开发一种新的股票指数趋势预测模型,通过将多个标准的决策与一个优化的在线顺序极端学习机器进行整合
Sidharth Samal1, Rajashree Dash1
1Computer Science and Engineering Department, Siksha O Anusandhan (Deemed to be University), Bhubaneswar, Odisha India.
概括
研究人员通过将多重标准决策 (MCDM) 与优化的在线顺序极端学习机器 (OSELM) 集成,开发了一种新的股票市场趋势预测器. 这种先进的模型准确地预测股票价格和趋势,优于金融时间序列分析的现有方法.
科学领域:
- 计算金融是指计算金融.
- 机器学习应用 机器学习应用
- 金融时间序列预测
背景情况:
- 准确的股票市场趋势预测是一个长期研究目标.
- 先进的预测模型对于预测股票价格,市场波动和交易利至关重要.
- 在线序列极端学习机器 (OSELM) 的性能在很大程度上依赖于其激活功能.
研究的目的:
- 通过将多重标准决策 (MCDM) 与优化的在线序列极端学习机器 (OSELM) 集成,设计一种新的股票指数趋势预测器.
- 预测未来的股票指数价格并分析它们的上或下跌趋势.
- 作为一个MCDM问题,解决OSELM最佳激活函数的选择.
主要方法:
- 一个新的股票指数趋势预测模型,将MCDM与优化的OSELM相结合.
- 使用三个MCDM方法选择OSELM的最佳激活函数,根据十个标准进行评估 (五个基于回归,五个基于分类).
- 通过混合乌搜索算法 (hCSA) 优化OSELM,将混乱地图,突变运算符和鱼行为结合起来,以改善融合.
主要成果:
- 拟议的hCSA-OSELM模型在COVID前和COVID期间从BSE SENSEX,S&P 500和DJIA的历史数据上表现优于最先进的基线模型.
- 与第二个最佳模型相比,平均平方误差 (MSE) 的显著改善为4-6% (COVID前) 和25-31% (COVID),准确性改善为0.4-0.8% (COVID前) 和0.9-1.3% (COVID).
- 统计测试证实了拟议模型的增强性能.
结论:
- 基于MCDM的模型选择为优化OSELM提供了强大的和可靠的方法.
- 在金融时间序列预测方面,hCSA-OSELM模型实现了卓越的预测和分类结果.
- 拟议的模型是有效的导航每日波动和高度波动的市场条件.
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