MambaLLM: Integrating Macro-Index and Micro-Stock Data for Enhanced Stock Price Prediction

Jin Yan and Yuling Huang ()
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Jin Yan: School of Computer Science and Engineering, Macau University of Science and Technology, Taipa, Macao, China
Yuling Huang: School of Computer Science and Software, Zhaoqing University, Zhaoqing 526000, China

Mathematics, 2025, vol. 13, issue 10, 1-25

Abstract: Accurate stock price prediction requires the integration of heterogeneous data streams, yet conventional techniques struggle to simultaneously leverage fine-grained micro-stock features and broader macroeconomic indicators. To address this gap, we propose MambaLLM, a novel framework that fuses macro-index and micro-stock inputs through the synergistic use of state-space models (SSMs) and large language models (LLMs). Our two-branch architecture comprises (i) Micro-Stock Encoder, a Mamba-based temporal encoder for processing granular stock-level data (prices, volumes, and technical indicators), and (ii) Macro-Index Analyzer, an LLM module—employing DeepSeek R1 7B distillation—capable of interpreting market-level index trends (e.g., S&P 500) to produce textual summaries. These summaries are then distilled into compact embeddings via FinBERT. By merging these multi-scale representations through a concatenation mechanism and subsequently refining them with multi-layer perceptrons (MLPs), MambaLLM dynamically captures both asset-specific price behavior and systemic market fluctuations. Extensive experiments on six major U.S. stocks (AAPL, AMZN, MSFT, TSLA, GOOGL, and META) reveal that MambaLLM delivers up to a 28.50% reduction in RMSE compared with suboptimal models, surpassing traditional recurrent neural networks and MAMBA-based baselines under volatile market conditions. This marked performance gain highlights the framework’s unique ability to merge structured financial time series with semantically rich macroeconomic narratives. Altogether, our findings underscore the scalability and adaptability of MambaLLM, offering a powerful, next-generation tool for financial forecasting and risk management.

Keywords: time series forecasting; stock price prediction; Mamba; large language model (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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