An adaptive feature selection schema using improved technical indicators for predicting stock price movements


Table 4 The performance of different wavelet basis functions on four data sets. Sym4 Db Coif Haar SSEC 65.14



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An adaptive feature selection schema using improved technical indicators
Table 4
The performance of different wavelet basis functions on four data sets.
Sym4 Db Coif
Haar
SSEC
65.14
65.86 65.28 83.77
HSI
401.76 398.16
388.45
498.34
DJI
228.41
244.06 245.26 289.40 SP 500
25.94
27.10 27.75 32.68
Fig. 1. The results of wavelet denoising using the optimal wavelet basis function on the close price of four data sets.
Table 5
Performance of model for the data before and after denoising. Indicators Before Denoise After Denoise
SSEC Accuracy
0.583
0.732
Precision
0.583
0.734
Recall
0.583
0.731
F1 score
0.580
0.731
HSI Accuracy
0.575
0.780
Precision
0.555
0.780
Recall
0.573
0.780
F1 score
0.551
0.780
DJI Accuracy
0.568
0.745
Precision
0.555
0.741
Recall
0.568
0.746
F1 score
0.551
0.741
S&P 500 Accuracy
0.580
0.766
Precision
0.571
0.761
Recall
0.580
0.766
F1 score
0.574
0.762
G. Ji et al.


Expert Systems With Applications 200 (2022) 116941
5
advantages of WT is that it decomposes a signal according to the frequency and represents the signal in the time domain. As for the wavelet transformation, both the time and the frequency information from the signal are retained. It is thus a more powerful transformation for time-

frequency analysis (
Rhif et alb. WT can decompose signals on different timescales. The purpose of WT is to translate and shrink the wavelet basis function. The wavelet basis function is defined as
ψ
a,b
(
t) =
1
̅̅̅
a

ψ
(
t b
a
),
a > 0, bi R.
(4) where a is a scale parameter and b is a time center parameter. When a
and b change continuously, the wavelet transform process is continuous wavelet transform (CWT. Fora signal f(t), CWT is defined as
W
f
(
a, b) =




f (t)
ψ
*
a,b
(
t)dt =
1
̅̅̅
a





ψ
*
a,b
(
t b
a
)
f (t)dt
(5)
Table 6
The model performance of different forecast target in the SSEC data set. forecast target Accuracy Precision Recall F score
0 0.643 0.641 0.641 0.641 1
0.700 0.701 0.701 0.701 2
0.714 0.712 0.712 0.712 3
0.733 0.739 0.734 0.735 4
0.731 0.729 0.731 0.731 5
0.728 0.738 0.729 0.729 6
0.735 0.744 0.734 0.736 7
0.736 0.741 0.736 0.736 8
0.735 0.740 0.736 0.736 9
0.736 0.742 0.737 0.739

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