Capturing Short- and Long-Term Temporal Dependencies Using Bahdanau-Enhanced Fused Attention Model for Financial Data—An Explainable AI Approach
Year: 2026
Type: article
Abstract: Prediction of stock closing price plays a critical role in financial planning, risk management, and informed investment decision-making. In this study, we propose a novel model that synergistically amalgamates Bidirectional GRU (BiGRU) with three complementary attention techniques—Top-k Sparse, Global, and Bahdanau Attention—to tackle the complex, intricate, and non-linear temporal dependencies in financial time series. The proposed Fused Attention Model is validated on two highly volatile, non-linear, and complex- patterned stock indices: NIFTY 50 and S&P 500, with 80% of the historical price data used for model learning and the remaining 20% for testing. A comprehensive analysis of the results, benchmarked against various baseline and hybrid deep learning architectures across multiple regression performance metrics such as Mean Absolute Error (MAE), Root Mean Squared Error (RMSE), Mean Absolute Percentage Error (MAPE), and R2 Score, demonstrates the superiority and noteworthiness of our proposed Fused Attention Model. Most significantly, the proposed model yields the highest prediction accuracy and generalization capability, with R2 scores of 0.9955 on NIFTY 50 and 0.9961 on S&P 500. Additionally, to mitigate the issues of interpretability and transparency of the deep learning model for financial forecasting, we utilized three different Explainable Artificial Intelligence (XAI) techniques, namely Integrated Gradients, SHapley Additive exPlanations (SHAP), and Attention Weight Analysis. The results of these three XAI techniques validated the utilization of three attention techniques along with the BiGRU model. The explainability of the proposed model named as BiGRU based Fused Attention (BiG-FA), in addition to its superior performance, thus offers a robust and interpretable deep learning model for time-series prediction, making it applicable beyond the financial domain.
Source: FinTech
Institutions: C.V. Raman Global University, KIIT University
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,207
OpenAlex ID: W7119229518