Stock Price Prediction based on LSTM and XGBoost Combination Model

Abstract

In recent years, many machine learning and deep learning algorithms have been applied to stock prediction, providing a reference basis for stock trading, and LSTM neural network and XGBoost algorithm are two typical representatives, each with advantages and disadvantages in prediction. In view of this, we propose a combination model based on LSTM and XGBoost, which combines the advantages of LSTM in processing time series data and the ability of XGBoost to evaluate the importance of features. The combination model first selects feature variables with high importance through XGBoost, performs data dimensionality reduction, and then uses LSTM to make predictions. In order to verify the feasibility of the combination model, we built XGBoost, LSTM and LSTM-XGBoost models, and carried out experiments on three data sets of China Eastern Airlines, China Merchants Bank and Kweichow Moutai respectively. Finally, we concluded that the proposed LSTM-XGBoost model has good feasibility and universality in stock price prediction by comparing the accuracy of the predicted images and their performance in RMSE, RMAE, and MAPE indicators.