在城市化智能城市中使用新型深度学习模型PLSTM-TAL对股票市场进行增强预测
Saima Latif1, Nadeem Javaid2,3, Faheem Aslam1,4
1Department of Management Sciences, COMSATS University Islamabad, Islamabad 44000, Pakistan.
Heliyon
|March 27, 2024
概括
这项研究引入了一种新的深度学习模型,将视孔LSTM与时间注意层 (TAL) 结合起来,用于准确的股票市场预测. 混合模型表现出卓越的性能,在预测股票市场方向方面达到高达96%的准确性.
科学领域:
- 计算金融是指计算金融.
- 机器学习 机器学习
- 时间序列分析时间序列分析
背景情况:
- 股票市场预测对于投资策略至关重要,但由于数据噪音,复杂性和波动性而具有挑战性.
- 深度学习模型在预测顺序数据方面表现有前途,为市场预测的复杂性提供了潜在的解决方案.
研究的目的:
- 提出和评估一种基于深度学习的新型混合分类模型,用于准确预测股票市场方向.
- 通过将一个时间注意层 (TAL) 与一个长短记忆 (LSTM) 网络集成来提高预测准确性.
主要方法:
- 开发了一种混合模型,将视孔LSTM与时间注意层 (TAL) 结合起来.
- 利用美国,英国,中国和印度指数的每日股市数据,从2005年到2022年.
- 进行了全面的评估,包括数据分析,特征提取,超参数优化和与基准模型 (CNN,LSTM,SVM,RF) 的比较.
主要成果:
- 拟议的混合模型在各种评估指标 (准确性,精度,回忆,F1分数,AUC-ROC,PR-AUC,MCC) 上显著优于基准模型.
- 实现了高预测准确率:96%的英国,88%的中国,和85%的美国和印度的股票市场.
- 根据模型的表现,证明英国和中国的股票市场比美国和印度的股票市场更可预测.
结论:
- 通过将TAL与Peephole LSTM集成,可以有效地捕捉股票市场数据中的长期依赖关系和时间模式.
- 新的混合模型为股票市场方向预测提供了强大而准确的方法,使得有利可图的交易策略的制定成为可能.
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