Stock prediction based on bidirectional gated recurrent unit with convolutional neural network and feature selection

Abstract

With the development of recent years, the field of deep learning has made great progress. Compared with the traditional machine learning algorithm, deep learning can better find the rules in the data and achieve better fitting effect. In this paper, we propose a hybrid stock forecasting model based on Feature Selection, Convolutional Neural Network and Bidirectional Gated Recurrent Unit (FS-CNN-BGRU). Feature Selection (FS) can select the data with better performance for the results as the input data after data normalization. Convolutional Neural Network (CNN) is responsible for feature extraction. It can extract the local features of the data, pay attention to more local information, and reduce the amount of calculation. The Bidirectional Gated Recurrent Unit (BGRU) can process the data with time series, so that it can have better performance for the data with time series attributes. In the experiment, we used single CNN, LSTM and GRU models and mixed models CNN-LSTM, CNN-GRU and FS-CNN-BGRU (the model used in this manuscript). The results show that the performance of the hybrid model (FS-CNN-BGRU) is better than other single models, which has a certain reference value.