基于LSTM和灰色模型的股价时间序列预测研究
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1.南京信息工程大学;2.中国教育科学研究院

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国家自然科学基金(71701105);国家社会科学基金重大项目(17ZDA0292);中央级公益性科研院所基本科研业务费专项资助(GYB2019004)


Stock price time series prediction based on LSTM and grey model
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1.Nanjing University of information Science and Technology;2.National Institute Of Education Sciences

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    摘要:

    影响股价的因素错综复杂,因此本文在考虑多变量情形下,对时间序列中常用的长短期记忆网络(LSTM)进行修正,并选取股票价格进行预测。首先,采用方差膨胀因子(VIF)进行变量的筛选,再结合自适应提升法(Adaboost)模型查看特征变量的重要程度。其次,用爬虫对投资者情绪进行文本分析,计算情绪指数等指标并揭示其与股价的关系。然后,对格力电器、飞科电器、美的集团三种不同股价进行预测,对比多层感知器(MPL)模型、LSTM模型,并选择适当的模型作为基准模型,在基准模型的基础上加上情绪指数、投资者关注度等指标构建了LSTM-EM模型。进一步,在考虑了投资者情绪后对残差项使用GM(1,1)模型进行修正。实证结果表明,该模型能对股价进行较为精确的预测。

    Abstract:

    The factors that affect stock price are very complicated. Therefore, this paper revises the LSTM, which is commonly used in time series, and selects stock price for prediction under the condition of multivariable. First, variance inflation factor(VIF) was used to screen variables, and then the adaptive promotion method (Adaboost) model is combined to check the importance of characteristic variables. Secondly, the crawler is used to conduct text analysis of investor sentiment, calculate sentiment index and other indicators, and reveal the relationship between them and stock prices. Then, three different stock prices of Gree Electric Appliances, Flyco Electric Appliances and Midea Group were predicted, multi-layer perceptron(MPL)model and LSTM model were compared, and the appropriate model was selected as the benchmark model. On the basis of the benchmark model, the LSTM-EM model was constructed by adding sentiment index, investor attention and other indicators. Furthermore, GM (1,1) model was used to correct the residual term after considering investor sentiment. The empirical results show that the model can predict the stock price accurately.

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韩金磊,熊萍萍,孙继红.基于LSTM和灰色模型的股价时间序列预测研究[J].南京信息工程大学学报,,():

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  • 收稿日期:2022-10-08
  • 最后修改日期:2022-12-21
  • 录用日期:2023-01-03
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