{"id":1516,"date":"2024-10-14T07:27:00","date_gmt":"2024-10-13T23:27:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=1516"},"modified":"2024-09-18T09:28:54","modified_gmt":"2024-09-18T01:28:54","slug":"lstm%ef%bc%9a%e7%94%a8%e4%ba%8e%e9%ab%98%e9%a2%91%e4%ba%a4%e6%98%93%e9%a2%84%e6%b5%8b%e7%9a%84%e6%9c%80%e4%bc%98%e8%be%93%e5%87%ba","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2024\/10\/14\/lstm%ef%bc%9a%e7%94%a8%e4%ba%8e%e9%ab%98%e9%a2%91%e4%ba%a4%e6%98%93%e9%a2%84%e6%b5%8b%e7%9a%84%e6%9c%80%e4%bc%98%e8%be%93%e5%87%ba\/","title":{"rendered":"LSTM\uff1a\u7528\u4e8e\u9ad8\u9891\u4ea4\u6613\u9884\u6d4b\u7684\u6700\u4f18\u8f93\u51fa"},"content":{"rendered":"\n<p>\u4f5c\u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/image_fx_-5.jpg\" alt=\"\" class=\"wp-image-2114\"\/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<pre class=\"wp-block-verse\"><strong>\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u672c\u6587\u63d0\u51fa\u4e86\u4e00\u79cd\u521b\u65b0\u7684\u957f\u77ed\u671f\u8bb0\u5fc6\uff08LSTM\uff09\u5355\u5143\uff0c\u540d\u4e3a<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u6700\u4f18\u8f93\u51fa LSTM\uff08OPTM-LSTM\uff09\uff0c\u5176\u65e8\u5728\u5b9e\u65f6\u9009\u5b9a\u6700\u4f18\u7684\u95e8\u6216\u72b6\u6001\u4f5c\u4e3a\u6700\u7ec8\u8f93\u51fa\u3002<\/mark>\u8be5\u5355\u5143\u5177\u5907\u6d45\u62d3\u6251\u7ed3\u6784\uff0c\u5177\u6709\u6700\u77ed\u7684\u56de\u987e\u671f\uff0c\u4e14\u652f\u6301\u5728\u7ebf\u8bad\u7ec3\u3002\u901a\u8fc7\u5728\u7f8e\u56fd\u548c\u5317\u6b27\u80a1\u7968\u7684\u9650\u4ef7\u5355\u7c3f\uff08LOB\uff09\u4e2d\u5c55\u5f00\u6d4b\u8bd5\uff0c\u7ed3\u679c\u8868\u660e OPTM-LSTM \u5728\u9ad8\u9891\u4ea4\u6613\u9884\u6d4b\u4efb\u52a1\u4e2d\u8868\u73b0\u51fa\u8272\uff0c\u7279\u522b\u662f\u5728\u9884\u6d4b LOB \u4e2d\u95f4\u4ef7\u683c\u65f6\uff0c\u76f8\u6bd4\u5176\u4ed6\u5faa\u73af\u795e\u7ecf\u7f51\u7edc\uff0c\u5176\u62e5\u6709\u66f4\u4f4e\u7684\u9884\u6d4b\u8bef\u5dee\u3002<\/pre>\n<\/blockquote>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4e00\u3001\u5f15\u8a00<\/strong><\/h3>\n\n\n\n<p>\u9ad8\u9891\u4ea4\u6613\uff08HFT\uff09\u5728\u7f8e\u56fd\u80a1\u7968\u5e02\u573a\u7684\u4ea4\u6613\u6d3b\u52a8\u4e2d\u5360\u636e\u8d85\u8fc7 50%\u7684\u4efd\u989d\u3002\u5728 HFT \u8fc7\u7a0b\u4e2d\uff0c\u4fe1\u53f7\u548c\u4ea4\u6613\u80fd\u591f\u5728\u51e0\u7eb3\u79d2\u5185\u88ab\u5206\u6790\u548c\u6267\u884c\uff0c\u8fd9\u79cd\u901f\u5ea6\u8981\u6c42\u4e3a\u53c2\u4e0e\u8005\u63d0\u4f9b\u4e86\u5229\u7528\u5176\u57fa\u7840\u8bbe\u65bd\u548c\u4e13\u4e1a\u6280\u672f\u77e5\u8bc6\u7684\u673a\u4f1a\u3002\u6587\u7ae0\u4e2d\u63d0\u5230\u4e86\u9650\u4ef7\u5355\u7c3f\uff08LOB\uff09\u7684\u6982\u5ff5\uff0c\u8fd9\u662f HFT \u6d3b\u52a8\u7684\u4e00\u79cd\u5f62\u5f0f\uff0c\u5176\u4e2d\u6d41\u52a8\u6027\u63d0\u4f9b\u8005\u548c\u6d41\u52a8\u6027\u63a5\u53d7\u8005\u5f62\u6210\u8ba2\u5355\u6d41\u52a8\u7684\u52a8\u6001\u3002\u6587\u7ae0\u8fd8\u5f3a\u8c03\u4e86\u5feb\u901f\u8ba2\u5355\u6d41\u52a8\u4fe1\u606f\u5206\u6790\u7684\u91cd\u8981\u6027\uff0c\u7279\u522b\u662f\u9884\u6d4b\u9650\u4ef7\u5355\u7c3f\u7684\u4e0b\u4e00\u4e2a\u4e2d\u95f4\u4ef7\u683c\uff0c\u8fd9\u662f\u5b9e\u9a8c\u534f\u8bae\u7684\u4e3b\u8981\u76ee\u6807\u3002\u9884\u6d4b\u4e0b\u4e00\u4e2a\u4e2d\u95f4\u4ef7\u683c\u7b49\u540c\u4e8e\u5728\u7ebf\u6216\u9010\u523b\u9884\u6d4b\uff0c\u8fd9\u5728\u6570\u636e\u89c4\u6a21\u6d88\u5316\u548c\u65f6\u95f4\u4e0d\u89c4\u5219\u6027\u68c0\u67e5\u65b9\u9762\u662f\u4e00\u4e2a\u6311\u6218\u3002\u8fd9\u4e9b\u6311\u6218\u53ef\u4ee5\u901a\u8fc7\u7279\u5b9a\u7c7b\u578b\u7684\u795e\u7ecf\u7f51\u7edc\uff08NN\uff09\u6765\u59a5\u5584\u5904\u7406\uff0c\u7279\u522b\u662f\u5faa\u73af\u795e\u7ecf\u7f51\u7edc\uff08RNN\uff09\u5bb6\u65cf\u4e2d\u7684\u957f\u77ed\u671f\u8bb0\u5fc6\u795e\u7ecf\u7f51\u7edc\uff08LSTM\uff09\u3002LSTM \u5728\u591a\u4e2a\u9886\u57df\uff0c\u5305\u62ec\u91d1\u878d\u548c\u7b97\u6cd5\u4ea4\u6613\u4e2d\uff0c\u5df2\u7ecf\u5c55\u793a\u51fa\u4e86\u826f\u597d\u7684\u9884\u6d4b\u80fd\u529b\u3002\u6587\u4e2d\u8fd8\u63d0\u5230\u4e86 HFT LOB \u6570\u636e\u96c6\u7684\u7814\u7a76\u9700\u8981\u6a21\u578b\u80fd\u591f\u89e3\u6790\u6240\u6709\u76f8\u5173\u4fe1\u606f\u800c\u4e0d\u4ea7\u751f\u5904\u7406\u5ef6\u8fdf\u3002\u6b64\u5916\uff0c\u6587\u7ae0\u63a2\u8ba8\u4e86\u6784\u5efa\u5b9e\u65f6\u5728\u7ebf\u673a\u5668\u5b66\u4e60\u5b9e\u9a8c\u534f\u8bae\u7684\u6311\u6218\uff0c\u4e0d\u4ec5\u4ec5\u662f\u5de5\u7a0b\u76ee\u6807\uff08\u5373 LOB \u7684\u4e2d\u95f4\u4ef7\u683c\u9884\u6d4b\uff09\uff0c\u8fd8\u5305\u62ec\u5f00\u53d1\u9002\u5408\u57fa\u4e8e\u8f83\u5c11\u8bad\u7ec3\u5468\u671f\u7684\u77ed\u671f\u8bad\u7ec3\u7684\u52a8\u6001\u8c03\u6574\u7684 NN\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4e8c\u3001\u76f8\u5173\u5de5\u4f5c<\/strong><\/h3>\n\n\n\n<p>LSTM \u7f51\u7edc\u5df2\u6210\u529f\u5e94\u7528\u4e8e\u9884\u6d4b\u4e2d\u95f4\u4ef7\u683c\u7684\u53d8\u52a8\uff0c\u5e76\u5c55\u73b0\u51fa\u5353\u8d8a\u7684\u9884\u6d4b\u80fd\u529b\u3002\u6b64\u5916\uff0c\u901a\u8fc7\u5f15\u5165\u6ce8\u610f\u529b\u673a\u5236\uff0cLSTM \u7684\u9884\u6d4b\u6027\u80fd\u5f97\u5230\u4e86\u8fdb\u4e00\u6b65\u63d0\u5347\u3002\u8fd8\u6709\u7814\u7a76\u5c06 LSTM \u4e0e\u6ce8\u610f\u529b\u673a\u5236\u76f8\u7ed3\u5408\uff0c\u7528\u4e8e\u9884\u6d4b\u80a1\u7968\u4ef7\u683c\u7684\u8df3\u8dc3\u3002LSTM \u4e5f\u88ab\u7528\u4e8e\u5e02\u573a\u505a\u5e02\u7b56\u7565\u7684\u5b9e\u65bd\u3002LSTM \u5355\u5143\u7684\u67b6\u6784\u57fa\u4e8e\u4e00\u7cfb\u5217\u9884\u5b9a\u4e49\u7684\u64cd\u4f5c\uff0c\u8fd9\u4e9b\u64cd\u4f5c\u57fa\u4e8e\u5bf9\u5185\u90e8\u8ba1\u7b97\u987a\u5e8f\u3001\u95e8\/\u72b6\u6001\u6570\u91cf\u548c\u5355\u5143\u8f93\u51fa\u4fe1\u606f\u7684\u5047\u8bbe\u3002\u6587\u4e2d\u63d0\u5230\u4e86\u4e00\u4e9b\u7814\u7a76\uff0c\u8fd9\u4e9b\u7814\u7a76\u6839\u636e\u4fe1\u606f\u6d41\u8c03\u6574 LSTM \u5185\u90e8\u95e8\u7684\u987a\u5e8f\uff0c\u4f46\u8fd9\u4e9b\u65b9\u6cd5\u5b58\u5728\u4e00\u4e9b\u9650\u5236\uff0c\u4f8b\u5982\u8c03\u6574\u6216\u6d88\u9664 RNN \u95e8\u5e76\u4e0d\u76f4\u63a5\u4e0e\u6700\u7ec8\u9884\u6d4b\u76ee\u6807\u76f8\u5173\u8054\u3002\u6b64\u5916\uff0c\u6587\u4e2d\u8fd8\u63d0\u5230\u4e86\u4e00\u4e9b\u7b80\u5316\u7684 LSTM \u5355\u5143\u7ed3\u6784\uff0c\u4ee5\u53ca\u5bf9 LSTM \u5355\u5143\u4e2d\u6700\u91cd\u8981\u7684\u95e8\u8fdb\u884c\u4fee\u6539\u7684\u5efa\u8bae\u3002\u8fd8\u6709\u4e00\u4e9b\u7814\u7a76\u63d0\u51fa\u4e86\u66f4\u8f7b\u91cf\u7ea7\u7684 RNN \u5355\u5143\u3002\u6587\u4e2d\u8fd8\u63d0\u5230\u4e86 LSTM \u7f51\u7edc\u7684\u66f4\u590d\u6742\u53d8\u4f53\uff0c\u4f8b\u5982 peephole LSTM \u548c\u53cc\u5411 LSTM\uff0c\u8fd9\u4e9b\u53d8\u4f53\u5728\u9884\u6d4b\u5f00\u76d8\u3001\u6700\u9ad8\u3001\u6700\u4f4e\u548c\u6536\u76d8\u80a1\u7968\u4ef7\u683c\u65b9\u9762\u6709\u6548\u3002LSTM \u8fd8\u88ab\u7528\u4f5c\u6df7\u5408\u6a21\u578b\uff0c\u4e0e CNN \u7ed3\u5408\u7528\u4e8e\u80a1\u7968\u4ef7\u683c\u9884\u6d4b\u3002\u5c3d\u7ba1\u8fd9\u4e9b\u6a21\u578b\u5728\u9884\u6d4b\u65b9\u9762\u8868\u73b0\u51fa\u8272\uff0c\u4f46\u5b83\u4eec\u5728\u5904\u7406\u9ad8\u901f\u4fe1\u606f\u6d41\u65f6\u4e0d\u591f\u7075\u6d3b\uff0c\u56e0\u4e3a LSTM \u5355\u5143\u5728\u8bad\u7ec3\u548c\u5b66\u4e60\u671f\u95f4\u4fdd\u6301\u9759\u6001\uff0c\u5e76\u4e14\u4e0e\u9884\u6d4b\u4efb\u52a1\u8131\u8282\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4e09\u3001\u65b9\u6cd5\u63d0\u51fa<\/strong><\/h3>\n\n\n\n<p>\u9ad8\u9891\u4ea4\u6613\u9650\u4ef7\u5355\u7c3f\uff08LOB\uff09\u7684\u884c\u4e3a\u7279\u5f81\u8868\u73b0\u4e3a\u80a1\u7968\u5e93\u5b58\u7684\u8fc5\u901f\u53d8\u52a8\uff0c\u8fd9\u4f1a\u76f4\u63a5\u5bf9\u80a1\u7968\u4ef7\u683c\u4ea7\u751f\u5f71\u54cd\u3002\u4e3a\u4e86\u6709\u6548\u5e94\u5bf9\u8fd9\u79cd\u52a8\u6001\u53d8\u5316\uff0c\u6240\u63d0\u51fa\u7684\u957f\u77ed\u671f\u8bb0\u5fc6\uff08LSTM\uff09\u7f51\u7edc\u9700\u8981\u5177\u5907\u8fc5\u901f\u8bc6\u522b\u8fd9\u4e9b\u53d8\u5316\u5e76\u63d0\u4f9b\u4f18\u5316\u5efa\u8bae\u6216\u4fe1\u606f\u7684\u80fd\u529b\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/0feffbf544be98b0d4552541dfc12564-1024x637.png\" alt=\"\" class=\"wp-image-2115\"\/><\/figure>\n\n\n\n<p>\u6587\u7ae0\u63d0\u51fa\u4e86\u4e00\u79cd\u81ea\u9002\u5e94\u7684\u957f\u77ed\u671f\u8bb0\u5fc6\uff08LSTM\uff09\u5355\u5143\u67b6\u6784\uff0c\u5373 OPTM-LSTM \u5355\u5143\uff0c\u5b83\u4e0e\u73b0\u6709\u7684\u5faa\u73af\u795e\u7ecf\u7f51\u7edc\uff08RNN\uff09\u5355\u5143\u5728\u4e24\u4e2a\u5173\u952e\u65b9\u9762\u5b58\u5728\u5dee\u5f02\uff1a\u9996\u5148\uff0cLSTM \u5355\u5143\u7684\u95e8\u548c\u72b6\u6001\u88ab\u89c6\u4e3a\u7279\u5f81\uff0c\u5e76\u901a\u8fc7\u5185\u90e8\u7279\u5f81\u91cd\u8981\u6027\u673a\u5236\u6765\u8bc4\u4f30\u5b83\u4eec\u5904\u7406\u5728\u7ebf\u4fe1\u606f\u6d41\u7684\u80fd\u529b\uff1b\u5176\u6b21\uff0c\u8be5\u673a\u5236\u4f5c\u4e3a\u4e00\u4e2a\u975e\u9884\u6d4b\u6027\u76d1\u7763\u56de\u5f52\u95ee\u9898\uff0c\u4f9d\u8d56\u4e8e\u4ee3\u8868\u5f53\u524d\u5df2\u77e5\u9650\u4ef7\u5355\u7c3f\uff08LOB\uff09\u4e2d\u95f4\u4ef7\u683c\u7684\u6807\u7b7e\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/84f7bea60ebe6a70c93beb1c88d4021f-1024x579.png\" alt=\"\" class=\"wp-image-2116\"\/><\/figure>\n\n\n\n<p>OPTM-LSTM \u5355\u5143\u7684\u6838\u5fc3\u7406\u5ff5\u5728\u4e8e\u4f18\u5316 LSTM \u5355\u5143\u7684\u539f\u59cb\u673a\u5236\uff0c\u901a\u8fc7\u5bf9\u5185\u90e8\u7684\u95e8\u548c\u72b6\u6001\u7684\u91cd\u8981\u6027\u8fdb\u884c\u5728\u7ebf\u8bc4\u4f30\uff0c\u6765\u91cd\u65b0\u6392\u5217\u548c\u9009\u62e9 LSTM \u5355\u5143\u7684\u6700\u7ec8\u8f93\u51fa\u3002\u8fd9\u4e00\u8fc7\u7a0b\u6d89\u53ca\u5230\u4e00\u4e2a\u5185\u90e8\u7684\u975e\u9884\u6d4b\u6027\u76d1\u7763\u56de\u5f52\u95ee\u9898\uff0c\u8be5\u95ee\u9898\u4e0e\u4e3b\u8981\u7684\u9884\u6d4b\u76ee\u6807\uff08\u5373\u9884\u6d4b\u4e0b\u4e00\u4e2a\u4e2d\u95f4\u4ef7\u683c\uff09\u76f8\u4f3c\u4f46\u5e76\u4e0d\u76f8\u540c\u3002 <\/p>\n\n\n\n<p>OPTM-LSTM \u5355\u5143\u7684\u5de5\u4f5c\u539f\u7406\u57fa\u4e8e\u4e24\u4e2a\u5173\u952e\u8981\u7d20\uff1a\u7b80\u5355\u7684\u4f18\u5316\u65b9\u6cd5\uff08\u9075\u5faa\u68af\u5ea6\u4e0b\u964d\u5b66\u4e60\u7b97\u6cd5\uff09\u548c\u975e\u9884\u6d4b\u6027\u76d1\u7763\u56de\u5f52\u95ee\u9898\u3002\u8fd9\u4e24\u4e2a\u8981\u7d20\u5728 LSTM \u5355\u5143\u5185\u90e8\u8fdb\u884c\u7ed3\u5408\uff0c\u4f18\u5316\u7ed3\u679c\u968f\u540e\u4f20\u9012\u7ed9\u4e0b\u4e00\u4e2a LSTM \u5355\u5143\u3002 <\/p>\n\n\n\n<p>\u5728\u7ed3\u6784\u4e0a\uff0cOPTM-LSTM \u5355\u5143\u5305\u542b\u4e0e\u539f\u59cb LSTM \u5355\u5143\u76f8\u540c\u6570\u91cf\u7684\u95e8\u548c\u72b6\u6001\uff0c\u4ee5\u53ca\u76f8\u540c\u6570\u91cf\u7684\u8f93\u51fa\u3002\u4e0d\u540c\u4e4b\u5904\u5728\u4e8e\uff0c\u5728\u751f\u6210\u4e24\u4e2a\u8f93\u51fa\u5f20\u91cf\uff08\u5373\u65f6\u95f4 t \u7684\u9690\u85cf\u548c\u7ec6\u80de\u72b6\u6001\uff09\u4e4b\u524d\uff0c\u4f1a\u8fdb\u884c\u4e00\u4e2a\u57fa\u4e8e\u5185\u90e8\u975e\u9884\u6d4b\u6027\u76d1\u7763\u56de\u5f52\u7684\u7279\u5f81\u91cd\u8981\u6027\u8ba1\u7b97\u3002 <\/p>\n\n\n\n<p>\u7279\u5f81\u5b58\u50a8\u5e93\uff08Feature Repo\uff09\u662f\u4e00\u4e2a\u5305\u542b\u516d\u4e2a\u5185\u90e8\u95e8\u548c\u72b6\u6001\u7684\u96c6\u5408\uff0c\u57fa\u4e8e\u68af\u5ea6\u4e0b\u964d\u5b66\u4e60\u7b97\u6cd5\u66f4\u65b0\u7684\u68af\u5ea6\u6743\u91cd\u8fd9\u4e9b\u7ec4\u4ef6\u7ed3\u5408\u5728\u4e00\u8d77\uff0c\u901a\u8fc7\u8ba1\u7b97\u6bcf\u4e2a\u5185\u90e8\u95e8\u6216\u72b6\u6001\u7684\u5e73\u5747\u91cd\u8981\u6027\u6765\u786e\u5b9a\u54ea\u4e2a\u72b6\u6001\u6216\u95e8\u662f\u6700\u91cd\u8981\u7684\u7279\u5f81\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/567b5fcc9c026cfe5fcfd629fb19b177-1024x733.png\" alt=\"\" class=\"wp-image-2117\"\/><\/figure>\n\n\n\n<p>\u6b64\u5916\uff0c\u6587\u7ae0\u8fd8\u5bf9\u5728\u7ebf\u68af\u5ea6\u4e0b\u964d\u7b97\u6cd5\u8fdb\u884c\u4e86\u63cf\u8ff0\uff0c\u5e76\u5bf9 OPTM-LSTM \u5355\u5143\u7684\u65f6\u95f4\u548c\u7a7a\u95f4\u590d\u6742\u5ea6\u8fdb\u884c\u4e86\u5206\u6790\uff0c\u5176\u4e2d\u5305\u62ec\u524d\u5411\u4f20\u64ad\u548c\u53cd\u5411\u4f20\u64ad\uff08BPTT\uff09\u7684\u590d\u6742\u5ea6\u5206\u6790\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/da92428a934798c4302fd047d2616987.png\" alt=\"\" class=\"wp-image-2118\"\/><\/figure>\n\n\n\n<p>LSTM \u67b6\u6784\u7684\u5173\u952e\u4f18\u52bf\u5728\u4e8e\u5176\u80fd\u591f\u4fdd\u7559\u4fe1\u606f\uff0c\u5e76\u907f\u514d\u68af\u5ea6\u6d88\u5931\u6216\u7206\u70b8\u7684\u95ee\u9898\u3002\u6587\u7ae0\u8fd8\u901a\u8fc7\u5b9e\u9a8c\u65b9\u6cd5\uff0c\u89c2\u5bdf\u5230\u4e86 LSTM \u5355\u5143\u5185\u90e8\u72b6\u6001\u548c\u95e8\u7684\u884c\u4e3a\u7279\u5f81\uff0c\u8fd9\u4e9b\u89c2\u5bdf\u7ed3\u679c\u4e3a\u5f00\u53d1 OPTM-LSTM \u5355\u5143\u63d0\u4f9b\u4e86\u4f9d\u636e\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u56db\u3001\u5b9e\u9a8c<\/strong><\/h3>\n\n\n\n<p>\u5b9e\u9a8c\u90e8\u5206\u7684\u76ee\u7684\u5728\u4e8e\u9a8c\u8bc1 OPTM-LSTM \u5355\u5143\u5728\u9ad8\u9891\u4ea4\u6613\uff08HFT\uff09\u9884\u6d4b\u4efb\u52a1\u4e2d\u7684\u8868\u73b0\u3002\u8be5\u5b9e\u9a8c\u7684\u76ee\u6807\u662f\u9884\u6d4b\u9650\u4ef7\u5355\u7c3f\uff08LOB\uff09\u7684\u4e0b\u4e00\u4e2a\u4e2d\u95f4\u4ef7\u683c\uff0c\u8fd9\u662f\u4e00\u4e2a\u5728\u7ebf\u56de\u5f52\u9884\u6d4b\u4efb\u52a1\uff0c\u5176\u4e0d\u4f9d\u8d56\u4e8e\u65f6\u95f4\u4fe1\u606f\uff0c\u800c\u662f\u4f9d\u8d56\u4e8e\u6bcf\u4e2a\u4ea4\u6613\u4e8b\u4ef6\u7684\u6700\u65b0\u4fe1\u606f\u3002<\/p>\n\n\n\n<p><strong>4.1 \u6570\u636e\u96c6\u548c\u5b9e\u9a8c\u534f\u8bae<\/strong><\/p>\n\n\n\n<p>\u5b9e\u9a8c\u4f7f\u7528\u4e86\u5305\u62ec\u7f8e\u56fd\u548c\u5317\u6b27\u7684\u9ad8\u6d41\u52a8\u6027\u548c\u4f4e\u6d41\u52a8\u6027\u80a1\u7968\u7684\u6570\u636e\u96c6\uff0c\u6570\u636e\u9075\u5faaITCH\u534f\u8bae\uff0c\u786e\u4fdd\u4e86\u5e02\u573a\u6570\u636e\u7684\u8d85\u4f4e\u5ef6\u8fdf\u3002<\/p>\n\n\n\n<p>\u6570\u636e\u96c6\u6db5\u76d6\u4e862015\u5e74\u7684\u524d\u4e24\u4e2a\u6708\u7684\u4e24\u652f\u7f8e\u56fd\u80a1\u7968\u548c2010\u5e74\u7684\u4e24\u652f\u5317\u6b27\u80a1\u7968\u7684\u4ea4\u6613\u6570\u636e\u3002<\/p>\n\n\n\n<p>\u5b9e\u9a8c\u91c7\u7528\u4e86\u6e10\u8fdb\u5f0f\u8bad\u7ec3\u65b9\u6cd5\uff0c\u8bad\u7ec3\u96c6\u5305\u542b\u9ad8\u8fbe2000\u4e07\u6b21\u4ea4\u6613\u4e8b\u4ef6\uff0c\u6d4b\u8bd5\u96c6\u5219\u4f7f\u7528\u4e861000\u6b21\u4ea4\u6613\u4e8b\u4ef6\u3002<\/p>\n\n\n\n<p><strong>4.2 \u6027\u80fd\u8bc4\u4f30<\/strong><\/p>\n\n\n\n<p>\u6027\u80fd\u901a\u8fc7\u5747\u65b9\u8bef\u5dee\uff08MSE\uff09\u6765\u8bc4\u4f30\uff0c\u8fd9\u662f\u8861\u91cf\u9884\u6d4b\u51c6\u786e\u6027\u7684\u5e38\u7528\u6307\u6807\u3002<\/p>\n\n\n\n<p>\u5b9e\u9a8c\u7ed3\u679c\u57fa\u4e8e\u539f\u59cb\u6570\u636e\u548c\u4e24\u79cd\u4e0d\u540c\u7684\u6570\u636e\u5f52\u4e00\u5316\u65b9\u6cd5\uff1a\u6700\u5c0f-\u6700\u5927\u5f52\u4e00\u5316\uff08MinMax\uff09\u548cZ\u5206\u6570\u6807\u51c6\u5316\uff08Zscore\uff09\u3002<\/p>\n\n\n\n<p><strong>4.3 \u5b9e\u9a8c\u8bbe\u7f6e<\/strong><\/p>\n\n\n\n<p>\u5b9e\u9a8c\u6bd4\u8f83\u4e86OPTM-LSTM\u5355\u5143\u4e0e\u5176\u4ed6\u51e0\u79cd\u5faa\u73af\u795e\u7ecf\u7f51\u7edc\uff08RNN\uff09\u7ed3\u6784\uff0c\u5305\u62ec\u6807\u51c6LSTM\u3001\u5e26\u6709\u6ce8\u610f\u529b\u673a\u5236\u7684LSTM\u3001\u53cc\u5411LSTM\u3001GRU\u4ee5\u53caLSTM\u548cCNN\u7684\u6df7\u5408\u6a21\u578b\u3002<\/p>\n\n\n\n<p>\u8fd8\u5305\u62ec\u4e86\u4e24\u4e2a\u57fa\u7ebf\u6a21\u578b\uff1a\u4e00\u4e2a\u57fa\u4e8eLOB\u6570\u636e\u8f93\u5165\u7684\u6734\u7d20\u56de\u5f52\u5668\u548c\u4e00\u4e2a\u57fa\u4e8e\u4e2d\u95f4\u4ef7\u683c\u7684\u6301\u7eed\u6027\u7b97\u6cd5\u3002<\/p>\n\n\n\n<p><strong>4.4 \u8bad\u7ec3\u548c\u6d4b\u8bd5<\/strong><\/p>\n\n\n\n<p>\u8bad\u7ec3\u8fc7\u7a0b\u91c7\u7528\u4e86\u5728\u7ebf\u5b66\u4e60\u7684\u65b9\u6cd5\uff0c\u5176\u4e2d\u6a21\u578b\u5728\u6bcf\u4e2a\u4ea4\u6613\u4e8b\u4ef6\u540e\u7acb\u5373\u66f4\u65b0\u3002<\/p>\n\n\n\n<p>\u6d4b\u8bd5\u8fc7\u7a0b\u5219\u662f\u5728\u8bad\u7ec3\u96c6\u4e4b\u540e\u7acb\u5373\u8fdb\u884c\uff0c\u4ee5\u8bc4\u4f30\u6a21\u578b\u5bf9\u65b0\u6570\u636e\u7684\u9884\u6d4b\u80fd\u529b\u3002<\/p>\n\n\n\n<p><strong>4.5 \u7ed3\u679c<\/strong><\/p>\n\n\n\n<p>OPTM-LSTM \u5728\u591a\u4e2a\u6570\u636e\u96c6\u4e0a\u5448\u73b0\u51fa\u8f83\u4f4e\u7684\u5747\u65b9\u8bef\u5dee\uff08MSE\uff09\u5206\u6570\uff0c\u8fd9\u5f70\u663e\u4e86\u5176\u5728\u9884\u6d4b\u4efb\u52a1\u4e2d\u7684\u5353\u8d8a\u6027\u80fd\u3002 <\/p>\n\n\n\n<p>\u76f8\u8f83\u4e8e\u5176\u4ed6\u5faa\u73af\u795e\u7ecf\u7f51\u7edc\uff08RNN\uff09\u6a21\u578b\uff0cOPTM-LSTM \u5728\u4e0d\u540c\u7684\u6570\u636e\u89c4\u6a21\u548c\u5f52\u4e00\u5316\u8bbe\u5b9a\u4e0b\uff0c\u5747\u5c55\u73b0\u51fa\u66f4\u4e3a\u51fa\u8272\u7684\u7a33\u5b9a\u6027\u548c\u9884\u6d4b\u7cbe\u51c6\u5ea6\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/8e9ec914bdec02d326621299bcae49df-1024x715.png\" alt=\"\" class=\"wp-image-2119\"\/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/09\/93c0b6664eaf8fff64d0536b9435828d-856x1024.png\" alt=\"\" class=\"wp-image-2120\"\/><\/figure>\n\n\n\n<p><strong>4.6 \u5c40\u9650\u6027\u548c\u672a\u6765\u7814\u7a76\u65b9\u5411<\/strong><\/p>\n\n\n\n<p>\u5c3d\u7ba1 OPTM-LSTM \u5728\u5b9e\u9a8c\u4e2d\u53d6\u5f97\u4e86\u663e\u8457\u7684\u6210\u679c\uff0c\u7136\u800c\uff0c\u8be5\u7814\u7a76\u5b58\u5728\u4e00\u5b9a\u7684\u5c40\u9650\u6027\uff0c\u5373\u6240\u6d89\u53ca\u7684\u80a1\u7968\u6570\u91cf\u6709\u9650\uff0c\u4e14\u4ea4\u6613\u65f6\u95f4\u8303\u56f4\u4e5f\u53d7\u5230\u4e86\u9650\u5236\u3002 <\/p>\n\n\n\n<p>\u672a\u6765\u7684\u7814\u7a76\u65b9\u5411\u53ef\u4ee5\u5305\u62ec\u62d3\u5c55\u80a1\u7968\u6837\u672c\u7684\u8303\u56f4\u4ee5\u53ca\u5ef6\u957f\u4ea4\u6613\u65f6\u95f4\u7684\u8de8\u5ea6\uff0c\u540c\u65f6\u63a2\u7d22\u5c06 OPTM-LSTM \u5e94\u7528\u4e8e\u5176\u4ed6\u5728\u7ebf\u9884\u6d4b\u4efb\u52a1\u7684\u53ef\u884c\u6027\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4e94\u3001\u603b\u7ed3<\/strong><\/h3>\n\n\n\n<p>\u672c\u6587\u6982\u8ff0\u4e86 OPTM-LSTM \u5355\u5143\u5728\u9ad8\u9891\u4ea4\u6613\uff08HFT\uff09\u9884\u6d4b\u4efb\u52a1\u4e2d\u7684\u4f18\u52bf\uff0c\u6db5\u76d6\u4e86\u5176\u5728\u591a\u4e2a\u6570\u636e\u96c6\u4e0a\u53d6\u5f97\u7684\u4f4e\u9884\u6d4b\u8bef\u5dee\u4ee5\u53ca\u5feb\u901f\u9002\u5e94\u5e02\u573a\u53d8\u5316\u7684\u80fd\u529b\uff0c\u5e76\u660e\u786e\u4e86\u7814\u7a76\u7684\u5c40\u9650\u6027\uff0c\u4f8b\u5982\u80a1\u7968\u6837\u672c\u6570\u91cf\u548c\u4ea4\u6613\u65f6\u95f4\u8303\u56f4\u7684\u9650\u5236\u3002\u540c\u65f6\uff0c\u63d0\u51fa\u4e86\u672a\u6765\u7814\u7a76\u7684\u65b9\u5411\uff0c\u5982\u5c06 OPTM-LSTM \u5e94\u7528\u4e8e\u5176\u4ed6\u5728\u7ebf\u9884\u6d4b\u4efb\u52a1\uff0c\u4ee5\u53ca\u8fdb\u4e00\u6b65\u4f18\u5316\u6a21\u578b\u4ee5\u5904\u7406\u66f4\u5e7f\u6cdb\u7684\u5e02\u573a\u6570\u636e\u548c\u4ea4\u6613\u573a\u666f\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p><\/p>\n\n\n\n<p class=\"has-text-align-center\"><strong><mark style=\"background-color:#ffffff\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u672c\u6587\u5185\u5bb9\u4ec5\u4ec5\u662f\u6280\u672f\u63a2\u8ba8\u548c\u5b66\u4e60\uff0c\u5e76\u4e0d\u6784\u6210\u4efb\u4f55\u6295\u8d44\u5efa\u8bae\u3002<\/mark><\/strong><\/p>\n\n\n\n<p class=\"has-text-align-center\"><strong><mark style=\"background-color:#ffffff\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u8f6c\u53d1\u8bf7\u6ce8\u660e\u539f\u4f5c\u8005\u548c\u51fa\u5904\u3002<\/mark><\/strong><\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c \u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002&#8230;<\/p>\n<div class=\"more-link-wrapper\"><a class=\"more-link\" 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