An XGBoost-based multivariate deep learning framework for stock index futures price forecasting

Abstract

Purpose

With the rapid development of the financial market, stock index futures have been the one of important financial instruments. Predicting stock index futures accurately can bring considerable benefits for investors. However, traditional models do not perform well in stock index futures forecasting. This study put forward a novel hybrid model to improve the predictive accuracy of stock index futures.

Design/methodology/approach

This study put forward a multivariate deep learning framework based on extreme gradient boosting (XGBoost) for stock index futures price forecasting. First, the original sequences were decomposed into several sub-sequences by variational mode decomposition (VMD), and these sub-sequences were reconstructed by sample entropy (SE). Second, the gradient boosting decision tree (GBDT) was used to rank the feature importance of influential factors, and the top influential factors were chosen for further prediction. Next, reconstructed sequence and the multiple factors screened were input into the bidirectional gate recurring unit (BiGRU) for modeling. Finally, XGBoost was used to integrate the modeling results.

Findings

For the sake of examining the robustness of the proposed model, CSI 500 stock index futures, NASDAQ 100 index futures, FTSE 100 index futures and CAC 40 index futures are selected as sample data. The empirical consequences demonstrate that the proposed model can serve as an effective tool for stock index futures prediction. In other words, the proposed model can improve the accuracy of stock index futures.

Originality/value

In this paper, an innovative hybrid model is proposed to enhance the predictive accuracy of stock index futures. Meanwhile, this method can be applied in other financial products prediction to achieve better forecasting results.

Citation

Wang, J., Cheng, Q. and Dong, Y. (2023), "An XGBoost-based multivariate deep learning framework for stock index futures price forecasting", Kybernetes, Vol. 52 No. 10, pp. 4158-4177. https://doi.org/10.1108/K-12-2021-1289