广西师范大学学报（自然科学版） ›› 2019, Vol. 37 ›› Issue (2): 82-89.doi: 10.16088/j.issn.1001-6600.2019.02.010

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基于门控循环单元神经网络的金融时间序列预测

张金磊, 罗玉玲*, 付强   

  1. 广西师范大学电子工程学院,广西桂林541004
  • 收稿日期:2018-08-13 出版日期:2019-04-25 发布日期:2019-04-28
  • 通讯作者: 罗玉玲(1984—),女,湖北武汉人,广西师范大学副教授。E-mail:yuling0616@mailbox.gxnu.edu.cn
  • 基金资助:
    国家自然科学基金(61603104);广西自然科学基金(2015GXNSFFBA139256,2016GXNSFCA380017,2017GXNSFAA198180);广西研究生教育创新计划项目(XYCSZ2018080)

Predicting Financial Time Series Based on Gated Recurrent Unit Neural Network

ZHANG Jinlei, LUO Yuling*, FU Qiang   

  1. College of Electronic Engineering, Guangxi Normal University, Guilin Guangxi 541004, China
  • Received:2018-08-13 Online:2019-04-25 Published:2019-04-28

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摘要： 针对循环神经网络(recurrent neural networks, RNN)网络结构存在的长期依赖问题,门控循环单元(gated recurrent unit, GRU)神经网络作为RNN的一种变体被提出。在继承RNN对时间序列优秀记忆能力的前提下,GRU克服了时间序列的长期依赖问题。本文针对金融时间序列数据存在的依赖问题,将GRU扩展应用到金融时间序列预测,提出了基于差分运算与GRU神经网络相结合的金融时间序列预测模型。该模型能够处理金融时间序列数据的复杂特征,如非线性、非平稳性和序列相关性。通过对标准普尔(S&P)500股票指数的调整后收盘价进行预测,实验结果表明,所提出的方案能够提高GRU神经网络的泛化能力和预测精度,并且与传统预测模型相比该模型对金融时间序列的预测拥有更好的预测效果和相对较低的计算开销。

关键词: 循环神经网络, 门控循环单元, 差分运算, 金融时间序列预测, 深度学习

Abstract: To solve the long-term dependence of the Recurrent Neural Networks (RNN), the Gated Recurrent Unit (GRU) neural network is proposed as a variant of the RNN. By inheriting the excellent memory ability of the RNN to time series, the GRU overcomes this long-term dependence problem. For the long-term dependence of time series in financial time series, the GRU extension is applied to financial time series prediction. A financial time series prediction model based on differential operation and GRU neural network is proposed in this paper. The model is capable of handling complex features of financial time series data such as non-linearity, non-stationary and sequence correlation. It is used to predict the adjusted close price of the Standard & Poor’s (S&P) 500 stock index in this work. The experimental results show that the differencing operation can improve the generalization ability and the prediction accuracy of the GRU neural network, and the proposed method can perform a better prediction for the financial time series than the conventional approach, with a relatively low computing overhead.

Key words: recurrent neural network, gated recurrent unit (GRU), differencing operation, financial time series prediction, deep learning

中图分类号: 

  • TP183
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