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

Financial Innovation

Table 8 Classification results using VAE-reduced stock features

Stocks	LSTM (basic)		LSTM (with attention)		SVM		LightGBM
Stocks	Acc	F-Mea	Acc	F-Mea	Acc	F-Mea	Acc	F-Mea
ALBRK	0.656	0.530	0.733	0.629	0.712	0.596	0.712	0.601
AKBNK	0.652	0.592	0.652	0.557	0.645	0.556	0.603	0.520
HALKB	0.569	0.542	0.613	0.546	0.615	0.549	0.588	0.525
ISCTR	0.621	0.535	0.663	0.549	0.680	0.556	0.654	0.534
SKBNK	0.685	0.610	0.737	0.595	0.726	0.564	0.722	0.576
TSKB	0.650	0.530	0.694	0.544	0.685	0.526	0.645	0.504
VAKBN	0.563	0.553	0.563	0.546	0.576	0.548	0.566	0.530
YKBNK	0.583	0.541	0.537	0.529	0.565	0.536	0.575	0.527
Average	0.622	0.554	0.649	0.562	0.651	0.554	0.633	0.540