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Enhancing Stock Market Prediction Using Gradient Boosting Neural Network: A Hybrid Approach

Author

Listed:
  • Taraneh Shahin

    (Universidad Rey Juan Carlos)

  • María Teresa Ballestar de las Heras

    (Universidad Rey Juan Carlos)

  • Ismael Sanz

    (Universidad Rey Juan Carlos)

Abstract

This paper introduces an innovative paradigm in cryptocurrency market analysis and prediction by exploiting the potency of the gradient boosting neural network (GBNN). This pioneering machine learning model amalgamates neural networks and gradient boosting techniques to offer a robust methodology. To enhance the GBNN's predictive capabilities, we enriched its input data with a spectrum of technical indicators. Moreover, we employed the support vector regressor for feature engineering, contributing to the exclusion of insignificant variables. We coined the term "hybrid approach" to describe our pipeline, employing it to train the GBNN model using historical cryptocurrency data. A multitude of experiments were conducted to demonstrate the superior performance of our approach in terms of model accuracy and error on previously unseen data. Notably, our proposed method outperformed state-of-the-art machine learning models, showcasing its effectiveness.

Suggested Citation

  • Taraneh Shahin & María Teresa Ballestar de las Heras & Ismael Sanz, 2025. "Enhancing Stock Market Prediction Using Gradient Boosting Neural Network: A Hybrid Approach," Computational Economics, Springer;Society for Computational Economics, vol. 65(6), pages 3207-3235, June.
  • Handle: RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10671-9
    DOI: 10.1007/s10614-024-10671-9
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    More about this item

    Keywords

    Cryptocurrency market; Machine learning; Gradient boosting neural network; Multi-layer perceptron; SARIMA;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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