| Autor: |
Jadhav, Sachin R., Bishnoi, Aashima, Safarova, Nodira, Khan, Faheem, Aurangzeb, Khursheed, Alhussein, Musaed |
| Předmět: |
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| Zdroj: |
Fluctuation & Noise Letters; Apr2024, Vol. 23 Issue 2, p1-24, 24p |
| Abstrakt: |
In light of the existing challenges in capturing short-term fluctuations and achieving accurate predictions in stock market time series data, this research presents the "Dual-Attention MDWT-CVT-LSTM," a revolutionary financial time series forecasting model. This model makes use of a dual-attention mechanism in conjunction with a Variant Transformation-Gated Long Short-Term Memory (LSTM) network. The approach relies on the Multilevel Discrete Wavelet Transform (MDWT) to separate stock market index sequences into high-frequency and low-frequency components. Furthermore, a transformative gating mechanism is incorporated into the LSTM, featuring fusion gated units to create the VT-LSTM, effectively addressing abrupt short-term information changes. Within the dual-attention network, VT-LSTM is combined with one-dimensional temporal convolution (Conv1D) to extract spatial and temporal features of data at different frequencies. This facilitates the prediction of various sub-sequences, enabling multilevel and multi-path forecasting research. The experimental evaluation uses diverse models on stock market index datasets and individual stock datasets. The results show the superior prediction accuracy of the proposed model compared to alternative methods, underscoring its practical viability in stock market forecasting applications. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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