Istanbul Technical University, Istanbul, Turkey
This paper presents an extended study of the previously proposed Predictive Error Compensation Neural Network (PECNET) model. Different frequencies are used as input, in addition with the use of the Butterworth filter and the model performances are compared. The results show that the PECNET with frequency decomposition and Butterworth filter applied to input data provides significantly more accurate predictions for stock price prediction problem with respect to previous studies and conventional machine learning and time series prediction methods without changing any hyperparameter or the structure. In addition, the time and space complexity of the PECNET model is less than all other compared machine learning methods.
Key Words: predictive error compensated neural network, Butterworth filter, frequency decomposition, wavelet transform, stock price forecasting
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Istanbul Technical University,