Research on Stock Index Prediction Based on Stock Correlation Network and Deep Learning

Abstract

Aiming at the problem of stock index prediction, constructing a time series stock correlation network based on the fundamentals and technology of stock index components, then using the depth map neural network to learn the hierarchical representation of stock correlation network, and obtaining the candidate prediction signal in an end-to-end way. The architecture composed of depth map neural network method and end-to-end strategy is called DIFFPOOL architecture. Taking the CSI 300 index as the research object, combining the DIFFPOOL architecture with softmax classifier, long-term and short-term memory neural network (LSTM), linear regression, and logical regression, respectively, and uses the sliding time window method to obtain the corresponding prediction accuracy of stock index. The accuracy of the combined model under the optimal parameters fluctuates in the interval [0.56, 0.62]. Ultimately, the first mock exam is based on the mean absolute error (MAE) and the root mean square error (RMSE). The regression models of DIFFPOOL and regression models are compared with LSTM, recurrent neural network (RNN), and back propagation neural network (BP). Compared with the single model, the MAE and RMSE of the combined model are smaller, 0.0061 and 0.0081, respectively. Experiments show that by aggregating the node attribute information of the stock association network hierarchically, we can dynamically capture the impact of different industry sectors on stock index price fluctuations and further improve prediction accuracy.