Short-term prediction of stock market price based on GA
optimization LSTM neurons
Moule Lin
Tianjin Agriculture University
No.22 Tianjin Jing Road, Xiqing District, Tianjin
Agricultural University
+8618322760891
moulelin@163.com
ABSTRACT
Long-Short Term Memory Network stands out from the
financial sector due to its long-term memory predictability,
however, the speed of subsequent operations is extremely slow,
and the timeliness of the inability to meet market changes has
been criticized. In this paper. Aiming at the shortcomings of the
slow running of three gates in each neuron of LSTM in back
propagation, we propose to use GA to optimize the internal
weights of LSTM neurons to optimize the defect. In this
experiment, GA optimization could not change the accuracy of the
model, but it achieved better results than the original LSTM in
terms of speed, and satisfied the demand of the future business
field for rapid response to market changes in terms of timeliness.
CCS Concepts
• Mathematics of computing → Mathematical analysis →
Mathematical optimization → Discrete optimization →
Optimization with randomized search heuristics →
Evolutionary algorithms
Keywords
Keywords ：LSTM; GA; Stock prediction; Timeliness;
1. Introduction
In recent years, the stock market has always been the focus of
attention of researchers. Researchers have investigated the
characteristics, defects, and reform measures of the stock market
from the micro and macro perspectives. However, due to the
volatility of the stock market, there are random and excessive
Independence and other factors, its research has not been able to
achieve major breakthroughs. In the stock market, due to the
inherent complexity of the stock, its high degree of non-linearity,
and its excessive variability and timeliness of forecasting, and it is
more important that B.G. Malkiel mentioned in the random walk
hypothesis [1] that the stock price is independent of its historical
change. Therefore, looking back from history, the stock prediction
task is very arduous. Fortunately, A. Lo and A. MacKinla
proposed that the stock price can be predicted to some extent, and
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https://doi.org/10.1145/3234804.3234818
66
Changxi Chen*
Tianjin Agriculture University
No.22 Tianjin Jing Road, Xiqing District, Tianjin
Agricultural University
+8615302138777
changxichen@163.com
this theory is also accepted by the scientific community.
In 2017, David M. Q. Nelson [2] used the LSTM recurrent neural
network to predict the accuracy of a specific stock's price
movement over the next 15 minutes to 55.9%, which is currently a
small breakthrough in stock forecasting. It is proposed that the
GA-optimized LSTM neurons overcome the LSTM and that due
to the 1backward propagation, the neuron trinary needs to perform
frequent weight updates and the cell state updates depend on data
from a previous point in time, which causes the network to fail
parallel computing and the network is running slowly.
2. Related work
2.1 Long-Short Term Memory Network
The earliest LSTM was proposed by Hochreiter & Schmidhuber
[3] (1997) and was recently improved and promoted by Alex
Grave[4]. In many problems, LSTM has achieved considerable
success and has been widely used.
Compared to the traditional BP neural network[5] theoretically
not suitable for time series prediction [6], RNN-LSTM network
with time-series concept can obviously bring better results.
In principle, RNNs can use their feedback connections to store the
representation of the most recent input event in an activated form
[7], while LSTM control the access of information through cells
state. The LSTM unit is composed of input gates, cell states,
forget gates, output gates, active layer and dot multiplication
operations [8], as follows:
Input gate: Input gate is derived from input , through the
activation function
It  (Wi  [ht 1 , xt ]  bi )
·The tanh layer generates a new vector and will be added
to the network
Ht  Ot * tanh(Ct )
·Sigmoid layer generates numbers between 0 and 1
1
S ( x) 
1  ex
·Cell state affects final output
C%t  (Wc  [ht 1 , xt ]  bc )
1
Facility agriculture precision control technology and intelligent
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 More importantly, LSTM reduces the computation time of
the network by guaranteeing the computational complexity and
Figure 1. LSTM Cell.
The LSTM network also uses backpropagation (BP) for weight
updates, but the difference is that since the LSTM processes data
with time series, the error feedback updates all the time errors, as
shown in Figure 2 below.
Figure 2.LSTM Back Propagation Mechanism.
From the above figure, we can find that the error of is determined
by and. That is, the error value of each neuron is determined by
the linear or nonlinear relationship between the error at the current
time t and the error after t time.
LSTM can be used for price data to predict price changes [9], but
apparently, LSTM networks also have certain flaws. For example,
the disadvantages of local extremum or low efficiency due to
frequent update of neuron weights. We tried to use some
algorithms to combine these with LSTM to fix these shortcomings.
And in machine learning, the genetic algorithm [10] can
effectively help the network out of local extremum problems. In
this paper, we combine genetic algorithm with LSTM to update
the neural network to overcome the slow problem of LSTM.
2.2Genetic Algorithm
Genetic algorithm (GA) is a commonly used solving method,
which is usually used to optimize the problems in engineering,
computer science, economic management and other fields. In the
process of evolution, organisms have the concept of survival of
the fittest. Unlike evolutionary algorithms such as ant colony
algorithm [11] and simulated annealing [12], GA selects the best
species for biological reproduction by selecting, crossing, and
mutating individuals. It is the evolution of simulated organisms to
optimize certain models [13].
The related work of this article mainly introduces reproduction
and mutation methods.
In general, GA is an iterative process to maintain the constant size
of individuals in the population. In the original population,
individuals with similar prediction results and real results are
retained, and unsuitable individuals are eliminated. In relation to
the performance of other individuals, individuals are selected in
proportion to their performance on the final result. In order to
search for more excellent individuals in the search space, some
changes introduce new genetic recombination operators in an
67
weight complexity of each time step as O(1).
idealized manner, and the most important reorganization is the
cross-exchange of biologically mature germ cell staining, that is,
introduction of cross breeding. From the initial population P(t),
the concept can be selected heuristically or randomly [14]
between the parent and the parent, as shown in the following
figure 3:
Figure 3.Cross way.
After the crossover is completed, more excellent individuals will
be mutated by individual selective mutation. The experiment set a
constant mutation rate.
2.3 GA Optimizes BP Neural Network
Connection Weights
GA optimization has two aspects for the optimization of neural
networks. One is the fixed neural network topology (Topology),
which optimizes the link weights. Maintain network topology, use
evolutionary algorithms to replace the original back-propagation
to update link weights (in fact, there is no back propagation
mechanism for biological neural networks). By continuously
experimenting with reproduction and mutation, the direct link
weights of neurons are corrected, the prediction results are more
accurate, and poor quality offspring are eliminated. This
experiment is based on this optimization concept, and further
optimizes the ideas for the optimization of the link weights of the
internal three doors of LSTM neurons. Another evolutionary
approach is to optimize the topology of
the network. Although no topology
optimization was discussed in this
experiment, this is one of the directions
of neural network optimization.
Since this experiment is a further
improvement based on the GA
optimization of BP neural network
connection weights, we also performed
GA optimization of simple BP network
connection weights. Figure 4 is a
schematic diagram of network
connections evolved in one experiment.
In Figure 4. If the connection is a
solid line, it indicates that the link is
connectable. If it is a dashed line, Figure 4. GA Optimized
such as input->output, it indicates BP
that the link is disabled. The red line
represents weight <= 0, and the green line represents weight > 0.
The width of the line is related to the size of the weight.
Through the implementation of the model, the feasibility of
optimizing the weight of the network connection by GA is proved,
and the basic model of the LSTM neuron optimized by GA is
provided. Parameter Ranges

