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Received:August 22, 2021 Revised:September 29, 2021
Received:August 22, 2021 Revised:September 29, 2021
中文摘要: 本文在传统神经网络(NN)、循环神经网络(RNN)、长短时记忆网络(LSTM)与门控循环单元(GRU)等神经网络时间预测模型基础上, 进一步构建集成学习(EL)时间序列预测模型, 研究神经网络类模型、集成学习模型和传统时间序列模型在股票指数预测上的表现. 本文以16只A股和国际股票市场指数为样本, 比较模型在不同预测期间和不同国家和地区股票市场上的表现.本文主要结论如下: 第一, 神经网络类时间序列预测模型和神经网络集成学习时间序列预测模型在表现上显著稳健优于传统金融时间序列预测模型, 预测性能提高大约35%; 第二, 神经网络类模型和神经网络集成学习模型在中国和美国股票市场上的表现优于其他发达国家和地区的股票市场.
Abstract:On the basis of time series forecast models of neural networks (NNs) such as the traditional NN, recurrent neural network (RNN), long short-term memory (LSTM), and gated recurrent unit (GRU), this study builds a time series forecast model of ensemble learning (EL) to study the performance of NN models, the EL model, and traditional time series models in stock index prediction. This study takes 16 Chinese and international stock market indexes as samples to compare the performance of the models in different forecast periods and stock markets in different countries and regions. The main conclusions of this study are as follows: First, the NN time series forecast model and the EL time series forecast model based on NNs are significantly more robust than the traditional financial time series forecast model, and the prediction performance is improved by about 35%. Second, the performance of NN models and EL models in Chinese and American stock markets is better than that of the rest of developed countries and regions.
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基金项目:
Author Name | Affiliation | |
XU Xiao-Fang | School of Finance, Nankai University, Tianjin 300350, China | xuxf_7@126.com |
GUAN Rui | School of Finance, Nankai University, Tianjin 300350, China |
Author Name | Affiliation | |
XU Xiao-Fang | School of Finance, Nankai University, Tianjin 300350, China | xuxf_7@126.com |
GUAN Rui | School of Finance, Nankai University, Tianjin 300350, China |
引用文本:
徐晓芳,管瑞.基于神经网络集成学习算法的金融时间序列预测.计算机系统应用,2022,31(6):29-37
XU Xiao-Fang,GUAN Rui.Financial Time Series Forecasting Based on Neural Network Ensemble Learning Algorithms.COMPUTER SYSTEMS APPLICATIONS,2022,31(6):29-37
徐晓芳,管瑞.基于神经网络集成学习算法的金融时间序列预测.计算机系统应用,2022,31(6):29-37
XU Xiao-Fang,GUAN Rui.Financial Time Series Forecasting Based on Neural Network Ensemble Learning Algorithms.COMPUTER SYSTEMS APPLICATIONS,2022,31(6):29-37