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State-Frequency-Memory

  • State Frequency Memory (SFM) is a novel recurrent network that uses Discrete Fourier Transform to decompose the hidden states of memory cells and capture the multi-frequency trading patterns from past market data to make stock price predictions.
  • The code used in Qlib is a pyTorch implementation of SFM.
  • Paper: Stock Price Prediction via Discovering Multi-Frequency Trading Patterns. https://www.cs.ucf.edu/~gqi/publications/kdd2017_stock.pdf.