An enhanced LSTM method for financial market forecasting

To effectively enhance the prediction accuracy of financial time series and improve the interpretability of the structural parameters of the prediction model, this paper proposes a long short-term memory (LSTM) stock price prediction model optimized in two stages based on Bayesian and Particle Swarm Optimization (BPSO-LSTM). This model represents an innovative advancement of the traditional LSTM framework, specifically designed to address complex nonlinear problems characterized by long-term dependencies, particularly in stock indices. Initially, the Bayesian algorithm is employed to optimize the core parameters of the LSTM model, establishing a foundation for subsequent Particle Swarm Optimization. Following this, an adaptive particle swarm algorithm is utilized to further refine the core parameters obtained through Bayesian Optimization, ensuring a high degree of compatibility between the characteristics of stock data and the network topology, thereby significantly improving the prediction accuracy of stock prices. Results from the prediction of the S&P 500 and Hang Seng Index indicate that the two-stage BPSO-LSTM model not only enhances prediction accuracy but also demonstrates strong universal applicability.