IGWO-MALSTM: An Improved Grey Wolf-Optimized Hybrid LSTM with Multi-Head Attention for Financial Time Series Forecasting
In the domain of financial markets, deep learning techniques have emerged as a significant tool for the development of investment strategies. The present study investigates the potential of time series forecasting (TSF) in financial application scenarios, aiming to predict future spreads and inform...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Applied Sciences |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2076-3417/15/12/6619 |
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| Summary: | In the domain of financial markets, deep learning techniques have emerged as a significant tool for the development of investment strategies. The present study investigates the potential of time series forecasting (TSF) in financial application scenarios, aiming to predict future spreads and inform investment decisions more effectively. However, the inherent nonlinearity and high volatility of financial time series pose significant challenges for accurate forecasting. To address these issues, this paper proposes the IGWO-MALSTM model, a hybrid framework that integrates Improved Grey Wolf Optimization (IGWO) for hyperparameter tuning and a multi-head attention (MA) mechanism to enhance long-term sequence modeling within the long short-term memory (LSTM) architecture. The IGWO algorithm improves population diversity during initialization using the Mersenne Twister, thereby enhancing the convergence speed and search capability of the optimizer. Simultaneously, the MA mechanism mitigates gradient vanishing and explosion problems, enabling the model to better capture long-range dependencies in financial sequences. Experimental results on real futures market data demonstrate that the proposed model reduces Mean Square Error (MSE) by up to 61.45% and Mean Absolute Error (MAE) by 44.53%, and increases the R<sup>2</sup> score by 0.83% compared to existing benchmark models. These findings confirm that IGWO-MALSTM offers improved predictive accuracy and stability for financial time series forecasting tasks. |
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| ISSN: | 2076-3417 |