[1]许飞飞,胡 月,汪召兵.基于生成式对抗网络的股价预测研究[J].浙江科技学院学报,2022,(03):207-215.[doi:10.3969/j.issn.1671-8798.2022.03.002 ]
 XU Feifei,HU Yue,WANG Zhaobing.Research on stock price forecasting based on FWGAN model[J].,2022,(03):207-215.[doi:10.3969/j.issn.1671-8798.2022.03.002 ]
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基于生成式对抗网络的股价预测研究(/HTML)
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《浙江科技学院学报》[ISSN:1001-3733/CN:61-1062/R]

卷:
期数:
2022年03期
页码:
207-215
栏目:
出版日期:
2022-06-16

文章信息/Info

Title:
Research on stock price forecasting based on FWGAN model
文章编号:
1671-8798(2022)03-0207-09
作者:
许飞飞胡 月汪召兵
(浙江科技学院 理学院,杭州 310023)
Author(s):
XU Feifei HU Yue WANG Zhaobing
(School of Sciences, Zhejiang University of Science and Technology, Hangzhou 310023, Zhejiang, China)
关键词:
股价预测 股民情绪 生成式对抗网络股价预测模型 时间序列
分类号:
F830.91
DOI:
10.3969/j.issn.1671-8798.2022.03.002
文献标志码:
A
摘要:
为了降低股票市场中噪声信息和投资者情绪对股票价格的影响,以便给投资者带来较高的投资回报并降低交易风险,特提出一种基于金融双向编码器表征和瓦瑟斯坦距离的生成式对抗网络(financial bidirectional encoder representation from transformers and Wasserstein generative adversarial networks,FWGAN)股价预测模型。本模型首先采集东方财富网股评数据,并利用自然语言处理预训练模型将股评数据量化为情绪值,然后将情绪值连同历史股票交易数据、技术指标数据输入由长短期记忆网络(long-short-term memory,LSTM)为生成器和卷积神经网络(convolutional neural network,CNN)为判别器组成的FWGAN模型中进行训练。对比LSTM模型、门控神经网络(gated recurrent units,GRU)模型和生成式对抗网络(generative adversarial networks,GAN)模型对山西汾酒股价的预测性能,结果表明,FWGAN模型的均方根误差为2.572,达到最低,预测效果最好。试验结果验证了本模型对股票时间序列预测的有效性和优越性,可以为投资者进行股价预测提供参考。

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备注/Memo

备注/Memo:
收稿日期:2021-03-26
基金项目:浙江省科技计划项目(2015C33088)
通信作者:胡 月(1964— ),男,河南省西峡人,教授,硕士,主要从事概率论极限理论和金融数学研究。E-mail:huyue@zust.edu.cn。
更新日期/Last Update: 2022-06-30