摘要
为了提高股票时间序列预测精度,增强预测模型结构参数可解释性,提出一种基于自适应粒子群优化(PSO)的长短期记忆(LSTM)股票价格预测模型(PSO-LSTM),该模型在LSTM模型的基础上进行改进和优化,因此擅长处理具有长期依赖关系的、复杂的非线性问题。通过自适应学习策略的PSO算法对LSTM模型的关键参数进行寻优,使股票数据特征与网络拓扑结构相匹配,提高股票价格预测精度。实验分别以沪市、深市、港股股票数据构建了PSO-LSTM模型,并对该模型的预测结果与其他预测模型进行比较分析。结果表明,基于自适应PSO的LSTM股票价格预测模型不但提高了预测准确度,而且具有普遍适用性。
This paper proposes a stock price prediction model based on particle swarm optimization long short-term memory(PSO-LSTM).This model improves and optimizes the LSTM model,which makes it more appropriate for analyzing relationships such as long-term dependency and for solving complex nonlinear problems.Through finding the key parameters in LSTM model by the PSO algorithm with adaptive learning strategy,the stock data feature matches the network topology structure,and the model's prediction accuracy of stock price is improved.In the experiment,PSO-LSTM models are constructed respectively based on the stock datasets from Shanghai,Shenzhen and Hong Kong,and then they are compared to other prediction models.The comparison results show that the PSO-LSTM stock price prediction model achieves higher prediction accuracy and has general applicability.
作者
宋刚
张云峰
包芳勋
秦超
SONG Gang;ZHANG Yunfeng;BAO Fangxun;QIN Chao(School of Computer Science and Technology,Shandong University of Finance and Economics,Jinan 250014,China;Shandong Key Laboratory of Digital Media Technology,Shandong University of Finance and Economics,Jinan 250014,China;School of Mathematics,Shandong University,Jinan 250100,China)
出处
《北京航空航天大学学报》
EI
CAS
CSCD
北大核心
2019年第12期2533-2542,共10页
Journal of Beijing University of Aeronautics and Astronautics
基金
国家自然科学基金(61672018,61772309)
国家自然科学基金-浙江两化融合联合基金(U1609218)
山东省重点研发计划(2016GSF120013,2017GGX10109,2018GGX101013)
山东省高等学校优势学科人才队伍培育计划
山东省自然科学杰出青年(ZR2018JL022)
山东省自然科学基金(ZR2019MF051)~~
