Hybrid wavelet-neural network models for time series

Date

2023-09-01

Author

Kılıç, Deniz Kenan
Uğur, Ömür

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

169
views

89
downloads

Cite This

The use of wavelet analysis contributes to better modeling for financial time series in the sense of both frequency and time. In this study, S&P500 and NASDAQ data are separated into several components utilizing multiresolution analysis (MRA). Subsequently, using an appropriate neural network structure, each component is modeled. In addition, wavelets are used as an activation function in long short-term memory (LSTM) networks to form a hybrid model. The hybrid model is merged with MRA as a proposed method in this paper. Four distinct strategies are employed: LSTM, LSTM+MRA, hybrid LSTM-Wavenet, and hybrid LSTM-Wavenet+MRA. Results show that the use of MRA and wavelets as an activation function together reduces the error the most.

Subject Keywords

Long short-term memory (LSTM), Multiresolution analysis (MRA), Nonlinear models, Recurrent neural network (RNN), Time series analysis, Wavelet neural network (WNN), Wavenet

URI

https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85163764964&origin=inward
https://hdl.handle.net/11511/104607

Collections

Graduate School of Applied Mathematics, Article