基于时空注意力 BiLSTM 模型的股指预测研究

IF 2.3 3区 数学 Q1 MATHEMATICS Mathematics Pub Date : 2024-09-11 DOI:10.3390/math12182812
Shengdong Mu, Boyu Liu, Jijian Gu, Chaolung Lien, Nedjah Nadia
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引用次数: 0

摘要

股指波动具有高噪声的特点,准确预测股指波动极具挑战性。为应对这一挑战,本研究提出了一种空间-时间-双向长短期记忆(STBL)模型,并将时空注意力机制纳入其中。该模型通过引入具有多跳邻居节点的图注意力网络来增强对数据间时间依赖性的分析,同时结合了长短期记忆(LSTM)的时间注意力机制,以有效解决数据结构中潜在的相互依赖关系。此外,通过为不同的邻居节点分配不同的学习权重,该模型可以更好地整合节点特征之间的相关性。为验证所提模型的准确性,本研究利用香港恒生指数(HSI)从 1986 年 12 月 31 日至 2023 年 12 月 31 日的收盘价进行分析。通过与其他九种预测模型的比较,实验结果表明,STBL 模型在股指的短期、中期和长期预测中,对收盘价的预测更为准确。
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Research on Stock Index Prediction Based on the Spatiotemporal Attention BiLSTM Model
Stock index fluctuations are characterized by high noise and their accurate prediction is extremely challenging. To address this challenge, this study proposes a spatial–temporal–bidirectional long short-term memory (STBL) model, incorporating spatiotemporal attention mechanisms. The model enhances the analysis of temporal dependencies between data by introducing graph attention networks with multi-hop neighbor nodes while incorporating the temporal attention mechanism of long short-term memory (LSTM) to effectively address the potential interdependencies in the data structure. In addition, by assigning different learning weights to different neighbor nodes, the model can better integrate the correlation between node features. To verify the accuracy of the proposed model, this study utilized the closing prices of the Hong Kong Hang Seng Index (HSI) from 31 December 1986 to 31 December 2023 for analysis. By comparing it with nine other forecasting models, the experimental results show that the STBL model achieves more accurate predictions of the closing prices for short-term, medium-term, and long-term forecasts of the stock index.
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来源期刊
Mathematics
Mathematics Mathematics-General Mathematics
CiteScore
4.00
自引率
16.70%
发文量
4032
审稿时长
21.9 days
期刊介绍: Mathematics (ISSN 2227-7390) is an international, open access journal which provides an advanced forum for studies related to mathematical sciences. It devotes exclusively to the publication of high-quality reviews, regular research papers and short communications in all areas of pure and applied mathematics. Mathematics also publishes timely and thorough survey articles on current trends, new theoretical techniques, novel ideas and new mathematical tools in different branches of mathematics.
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