3. Model fusion method LSTM hidden layers [1,3]

The key to achieving GA-optimized neurons is the encoding of
DNA. In this experiment, the internal weights and connections of Single-layer neurons [100,300]
neurons will be used as bases in DNA to encode a single DNA.
Genetic algorithm iteration [10,100]
3.1 Model specific method number

3.1.1 DNA coding way 4.2 Parameter and model results

For the updated weight of the LSTM neuron [15], the weight of
the oblivion gate, the weight of the input gate, the weight of the
output gate, and the weight of the calculation unit state are
respectively encoded. Among them, due to the existence of partial
interconnections between the LSTM neurons, we then add the
connection state value, which is represented by the binary 1
connection. 0 indicates no connection, and the position represents
the number of neurons. For example=1010 indicates that the first
nerve and the third neuron are connected in two directions, and
the second and third neurons have a one-way connection.
Individual coding is shown in Table 1 below:
Table 1.Coding method.
Optimizing the update of weights inside neurons through GA does
not change the accuracy of the model. Based on this concept, we
can use the original LSTM to determine the optimal number of
hidden layers and neurons. After determining the number of
neurons and number of hidden layers [20], we can determine the
optimal number of iterations by adjusting the number of iterations
of the genetic algorithm.
a): Determine some parameters through the original LSTM
By recovering the code from David M. Q. Nelson's
experiment, we have the following figure 5 data:

Forget Input Output Unit Connection

weigh weight weight status Status

In experiments, the weight of neurons was set in a reasonable

range [16], reducing the time required for GA.

