CNN-CBAM-LSTM: Enhancing Stock Return Prediction Through Long and Short Information Mining in Stock Prediction

Deep learning, a foundational technology in artificial intelligence, facilitates the identification of complex associations between stock prices and various influential factors through comprehensive data analysis. Stock price data exhibits unique time-series characteristics; models emphasizing long-term data may miss short-term fluctuations, while those focusing solely on short-term data may not capture cyclical trends. Existing models that integrate long short-term memory (LSTM) and convolutional neural networks (CNNs) face limitations in capturing both long- and short-term dependencies due to LSTM’s gated transmission mechanism and CNNs’ limited receptive field. This study introduces an innovative deep learning model, CNN-CBAM-LSTM, which integrates the convolutional block attention module (CBAM) to enhance the extraction of both long- and short-term features. The model’s performance is assessed using the Australian Standard & Poor’s 200 Index (AS51), showing improvement over traditional models across metrics such as RMSE, MAE, R 2 , and RETURN. To further confirm its robustness and generalizability, Diebold–Mariano (DM) tests and model confidence set experiments are conducted, with results indicating the consistently high performance of the CNN-CBAM-LSTM model. Additional tests on six globally recognized stock indices reinforce the model’s predictive strength and adaptability, establishing it as a reliable tool for forecasting in the stock market.