基于LSTM的期货微观市场的趋势预测模型
首发时间:2018-08-15
摘要:本文介绍了期货市场的微观结构与LSTM算法的工作原理,并尝试将LSTM应用在期货tick数据上,提出了一个基于LSTM的期货tick数据短期趋势分类预测模型,对期货价格的短期涨跌进行预测。实验结果表明模型具有较好的预测准确性,证明了LSTM算法在商品期货高频tick数据趋势预测的可行性。
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Prediction model of futures micro market based on LSTM
Abstract:This paper introduces the micro structure of the futures market and the principle of the LSTM algorithm, and tries to apply LSTM to the futures tick data, and puts forward a short-term trend classification prediction model of futures tick data based on LSTM, forecasting the prices in the short term. The experimental results show that the model has a good prediction accuracy, which proves the feasibility of the LSTM algorithm in the trend prediction of high frequency tick data of commodity futures.
Keywords: Quant Futures micro market High-frequency trading LSTM
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