Predicting the daily index of the Tehran Stock Exchange using the selection of appropriate features for the Long Short-Term Memory neural network (LSTM)

Subject Areas : Stock Exchange

Somayeh Mohebi ¹ , Mohammad Esmaeil Fadaeinejad ² , mohammad osoolian ³ , Mohammad reza Hamidizadeh ⁴

1 - Ph.D. Candidate of Financial Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.
2 - Associate Prof., Department of Financial Management and Insurance, Faculty of Management & Accounting, Shahid Beheshti University, Tehran, Iran
3 - Assistant Prof., Department of Financial Management and Insurance, Faculty of Management & Accounting, Shahid Beheshti University, Tehran, Iran.
4 - Prof.. Department of Commercial Management. Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.

Received: 2022-06-19 Accepted : 2022-09-12 Published : 2023-06-22

Keywords: "Stock Index Prediction". "Feature Selection", "Deep Learning", "Long Short-Term Memory",

Abstract :

The stock market index is one of the effective features in investment because it can well reflect the health status and macro change trend of a country’s economic development. Various features affect the stock index. The various combinations of these features create a wide state space. Hence, it is impractical to provide a data set containing all these combinations to train the stock index prediction model. in this research, an attempt has been made, after collecting a significant number of effective features on the index, to provide a method for selecting appropriate features for the stock index prediction model with aim of increasing prediction accuracy. For this purpose, the mRMR algorithm is used as the basic algorithm. Also, to select the appropriate model, a number of the most applicable artificial intelligence models for predicting the stock index were compared and according to the results, the LSTM network was selected to predict the stock index. The results of this study show that using the LSTM network and the proposed method in selecting features, with 8 selected features, high accuracy can be achieved in the daily prediction of the Tehran Stock Exchange Index. So that MPE is calculated to be about 2.66,