Research on deep learning model for stock prediction by integrating frequency domain and time series features
Abstract In the field of financial technology, stock prediction has become a popular research direction due to its high volatility and uncertainty. Most existing models can only process single temporal features, failing to capture multi-scale temporal patterns and latent cyclical components embedded...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2025-08-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-025-14872-6 |
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| Summary: | Abstract In the field of financial technology, stock prediction has become a popular research direction due to its high volatility and uncertainty. Most existing models can only process single temporal features, failing to capture multi-scale temporal patterns and latent cyclical components embedded in price fluctuations, while also neglecting the interactions between different stocks–resulting in predictions that lack accuracy and stability. The StockMixer with ATFNet model proposed in this paper integrates both time-domain and frequency-domain features. By fusing information from both domains, the deep neural network significantly improves prediction accuracy and reliability. While temporal feature analysis is common, frequency-domain features, derived via spectral analysis (e.g., Fourier Transform), can reveal latent periodicities and seasonality patterns in price movements. This study employs an adaptive fusion approach to allow the two types of features to complement and enhance each other. The main innovations of this model are reflected in three aspects: (1) Construction of a time-channel hybrid model (MultTime2dMixer) to decouple the temporal evolution and inter-channel interactions of multivariate time series. (2) A novel non-graph-based stock relation modeling approach (NoGraphMixer) is proposed, which employs a learnable attention-based mapping mechanism to dynamically capture cross-stock dependencies without relying on pre-defined or static graph structures–thereby overcoming the inflexibility of conventional graph-based relation encoders. (3) Integration of a frequency-domain complex attention model (ATFNet) to model discontinuities in both the time and frequency domains, providing a strong supplement to time-domain modeling. At the implementation level, the original stock sequences are subjected to bidirectional feature extraction along both time and channel dimensions. NoGraphMixer is then used to construct implicit stock correlations. ATFNet is applied to map time-series data into both the temporal and frequency domains, extracting spectral features. Finally, a fusion mechanism integrates multimodal information to achieve effective fusion of multi-source data. Experimental results show significant improvements in classification evaluation metrics (Accuracy, Precision, Recall, F1-score) for predicting price movement direction, as well as in metrics assessing the ranking ability of return predictions and backtesting performance–IC, RIC, Prec@N, and Sharpe Ratio (SR). |
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| ISSN: | 2045-2322 |