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Financial series prediction using Attention LSTM

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  • Sangyeon Kim
  • Myungjoo Kang

Abstract

Financial time series prediction, especially with machine learning techniques, is an extensive field of study. In recent times, deep learning methods (especially time series analysis) have performed outstandingly for various industrial problems, with better prediction than machine learning methods. Moreover, many researchers have used deep learning methods to predict financial time series with various models in recent years. In this paper, we will compare various deep learning models, such as multilayer perceptron (MLP), one-dimensional convolutional neural networks (1D CNN), stacked long short-term memory (stacked LSTM), attention networks, and weighted attention networks for financial time series prediction. In particular, attention LSTM is not only used for prediction, but also for visualizing intermediate outputs to analyze the reason of prediction; therefore, we will show an example for understanding the model prediction intuitively with attention vectors. In addition, we focus on time and factors, which lead to an easy understanding of why certain trends are predicted when accessing a given time series table. We also modify the loss functions of the attention models with weighted categorical cross entropy; our proposed model produces a 0.76 hit ratio, which is superior to those of other methods for predicting the trends of the KOSPI 200.

Suggested Citation

  • Sangyeon Kim & Myungjoo Kang, 2019. "Financial series prediction using Attention LSTM," Papers 1902.10877, arXiv.org.
  • Handle: RePEc:arx:papers:1902.10877
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    References listed on IDEAS

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    5. Fischer, Thomas & Krauss, Christopher, 2018. "Deep learning with long short-term memory networks for financial market predictions," European Journal of Operational Research, Elsevier, vol. 270(2), pages 654-669.
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    Cited by:

    1. Mehmet Sahiner, 2024. "Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2435-2499, June.
    2. Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
    3. Paul Bilokon & Yitao Qiu, 2023. "Transformers versus LSTMs for electronic trading," Papers 2309.11400, arXiv.org.
    4. Ouyang, Zi-sheng & Yang, Xi-te & Lai, Yongzeng, 2021. "Systemic financial risk early warning of financial market in China using Attention-LSTM model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    5. Luka Jovanovic & Dejan Jovanovic & Nebojsa Bacanin & Ana Jovancai Stakic & Milos Antonijevic & Hesham Magd & Ravi Thirumalaisamy & Miodrag Zivkovic, 2022. "Multi-Step Crude Oil Price Prediction Based on LSTM Approach Tuned by Salp Swarm Algorithm with Disputation Operator," Sustainability, MDPI, vol. 14(21), pages 1-29, November.
    6. Thi Thu Giang Nguyen & Robert ƚlepaczuk, 2022. "The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index," Working Papers 2022-29, Faculty of Economic Sciences, University of Warsaw.
    7. Nicole Koenigstein, 2022. "Dynamic and Context-Dependent Stock Price Prediction Using Attention Modules and News Sentiment," Papers 2205.01639, arXiv.org.

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