LAUSR

Due to its complexity, financial time-series forecasting is regarded as one of the most challenging problems. During the past two decades, nonlinear modeling techniques, such as artificial neural networks, were commonly employed to solve a variety of time-series problems. Recently, however, deep neural network has been found to be more efficient than those in many application domains. In this article, we propose a model based on deep neural networks that improves the forecasting of stock prices. We investigate the impact of combining deep learning techniques with multiresolution analysis to improve the forecasting accuracy. Our proposed model is based on an empirical wavelet transform which is shown to outperform traditional stationary wavelet transform in capturing price fluctuations at different time scales. The proposed model is demonstrated to be substantially more effective than other models when evaluated on the S&P500 stock index and Mackey-Glass time series.