计算机科学 ›› 2022, Vol. 49 ›› Issue (7): 31-39.doi: 10.11896/jsjkx.210400304
张源1, 康乐2,3, 宫朝辉3, 张志鸿1
ZHANG Yuan1, KANG Le2,3, GONG Zhao-hui3, ZHANG Zhi-hong1
摘要: 随着期货市场的不断发展,其交易量屡创新高,但在海量交易的背后,一些交易者利用关联交易行为对市场进行操纵,扰乱了交易秩序,给市场监管和风险控制带来了严峻考验。因此,如何从海量交易中挖掘潜在关联交易行为成为维护期货市场公平交易的重要任务。针对该问题,提出了一种多特征信息融合的双向长短期记忆(Bi-LSTM)网络模型,从原始数据中提取交易时间、交易量、持仓变化、期货品种等多种维度的浅层特征信息,通过Bi-LSTM网络模型从时间序列上向前、向后两个方向的上下文关系学习深层特征,实现关联交易行为检测。针对浅层特征提取提出了一种基于交易行为的多粒度窗口特征提取方法,从日、小时、分钟、秒等级别捕捉账户间交易的关联性,从而解决了原始交易数据维度高、数据量大、关联性弱的问题。模型引入了Dropout策略,缓解了收敛速度慢和过拟合的问题。在郑州商品交易所真实数据上的实验结果表明,与一些传统的分类模型以及RNN和LSTM网络相比,所提方法在分类的准确率和召回率上有明显提升,同时,对特征中各个维度信息的消解实验证明了多特征融合方法和多粒度窗口策略的有效性。另外,抽取了两种期货品种的交易数据进行测试,结果表明所提模型具有良好的泛化能力。
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