Wavelet-Decoupled Spatiotemporal Network for Stock Return Prediction

Stock price prediction is a challenging problem in quantitative investment, as financial markets generate complex, noisy, and dynamic time series containing heterogeneous signals. Short-term fluctuations usually exhibit greater uncertainty and stronger local variation, whereas long-term trends convey relatively stable and persistent information shaped by market and macroeconomic conditions. However, most existing methods struggle to distinguish these two components effectively, often leading to interference between short-term fluctuations and longer-term trends. In addition, they fail to capture dynamic temporal dependencies and cross-stock information propagation while preserving the causal structure of financial time series. To tackle these issues, we propose the Wavelet-Decoupled Spatiotemporal Network (WaveDSTN). It leverages wavelet transformation to decompose stock returns into high-frequency and low-frequency information, corresponding to short-term fluctuations and long-term trends, respectively. This decomposition enables the model to learn complementary predictive patterns more effectively. Furthermore, WaveDSTN incorporates a Dual-Path Spatiotemporal Encoder to capture complex temporal dependencies and evolving cross-stock information propagation while preserving temporal order and causal consistency. Extensive experiments demonstrate that WaveDSTN achieves significant improvements over existing methods, showing that explicitly modeling trend and fluctuation components can enhance predictive accuracy and reduce uncertainty in stock return forecasting.