3.1.2 Fitness function

The sum of the squared error [17] between the actual output value
and the expected output value that is chosen in this paper is the
same as the general network. The formula is as follows
ml 1 Figure 5. Different LSTM parameter accuracy (The X-axis is
1
Ep    yk  tk 
2

2 the number of neurons per layer, In each group (the three

k 1
boxes are a group), the first box indicates that the entire
Where m is the number of learning samples, is the actual output
value of the network, is the expected output value of the network, network has one hidden layer, the second box means two
and is the error between the actual output value of the network
hidden layers, and the third box means three hidden layers.)
and the expected output value
A small sum of squared errors indicates that the network From the experimental data analysis, when the number of neurons
performance is good, and individuals with low fitness are is greater than 200, the accuracy begins to decline. Therefore, we
eliminated and individuals [18] with high fitness are reproduced. chose the most reasonable hidden layer for the next step, with 150
neurons per layer.
4. Hyper-parameter determination By determining the number of neurons and the number of hidden
4.1 Model parameter range value selection layers, we use GA for updating the neurons and get the optimal
breeding algebra by traversal attempts, as shown in Figure 6
In this experiment, we only studied how to optimize the process of below:
updating the weights of neurons through GA to reduce the running
time of the network model, so that it can meet the needs of the
stock market [19] or other fields that require rapid response to the
market. Therefore, the number of neurons, the number of hidden
layers, and the number of iterations of the genetic algorithm need
to be set in the following table 2:

Table 2.Range of parameters.

68

Figure 6.Different propagation algebraic accuracy.
As the picture shows. We obtained 22 iterations and 23 GA
optimization neurons to achieve the highest accuracy and minimal
difference from the original LSTM.
b): Study the effect of GA on neurons speed
Based on the given parameter range and the data obtained in
experiment a, we selected a set of parameters with the highest
accuracy score to test the effect of GA on the neuron operating
speed. The parameters are shown in the following table 3.
Table 3.Determined parameter list.
Parameter Value
LSTM hidden layers 2 [M], 332.6.dc21 [S.l], 1973
Single-layer neurons 150
Genetic algorithm iteration 22
number
Network iterations 100
Pass the parameters that have already been confirmed into
two networks, run the same data, in order to guarantee the
accuracy of the experiment, we carry on three times of
experiments, get the running time of the model as shown in Figure
7 Data Science[M]. Springer International Publishing, 2016..
Figure 7.Running time comparison chart.
As can be seen from the above figure, the LSTM model based on
GA-optimized neurons achieves better results in operating
efficiency than the traditional LSTM.
69
5. Summary of issues
This experiment is based on the study of GA's optimization of
LSTM neurons as a core goal. Based on the model proposed by
Jian Yi [21], the model is further modified. Through a series of
experimental procedures, it is proved that the complex calculation
of GA-optimized LSTM internal neurons can reduce the running
time of the model to a certain degree, which has great application
in the field of financial forecasting and other commercial fields.
As shown in Table 3 and Figure 6 above, the feasibility of GA
optimization of LSTM neurons was compared with that of David
M. Q. Nelson.
There are differences in the operating model time for different
hardware devices. The main processing parameters of this
experimental environment are: Intel(R) Core(TM) i7 8700K CPU
@2.40GHz, programming language is Python.
This paper proposes a GA optimization method for LSTM
neurons. By comparing the running time of predecessor models, it
is possible to overcome the shortcomings of slow operation of
LSTM to a certain extent by optimizing the internal weight of
neurons through GA update.
In addition, this article does not discuss the generalization ability
of the network and other parameters of the network at the same
time. The research purpose is too single. However, for the short-
term prediction of financial markets, the importance of research
on the timeliness and advancing of the model is much higher than
that of the generalized network model.
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