The stock indexes are an important issue for investors, and in this paper good trading strategies will be aimed to be adopted according to the accurate prediction of the stock indexes to chase high returns.
To avoid the problem of insufficient financial data for daily stock indexes prediction during modeling, a data augmentation method based on time scale transformation (DATT) was introduced. After that, a new deep learning model which combined DATT and NGRU (DATT-nested gated recurrent units (NGRU)) was proposed for stock indexes prediction. The proposed models and their competitive models were used to test the stock indexes prediction and simulated trading in five stock markets of China and the United States.
The experimental results demonstrated that both NGRU and DATT-NGRU outperformed the other recurrent neural network (RNN) models in the daily stock indexes prediction.
A novel RNN with NGRU and data augmentation is proposed. It uses the nested structure to increase the depth of the deep learning model.
