一种整体方法,集成LSTM和ARIMA模型,用于增强金融市场预测
Lesia Mochurad1, Andrii Dereviannyi1
1Department of Artificial Intelligence, Lviv Polytechnic National University, Kniazia Romana str., 5, Lviv 79905, Ukraine.
本研究介绍了一种整体财务预测模型,该模型结合了长期短期记忆 (LSTM) 和自行回归集成移动平均线 (ARIMA),以提高准确性并降低复杂市场的风险.
科学领域:
- 量化金融 量化金融
- 计算经济学计算经济学
- 金融中的机器学习
背景情况:
- 金融市场预测面临重大挑战,包括市场复杂性,数据异质性和动态条件.
- 准确的预测对于竞争优势,降低风险和加强金融决策至关重要.
- 现有的智能预测方法需要不断改进和新的方法.
研究的目的:
- 分析和比较著名的财务预测方法:支持向量回归 (SVR),自行回归集成移动平均 (ARIMA),长短期记忆 (LSTM) 和极端梯度提升 (XG-Boost).
- 提出和评估一个整体预测程序,整合LSTM和ARIMA模型,以获得卓越的性能.
主要方法:
- 个人预测模型的比较分析,包括SVR,ARIMA,LSTM和XG-Boost.
- 通过结合LSTM和ARIMA,开发一个整体模型.
- 在三个真实世界的金融数据集上使用根平均平方误差 (RMSE) 验证.
主要成果:
- 与独立的LSTM模型相比,拟议的整体模型在RMSE中显示出显著的15%的改进.
- 整体方法比单个方法,包括LSTM,变压器模型和深度循环神经网络,表现更好.
- 整体方法为并行化提供了潜力,使得预测速度更快.
结论:
- 集成的LSTM和ARIMA组合模型为金融市场预测提供了更准确和更强大的方法.
- 这种方法有效地解决了财务预测方面的挑战,优于现有的先进技术.
- 未来的研究可以利用这一组合的并行能力来加速预测.
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