Application of BiLSTM-SA-TCN time series model in stock price prediction
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TP183

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    Abstract:

    To address the poor timeliness and simple prediction functions of stock forecasting models, we propose a model abbreviated as BiLSTM-SA-TCN, which combines Bi-directional Long Short-Term Memory (Bi-LSTM) neural network, Self-Attention (SA) and Temporal Convolution Network (TCN).The learning unit and prediction unit in the proposed model can effectively learn important stock data, capture long-term dependency information, and output the predicted next day close price.The experimental results indicate that the BiLSTM-SA-TCN model has more stable prediction results on multiple data sets and has higher modle generalization ability.Furthormore, incomparative experiment, the BiLSTM-SA-TCN model achieves the lowest root mean square error, the lowest mean absolute error, and the best fitting degree of R2 on the majority of datasets.

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YANG Zhiyong, YE Yuxi, ZHOU Yu. Application of BiLSTM-SA-TCN time series model in stock price prediction[J]. Journal of Nanjing University of Information Science & Technology,2023,15(6):643-651

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  • Received:October 31,2022
  • Online: December 15,2023
  • Published: November 28,2023
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