：
Rather, Akhter Mohiuddin [1 ]
机构：
[1] Great Lakes Inst Management, Dept Machine Learning & Data Sci, Gurgaon Campus, New Delhi 122413, India
来源：
EURO JOURNAL ON DECISION PROCESSES | 2021年 / 9卷
关键词：
Artificial Neural Networks; Deep Learning; LSTM; Time Series; Portfolio Model; ARTIFICIAL BEE COLONY; NEURAL-NETWORKS; HYBRID MODEL; PORTFOLIO; VARIANCE; ALGORITHM; TEXT; CLASSIFICATION; SUPPORT; ARIMA;
D O I：
10.1016/j.ejdp.2021.100001
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
A new method of predicting time-series-based stock prices and a new model of an investment portfolio based on predictions obtained is proposed here. For this purpose, a new regression scheme is implemented on a long-short-term-memory-based deep neural network. The predictions once obtained are used to construct an investment portfolio or more specifically a predicted portfolio. A large set of experiments have been carried on stock data of NIFTY-50 obtained from the National stock exchange of India. The results confirm that the proposed model outperforms various standard predictive models as well as various standard portfolio optimization models.
引用
收藏
页数：11
相关论文
共 50 条
  • [1] LSTM-based Deep Learning Model for Civil Aircraft Position and Attitude Prediction Approach
    Yang, Kaiqiao
    Bi, Meina
    Liu, Yang
    Zhang, Yuxin
    PROCEEDINGS OF THE 38TH CHINESE CONTROL CONFERENCE (CCC), 2019, : 8689 - 8694
  • [2] Stock portfolio optimization using a deep learning LSTM model
    Sen, Jaydip
    Dutta, Abhishek
    Mehtab, Sidra
    arXiv, 2021,
  • [3] Dynamic Sliding Window and Neighborhood LSTM-Based Model for Stock Price Prediction
    Giang Thi Thu H.
    Nguyen Thanh T.
    Le Quy T.
    SN Computer Science, 2022, 3 (3)
  • [4] An LSTM-based decision-making model for predictive manufacturing performance optimization
    Mellouli, Hala
    Meddaoui, Anwar
    Zaki, Abdelhamid
    Jadli, Aissam
    INTERNATIONAL JOURNAL OF ADVANCED MANUFACTURING TECHNOLOGY, 2025, 137 (5-6): : 2595 - 2608
  • [5] Particle swarm optimization LSTM based stock prediction model
    Yuan, Xueyu
    He, Chun
    Xu, Heng
    Sun, Yuyang
    2023 3RD ASIA-PACIFIC CONFERENCE ON COMMUNICATIONS TECHNOLOGY AND COMPUTER SCIENCE, ACCTCS, 2023, : 513 - 516
  • [6] Stock prediction model based on particle swarm optimization LSTM
    Song G.
    Zhang Y.
    Bao F.
    Qin C.
    Beijing Hangkong Hangtian Daxue Xuebao/Journal of Beijing University of Aeronautics and Astronautics, 2019, 45 (12): : 2533 - 2542
  • [7] Ventilation prediction for ICU patients with LSTM-based deep relative risk model
    Liu, Bin
    Yin, Guosheng
    DEVELOPMENTS OF ARTIFICIAL INTELLIGENCE TECHNOLOGIES IN COMPUTATION AND ROBOTICS, 2020, 12 : 979 - 986
  • [8] Improved LSTM-based deep learning model for COVID-19 prediction using optimized approach
    Zhou, Luyu
    Zhao, Chun
    Liu, Ning
    Yao, Xingduo
    Cheng, Zewei
    ENGINEERING APPLICATIONS OF ARTIFICIAL INTELLIGENCE, 2023, 122
  • [9] Multicellular LSTM-based deep learning model for aero-engine remaining useful life prediction
    Xiang, Sheng
    Qin, Yi
    Luo, Jun
    Pu, Huayan
    Tang, Baoping
    RELIABILITY ENGINEERING & SYSTEM SAFETY, 2021, 216
  • [10] An optimized LSTM-based deep learning model for anomaly network intrusion detection
    Dash, Nitu
    Chakravarty, Sujata
    Rath, Amiya Kumar
    Giri, Nimay Chandra
    Aboras, Kareem M.
    Gowtham, N.
    SCIENTIFIC REPORTS, 2025, 15 (01):
12345