aiqbench analysis
This paper proposes a novel machine learning architecture that integrates singular spectrum analysis with a volatility-adaptive LSTM to improve financial time-series forecasting. By embedding GARCH dynamics directly into the LSTM cell and using SSA to decouple pseudo-oscillatory modes, the model addresses instability issues common in existing decomposition-integration frameworks. The approach demonstrates statistically significant error reductions on multiple market indices, highlighting advancements in applying complex ML techniques to non-stationary data.
A decomposition-integration framework coupling singular spectrum analysis with a volatility-adaptive LSTM for stock price forecasting
arXiv:2610.24384v1 Announce Type: cross Abstract: Financial time series exhibit multi-scale, high-noise, and non-stationary volatility dynamics. Decomposition--integration frameworks built on complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) have advanced this field, yet existing CEEMDAN hybrids remain unstable: high-frequency mode mixing contaminates downstream predictors, and the heterogeneous volatility of decomposed components is not matched by any volatility-adaptive mechanism. To address these gaps, this paper proposes CEEMDAN-SE-SSA-VMGL. CEEMDAN adaptively decomposes the original series, and sample-entropy-driven K-means clustering groups the intrinsic mode functions into high-, mid-, and low-frequency and residual components. Singular spectrum analysis (SSA) is then applied to the high-frequency group, whose singular-value decomposition of the trajectory matrix and principal-component reconstruction decouple intertwined pseudo-oscillatory modes and alleviate mode mixing. We further design a plug-and-play robust LSTM variant, the volatility-modulated GARCH-LSTM (VMGL), which embeds a differentiable GARCH(1,1) layer inside the LSTM cell as a risk gate; the estimated conditional volatility multiplicatively scales the forget-gate activation, letting memory decay adapt to the instantaneous volatility while remaining fully end-to-end trainable. Component predictions are linearly combined. On five US and Chinese financial series (CSI 300, CSI 500, AAPL, GOOGL, S&P 500), the proposed model is compared with eleven benchmark architectures, lowering the forecasting error by 9% to 24% relative to the best benchmark and by 60% to 70% relative to a standard LSTM. Diebold--Mariano and model-confidence-set (MCS) tests confirm the statistical significance and stability of the gains, spectral analyses verify the SSA denoising efficacy, and backtesting demonstrates the framework's economic utility.
Abstract:Financial time series exhibit multi-scale, high-noise, and non-stationary volatility dynamics. Decomposition--integration frameworks built on complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) have advanced this field, yet existing CEEMDAN hybrids remain unstable: high-frequency mode mixing contaminates downstream predictors, and the heterogeneous volatility of decomposed components is not matched by any volatility-adaptive mechanism. To address these gaps, this paper proposes CEEMDAN-SE-SSA-VMGL. CEEMDAN adaptively decomposes the original series, and sample-entropy-driven K-means clustering groups the intrinsic mode functions into high-, mid-, and low-frequency and residual components. Singular spectrum analysis (SSA) is then applied to the high-frequency group, whose singular-value decomposition of the trajectory matrix and principal-component reconstruction decouple intertwined pseudo-oscillatory modes and alleviate mode mixing. We further design a plug-and-play robust LSTM variant, the volatility-modulated GARCH-LSTM (VMGL), which embeds a differentiable GARCH(1,1) layer inside the LSTM cell as a risk gate; the estimated conditional volatility multiplicatively scales the forget-gate activation, letting memory decay adapt to the instantaneous volatility while remaining fully end-to-end trainable. Component predictions are linearly combined. On five US and Chinese financial series (CSI 300, CSI 500, AAPL, GOOGL, S&P 500), the proposed model is compared with eleven benchmark architectures, lowering the forecasting error by 9% to 24% relative to the best benchmark and by 60% to 70% relative to a standard LSTM. Diebold--Mariano and model-confidence-set (MCS) tests confirm the statistical significance and stability of the gains, spectral analyses verify the SSA denoising efficacy, and backtesting demonstrates the framework's economic utility.
Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG)
arXiv:2610.24384 [cs.CE]
(or arXiv:2610.24384v1 [cs.CE] for this version)
https://doi.org/10.48550/arXiv.2610.24384 Focus to learn more arXiv-issued DOI via DataCite
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