用于股市趋势预测的可解释深度学习方法。

IF 3.4 3区 综合性期刊 Q1 MULTIDISCIPLINARY SCIENCES Heliyon Pub Date : 2024-11-05 eCollection Date: 2024-11-15 DOI:10.1016/j.heliyon.2024.e40095
Dost Muhammad, Iftikhar Ahmed, Khwaja Naveed, Malika Bendechache
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引用次数: 0

摘要

鉴于股票预测的复杂性以及固有的风险和不确定性,有必要对市场趋势进行分析,以便利用最佳投资机会实现利润最大化,并及时放弃投资以减少损失。在这项工作中,我们提出了一种深度学习模型,用于预测五种不同的股市趋势:上涨、下跌、双顶、圆底和圆顶。所提出的模型超越了支持向量机、随机森林和逻辑回归等常见基准,平均准确率达到 94.9%,而随机森林为 85.7%,支持向量机为 60.07%,逻辑回归为 52.45%。此外,在现实世界的四个不同数据集中,所提出的模型在 F1 分数方面表现出色,达到 94.85%,而随机森林为 77.95%,支持向量机为 21.02%,逻辑回归为 46.23%。此外,我们还采用了可解释的人工智能(XAI)技术--SHAP 和 LIME,以提高可解释性,使利益相关者能够理解驱动预测的关键因素。SHAP 分析揭示了前 10 个最重要/最有影响力的特征,从而在保持性能的同时减少了特征。有趣的是,虽然前 10 个特征的准确率略有下降,但精确度、召回率和 F1 分数却有所提高,这表明在全面性和性能之间存在权衡。这些结果证明了在金融决策中的实际应用潜力,在可解释性和预测能力之间取得了平衡,可以为投资者的风险管理和战略规划提供支持。
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An explainable deep learning approach for stock market trend prediction.

Given the intricate nature of stock forecasting as well as the inherent risks and uncertainties, analysis of market trends is necessary to capitalize on optimal investment opportunities for profit maximization and timely disinvestment for loss minimization. In this work, we propose a deep learning model for predicting five distinct stock market trends: upward, downward, double top, rounded bottom, and rounded top. The proposed model surpasses common benchmarks, including support vector machine, random forest, and logistic regression, achieving an average accuracy of 94.9%, compared to 85.7% for random forest, 60.07% for support vector machine, and 52.45% for logistic regression. Furthermore the proposed model excels in F1-score, with a 94.85% performance, compared to 77.95% for random forest, 21.02% for support vector machine and 46.23% for logistic regression, across four real world diverse datasets. Additionally, we employ explainable AI (XAI) techniques, SHAP and LIME, to enhance interpretability, enabling stakeholders to understand the key factors driving predictions. The SHAP analysis reveals the top 10 most important/influential features, enabling feature reduction while maintaining performance. Interestingly, while accuracy slightly decreases with top 10 features, precision, recall, and F1-score improve, suggesting a trade-off between comprehensiveness and performance. These results demonstrate the potential for practical application in financial decision-making, providing a balance between interpretability and predictive power that can support investors in risk management and strategic planning.

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来源期刊
Heliyon
Heliyon MULTIDISCIPLINARY SCIENCES-
CiteScore
4.50
自引率
2.50%
发文量
2793
期刊介绍: Heliyon is an all-science, open access journal that is part of the Cell Press family. Any paper reporting scientifically accurate and valuable research, which adheres to accepted ethical and scientific publishing standards, will be considered for publication. Our growing team of dedicated section editors, along with our in-house team, handle your paper and manage the publication process end-to-end, giving your research the editorial support it deserves.
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