An efficient stock market prediction model using hybrid feature reduction method based on variational autoencoders and recursive feature elimination

نویسندگان

چکیده

Abstract In this study, the hourly directions of eight banking stocks in Borsa Istanbul were predicted using linear-based, deep-learning (LSTM) and ensemble learning (LightGBM) models. These models trained with four different feature sets their performances evaluated terms accuracy F-measure metrics. While first experiments directly used own stock features as model inputs, second utilized reduced through Variational AutoEncoders (VAE). last experiments, order to grasp effects other on individual performance, belonging also given inputs our combining was done for both (named allstock_own) VAE-reduced allstock_VAE) features, expanded dimensions by Recursive Feature Elimination. As highest success rate increased up 0.685 allstock_own LSTM attention model, combination allstock_VAE obtained an 0.675. Although classification results achieved types close, these nearly 16.67% less compared allstock_own. When all experimental examined, it found out that higher rates than those features. It concluded similar

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ژورنال

عنوان ژورنال: Financial Innovation

سال: 2021

ISSN: ['2199-4730']

DOI: https://doi.org/10.1186/s40854-021-00243-3