LSTM-based Deep Learning Model for Stock Prediction and Predictive Optimization Model

Abstract

A new method of predicting time-series-based stock prices and a new model of an investment portfolio based on predictions obtained is proposed here. For this purpose, a new regression scheme is implemented on a long-short-term-memory-based deep neural network. The predictions once obtained are used to construct an investment portfolio or more specifically a predicted portfolio. A large set of experiments have been carried on stock data of NIFTY-50 obtained from the National stock exchange of India. The results confirm that the proposed model outperforms various standard predictive models as well as various standard portfolio optimization models.