所属栏目:资本市场/投资组合与决策

摘要

Salience theory has been proposed as a new stock trading strategy. Therefore, to assess the validity of this proposal, a complex decision trading system was constructed based on salience theory, a variational mode decomposition (VMD) model, a bidirectional gated recurrent unit (BiGRU) model, and high-frequency trading. The system selected 30 Chinese new energy concept stocks, ranked the stocks using salience theory, and selected the top and bottom three stocks for two portfolios. Twelve stages were established, after which the VMD and BiGRU models were applied to the predictions. The final predicted returns for the high ST group A (GA) were 194.06% and for the low ST group B (GB) were 165.88%. This paper validated the powerful utility of salience theory and deep learning to analyze Chinas new energy market. And it explains the issues and questions raised by previous researchers.
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Qing Zhu; Jinhong Du; Shan Liu; Jianhua Che Exploration of Salience Theory to Deep Learning: A Evidence from Chinese New Energy Market High-Frequency Trading (2024年05月31日) https://www.cfrn.com.cn/lw/15712.html

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