基于高低频双层图注意网络的股价暴跌风险预测

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2024-09-06 DOI:10.1016/j.iref.2024.103608

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引用次数: 0

摘要

股价暴跌现象是指股票价格迅速大幅下跌，严重影响市场、投资者和经济。本研究介绍了 BiGAT-GRU 模型，该模型结合了图注意网络（GAT）和门控循环单元（GRU），利用百度搜索指数和舆情文本数据分析多尺度投资者情绪传播，从而预测股价暴跌风险。该模型在预测股价暴跌风险方面表现出色，为政策制定者和投资者提供了有价值的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Stock price crash risk prediction based on high-low frequency dual-layer graph attention network

The phenomenon of a stock price crash involves a rapid, significant decrease in stock prices, severely impacting the market, investors, and the economy. This study introduces the BiGAT-GRU model, which combines Graph Attention Networks (GAT) and Gated Recurrent Units (GRU) to predict stock price crash risk by analyzing multi-scale investor sentiment propagation using data from Baidu search index and public opinion texts. The model demonstrates superior performance in predicting crash risk, providing valuable insights for policymakers and investors.

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.