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Encoder–Decoder Based LSTM and GRU Architectures for Stocks and Cryptocurrency Prediction

Author

Listed:
  • Joy Dip Das

    (Department of Computer Science, University of Manitoba, Winnipeg, MB R3T 5V6, Canada
    Current address: E2-445 EITC, 75A Chancellors Circle, Winnipeg, MB R3T 5V6, Canada.)

  • Ruppa K. Thulasiram

    (Department of Computer Science, University of Manitoba, Winnipeg, MB R3T 5V6, Canada
    Current address: E2-445 EITC, 75A Chancellors Circle, Winnipeg, MB R3T 5V6, Canada.)

  • Christopher Henry

    (Department of Computer Science, University of Manitoba, Winnipeg, MB R3T 5V6, Canada
    Current address: E2-445 EITC, 75A Chancellors Circle, Winnipeg, MB R3T 5V6, Canada.)

  • Aerambamoorthy Thavaneswaran

    (Department of Statistics, University of Manitoba, Winnipeg, MB R3T 2N2, Canada)

Abstract

This work addresses the intricate task of predicting the prices of diverse financial assets, including stocks, indices, and cryptocurrencies, each exhibiting distinct characteristics and behaviors under varied market conditions. To tackle the challenge effectively, novel encoder–decoder architectures, AE-LSTM and AE-GRU, integrating the encoder–decoder principle with LSTM and GRU, are designed. The experimentation involves multiple activation functions and hyperparameter tuning. With extensive experimentation and enhancements applied to AE-LSTM, the proposed AE-GRU architecture still demonstrates significant superiority in forecasting the annual prices of volatile financial assets from the multiple sectors mentioned above. Thus, the novel AE-GRU architecture emerges as a superior choice for price prediction across diverse sectors and fluctuating volatile market scenarios by extracting important non-linear features of financial data and retaining the long-term context from past observations.

Suggested Citation

  • Joy Dip Das & Ruppa K. Thulasiram & Christopher Henry & Aerambamoorthy Thavaneswaran, 2024. "Encoder–Decoder Based LSTM and GRU Architectures for Stocks and Cryptocurrency Prediction," JRFM, MDPI, vol. 17(5), pages 1-23, May.
  • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:200-:d:1393147
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    References listed on IDEAS

    as
    1. David G. McMillan, 2003. "Non‐linear Predictability of UK Stock Market Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 557-573, December.
    2. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    3. Zexin Hu & Yiqi Zhao & Matloob Khushi, 2021. "A Survey of Forex and Stock Price Prediction Using Deep Learning," Papers 2103.09750, arXiv.org.
    4. Massoud Metghalchi & Juri Marcucci & Yung-Ho Chang, 2012. "Are moving average trading rules profitable? Evidence from the European stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1539-1559, April.
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    Cited by:

    1. Kang, Mingu & Hong, Joongi & Kim, Suntae, 2025. "Harnessing technical indicators with deep learning based price forecasting for cryptocurrency trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 660(C).
    2. Ergenç Cansu & Aktaş Rafet, 2025. "A Supervised Machine Learning in Financial Forecasting: Identifying Effective Models for the BIST100 Index," Review of Economic Perspectives, Sciendo, vol. 25(1), pages 66-90.
    3. Claudia Cappello & Antonella Congedi & Sandra De Iaco & Leonardo Mariella, 2025. "Traditional Prediction Techniques and Machine Learning Approaches for Financial Time Series Analysis," Mathematics, MDPI, vol. 13(3), pages 1-21, February.

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