A Dual-Attention-Based Stock Price Trend Prediction Model With Dual Features

Abstract

Modeling and predicting stock prices is an important and challenging task in the field of financial market. Due to the high volatility of stock prices, traditional data mining methods cannot identify the most relevant and critical market data for predicting stock price trend. This paper proposes a stock price trend predictive model (TPM) based on an encoder-decoder framework that predicting the stock price movement and its duration adaptively. This model consists of two phases, first, a dual feature extraction method based on different time spans is proposed to get more information from the market data. While traditional methods only extract features from information at some specific time points, this proposed model applies the PLR method and CNN to extract the long-term temporal features and the short-term spatial features from market data. Then, in the second phase of the proposed TPM, a dual attention mechanism based encoder-decoder framework is used to select and merge relevant dual features and predict the stock price trend. To evaluate our proposed TPM, we collected high-frequency market data for stock indexes CSI300, SSE 50 and CSI 500, and conducted experiments based on these three data sets. The experimental results show that the proposed TPM outperforms the existing state-of-art methods, including SVR, LSTM, CNN, LSTM_CNN and TPM_NC, in terms of prediction accuracy.

Keywords

• Stock price
• predictive models
• neural networks
• encoder-decoder
• dual feature extraction
• dual attention mechanism