Fractionally differenced price series, especially with a differencing order estimated from an ARFIMA model, improved LSTM forecasts and portfolio trading metrics compared to logarithmic returns.
M., Sabzikar, F., Phanikumar, M
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Comparative analysis of financial data differentiation techniques using LSTM neural network
Fractionally differenced price series, especially with a differencing order estimated from an ARFIMA model, improved LSTM forecasts and portfolio trading metrics compared to logarithmic returns.