arXiv:2504.17079cs.LGstat.AP2025-04被引 15

用注意力Transformer+GRU混合模型预测比特币以太坊价格,效果优于多种传统方法。

A Novel Hybrid Approach Using an Attention-Based Transformer + GRU Model for Predicting Cryptocurrency Prices

  • 融合Transformer长程依赖捕捉与GRU短期序列建模能力,提升时序预测精度。
  • 在比特币和以太坊上,均实现最低的MSE、RMSE、MAE与MAPE误差值。
  • 适合金融量化、加密货币交易决策等需要高精度实时预测的场景。

本文提出一种新型深度学习混合模型,结合注意力机制的Transformer与门控循环单元(GRU)架构,以提升加密货币价格预测的准确性。该模型融合了Transformer捕捉长期模式的能力与GRU建模短期及序列趋势的优势,用于基于历史价格、交易量和恐惧贪婪指数的比特币与以太坊日收盘价预测。通过与四种其他模型对比:两种非序列前馈模型(径向基函数网络RBFN、通用回归神经网络GRNN),以及两种双向序列记忆模型(双向LSTM BiLSTM、双向GRU BiGRU),采用均方误差(MSE)、均方根误差(RMSE)、平均绝对误差(MAE)、平均绝对百分比误差(MAPE)进行评估,并通过非参数弗里德曼检验及后续威尔科克森符号秩检验进行统计验证。结果表明,该混合模型在各项指标上均表现最优,证明其在金融预测任务中的有效性,为加密货币市场实时决策提供支持,也推动了混合深度学习模型在金融分析中的应用。

原文摘要 · Abstract (English)

In this article, we introduce a novel deep learning hybrid model that integrates attention Transformer and Gated Recurrent Unit (GRU) architectures to improve the accuracy of cryptocurrency price predictions. By combining the Transformer's strength in capturing long-range patterns with the GRU's ability to model short-term and sequential trends, the hybrid model provides a well-rounded approach to time series forecasting. We apply the model to predict the daily closing prices of Bitcoin and Ethereum based on historical data that include past prices, trading volumes, and the Fear and Greed index. We evaluate the performance of our proposed model by comparing it with four other machine learning models: two are non-sequential feedforward models: Radial Basis Function Network (RBFN) and General Regression Neural Network (GRNN), and two are bidirectional sequential memory-based models: Bidirectional Long-Short-Term Memory (BiLSTM) and Bidirectional Gated Recurrent Unit (BiGRU). The performance of the model is assessed using several metrics, including Mean Squared Error (MSE), Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), and Mean Absolute Percentage Error (MAPE), along with statistical validation through the nonparametric Friedman test followed by a post hoc Wilcoxon signed rank test. The results demonstrate that our hybrid model consistently achieves superior accuracy, highlighting its effectiveness for financial prediction tasks. These findings provide valuable insights for improving real-time decision making in cryptocurrency markets and support the growing use of hybrid deep learning models in financial analytics.

加密货币时序预测混合模型深度学习

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