金融工程專(zhuān)題研究遞歸神經(jīng)網(wǎng)絡(luò)rnn~長(zhǎng)短期記憶細(xì)胞（lstm）的分行業(yè)多因子預(yù)測(cè)

1、內(nèi)容目錄深度神經(jīng)網(wǎng)絡(luò)與投資...................................................................................................5遞歸神經(jīng)網(wǎng)絡(luò)RNN...............................................................................................5長(zhǎng)短

2、期記憶網(wǎng)絡(luò)（LSTM）..............................................6循環(huán)神經(jīng)網(wǎng)絡(luò)分行業(yè)多因子選股模型..........................................................................8樣本數(shù)據(jù)參數(shù)..........................................................8循環(huán)神經(jīng)網(wǎng)絡(luò)

3、模型參數(shù)..................................................9循環(huán)神經(jīng)網(wǎng)絡(luò)模型分行業(yè)訓(xùn)練結(jié)果............................................................................11行業(yè)劃分.............................................................11訓(xùn)練結(jié)果.

4、............................................................11循環(huán)神經(jīng)網(wǎng)絡(luò)模型行業(yè)大類(lèi)選股效果.........................................................................13結(jié)論.................................................................

5、.........................................................16附錄：?jiǎn)涡袠I(yè)訓(xùn)練結(jié)果..............................................................................................17國(guó)信證券投資評(píng)級(jí)...............................................

6、......................................................28分析師承諾...............................................................................................................28風(fēng)險(xiǎn)提示..........................................

7、.........................................................................28證券投資咨詢(xún)業(yè)務(wù)的說(shuō)明..........................................................................................28圖40：信息技術(shù)行業(yè)訓(xùn)練及測(cè)試損失（loss）...................

8、......................................24圖41：信息技術(shù)行業(yè)：上漲下跌概率排名前20%組合.............................................24圖43：金融行業(yè)訓(xùn)練及測(cè)試準(zhǔn)確率...........................................................................25圖44：金融行業(yè)訓(xùn)練及測(cè)試損失

9、（loss）................................................................25圖45：金融行業(yè)：上漲下跌概率排名前20%組合....................................................25圖46：房地產(chǎn)行業(yè)訓(xùn)練及測(cè)試準(zhǔn)確率......................................................

10、.................26圖47：房地產(chǎn)行業(yè)訓(xùn)練及測(cè)試損失（loss）.............................................................26圖48：房地產(chǎn)行業(yè)：上漲下跌概率排名前20%組合................................................26圖49：?jiǎn)蝹€(gè)行業(yè)測(cè)試集預(yù)測(cè)準(zhǔn)確率..........................

11、.................................................27表1：樣本行業(yè)大類(lèi)劃分...........................................................................................11表2：行業(yè)大類(lèi)各階段準(zhǔn)確率表現(xiàn)..................................................