Stock price prediction using deep learning and frequency decomposition

摘要

Nonlinearity and high volatility of financial time series have made it difficult to predict stock price. However, thanks to recent developments in deep learning and methods such as long short-term memory (LSTM) and convolutional neural network (CNN) models, significant improvements have been obtained in the analysis of this type of data. Further, empirical mode decomposition (EMD) and complete ensemble empirical mode decomposition (CEEMD) algorithms decomposing time series to different frequency spectra are among the methods that could be effective in analyzing financial time series. Based on these theoretical frameworks, we propose novel hybrid algorithms, i.e., CEEMD-CNN-LSTM and EMD-CNN-LSTM, which could extract deep features and time sequences, which are finally applied to one-step-ahead prediction. The concept of the suggested algorithm is that when combining these models, some collaboration is established between them that could enhance the analytical power of the model. The practical findings confirm this claim and indicate that CNN alongside LSTM and CEEMD or EMD could enhance the prediction accuracy and outperform other counterparts. Further, the suggested algorithm with CEEMD provides better performance compared to EMD.