長短期記憶神經網路(LSTM)利率之預測

Using Long Short-Term Memory Networks Model Forecasting Interest Rates

蔡伶婕(Tsai Leng-Chieh)

指導教授 ： 林士貴 ； 岳夢蘭

國立政治大學/商學院/金融學系/碩士(2020年)

https://doi.org/10.6814/NCCU202001468

摘要

全球化浪潮與科技日新月異推使計算機的計算效率提升，外加人工智慧、機器學習與深度學習等演算法崛起，使我們可以運用更先進的方法來解決問題，輔助決策制定。
本研究藉由利率、經濟數據、股市、匯率、金融情況等不同面向的數據，建立複迴歸模型(Multiple Regression Model)與長短期記憶神經網路模型(Long Short-Term Memory Networks Model)，欲預測實施低利率政策下美元計價的3個月LIBOR未來走勢。經實證結果顯示：第一，長短期記憶神經網路模型預測能力較複迴歸模型的預測能力好；第二，採用定錨式移動視窗法(Anchored Moving Window)時，若每一次預測的天數越少，則模型確度越高；第三，經隨機森林(Random Forest)挑選變數後的模型準確度低於或略低於全部變數，由此可驗證長短期記憶神經網路模型中解釋變數越多越好；第四，學習率並不是越高越好，將取決於目標變數，因此不同模型、資料有其合適的學習率。
本研究在實務層面上的貢獻不僅有利企業評價與投資報酬的決策，更能提升交易策略的勝率與金融衍生性商品的風險管理；在學術層面上的貢獻為本研究結合跨領域的知識，且目前極少論文探討神經網路運用於利率領域。因此，本研究欲探討長短期記憶神經網路預測利率的可行性與準確性。

關鍵字

利率預測 ； 長短期記憶神經網路 ； LIBOR ； 複迴歸模型 ； 隨機森林 ； 定錨式移動視窗法 ； 逐步回歸 ； 低利率政策

並列摘要

Owing to globalization and the rapid progression of technology, the computational efficiency of computers has increased. The rising of algorithms, including artificial intelligence, machine learning and deep learning, enable us to utilize advanced methods to tackle problems and assist in decision-making.
In this study, I establish a multiple regression model and a long short-term memory neural network model to predict the future trend of 3-month LIBOR denominated in US dollars under a low interest rate policy by using data from different aspects, such as interest rates, economic data, stock market, exchange rates, financial situation, etc. The empirical results show that: first, the accuracy of the long short-term memory neural network model is better than that of the multiple regression model. Second, when the anchored moving window method is applied, the fewer days are predicted, the higher precision it will be. Third, compared to analyze with full variables, the accuracy is lower or slightly lower if the variables are selected by Random Forest. This result verifies that, in the long short-term memory neural network model, employing more explanatory variables is better. Last but not least, different models and materials have their own suitable learning rate.
This study aims at exploring the feasibility and the accuracy of long short-term memory neural networks in forecasting interest rates. In the practical aspect, this research benefit enterprises and stakeholders not only to facilitate business valuation and decision-making by expected return, but also to improve the winning rate of trading strategies and the risk management of derivatives. On the other hand, in the academic aspect, this master thesis serves as a pioneer to apply machine learning in the interest rate field via integrating neural networks into the knowledge of finance. Therefore, the contribution of this master thesis is significant.

並列關鍵字

Interest Rate Prediction ； Long Short-Term Memory Networks Model ； LIBOR ； Multiple Regression Model ； Random Forest ； Anchored Moving Window ； Stepwise Regression ； Cut Rate

參考文獻

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