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.
International Conference on Learning Representations 1(1), 1–13 (2015)
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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.