Open Access

ARTICLE

Stock-Price Forecasting Based on XGBoost and LSTM

Pham Hoang Vuong¹, Trinh Tan Dat¹, Tieu Khoi Mai¹, Pham Hoang Uyen², Pham The Bao^1,*

1 Information Science Faculty, Sai Gon University, Ho Chi Minh City, 700000, Vietnam
2 University of Economics and Law, Ho Chi Minh City, 700000, Vietnam

* Corresponding Author: Pham The Bao. Email:

(This article belongs to the Special Issue: Data Analytics in Industry 4.0)

Computer Systems Science and Engineering 2022, 40(1), 237-246. https://doi.org/10.32604/csse.2022.017685

Received 07 February 2021; Accepted 04 May 2021; Issue published 26 August 2021

Abstract

Using time-series data analysis for stock-price forecasting (SPF) is complex and challenging because many factors can influence stock prices (e.g., inflation, seasonality, economic policy, societal behaviors). Such factors can be analyzed over time for SPF. Machine learning and deep learning have been shown to obtain better forecasts of stock prices than traditional approaches. This study, therefore, proposed a method to enhance the performance of an SPF system based on advanced machine learning and deep learning approaches. First, we applied extreme gradient boosting as a feature-selection technique to extract important features from high-dimensional time-series data and remove redundant features. Then, we fed selected features into a deep long short-term memory (LSTM) network to forecast stock prices. The deep LSTM network was used to reflect the temporal nature of the input time series and fully exploit future contextual information. The complex structure enables this network to capture more stochasticity within the stock price. The method does not change when applied to stock data or Forex data. Experimental results based on a Forex dataset covering 2008–2018 showed that our approach outperformed the baseline autoregressive integrated moving average approach with regard to mean absolute error, mean squared error, and root-mean-square error.

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Citations