Forecast Model of Stock Market Trend Based on International Market and GRU-Attention

Chenyu Sun

2022

Abstract

Linkage effect of the international market is one of the most common phenomena of the stock market. In order to better study the stock market prediction, this paper proposes a stock market index prediction model based on the international major stock markets and GRU-attention. The international market is evaluated through rolling correlation, and the correlation coefficients are ranked on market data, index data, capital flow and international indexes to form multi-dimensional features. Using the Seq2Seq framework, the Attention mechanism is added to the GRU model to prevent the model from ignoring the key feature information of important time nodes. This article conducts experiments on the Shanghai Stock Exchange Index, and uses six indicators: Mean Absolute Error (MAE), Root Mean Square Error (RMSE), Coefficient of Determination(R2) Directional Symmetry (DS), Correct Up-trend (CU) and Run-time After evaluation, compared with the model in this paper, the accuracy of the model in predicting the upward trend is effectively improved, and the calculation overhead is reduced at the same time.

Paper Citation

in Harvard Style

Sun C. (2022). Forecast Model of Stock Market Trend Based on International Market and GRU-Attention. In Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI; ISBN 978-989-758-620-0, SciTePress, pages 72-79. DOI: 10.5220/0011730500003607

in Bibtex Style

@conference{icpdi22,
author={Chenyu Sun},
title={Forecast Model of Stock Market Trend Based on International Market and GRU-Attention},
booktitle={Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI},
year={2022},
pages={72-79},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011730500003607},
isbn={978-989-758-620-0},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI
TI - Forecast Model of Stock Market Trend Based on International Market and GRU-Attention
SN - 978-989-758-620-0
AU - Sun C.
PY - 2022
SP - 72
EP - 79
DO - 10.5220/0011730500003607
PB - SciTePress