A wavelet-convolution channel-attention LSTM model improves one-step-ahead stock price prediction and long-short portfolio backtests on four large-cap US stocks, with reported Sharpe ratios above 1.8.
The Journal of Finance 19(3), 425–442 (1964) 15
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Integration of Wavelet Transform Convolution and Channel Attention with LSTM for Stock Price Prediction based Portfolio Allocation
A wavelet-convolution channel-attention LSTM model improves one-step-ahead stock price prediction and long-short portfolio backtests on four large-cap US stocks, with reported Sharpe ratios above 1.8.