Computer Science

Computer Science ›› 2023, Vol. 50 ›› Issue (11A): 221100039-7.doi: 10.11896/jsjkx.221100039

• Big Data & Data Science • Previous Articles     Next Articles

Stock Market Trend Reasoning Algorithm Based on Game Dynamic Influence Diagram

YAO Hongliang, YIN Zhiyuan, YANG Jing, YU Kui   

  1. School of Computer Science and Information Engineering,Hefei University of Technology,Hefei 230601,China
  • Published:2023-11-09
  • About author:YAO Hongliang,born in 1970,Ph.D,associate professor.His main research interests include machine learning and data mining.
  • Supported by:
    National Key R & D Program of China(2020AAA0106100) and National Natural Science Foundation of China(61876206,62176082).

PDF (PC)

500

Abstract: The stock market is a complex nonlinear dynamic system with high uncertainty and variability.Stock market trend prediction is a research hotspot in the field of data mining.Aiming at the problem that the model based on the data-driven method has poor robustness and the well-trained model does not meet the actual needs,Multi-agent game dynamic influence diagrams(MAGDIDs) is proposed.First of all,from the perspective of the game,the long side and the short side are introduced as the behavior subjects(Agent) of the stock market,and the relevant characteristics of the behavioral subjects are extracted.Next,the power of the game subjects is represented by energy,and the characteristics of the behavioral subjects are quantified and integra-ted.Then,the game strategy is introduced to build a multi-agent game dynamic influence graph model,and model the game process of the stock market actors.Finally,the automatic reasoning technology of the junction tree is used to predict the stock market trend.Experiments are carried out on actual data,and the results show that the trend prediction algorithm of long-short game has good performance.

Key words: Game, Multi-agent, Robustness, Junction tree, Dynamic influence graph

CLC Number: 

