Improving long short-term memory (LSTM) networks for arbitrage spread forecasting: integrating cuckoo and zebra algorithms in chaotic mapping space for enhanced accuracy.

ABSTRACT: Long short-term memory (LSTM) networks, widely used for financial time series forecasting, face challenges in arbitrage spread prediction, especially in hyperparameter tuning for large datasets. These issues affect model complexity and 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 LSTM (ICS-LSTM) network for arbitrage spread prediction. This method replaces the Lévy flight in the Cuckoo algorithm with the Zebra algorithm search, improving convergence speed and solution optimization. Experimental results showed a mean absolute percentage error (MAPE) of 0.011, mean square error (MSE) of 3.326, mean absol

SUBMITTER: Zhu M 

PROVIDER: S-EPMC11784865 | biostudies-literature | 2024

REPOSITORIES: biostudies-literature