Abstract
Accurate forecasting of stock market indices is crucial for investors, financial analysts, and policymakers. The integration of encoder and decoder architectures, coupled with an attention mechanism, has emerged as a powerful approach to enhance prediction accuracy. This paper presents a novel framework that leverages these components to capture complex temporal dependencies and patterns within stock price data. The encoder effectively transforms an input sequence into a dense representation, which the decoder then uses to reconstruct future values. The attention mechanism provides an additional layer of sophistication, allowing the model to selectively focus on relevant parts of the input sequence for making predictions. Furthermore, Bayesian optimization is employed to fine-tune hyperparameters, further improving forecast precision. Our results demonstrate a significant improvement in forecast precision over traditional recurrent neural networks. This indicates the potential of our integrated approach to effectively handle the complex patterns and dependencies in stock price data.