Stock index prediction method based on adaptive feature extraction

Abstract

The invention relates to a stock index prediction method based on adaptive feature extraction, and the method comprises the steps: S1, obtaining stock index data, and obtaining the daily opening price, lowest price, highest price, closing price and transaction volume; s2, calculating an artificial index value proposed by a financial and economic expert; s3, constructing sample features and samplelabels, and dividing all samples into a training set, a verification set and a test set; s4, performing adaptive feature extraction on the sample; and S5, inputting self-adaptive extraction features and the artificial indexes calculated in the S2 into a neural network prediction model based on a factor machine, and outputting a prediction result. According to the method, the characteristics of thestock indexes are extracted in a self-adaptive manner, and the extraction method is simple and high in interpretability; the neural network based on the factor machine is used as a prediction model,interaction between features can be learned, the nonlinear expression capability is achieved, and the linear complexity is achieved; the accuracy of the stock index prediction technology can be effectively improved.

Description

technical field [0001] The invention relates to the field of stock index forecasting, and more specifically, to a stock index forecasting method based on adaptive feature extraction. Background technique [0002] Analyzing and forecasting stock indexes is an essential part of the daily work of private investors, hedge funds and proprietary trading departments, and reasonably accurate forecasts may increase the potential for generating high financial returns and hedging market risks . However, considering factors such as the information efficiency and maturity of the stock market, financial economists often question the predictability of stock indexes and the existence of opportunities for profitable trading. So, in the context of the efficient markets hypothesis, this begs the question of whether the stock market is an efficient engine for converting information into prices. [0003] Although the financial market normally conforms to the efficient market hypothesis, an uns...

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Problems solved by technology

[0008] The present invention provides a stock index prediction method based on adaptive feature extraction in order to overcome the defect that the current stock index prediction model relies heavily on artificial features

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