基于EEMD-LSTM的股票市场系统风险的早期警告
Meng Ran1, Zhenpeng Tang2, Yuhang Chen3
1School of Management, Fujian University of Technology, Fuzhou, China.
PloS one
|May 21, 2024
概括
本研究引入了一种EEMD-LSTM模型,使用35个指标预测股票市场系统风险. 该模型表明,与传统方法相比,金融风险的早期预警能力优越.
科学领域:
- 金融经济学 金融经济学
- 计算金融是一种计算金融.
- 时间序列分析时间序列分析.
背景情况:
- 准确的系统风险评估对于股票市场稳定至关重要.
- 现有的模型往往缺乏多维因素和可靠的预测.
- 需要提高投资者和监管机构的风险管理意识.
研究的目的:
- 测量中国股票市场的系统风险概况.
- 为中国股票市场建立一个适当的风险预警系统.
- 提高股票市场系统风险的预测准确度.
主要方法:
- 开发了一个包括35个因素 (宏观经济,交叉传染,特定市场) 的综合指标系统.
- 提出了一个集体实证模式分解 (EEMD) 结合长短期记忆 (LSTM) 网络模型.
- 利用TEI@I复杂系统方法来进行数据分解和预测.
主要成果:
- 构建的系统风险指数有效地确定了关键风险事件.
- 对于系统性金融风险,EEMD-LSTM模型显示出更强的早期预警能力.
- 经验结果验证了模型在描述复杂的非线性相互作用方面的有效性.
结论:
- EEMD-LSTM模型为系统风险预测提供了更准确的方法.
- 该研究为中国的投资者和监管机构提供了一个实用的工具.
- 加强系统风险监测可以有助于金融市场的稳定.
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