ATGRUVAE: Reducing Noise and Improving Forecasting Performance in Stock Data

Abstract

Nowadays, to maximize their income, investors and researchers try to predict the future prices of stocks in the market using artificial intelligence algorithms. However, noise in stock price fluctuations negatively a ffects t he accuracy of the forecasts. To this end, Attention Based Variational Autoencoders with Gated Recurrent Units (ATGRUVAE) method is developed to remove the noise in stock price fluctuations a nd compared with variational, basic and noise removing autoencoders. Exper-iments are conducted using historical stock prices of well-known companies such as Apple, Google and Amazon and 9 different indicator values derived from these stock prices. The noise cleaned stocks are then trained and tested on Extreme Gradient Boosting (XGBoost), Long Short-Term Memory (LSTM) and Linear Regression (LR) models. The results show that the proposed ATGRUVAE model outperforms all three models and demonstrates its ability to capture complex patterns in stock market data. © 2025 Elsevier B.V., All rights reserved.