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


Creative Commons License

Gunduz H.

FINANCIAL INNOVATION, vol.7, no.1, 2021 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 7 Issue: 1
  • Publication Date: 2021
  • Doi Number: 10.1186/s40854-021-00243-3
  • Title of Journal : FINANCIAL INNOVATION
  • Keywords: Stock market prediction, Variational autoencoder, Recursive feature elimination, Long-short term memory, Borsa Istanbul, LightGBM, FEATURE-SELECTION, NEURAL-NETWORKS, CLASSIFIERS, DIRECTION

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