The invention relates to a stock index prediction method based on adaptive feature extraction, and the method comprises the steps: S1, obtaining stock index data, and obtaining the daily opening price, lowest price, highest price, closing price and transaction volume; s2, calculating an artificial index value proposed by a financial and economic expert; s3, constructing sample features and samplelabels, and dividing all samples into a training set, a verification set and a test set; s4, performing adaptive feature extraction on the sample; and S5, inputting self-adaptive extraction features and the artificial indexes calculated in the S2 into a neural network prediction model based on a factor machine, and outputting a prediction result. According to the method, the characteristics of thestock indexes are extracted in a self-adaptive manner, and the extraction method is simple and high in interpretability; the neural network based on the factor machine is used as a prediction model,interaction between features can be learned, the nonlinear expression capability is achieved, and the linear complexity is achieved; the accuracy of the stock index prediction technology can be effectively improved.