It may be very difficult to receive the signals from satellite positioning systems due to the existing obstacles in indoor environment. Arising from the popularity of smart phones, Wi-Fi based indoor positioning technology has the advantages with convenient deployment and low hardware cost. In this study, we focused on indoor positioning using Wi-Fi fingerprint data that were collected in shopping malls. Due to the volatility of Wi-Fi signals and the high-dimensional sparseness of fingerprint data, we proposed a feature extraction algorithm, called joint multi-task stacked denoising auto-encoder (JMT-SDAE), aiming at reducing the dimensionality of the original fingerprint data and improving the indoor positioning performance in shopping malls. Furthermore, the features extracted by JMT-SDAE and gradient boosting decision tree (GBDT) were merged to construct a hybrid model, named as JMT-SDAE+GBDT. The experimental results based on 13 location datasets showed that the proposed feature fusion model had better positioning accuracy when compared with other existing positioners, and thus confirmed the effectiveness of our proposed feature extraction algorithm through multi-task learning. INDEX TERMS Indoor positioning, Wi-Fi fingerprint, feature fusion, stacked denoising auto-encoder, multi-task learning, gradient boosting decision tree.