Timothy Yu

Error in formula 29, linear correlation, noted in `formulas.py`. The Scipy.stats module implementation of pearson r is going to be used instead: https://github.com/timothyyu/wsae-lstm/commit/80ff7daf6e87521a4673d661ac9a01b9538feeba#diff-cb33a52a1b5551c0fa2f0477a49de96b ``` import numpy as np import math...

@danizil the waveletSmooth function in the subrepos/models/wavelet directory is from DeepLearning_Financial, a previous attempt to replicate the results of the paper: (https://github.com/mlpanda/DeepLearning_Financial) I am currently using a modified implementation of...


level is 2 as defined in the original paper; as for the axis, I am still looking into how that specific step is tied to the next level of the...

related closed issue (duplicate): https://github.com/timothyyu/wsae-lstm/issues/12

@danizil make sure the wavelet type in your code is `haar`, not `db4`. The authors for the WSAE-LSTM specifically specify `haar`; [the existing/previous attempt to implement this model for the...

> 3\. After exploring for a bit, and not being able to converge with the AE, I think ill try a new scaling process which compresseses the data to the...

[From the pywavelets documentation, p.38-39: ](https://buildmedia.readthedocs.org/media/pdf/pywavelets/latest/pywavelets.pdf)

> * Regarding the axis, the way I understood it is that we're supposed to compress nineteen indicators into ten features' time series' (i.e. on the indicator axis and not...

`axis = 1` wavelet has an extra y axis column that has to be removed to be accurate feature wise: