混合LSTM-XGBoost框架用于多时间跨度股票回报预测
A Hybrid LSTM-XGBoost Framework for Multi-Horizon Stock Return Prediction Across Diversified Equity Portfolios
这篇论文介绍了如何结合LSTM和XGBoost来预测股票回报，比单独使用LSTM效果更好，对金融从业者可能有参考价值。
这篇论文提出了一种混合两阶段架构，结合LSTM网络和XGBoost梯度提升回归器，用于预测14只美国股票的多时间跨度回报。LSTM组件处理60天的滑动窗口数据，产生64维的时间嵌入，与14个手工制作的指标结合形成78维的特征向量，然后输入XGBoost模型。在30天预测期上，该混合模型测试RMSE为0.0949，约为单独LSTM基线的1/3。方向准确性在365天预测期达到97.6%，但作者指出这主要反映了样本中高比例的正向长期回报。
A Hybrid LSTM-XGBoost Framework for Multi-Horizon Stock Return Prediction Across Diversified Equity Portfolios
Accurate prediction of equity returns remains a major challenge in computational finance due to the non-stationary, nonlinear, and low signal-to-noise ratio nature of financial time series. This paper proposes a hybrid two-stage architecture that combines a long short-term memory (LSTM) network with an XGBoost gradient-boosted regressor for multi-horizon stock return prediction across a diversified panel of 14 U.S. equities spanning six industry sectors. The LSTM component, comprising two stacked layers with 64 hidden units, processes 60-day sliding windows of five sequential market features to produce 64-dimensional temporal embeddings that encode learned sequential market dynamics. These embeddings are concatenated with 14 hand-crafted technical indicators to form a 78-dimensional hybrid feature vector, which is subsequently passed to an XGBoost regressor tuned via 3-fold cross-validation grid search. The framework is trained on a multi-stock pooled corpus using strict chronological splits and per-stock MinMaxScaling to prevent look-ahead bias, and evaluated across four prediction horizons of 30, 90, 252, and 365 trading days. Experimental results demonstrate that the hybrid model achieves a test RMSE of 0.0949 on the 30-day horizon, roughly one-third that of the standalone LSTM baseline, while marginally matching or surpassing the XGBoost-Only baseline across the majority of stocks. Directional accuracy rises with horizon length, reaching 97.6% at 365 days; we show, however, that this largely tracks the high base rate of positive long-horizon returns in the sample, and we therefore benchmark directional accuracy against a naive always-positive predictor and treat the above-base-rate gap at short horizons as the more informative signal. A composite investment scoring framework derived from multi-horizon predictions is further proposed to support portfolio ranking and decision support.