LSTM with Wavelet Transform Based Data Preprocessing for Stock Price Prediction

Liang Xiaodan; Ge Zhaodi; Sun Liling; He Maowei; Chen Hanning

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LSTM with Wavelet Transform Based Data Preprocessing for Stock Price Prediction

机译：LSTM与小波变换基于数据预处理的股票价格预测

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For profit maximization, the model-based stock price prediction can give valuable guidance to the investors. However, due to the existence of the high noise in financial data, it is inevitable that the deep neural networks trained by the original data fail to accurately predict the stock price. To address the problem, the wavelet threshold-denoising method, which has been widely applied in signal denoising, is adopted to preprocess the training data. The data preprocessing with the soft/hard threshold method can obviously restrain noise, and a new multioptimal combination wavelet transform (MOCWT) method is proposed. In this method, a novel threshold-denoising function is presented to reduce the degree of distortion in signal reconstruction. The experimental results clearly showed that the proposed MOCWT outperforms the traditional methods in the term of prediction accuracy.

机译：对于利润最大化，基于模型的股票价格预测可以向投资者提供有价值的指导。然而，由于财务数据中的高噪声的存在，因此由原始数据训练的深神经网络无法准确预测股价是不可避免的。为了解决问题，采用广泛应用于信号去噪的小波阈值去噪方法来预处理训练数据。使用软/硬阈值方法预处理的数据可以显然可以抑制噪声，并且提出了一种新的多功能组合小波变换（MOCWT）方法。在该方法中，提出了一种新颖的阈值去噪功能，以降低信号重建中的失真程度。实验结果清楚地表明，所提出的MOCWT在预测准确性期间优于传统方法。

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来源
《Mathematical Problems in Engineering》 |2019年第16期|1340174.1-1340174.8|共8页
作者
Liang Xiaodan; Ge Zhaodi; Sun Liling; He Maowei; Chen Hanning;
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Tianjin Polytech Univ Sch Comp Sci & Technol Tianjin 300387 Peoples R China;

Tianjin Polytech Univ Sch Comp Sci & Technol Tianjin 300387 Peoples R China;

Tianjin Polytech Univ Sch Comp Sci & Technol Tianjin 300387 Peoples R China;

Tianjin Polytech Univ Sch Comp Sci & Technol Tianjin 300387 Peoples R China;

Tianjin Polytech Univ Sch Comp Sci & Technol Tianjin 300387 Peoples R China;

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1. LSTM with Wavelet Transform Based Data Preprocessing for Stock Price Prediction [J] . Xiaodan Liang, Zhaodi Ge, Liling Sun, Mathematical Problems in Engineering: Theory, Methods and Applications . 2019,第1期

机译：LSTM与小波变换基于数据预处理的股票价格预测
2. Electricity price prediction based on hybrid model of adam optimized LSTM neural network and wavelet transform [J] . Chang Zihan, Zhang Yang, Chen Wenbo Energy . 2019,第Nova15期

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3. Prediction of Financial Time Series Based on LSTM Using Wavelet Transform and Singular Spectrum Analysis [J] . Qi Tang, Ruchen Shi, Tongmei Fan, Mathematical Problems in Engineering: Theory, Methods and Applications . 2021,第a期

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4. Deep Learning-Based Stock Price Prediction Using LSTM and Bi-Directional LSTM Model [C] . Md. Arif Istiake Sunny, Mirza Mohd Shahriar Maswood, Abdullah G. Alharbi Novel Intelligent and Leading Emerging Sciences Conference . 2020

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LSTM with Wavelet Transform Based Data Preprocessing for Stock Price Prediction

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