Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)

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LSTM Time Series Price Prediction - Deterministic Strategy Gradient Dynamic Programming

Authors
Yuxiao Duan1, Yuzhuo Dang1, Honghui Chen1, *
1Key Laboratory of Information Systems Engineering, National University of Defense Technology, Changsha, Hunan, China
*Corresponding author. Email: 248856416@qq.com
Corresponding Author
Honghui Chen
Available Online 2 December 2022.
DOI
10.2991/978-94-6463-010-7_29How to use a DOI?
Keywords
LSTM; Deterministic Strategy Gradient; Dynamic Programming; Risk Assessment; Sensitivity
Abstract

With its unique challenge and excitement, the stock market has attracted many scholars and investors to study it, especially in the new field of investment transaction and computer technology, and has made a series of achievements. Using the time-series price data of gold and bitcoin, our team builds LSTM time-series price prediction-deterministic strategy gradient dynamic programming model to maximize profit, forecasting the price of gold and bitcoin, and formulates the best dynamic investment strategy. We also evaluate the effectiveness and risk of this model. Considering the impact of transaction costs, we change the cost ratio and analyse the sensitivity of the model. The results show that the model has good robustness and can provide some reference value for investors to make strategies.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
Series
Atlantis Highlights in Intelligent Systems
Publication Date
2 December 2022
ISBN
978-94-6463-010-7
ISSN
2589-4919
DOI
10.2991/978-94-6463-010-7_29How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yuxiao Duan
AU  - Yuzhuo Dang
AU  - Honghui Chen
PY  - 2022
DA  - 2022/12/02
TI  - LSTM Time Series Price Prediction - Deterministic Strategy Gradient Dynamic Programming
BT  - Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
PB  - Atlantis Press
SP  - 279
EP  - 289
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-010-7_29
DO  - 10.2991/978-94-6463-010-7_29
ID  - Duan2022
ER  -