HAELT: A Hybrid Attentive Ensemble Learning Transformer Framework for High-Frequency Stock Price Forecasting
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Abstract (arXiv)
High-frequency stock price prediction is challenging due to non-stationarity, noise, and volatility. To tackle these issues, we propose the Hybrid Attentive Ensemble Learning Transformer (HAELT), a deep learning framework combining a ResNet-based noise-mitigation module, temporal self-attention for dynamic focus on relevant history, and a hybrid LSTM-Transformer core that captures both local and long-range dependencies. These components are adaptively ensembled based on recent performance. Evaluated on hourly Apple Inc. (AAPL) data from Jan 2024 to May 2025, HAELT achieves the highest F1-Score on the test set, effectively identifying both upward and downward price movements. This demonstrates HAELT's potential for robust, practical financial forecasting and algorithmic trading.
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References · 8
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- 2016XGBoost: A Scalable Tree Boosting Systemcited by 5,166
- 2020Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecastingcited by 2,169
- 2019Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019cited by 273
- 2019An Attentive Survey of Attention Modelscited by 124
- 2017Conditional Time Series Forecasting with Convolutional Neural Networkscited by 123
- 2020Applications of deep learning in stock market prediction: recent progresscited by 51
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