Issue |
MATEC Web Conf.
Volume 336, 2021
2020 2nd International Conference on Computer Science Communication and Network Security (CSCNS2020)
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Article Number | 05011 | |
Number of page(s) | 6 | |
Section | Computer Science and System Design | |
DOI | https://doi.org/10.1051/matecconf/202133605011 | |
Published online | 15 February 2021 |
Study on the application of LSTM-LightGBM Model in stock rise and fall prediction
1 Ankang Vocational Technical College, College of Engineering, Ankang 725000, China
2 Xunyang Second Middle School, History Teaching Group, Ankang 725741, China
* Corresponding author: 646288897@qq.com
This paper proposes a hybrid financial time series forecast model based on LSTM and LightGBM, namely LSTM_LightGBM model. Use the LightGBM model to train the processed stock historical data set, and save the training results. Then the opening price, closing price, highest price, lowest price, trading volume and adjusted closing price are separately input into the LSTM model for prediction. The prediction result of each attribute is used as the test set of the prediction after LightGBM training. Constantly adjust the parameters of each model, and finally get the optimal stock price forecast model. The model is validated with the rise and fall of AAPL stock. Through the comparison of evaluation index root mean square error RMSE, mean absolute error MAE, prediction accuracy Accuracy and f1_score. It is found that the LSTM_LightGBM model exhibits stable and better prediction performance in the stock prediction. That is to say, the LSTM_LightGBM model proposed in this paper is stable and feasible in the stock price fluctuation forecast.
© The Authors, published by EDP Sciences, 2021
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