使用梯度提升神经网络增强股市预测:混合方法

IF 1.9 4区 经济学 Q2 ECONOMICS Computational Economics Pub Date : 2024-07-08 DOI:10.1007/s10614-024-10671-9
Taraneh Shahin, María Teresa Ballestar de las Heras, Ismael Sanz
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引用次数: 0

摘要

本文通过利用梯度提升神经网络(GBNN)的潜力,为加密货币市场分析和预测引入了一种创新范式。这一开创性的机器学习模型融合了神经网络和梯度提升技术,提供了一种稳健的方法。为了增强 GBNN 的预测能力,我们用一系列技术指标丰富了它的输入数据。此外,我们还采用了支持向量回归器进行特征工程,有助于排除不重要的变量。我们创造了 "混合方法 "一词来描述我们的管道,利用它来使用加密货币历史数据训练 GBNN 模型。我们进行了大量实验,以证明我们的方法在以前未见数据的模型准确性和误差方面具有卓越的性能。值得注意的是,我们提出的方法优于最先进的机器学习模型,充分展示了其有效性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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Enhancing Stock Market Prediction Using Gradient Boosting Neural Network: A Hybrid Approach

This paper introduces an innovative paradigm in cryptocurrency market analysis and prediction by exploiting the potency of the gradient boosting neural network (GBNN). This pioneering machine learning model amalgamates neural networks and gradient boosting techniques to offer a robust methodology. To enhance the GBNN's predictive capabilities, we enriched its input data with a spectrum of technical indicators. Moreover, we employed the support vector regressor for feature engineering, contributing to the exclusion of insignificant variables. We coined the term "hybrid approach" to describe our pipeline, employing it to train the GBNN model using historical cryptocurrency data. A multitude of experiments were conducted to demonstrate the superior performance of our approach in terms of model accuracy and error on previously unseen data. Notably, our proposed method outperformed state-of-the-art machine learning models, showcasing its effectiveness.

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来源期刊
Computational Economics
Computational Economics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-
CiteScore
4.00
自引率
15.00%
发文量
119
审稿时长
12 months
期刊介绍: Computational Economics, the official journal of the Society for Computational Economics, presents new research in a rapidly growing multidisciplinary field that uses advanced computing capabilities to understand and solve complex problems from all branches in economics. The topics of Computational Economics include computational methods in econometrics like filtering, bayesian and non-parametric approaches, markov processes and monte carlo simulation; agent based methods, machine learning, evolutionary algorithms, (neural) network modeling; computational aspects of dynamic systems, optimization, optimal control, games, equilibrium modeling; hardware and software developments, modeling languages, interfaces, symbolic processing, distributed and parallel processing
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