利用时空模式预测金融资产依赖性

Haoren Zhu, Pengfei Zhao, Wilfred Siu Hung NG, Dik Lun Lee
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引用次数: 0

摘要

金融资产表现出复杂的依赖结构,这对于投资者在动荡的金融市场中建立多元化投资组合以降低风险至关重要。为了探索金融资产的依赖动态,我们提出了一种新方法,将资产依赖关系建模为资产依赖矩阵(ADM),并将 ADM 序列视为图像序列。这样,我们就可以利用基于深度学习的视频预测方法来捕捉资产之间的时空依赖关系。然而,与图像不同的是,由于物体运动的自然连续性,相邻像素表现出明确的时空依赖关系,而 ADM 中的资产没有自然顺序。这就给如何组织关联资产以更好地揭示相邻资产之间的时空依赖关系从而进行 ADM 预测带来了挑战。为了应对这些挑战,我们提出了资产依赖神经网络(Asset Dependency NeuralNetwork,ADNN),它采用了卷积长短期记忆(ConvLSTM)网络,这是一种非常成功的视频预测方法。ADNN 可以使用静态和动态变换函数来优化 ADM 的呈现。通过大量实验,我们证明了我们提出的框架在 ADM 预测和下游应用任务中始终优于基线。这项研究有助于理解和预测资产依赖关系,为金融市场参与者提供有价值的见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns
Financial assets exhibit complex dependency structures, which are crucial for investors to create diversified portfolios to mitigate risk in volatile financial markets. To explore the financial asset dependencies dynamics, we propose a novel approach that models the dependencies of assets as an Asset Dependency Matrix (ADM) and treats the ADM sequences as image sequences. This allows us to leverage deep learning-based video prediction methods to capture the spatiotemporal dependencies among assets. However, unlike images where neighboring pixels exhibit explicit spatiotemporal dependencies due to the natural continuity of object movements, assets in ADM do not have a natural order. This poses challenges to organizing the relational assets to reveal better the spatiotemporal dependencies among neighboring assets for ADM forecasting. To tackle the challenges, we propose the Asset Dependency Neural Network (ADNN), which employs the Convolutional Long Short-Term Memory (ConvLSTM) network, a highly successful method for video prediction. ADNN can employ static and dynamic transformation functions to optimize the representations of the ADM. Through extensive experiments, we demonstrate that our proposed framework consistently outperforms the baselines in the ADM prediction and downstream application tasks. This research contributes to understanding and predicting asset dependencies, offering valuable insights for financial market participants.
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