Option Pricing Model Combining Ensemble Learning Methods and Network Learning Structure

Mathematical Problems in Engineering(2022)

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摘要
Option pricing based on data-driven methods is a challenging task that has attracted much attention recently. There are mainly two types of methods that have been widely used, respectively, the neural network method and the ensemble learning method. The option pricing model based on the neural network has high complexity, and a large number of hyper-parameters will be generated during training, resulting in difficult model adjustment. Furthermore, a lot of training data are needed. The option pricing model based on ensemble learning is not ideal for data feature extraction, because each calculation of the ensemble learning method is mainly to reduce the final residual. Therefore, this paper adopts a learning framework that embeds the modular ensemble learning methods into the network learning structure, and an option pricing model based on deep ensemble learning is proposed. The model is mainly composed of two parts: features reorganization based on random forest, used to calculate the importance of features, combined with the original data as training input; the multilayer ensemble data training structure is based on network learning structure and embeds two ensemble learning methods as network modules, and it also designs a stop algorithm to automatically determine the number of layers. This enables the model to retain the effect of data feature extraction and adapt to small and medium data sets without generating many hyper-parameters. Moreover, in order to make the model fully absorb the advantages of the two ensemble learning methods, we adopt cross-training for data. From the experimental results, it can be concluded that compared with the current optimal method, the prediction performance of the proposed model is improved by 36% in the root mean square error (RMSE), which proves the superiority of the proposed model from the quantitative direction.
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