综合图表相似性和多持续性预测股价转折点

IF 8.9 2区 计算机科学 Q1 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE IEEE Transactions on Knowledge and Data Engineering Pub Date : 2024-08-16 DOI:10.1109/TKDE.2024.3444814
Shangzhe Li;Yingke Liu;Xueyuan Chen;Junran Wu;Ke Xu
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引用次数: 0

摘要

金融数据预测在金融市场中起着至关重要的作用。仅仅依靠价格或价格趋势作为预测目标往往会导致大量无效交易。因此,研究人员越来越多地将注意力转向作为预测目标的转折点。令人惊讶的是,尽管转折点与技术图表密切相关,但现有方法在很大程度上忽视了技术图表的作用。最近,一些研究人员尝试通过将价格序列转换成图像来利用图表信息进行转折点预测,但出现了稳健性和收敛性问题。为了应对这些挑战并增强转折点预测,本文介绍了一种称为 MPCNet 的新方法。具体来说,我们首先利用图表相似性将价格序列转换为图形结构,从而稳健地从技术图表中提取有价值的信息。此外,我们还引入了多持续拓扑工具,以准确预测股票转折点并提供收敛性保证。实验结果表明,我们提出的模型明显优于现有方法。此外,根据使用真实股票数据进行的其他性能评估,MPCNet 在交易回溯测试期间始终获得最高的平均回报。同时,我们提供了稳健性的经验验证和理论分析,以确认其收敛性,从而将其确立为金融预测的卓越工具。
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Forecasting Turning Points in Stock Price by Integrating Chart Similarity and Multipersistence
Forecasting financial data plays a crucial role in financial market. Relying solely on prices or price trends as prediction targets often leads to a vast of invalid transactions. As a result, researchers have increasingly turned their attention to turning points as the prediction target. Surprisingly, existing methods have largely overlooked the role of technical charts, despite turning points being closely related to the technical charts. Recently, several researchers have attempted to utilize chart information via converting price sequences into images for turning point forecasting, but robustness and convergence problems arise. To address these challenges and enhance the turning point predictions, this article introduces a new method known as MPCNet. Specifically, we first transform the price series into a graph structure using chart similarity to robustly extract valuable information from technical charts. Additionally, we introduce the multipersistence topology tool to accurately predict stock turning points and provide convergence guarantee. Experimental results demonstrate the significant superiority of our proposed model over existing methods. Furthermore, based on additional performance evaluations using real stock data, MPCNet consistently achieves the highest average return during the transaction backtesting period. Meanwhile, we provide empirical validation of robustness and theoretical analysis to confirm its convergence, establishing it as a superior tool for financial forecasting.
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来源期刊
IEEE Transactions on Knowledge and Data Engineering
IEEE Transactions on Knowledge and Data Engineering 工程技术-工程:电子与电气
CiteScore
11.70
自引率
3.40%
发文量
515
审稿时长
6 months
期刊介绍: The IEEE Transactions on Knowledge and Data Engineering encompasses knowledge and data engineering aspects within computer science, artificial intelligence, electrical engineering, computer engineering, and related fields. It provides an interdisciplinary platform for disseminating new developments in knowledge and data engineering and explores the practicality of these concepts in both hardware and software. Specific areas covered include knowledge-based and expert systems, AI techniques for knowledge and data management, tools, and methodologies, distributed processing, real-time systems, architectures, data management practices, database design, query languages, security, fault tolerance, statistical databases, algorithms, performance evaluation, and applications.
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