基于CNN-LSTM模型的中国股票价格预测与量化策略研究  

Research on Chinese Stock Price Prediction and Quantitative Strategy Based on CNN-LSTM Model

作　　者：牛晓健 侯启明 Niu Xiaojian;Hou Qiming(Fudan University,Shanghai 200433,China)

机构地区：[1]复旦大学,上海200433

出　　处：《贵州省党校学报》2025年第1期98-114,共17页Journal of Guizhou Provincial Party School

基　　金：国家自然科学基金面上项目“流动性压力、信息交互与价格联动——基于中国股票和债券市场多层复杂网络的风险交叉传播机制与控制修复策略研究”(项目批准号:71873039,71573051)阶段性研究成果。

摘　　要：随着计算机技术的不断进步与编程教育的逐步普及,深度学习这一研究方法被越来越多的学科借鉴和运用并产生了大量研究成果。立足于深度学习中的CNN-LSTM模型,对中国股票市场中沪深300指数成分股进行建模分析。通过对真实股票收益率数据的实证分析,探究CNN-LSTM模型在中国股票价格变动中的学习和预测性能如何以及CNN-LSTM模型的预测结果如何应用于量化交易策略中。研究过程主要包括CNN-LSTM模型的搭建、股票数据的处理、CNN-LSTM模型的训练与测试以及基于CNN-LSTM模型预测结果的量化策略改进。研究发现,CNN-LSTM模型在股票价格变动的学习与预测上具有良好的性能,依据模型预测结果构造的指标对量化交易策略有明显的改进效果。With the continuous advancement of computer technology and the gradual popularization of programming education,the research method of deep learning has been increasingly borrowed and applied by more and more disciplines,and has produced a large number of research results.Based on the CNN-LSTM model in deep learning,this study models and analyzes the constituent stocks of the Shanghai and Shenzhen 300 index in the Chinese stock market.Through empirical analysis of real stock returns data,this article aims to explore the learning and predictive performance of the CNN-LSTM model in the price changes of Chinese stocks,as well as how the predictive results of the CNN-LSTM model can be applied to quantitative trading strategies.The research process of this article mainly includes the construction of the CNN-LSTM model,processing of stock data,training and testing of the CNN-LSTM model,and improvement of quantitative strategies based on the predictive results of the CNN-LSTM model.Based on the research results of this article,the CNN-LSTM model has good performance in learning and predicting the price changes of stocks,and the indicators constructed based on the model's predictive results have a significant improvement effect on the selected quantitative trading strategy in this article.

关 键 词：深度学习 CNN-LSTM 量化交易 

分 类 号：F832.5[经济管理—金融学]