Predicting Stock Prices in the China A-share Market Using Long Short-Term Memory (LSTM) Neural Networks
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Predicting Stock Prices in the China A-share Market Using Long Short-Term Memory (LSTM) Neural Networks

Wentao Ding 1* Yanci Chen 2, Dumou Zhang 3
1 University of Minnesota
2 University of Sydney
3 Guangzhou Tianxing Experimental School
*Corresponding author: ooorangecatt@gmail.com
Published on 11 July 2025
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AEMPS Vol.202
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-80590-263-8
ISBN (Online): 978-1-80590-264-5
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Abstract

Stock price prediction in the volatile and evolving China A-share market faces both a challenge and an opportunity. In this paper, an attempt is going to be made to implement Long Short-Term Memory (LSTM) neural networks in predicting stock price movements of several large banks in China. The database comprises daily information on stocks of eight banks, split into training and testing sets. Development and Optimization of an LSTM Model Using MSE and the Adam Optimizer. The model exhibited quite good predictive capability over the training data but weak generalization over the unseen data. However, the study found that LSTM-based predictions could support profitable trading strategies, thus providing valuable insight for investors and policymakers. This could be further investigated by enhancing the robustness of the model and deploying across different markets and time frames.

Keywords:

China A Shares, LSTM Model, Stock Prediction

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Ding,W.;Chen,Y.;Zhang,D. (2025). Predicting Stock Prices in the China A-share Market Using Long Short-Term Memory (LSTM) Neural Networks. Advances in Economics, Management and Political Sciences,202,1-14.

References

[1]. Segal, T. (2021, May 29). China A-shares: Definition, history, vs. B-shares. Investopedia. https: //www.investopedia.com/terms/a/a-shares.asp

[2]. Nafia, A., Yousfi, A., & Echaoui, A. (2023). Equity-Market-Neutral Strategy Portfolio Construction Using LSTM-Based Stock Prediction and Selection: An Application to S& P500 Consumer Staples Stocks. International Journal of Financial Studies, 11(2), 57. http: //dx.doi.org/10.3390/ijfs11020057

[3]. Zhang, X., Liang, X., Zhiyuli, A., Zhang, S., Xu, R., & Wu, B. (2019). AT-LSTM: An Attention-based LSTM Model for Financial Time Series Prediction. Materials Science and Engineering, 569(5), 52037. https: //iopscience.iop.org/article/10.1088/1757-899X/569/5/052037/meta

[4]. M K, H., Hazlina, D., & Sarah, M. (2021). Stock Price Prediction Using ARIMA, Neural Network and LSTM Models. Journal of physics, 1988(1), 12041. https: //www.proquest.com/docview/2561948618?_oafollow=false& accountid=14757& pq-origsite=primo& sourcetype=Scholarly%20Journals

[5]. Jiang, W. (2021). Applications of deep learning in stock market prediction: Recent progress. Expert Systems with Applications, 184(1), 115537. https: //doi.org/10.1016/j.eswa.2021.115537

[6]. Gatev, E., Goetzmann, W., & Rouwenhorst, K. (2006). Pairs trading: Performance of a relative value Arbitrage rule. The Review of Financial Studies, 06(19), 797–827.

[7]. Huang, B., Huan, Y., Xu, L., Zheng, L., & Zou, Z. (2018). Automated trading systems statistical and machine learning methods and hardware implementation: A survey. Enterprise Information Systems, 13(1), 132-144. Retrieved from https: //www.tandfonline.com/doi/full/10.1080/17517575.2018.1493145.

[8]. Krauss, C. (2017). Statistical arbitrage pairs trading strategies: Review and outlook. Journal of Economic Surveys, 31(2), 513–545.

[9]. Göncü, A., & Akyildirim, E. (2016a). Statistical arbitrage with pairs trading. International Review of Finance, 16(2), 307–319.

[10]. Liew, R., & Wu, Y. (2013). Pairs trading: A copula approach. Journal of Derivatives & Hedge Funds, 19(1), 12–30.

[11]. Yahoo Finance. (n.d.). Industrial and Commercial Bank of China Limited (1398.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/1398.HK/

[12]. Yahoo Finance. (n.d.). Agricultural Bank of China Ltd (EK7.SG). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/EK7.SG/

[13]. Yahoo Finance. (n.d.). Bank of China Limited (601988.SS). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/601988.SS/

[14]. Yahoo Finance. (n.d.). China Construction Bank Corporation (0939.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/0939.HK/

[15]. Yahoo Finance. (n.d.). China Merchants Bank Co., Ltd. (3968.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/3968.HK/

[16]. Yahoo Finance. (n.d.). Ping An Bank Co., Ltd. (000001.SZ). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/000001.SZ/

