采用门控循环单元与深度进化策略的股票指数量化模型

任晓萍; 陈志平

doi:10.7652/xjtuxb202502015

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采用门控循环单元与深度进化策略的股票指数量化模型

更新时间：2026-01-06

- 采用门控循环单元与深度进化策略的股票指数量化模型
- Quantitative Model for Stock Indexes Based on Gated Recurrent Unit and Deep Evolution Strategy
- 西安交通大学学报 2025年59卷第2期页码：146-155
- 作者机构：
  
  1.西安交通大学数学与统计学院， 710049，西安
  2.东北石油大学数学与统计学院， 163318，黑龙江大庆
- 作者简介：
  
  任晓萍（1988—），女，博士生；
  陈志平（通信作者），男，教授，博士生导师。
- 基金信息：
  
  国家重点研发计划资助项目(2022YFA1004001);国家自然科学基金资助项目(11991023)
- DOI：10.7652/xjtuxb202502015
  中图分类号： TP181
- 收稿：2024-05-23，
  
  网络首发：2024-10-24，
  
  纸质出版：2025-02-10
- 稿件说明：
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任晓萍, 陈志平. 采用门控循环单元与深度进化策略的股票指数量化模型[J]. 西安交通大学学报, 2025,59(2):146-155.

REN Xiaoping, CHEN Zhiping. Quantitative Model for Stock Indexes Based on Gated Recurrent Unit and Deep Evolution Strategy[J]. Journal of Xi’an Jiaotong University, 2025, 59(2): 146-155.
任晓萍, 陈志平. 采用门控循环单元与深度进化策略的股票指数量化模型[J]. 西安交通大学学报, 2025,59(2):146-155. DOI： 10.7652/xjtuxb202502015.

REN Xiaoping, CHEN Zhiping. Quantitative Model for Stock Indexes Based on Gated Recurrent Unit and Deep Evolution Strategy[J]. Journal of Xi’an Jiaotong University, 2025, 59(2): 146-155. DOI： 10.7652/xjtuxb202502015.

摘要

为了提高股票价指数预测的准确性、增强统计建模性能优化与股票指数特征相依的交易策略效果，提出一种将指数预测与量化交易策略有效结合的门控循环单元深度进化量化模型（GRU-DES）。首先，建立循环神经网络（RNN）、长短时记忆神经网络（LSTM）和门控循环单元网络（GRU）预测模型，分别对上海证券交易所（上证）超大盘股票指数、上证中盘股票指数和上证小盘股票指数进行预测；接着采用所提出的深度进化量化模型（DES）对三大股票指数的预测值与真实值进行回测研究，通过比较预测结果与真实结果在同一策略下的各项回测指标和交易细节等特性确定最优网络结构和策略参数，进而优化深度进化策略；最后根据优化后的策略提出了GRU-DES模型，并再次对三大股票指数进行样本外数据回测来验证模型有效性。实证回测结果表明：所提出的GRU-DES模型在各量化回测指标上较LSTM-DES模型与RNN-DES模型的预测精度均高出14%以上，有效解决了统计预测指标的随机性和过拟合的问题；根据2016年至2024年7年间数据回测，所提出的GRU-DES模型比强化学习模型在各回测指标中均展现了稳定性和有效性。

Abstract

To improve the prediction accuracy of stock price indexes and enhance the performance of statistical modeling and the design of quantitative trading strategy based on the characteristics of indexes

a quantitative model was proposed

which was based on gated recurrent unit and deep evolution strategy (GRU-DES) and effectively integrated index prediction with quantitative trading strategies. Firstly

RNN

LSTM

and GRU neural network predictive models were established to forecast the SSE mega cap

SSE mid cap and SSE small cap indexes

respectively. Next

the proposed DES model was employed to backtest the predicted values and true values of the three indexes. By comprehensively comparing the backtesting metrics and trading details of the predicted results with the true results under the same strategy

after determining the network structure and strategy parameters

the DES was optimized. Finally

the GRU-DES model was developed on basis of the optimized strategy

and the model effectiveness was verified through out-of-sample backtesting of these indexes again. The results show that the proposed GRU-DES model was 14% higher than the LSTM-DES model and RNN-DES model in backtesting metrics

effectively avoiding the randomness and overfitting problems of statistical prediction indexes. According to the backtesting results over 7 years from 2016 to 2024

the proposed GRU-DES model sufficiently demonstrates the stability and effectiveness in all backtesting metrics compared to reinforcement learning model.

关键词

Keywords

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