长短期记忆网络(lstm)_利用长期短期记忆lstm网络中的隐藏向量进行股票交易预测...

长短期记忆网络(lstm)

On this article we explain the second of the three novel contributions behind the paper “High-performance stock index trading using neural networks and trees”, which achieves very strong results when applied to major stock market indices such as S&P500, Dow Jones Industrial, Russell 2000 and NASDAQ. The first novel contribution was the introduction of a trading strategy that utilizes the distribution of predicted returns covered here.

在本文中，我们介绍的论文“背后的三种新的贡献第二高性能股票指数交易采用神经网络和树木当应用于股市主要指数如S＆P500，道琼斯工业，罗素”，这实现了非常强劲的业绩2000年和纳斯达克。 第一个新颖的贡献是引入了一种交易策略，该策略利用了此处介绍的预期收益的分布。

We go on to introduce a variant architecture of long short-term memory (LSTM) network in order to maximize the information from input data and provide more accurate predictions. This variation is quick to implement and execute while has shown to produce more accurate predictions (i.e. less error) than more complex methods. The explanations below are rather high level, so some familiarity with LSTMs would benefit the reader to better understand what is going on. For the curious reader we refer to the paper for the exact details. Let’s dive right into it!

我们将继续介绍长短期记忆(LSTM)网络的一种变体架构，以便最大化来自输入数据的信息并提供更准确的预测。 这种变型可以快速实施和执行，并且已显示出比更复杂的方法更准确的预测(即更少的错误)。 下面的解释是相当高级的，因此对LSTM的一些熟悉将使读者更好地了解正在发生的事情。 对于好奇的读者，请参考本文以获取确切的详细信息。 让我们开始吧！

A. LSTM简介 (A. Brief introduction to LSTMs)

Long short-term memory is a specific type of neural network, specifically, a recurrent neural network (RNN) created to deal with sequence input. What makes the sequence data interesting, is the presence of the time dimension. Hence, RNNs (and subsequently LSTMs) are able to incorporate time which makes them suitable for time-series problems. LSTMs, first introduced by S