An Ensemble Approach to Stock Price Prediction Using Deep Learning and Time Series Models

• Published in: IEEE International Conference on Power, Intelligent Computing and Systems (Online) pp. 793 - 797
• Main Authors: Sui, Mujie, Zhang, Cheng, Zhou, Li, Liao, Shuhan, Wei, Changsong
• Format: Conference Proceeding
• Language: English
• Published: IEEE 26.07.2024
• Subjects: Computational modeling; Deep learning; Ensemble learning; Kerwords-stock price prediction; Linear regression; Long short term memory; Measurement; Predictive models; quantitative trading; Stock markets; Time series analysis; time series models; Tuning
• ISSN: 2834-8567
• DOI: 10.1109/ICPICS62053.2024.10796661

The prediction of stock prices is a challenging task, particularly for retail investors who may lack the resources and expertise to perform sophisticated quantitative trading. This study focuses on enhancing stock price prediction for retail investors by employing advanced machine learning techniques on data from the stock exchange market. We utilize a comprehensive methodology that includes data preprocessing to handle missing values and outliers, feature engineering, cross-validation, and parameter tuning. The techniques applied include Keras Deep Neural Networks (DNN), LightGBM, LSTM, GRU, and linear regression (LR). Our proposed ensemble model, which combines time series and deep learning models, demonstrates superior performance compared to individual models. This integration of methods leads to significant improvements in prediction accuracy, providing a robust solution for retail investors.