Improved Financial Predicting Method Based on Time Series Long Short-Term Memory Algorithm

Kangyi Li and Yang Zhou ()
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Kangyi Li: Ulink College of Shanghai, Shanghai 201615, China
Yang Zhou: School of Mechatronics Engineering and Automation, Shanghai University, Shanghai 200444, China

Mathematics, 2024, vol. 12, issue 7, 1-17

Abstract: With developments in global economic integration and the increase in future economic uncertainty, it is imperative to have the ability to predict future capital in relation to financial capital inflow and outflow predictions to ensure capital optimization is within a controllable range within the current macroeconomic environment and situation. This paper proposes an automated capital prediction strategy for the capital supply chain using time series analysis artificial intelligence methods. Firstly, to analyze the fluctuation and tail risk of the financial characteristics, the paper explores the financial characteristics for measuring the dynamic VaR from the perspectives of volatility, tail, and peak with the Bayesian peaks over threshold (POT) model. Following this, in order to make the modeling more refined, the forecast targets are split before modeling with seasonal Autoregressive Integrated Moving Average (ARIMA) models and Prophet models. Finally, the time series modeling of the wavelet Long Short-Term Memory (LSTM) model is carried out using a two-part analysis method to determine the linear separated wavelet and non-linear embedded wavelet parts to predict strong volatility in financial capital. Taking the user capital flow of the Yu’e Bao platform, the results prove the feasibility and prediction accuracy of the innovative model proposed.

Keywords: financial capital; artificial intelligence; Bayesian POT; time series (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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