Improving Sliding Window Effect of LSTM in Stock Prediction Based on Econometrics Theory

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-05-18 DOI:10.1007/s10614-024-10627-z

Xiaoxiao Liu, Wei Wang

引用次数: 0

Abstract

This study examines the influence of the sliding window in the LSTM model on its predictive performance in the stock market. The investigation encompasses three aspects: the impact of the stationarity of the original data, the effect of the time interval, and the influence of the input order of data. Additionally, a standard VAR model is established for a comparative benchmark. The experimental dataset comprises the daily stock index prices of the six major stock markets from the January 2010 to December 2019. The experimental results demonstrate that stationary input data enhances the predictive performance of the LSTM model. Furthermore, shorter time interval tends to yield improved outcomes, while the order of input data does not impact the performance of the LSTM. Although the predictive capability of the LSTM model may not consistently surpass that of the standard VAR model, which is different from the previous research, it serves to compensate for the conditional limitations associated with VAR model construction.

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基于计量经济学理论改进 LSTM 在股票预测中的滑动窗口效应

本研究探讨了 LSTM 模型中的滑动窗口对其股市预测性能的影响。研究包括三个方面：原始数据静态性的影响、时间间隔的影响以及数据输入顺序的影响。此外，还建立了一个标准 VAR 模型作为比较基准。实验数据集包括 2010 年 1 月至 2019 年 12 月期间六大股票市场的每日股指价格。实验结果表明，静态输入数据提高了 LSTM 模型的预测性能。此外，较短的时间间隔往往会产生更好的结果，而输入数据的顺序不会影响 LSTM 的性能。虽然 LSTM 模型的预测能力可能无法持续超越标准 VAR 模型，这与之前的研究有所不同，但它可以弥补与 VAR 模型构建相关的条件限制。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.