An efficient stock market prediction model using hybrid feature reduction method based on variational autoencoders and recursive feature elimination

Financial Innovation

Table 7 Classification results using own stock features

Stocks	LSTM (basic)		LSTM (with attention)		SVM		LightGBM
Stocks	Acc	F-Mea	Acc	F-Mea	Acc	F-Mea	Acc	F-Mea
ALBRK	0.704	0.642	0.737	0.668	0.691	0.661	0.711	0.669
AKBNK	0.625	0.537	0.621	0.554	0.585	0.551	0.598	0.539
HALKB	0.569	0.542	0.629	0.595	0.568	0.557	0.578	0.553
ISCTR	0.629	0.573	0.668	0.574	0.646	0.564	0.622	0.548
SKBNK	0.674	0.602	0.744	0.653	0.693	0.649	0.713	0.629
TSKB	0.666	0.593	0.688	0.609	0.611	0.586	0.681	0.562
VAKBN	0.552	0.545	0.567	0.549	0.575	0.557	0.562	0.543
YKBNK	0.615	0.556	0.609	0.585	0.587	0.556	0.585	0.558
Average	0.629	0.574	0.658	0.598	0.620	0.585	0.631	0.575