可预测性
计算机科学
股票市场指数
库存(枪支)
股票市场
计量经济学
综合指数
索引(排版)
资本化加权指数
成本价
经济
证券交易所
财务
数学
统计
机械工程
古生物学
马
万维网
工程类
生物
出处
期刊:Kybernetes
[Emerald (MCB UP)]
日期:2023-09-12
标识
DOI:10.1108/k-02-2023-0286
摘要
Purpose Because the dynamic characteristics of the stock market are nonlinear, it is unclear whether stock prices can be predicted. This paper aims to explore the predictability of the stock price index from a long-memory perspective. The authors propose hybrid models to predict the next-day closing price index and explore the policy effects behind stock prices. The paper aims to discuss the aforementioned ideas. Design/methodology/approach The authors found a long memory in the stock price index series using modified R/S and GPH tests, and propose an improved bi-directional gated recurrent units (BiGRU) hybrid network framework to predict the next-day stock price index. The proposed framework integrates (1) A de-noising module—Singular Spectrum Analysis (SSA) algorithm, (2) a predictive module—BiGRU model, and (3) an optimization module—Grid Search Cross-validation (GSCV) algorithm. Findings Three critical findings are long memory, fit effectiveness and model optimization. There is long memory (predictability) in the stock price index series. The proposed framework yields predictions of optimum fit. Data de-noising and parameter optimization can improve the model fit. Practical implications The empirical data are obtained from the financial data of listed companies in the Wind Financial Terminal. The model can accurately predict stock price index series, guide investors to make reasonable investment decisions, and provide a basis for establishing individual industry stock investment strategies. Social implications If the index series in the stock market exhibits long-memory characteristics, the policy implication is that fractal markets, even in the nonlinear case, allow for a corresponding distribution pattern in the value of portfolio assets. The risk of stock price volatility in various sectors has expanded due to the effects of the COVID-19 pandemic and the R-U conflict on the stock market. Predicting future trends by forecasting stock prices is critical for minimizing financial risk. The ability to mitigate the epidemic’s impact and stop losses promptly is relevant to market regulators, companies and other relevant stakeholders. Originality/value Although long memory exists, the stock price index series can be predicted. However, price fluctuations are unstable and chaotic, and traditional mathematical and statistical methods cannot provide precise predictions. The network framework proposed in this paper has robust horizontal connections between units, strong memory capability and stronger generalization ability than traditional network structures. The authors demonstrate significant performance improvements of SSA-BiGRU-GSCV over comparison models on Chinese stocks.
科研通智能强力驱动
Strongly Powered by AbleSci AI