暨南学报(哲学社会科学版)

作者：张　琳

关键词：人工智能,长短期记忆网络ＬＳＴＭ,股票价格预测,异质性

本文构建一个基于人工智能的中国股票价格预测模型，并探究预测效果异质性的原因。根据理论及现实，股票价格主要受利率、市场行为、技术指标以及公司价值因素等影响。对沪深两市具有代表性的个股价格进行预测的实证研究发现：股价预测值与真实值多数时间吻合，日度数据模型与月度数据模型预测精度偏差平均值分别落在1.7％和8％的水平内，且引入控制变量利率的稳健性检验并没有明显的变化产生。进一步地异质性研究给出，模型变量——自身股价、成交量、估值，是股票价格预测效果差异化的理论及现实影响因素。从而为我国政策当局、市场投资指数以及金融机构提供参考、建议和依据，共同维护股票市场的健康稳定乃至金融稳定。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"article":{"keywordList_cn":["长短期记忆网络ＬＳＴＭ","股票价格预测","人工智能","异质性"],"juan":"45","zhaiyao_cn":"本文构建一个基于人工智能的中国股票价格预测模型，并探究预测效果异质性的原因。根据理论及现实，股票价格主要受利率、市场行为、技术指标以及公司价值因素等影响。对沪深两市具有代表性的个股价格进行预测的实证研究发现：股价预测值与真实值多数时间吻合，日度数据模型与月度数据模型预测精度偏差平均值分别落在1.7％和8％的水平内，且引入控制变量利率的稳健性检验并没有明显的变化产生。进一步地异质性研究给出，模型变量——自身股价、成交量、估值，是股票价格预测效果差异化的理论及现实影响因素。从而为我国政策当局、市场投资指数以及金融机构提供参考、建议和依据，共同维护股票市场的健康稳定乃至金融稳定。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6558","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6558","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2023/V45/I3/123","qi":"3","id":6558,"nian":2023,"bianHao":"2023-3-123","zuoZheEn_L":"","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2023","shouCiFaBuRiQi":"2023-03-28","qiShiYe":"123","received":"2023-03-28","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2023/V45/I3","lanMu_cn":"数字经济专题","pdfSize":"0","zuoZhe_CN":"张　琳","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6558","title_cn":"基于人工智能的中国股票价格预测与异质性研究","jieShuYe":"132","endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6558","zhaiyao_en":"","bibtexUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=BibTeX&id=6558","abstractUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2023/V45/I3/123","zuoZheCn_L":"张　琳","juanUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2023","lanMu_en":"","qiUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2023/V45/I3","zuoZhe_EN":"","risUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=Ris&id=6558","title_en":"","revised":"2023-03-28","hasPdf":"true"}};if(window.metaData && (!window.metaData.authorNotesCommon_cn && !window.metaData.authorNotesCorresp_cn && window.metaData.authorNotes_cn)){window.metaData.authorNotesCommon_cn = window.metaData.authorNotes_cn;}if(window.metaData && (!window.metaData.authorNotesCommon_en && !window.metaData.authorNotesCorresp_en && window.metaData.authorNotes_en)){window.metaData.authorNotesCommon_en = window.metaData.authorNotes_en;}var _nlmdtdXml = $("#article_nlmdtdXml").val();var magDir = _nlmdtdXml.replace(/\/[^\/]+$/,'');window.metaData.magDir = magDir;new mag_vue({ el: '#metaVue', //dataUrl: mag_currentQikanUrl() + '/EN/article/getRichHtmlJson.do?articleId='+$("#articleId").val(), data:window.metaData, loading:true, doTextFun:function(text){ return doDataJsonText(text); 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来源：2023年第3期

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