Deep learning model-driven financial risk prediction and analysis

作者：Tianyi Yang, Ang Li, Jiahao Xu, Guangze Su, Jiufan Wang · 发表于：Applied and Computational Engineering · 年份：2024 · DOI：10.54254/2755-2721/77/2024ma0064 · 被引用次数：11 · 研究领域：Stock Market Forecasting Methods、Advanced Data Processing Techniques

The integration of deep learning models into financial risk prediction and analysis has significantly transformed traditional approaches. While conventional quantitative methods often rely on simplistic metrics like maximum drawdown, the advent of deep learning necessitates a more nuanced evaluation, emphasizing the model's generalization ability, especially during market crises such as stock market crashes. This paper explores the critical aspects of evaluating deep learning models' risk control capabilities in finance, underscoring the importance of understanding both statistical metrics and generalization abilities, particularly in adverse market conditions. The experimentation reveals that different deep generative models excel in various aspects of financial time series analysis, with generative adversarial networks (GANs) demonstrating superior performance in predicting Value at Risk (VaR) and variational autoencoders (VAEs) excelling in return rate prediction. Moreover, integrating multiple models further enhances predictive performance, leveraging the strengths of each model to compensate for individual weaknesses. Overall, this paper underscores the potential and significance of deep generative models in financial time series analysis, offering a roadmap for improved risk management and decision-making in financial markets.