Research on High-frequency stock price prediction based on Chebyshev-Stacking and Weighted LSTM neural network [1]

Abstract

To solve the problem of high-frequency stock price prediction, this paper proposed a prediction model based on Chebyshev-Stacking and a weighted LSTM neural network. The proposed method extracts the function characteristic information of the high-frequency stock price series through Chebyshev orthogonal polynomial basis expansion. Considering that the potential model structure between each component of the function feature vector and the residual sequence predicted by the LSTM neural network is unknown and there is a certain noise, this paper used the Stacking framework to enhance the data and weighed the bias and variance of the prediction model. In addition, since the number of predictor variable periods of the LSTM neural network is a hyperparameter, the model averaging method based on distance covariance is used for optimization. The results of actual data analysis show that the proposed method is significantly better than the original LSTM neural network in terms of mean square error, absolute error, and relative error. By selecting the different number of training sets, the robustness of the improved model is verified. Finally, the proposed method can also be used in practical applications such as daily average temperature prediction, missile trajectory prediction, and real-time monitoring of atmospheric environment quality.