[17]. Yahoo Finance. (n.d.). Industrial Bank Co., Ltd. (601166.SS). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/601166.SS/

[18]. Yahoo Finance. (n.d.). China Minsheng Banking Corp., Ltd. (1988.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/1988.HK/

[19]. Sharpe, W. F. (1994). The Sharpe Ratio. The Journal of Portfolio Management Fall 1994, 21(1), 49-58. https: //www.pm-research.com/content/iijpormgmt/21/1/49

References

[1]. Segal, T. (2021, May 29). China A-shares: Definition, history, vs. B-shares. Investopedia. https: //www.investopedia.com/terms/a/a-shares.asp

[2]. Nafia, A., Yousfi, A., & Echaoui, A. (2023). Equity-Market-Neutral Strategy Portfolio Construction Using LSTM-Based Stock Prediction and Selection: An Application to S& P500 Consumer Staples Stocks. International Journal of Financial Studies, 11(2), 57. http: //dx.doi.org/10.3390/ijfs11020057

[3]. Zhang, X., Liang, X., Zhiyuli, A., Zhang, S., Xu, R., & Wu, B. (2019). AT-LSTM: An Attention-based LSTM Model for Financial Time Series Prediction. Materials Science and Engineering, 569(5), 52037. https: //iopscience.iop.org/article/10.1088/1757-899X/569/5/052037/meta

[4]. M K, H., Hazlina, D., & Sarah, M. (2021). Stock Price Prediction Using ARIMA, Neural Network and LSTM Models. Journal of physics, 1988(1), 12041. https: //www.proquest.com/docview/2561948618?_oafollow=false& accountid=14757& pq-origsite=primo& sourcetype=Scholarly%20Journals

[5]. Jiang, W. (2021). Applications of deep learning in stock market prediction: Recent progress. Expert Systems with Applications, 184(1), 115537. https: //doi.org/10.1016/j.eswa.2021.115537

[6]. Gatev, E., Goetzmann, W., & Rouwenhorst, K. (2006). Pairs trading: Performance of a relative value Arbitrage rule. The Review of Financial Studies, 06(19), 797–827.

[7]. Huang, B., Huan, Y., Xu, L., Zheng, L., & Zou, Z. (2018). Automated trading systems statistical and machine learning methods and hardware implementation: A survey. Enterprise Information Systems, 13(1), 132-144. Retrieved from https: //www.tandfonline.com/doi/full/10.1080/17517575.2018.1493145.

[8]. Krauss, C. (2017). Statistical arbitrage pairs trading strategies: Review and outlook. Journal of Economic Surveys, 31(2), 513–545.

[9]. Göncü, A., & Akyildirim, E. (2016a). Statistical arbitrage with pairs trading. International Review of Finance, 16(2), 307–319.

[10]. Liew, R., & Wu, Y. (2013). Pairs trading: A copula approach. Journal of Derivatives & Hedge Funds, 19(1), 12–30.

[11]. Yahoo Finance. (n.d.). Industrial and Commercial Bank of China Limited (1398.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/1398.HK/

[12]. Yahoo Finance. (n.d.). Agricultural Bank of China Ltd (EK7.SG). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/EK7.SG/

[13]. Yahoo Finance. (n.d.). Bank of China Limited (601988.SS). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/601988.SS/

[14]. Yahoo Finance. (n.d.). China Construction Bank Corporation (0939.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/0939.HK/

[15]. Yahoo Finance. (n.d.). China Merchants Bank Co., Ltd. (3968.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/3968.HK/

[16]. Yahoo Finance. (n.d.). Ping An Bank Co., Ltd. (000001.SZ). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/000001.SZ/

[17]. Yahoo Finance. (n.d.). Industrial Bank Co., Ltd. (601166.SS). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/601166.SS/

[18]. Yahoo Finance. (n.d.). China Minsheng Banking Corp., Ltd. (1988.HK). Retrieved July 24, 2024, from https: //finance.yahoo.com/quote/1988.HK/

[19]. Sharpe, W. F. (1994). The Sharpe Ratio. The Journal of Portfolio Management Fall 1994, 21(1), 49-58. https: //www.pm-research.com/content/iijpormgmt/21/1/49

Cite this article

Ding,W.;Chen,Y.;Zhang,D. (2025). Predicting Stock Prices in the China A-share Market Using Long Short-Term Memory (LSTM) Neural Networks. Advances in Economics, Management and Political Sciences,202,1-14.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

About volume

Volume title: Proceedings of the 3rd International Conference on Financial Technology and Business Analysis

ISBN: 978-1-80590-263-8(Print) / 978-1-80590-264-5(Online)
Editor: Ursula Faura-Martínez
Conference website: https://2024.icftba.org/
Conference date: 13 June 2025
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.202
ISSN: 2754-1169(Print) / 2754-1177(Online)

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