Multi-scale local cues and hierarchical attention-based LSTM for stock price trend prediction

Stock price trend prediction is to seek profit maximum of stock investment by estimating future stock price tendency. Nevertheless, it is still a tough task due to noisy and non-stationary properties of stock market. Thus, it is important how to relieve such negative effects and to improve prediction accuracy. In this paper, we leverage four diverse local descriptors in short durations to alleviate noisy fluctuations of stock price. In detail, piecewise aggregate approximation (PAA) collects relatively stable average values; the derivatives of short-time series reflect the change ratio of stock price; the slope implies the short-time price trend; hog-1D aggregates different oriented gradients into histograms in a statistical fashion. They provide diverse and comprehensive cues about the stock price series across different aspects. Building upon such local descriptors, we propose a multi-scale local cues and hierarchical attention-based LSTM model (MLCA-LSTM) to capture the underlying price trend patterns. It has two advantages: 1) multi-scale information is further enriched by performing different scale sliding windows over stock price series to induce diverse local descriptors, 2) temporal dependency and multi-scale interactions are jointly attended and aggregated through the hierarchical attention mechanism and multi-branch LSTM structure. Experiments on the real stock price data confirm the efficacy of the proposed model as compared to the state-of-the-art counterparts.