Long short-term memory (LSTM) networks, widely used for financial time forecasting, face challenges in arbitrage spread prediction, especially in hyperparameter tuning for large datasets. These issues affect model com...
详细信息
Long short-term memory (LSTM) networks, widely used for financial time forecasting, face challenges in arbitrage spread prediction, especially in hyperparameter tuning for large datasets. These issues affect model complexity adaptability to market dynamics. Existing heuristic algorithms for LSTM often struggle to capture the complex dynamics of futures spread data, limiting prediction accuracy. We propose an integrated Cuckoo and zebra algorithms-optimised (ICS-LSTM) network for arbitrage spread prediction. This method replaces the flight in the Cuckoo algorithm with the zebra algorithm search, improving convergence speed and solution optimization. Experimental results showed absolute percentage error (MAPE) of 0.011, mean square error (MSE) of 3.326, absolute error (MAE) of 1.267, and coefficient of determination (R2) of 0.996. proposed model improved performance by reducing MAPE by 8.3-50.0%, MSE 10.2-77.8%, and MAE by 9.3-63.0% compared to existing methods. These improvements translate to more accurate spread predictions, enhancing arbitrage opportunities and trading strategy profitability.
A revised version of Dodge's split-velocity method for numerical calculation of compressible duct flow has been developed. The revision incorporates balancing of mass flow rates on each marching step in order to m...
详细信息
A revised version of Dodge's split-velocity method for numerical calculation of compressible duct flow has been developed. The revision incorporates balancing of mass flow rates on each marching step in order to maintain front-to-back continuity during the calculation. The (chequerboard) zebra algorithm is applied to solution of the three-dimensional continuity equation in conservative form. A second-order A-stable linear multistep method is employed in effecting a marching solution of the parabolized momentum equations. A chequerboard iteration is ued to solve the resulting implicit non-linear systems of finite-difference equations which govern stepwise transition. Qualitive agreement with analytical predictions and experimental results has been obtained for some flows with well-known solutions.
暂无评论