JoshuaWu1997 / EMD-ALSTM-Multi-Factor-Stock-Profit-Prediction

Multi-Factor Stock Profit Prediction Using EMD-ALSTM

EMD-ALSTM-Multi-Factor-Stock-Profit-Prediction

Multi-Factor Stock Profit Prediction Using EMD-ALSTM

A deep learning solution to the 7th TipDM Cup National Data Mining Contest. Data acquisition method is through auto-trade api using desktop client software. The StrategyBase in strategy.py offers a rudimentary implementation of trading logic. Several of forcasting algorithms were implemented:

1. Ordinary Linear Model (OLM): classic multi-factor model.
2. Support Vector Machine (SVM)
3. Multilayer Perception (MLP): generally a DNN was implemented.
4. LSTM
5. Attention-LSTM (ALSTM)
6. Emperical Mode Decomposition ALSTM