  • TP181
[1]ZHANG D H,LOU S.The application research of neural network and BP algorithm in stock price pattern classification and prediction[J].Future Generation Computer Systems,2021,115:872-879.
[2]DE OLIVERIRA F A,NOBRE C N,ZARATE L E.ApplyingArtificial Neural Networks to prediction of stock price and improvement of the directional prediction index-Case study of PETR4,Petrobras,Brazil[J].Expert Systems with Applications,2013,40(18):7596-7606.
[3]ZHAO Z Y,RAO R N,TU S X,et al.Time-weighted LSTM model with redefined labeling for stock trend prediction[C]//2017 IEEE 29th International Conference on Tools with Artificial Intelligence(ICTAI).IEEE,2017:1210-1217.
[4]SELVIN S,VINAYAKAKUMAR R,GOPALAKRISHNAN EA,et al.Stock priceprediction using LSTM,RNN and CNN-sli-ding window model[C]//2017 International Conference on Advances in Computing,Communications and Informatics(ICACCI).IEEE,2017:1643-1647.
[5]OJO S O,OWOLAWI P,MPHAHLELE M,et al.Stock Market Behaviour Prediction using Stacked LSTM Networks[C]//2019 International Multidisciplinary Information Technology and Engineering Conference(IMITEC).IEEE,2020:1-5.
[6]HOOI B,LIU S,SMAILAGIC A,et al.BEATLEX:Summari-zing and Forecasting Time Series with Patterns[C]//Joint European Conference on Machine Learning and Knowledge Disco-very in Databases.Cham:Springer,2017:3-19.
[7]QIN X Y,PENG Q K.Stock turning point recognition usingmultiplemodel algorithm with multiple types of features[C]//Proceedings of the 10th World Congress on Intelligent Control and Automation.IEEE,2012:4020-4025.
[8]CHANDRIKKA P V,VISALAKKSHMI K,SRINIVASAN KS.Application of Hidden Markov Models in Stock Trading[C]//2020 6th International Conference on Advanced Computing and Communication Systems(ICACCS).IEEE,2020:1144-1147.
[9]CHENG S H.A Hybrid Predicting Stock Return Model Basedon Bayesian Network and Decision Tree[C]//2014 6th International Conference on Industrial.Springer International Publi-shing,2014:218-227.
[10]LIU Z X,DANG Z Y,YU J.Stock Price Prediction Model Based on RBF-SVM Algorithm[C]//2020 International Conference on Computer Engineering and Intelligent Control(ICCEIC).IEEE,2020:124-127.
[11]HERNANDEZ-LEAL P,KAISERS M,BAARSLAG T,et al.A Survey of Learning in Multiagent Environments:Dealing with Non-Stationarity[J].arXiv:1707.09183,2017.
[12]SILVER D,HUANG A,MADDISON C J,et al.Mastering the game of Go with deep neural networks and tree search[J].Nature,2016,529(7587):484-489.
[13]MORAVCIK M,SCHMID M,BURCH N,et al.DeepStack:Expert-level artificial intelligence in heads-up no-limit poker[J].Science,2017,356(6337):508-513.
[14]HOWARD R A,MATHESON J E.Influence Diagrams[J].Principles & Applications of Decision Analysis,2005,2(3):127-143.
[15]KOLLER D,MILCH B.Multi-agent influence diagrams for representing and solving games[J].Games and Economic Beha-vior,2003,45(1):181-221.
[16]DOSHI P,ZENG Y,CHEN Q.Graphical models for interactive POMDPs:representation and solutions[J].Autonomous Agents and Multi-Agent Systems,2009,18(3):376-416.
[17]YAO H L,WANG H,ZHANG Y S,et al.Research on multi-agent dynamic influence diagrams and its approximate inference algorithm[J].Chinese Journal of Computers,2008,31(2):236-244.
[18]COOPER G F.A Method for Using Belief Networks as In-fluence Diagrams[C]//4th Workshop on Uncertainty in Artificial Intelligence.2013:55-63.
[19]ZHOU L,YIN Q Y,HUANG K Q.Game-Theoretic Learning in Human-Computer Gaming[J].Chinese Journal of Computers,2022,45(9):1859-1876.
[1] XIONG Liqin, CAO Lei, CHEN Xiliang, LAI Jun. Value Factorization Method Based on State Estimation [J]. Computer Science, 2023, 50(8): 202-208.
[2] YANG Jian, WANG Kaixuan. Tripartite Evolutionary Game Analysis of Medical Data Sharing Under Blockchain Architecture [J]. Computer Science, 2023, 50(6A): 221000080-7.
[3] CAI Ran, HUANG Pengpeng. Study on Product Recovery Model of Remanufacturing Enterprises Based on Game Theory [J]. Computer Science, 2023, 50(6A): 220300113-6.
[4] LIN Xiangyang, XING Qinghua, XING Huaixi. Study on Intelligent Decision Making of Aerial Interception Combat of UAV Group Based onMADDPG [J]. Computer Science, 2023, 50(6A): 220700031-7.
[5] WANG Zihan, TONG Xiangrong. Research Progress of Multi-agent Path Finding Based on Conflict-based Search Algorithms [J]. Computer Science, 2023, 50(6): 358-368.
[6] GAO Lixue, CHEN Xin, YIN Bo. Task Offloading Strategy Based on Game Theory in 6G Overlapping Area [J]. Computer Science, 2023, 50(5): 302-312.
[7] YU Ze, NING Nianwen, ZHENG Yanliu, LYU Yining, LIU Fuqiang, ZHOU Yi. Review of Intelligent Traffic Signal Control Strategies Driven by Deep Reinforcement Learning [J]. Computer Science, 2023, 50(4): 159-171.
[8] CHEN Yipeng, YANG Zhe, GU Fei, ZHAO Lei. Resource Allocation Strategy Based on Game Theory in Mobile Edge Computing [J]. Computer Science, 2023, 50(2): 32-41.
[9] LI Xiaohuan, CHEN Bitao, KANG Jiawen, YE Jin. Coalition Game-assisted Joint Resource Optimization for Digital Twin-assisted Edge Intelligence [J]. Computer Science, 2023, 50(2): 42-49.
[10] Cui ZHANG, En WANG, Funing YANG, Yong jian YANG , Nan JIANG. UAV Frequency-based Crowdsensing Using Grouping Multi-agentDeep Reinforcement Learning [J]. Computer Science, 2023, 50(2): 57-68.
[11] LI Yunzhe, DONG Peng, YE Weimin, WEN Haolin. Simulation of Equipment Procurement Model Based on Dynamic Evolutionary Game [J]. Computer Science, 2023, 50(11A): 220900051-10.
[12] WANG Min, LI Liying, ZHOU Jun. Study on Decision-making for a Low-carbon Supply Chain with Capital Constraint on Both Supply and Demand Sides [J]. Computer Science, 2023, 50(11A): 221200130-9.
[13] ZHAO Hongwei, YOU Jingyue, WANG Yangyang, ZHAO Xike. Dynamic Unloading Strategy of Vehicle Edge Computing Tasks Based on Traffic Density [J]. Computer Science, 2023, 50(11A): 220900199-7.
[14] WENG Jie, LIN Bing, CHEN Xing. Multi-edge Server Load Balancing Strategy Based on Game Theory [J]. Computer Science, 2023, 50(11A): 221200150-8.
[15] PENG Yingxuan, SHI Dianxi, YANG Huanhuan, HU Haomeng, YANG Shaowu. Intention-based Multi-agent Motion Planning Method with Deep Reinforcement Learning [J]. Computer Science, 2023, 50(10): 156-164.
Viewed
Full text


Abstract

Cited
  Shared   
  Discussed   
No Suggested Reading articles found!
渝ICP备16013121号-4
Add:18# Honghu West Rd., Yubei ,Chongqing,China    Post Code: 401121
Tel: 023-63500828/023-67039612/023-67039623
E-mail: jsjkx12@163.com
Powered by Beijing Magtech Co., Ltd.