用FINGAN-BiLSTM建模外汇市场中的风格化事实:对金融时间序列的深度学习方法
Dong-Jun Kim1, Do-Hyeon Kim1, Sun-Yong Choi1
1Department of Finance and Big Data, Gachon University, Seongnam 13120, Republic of Korea.
Entropy (Basel, Switzerland)
|June 26, 2025
概括
新的金融生成对抗性网络双向长期短期记忆 (FINGAN-BiLSTM) 模型准确地捕捉了外汇市场的动态. 这种深度学习方法通过模拟复杂的数据模式来改进金融风险评估和衍生品定价.
科学领域:
- * 计算金融学
- * 深度学习 (Deep Learning) 是一种深度学习.
- * 金融计量经济学
背景情况:
- * 外汇 (FX) 市场表现出复杂的统计特性,如重尾,波动性聚类和杆效应.
- *传统模型往往难以捕捉这些风格化的事实,导致金融应用中的潜在不准确性.
- *单向深度学习架构可能会遭受信息丢失,限制它们在时间序列分析中的有效性.
研究的目的:
- * 提出和评估金融生成对抗网络双向长期短期记忆 (FINGAN-BiLSTM) 模型.
- * 准确地复制复杂的统计属性和外汇市场日志回报的风格化事实.
- *通过结合过去和未来的信息来克服单向模型中的信息丢失.
主要方法:
- *将双向长短期记忆 (BiLSTM) 网络集成到FINGAN框架中.
- *生成器,区分器和预测器网络同时处理过去和未来的信息.
- *使用像科尔莫戈罗夫-斯米尔诺夫统计学这样的指标来评估分布式和动态模式复制的评估.
主要成果:
- * FINGAN-BiLSTM有效地模仿了实际外汇数据的分布和动态模式.
- *高波动性资产 (如CAD,MXN) 的累计分配差异显著减少.
- *精确复制波动性聚类和杆效应,表现优于传统模型.
结论:
- * FINGAN-BiLSTM模型在捕捉外汇市场风格化事实方面表现出强的表现.
- * 拟议的深度学习模型对金融风险评估,衍生品定价和投资组合优化具有前景.
- *需要进一步的研究,通过整合外部经济变量来增强概括性.
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