School of Software, Henan Polytechnic University, Jiaozuo, China.
Hebi National Optoelectronic Technology Co, Ltd, Hebi, China.
PLoS One. 2024 May 15;19(5):e0303688. doi: 10.1371/journal.pone.0303688. eCollection 2024.
Deep learning models struggle to effectively capture data features and make accurate predictions because of the strong non-linear characteristics of arbitrage data. Therefore, to fully exploit the model performance, researchers have focused on network structure and hyperparameter selection using various swarm intelligence algorithms for optimization. Sparrow Search Algorithm (SSA), a classic heuristic method that simulates the sparrows' foraging and anti-predatory behavior, has demonstrated excellent performance in various optimization problems. Hence, in this study, the Multi-Strategy Modified Sparrow Search Algorithm (MSMSSA) is applied to the Long Short-Term Memory (LSTM) network to construct an arbitrage spread prediction model (MSMSSA-LSTM). In the modified algorithm, the good point set theory, the proportion-adaptive strategy, and the improved location update method are introduced to further enhance the spatial exploration capability of the sparrow. The proposed model was evaluated using the real spread data of rebar and hot coil futures in the Chinese futures market. The obtained results showed that the mean absolute percentage error, root mean square error, and mean absolute error of the proposed model had decreased by a maximum of 58.5%, 65.2%, and 67.6% compared to several classical models. The model has high accuracy in predicting arbitrage spreads, which can provide some reference for investors.
深度学习模型由于套利数据的强非线性特征,难以有效地捕获数据特征并做出准确的预测。因此,为了充分发挥模型性能,研究人员专注于使用各种群智能算法进行网络结构和超参数选择的优化。麻雀搜索算法(SSA)是一种经典的启发式方法,模拟了麻雀的觅食和反捕食行为,在各种优化问题中表现出了优异的性能。因此,在本研究中,将多策略改进麻雀搜索算法(MSMSSA)应用于长短时记忆(LSTM)网络,构建了一个套利价差预测模型(MSMSSA-LSTM)。在改进的算法中,引入了良好点集理论、比例自适应策略和改进的位置更新方法,进一步增强了麻雀的空间探索能力。使用中国期货市场螺纹钢和热卷期货的真实价差数据对所提出的模型进行了评估。结果表明,与几个经典模型相比,所提出的模型的平均绝对百分比误差、均方根误差和平均绝对误差最大分别降低了 58.5%、65.2%和 67.6%。该模型在预测套利价差方面具有较高的准确性,可为投资者提供一些参考。