Integration of Wavelet Transform Convolution and Channel Attention with LSTM for Stock Price Prediction based Portfolio Allocation

2025/06/23 by Junjie Guo, Guo, Junjie
Computer Science · Decision Sciences · #FOS: Economics and business #Machine Learning and ELM #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods #Time Series Analysis and Forecasting

paper · pdf · doi:10.48550/arxiv.2507.01973

openalex publication_date 2025/06/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Portfolio allocation via stock price prediction is inherently difficult due to the notoriously low signal-to-noise ratio of stock time series. This paper proposes a method by integrating wavelet transform convolution and channel attention with LSTM to implement stock price prediction based portfolio allocation. Stock time series data first are processed by wavelet transform convolution to reduce the noise. Processed features are then reconstructed by channel attention. LSTM is utilized to predict the stock price using the final processed features. We construct a portfolio consists of four stocks with trading signals predicted by model. Experiments are conducted by evaluating the return, Sharpe ratio and max drawdown performance. The results indicate that our method achieves robust performance even during period of post-pandemic downward market.

Citations

• Deep Learning in Long-Short Stock Portfolio Allocation: An Empirical Study
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