ICCK Transactions on Machine Intelligence | Volume 2, Issue 3: 172-189, 2026 | DOI: 10.62762/TMI.2025.742127
Abstract
This study introduces a sophisticated dual-denoising framework for high-frequency momentum strategies in China's ChiNext market, integrating wavelet-based temporal filtering with isolation forest cross-sectional anomaly detection. Utilizing a comprehensive dataset of over 2 million daily observations from January 2016 to November 2025, the results demonstrate that wavelet denoising achieves exceptional efficacy for turnover series with a mean Signal-to-Noise Ratio improvement of 10.7 dB, while isolation forest robustly identifies anomalous stocks characterized by excessive trading activity and distorted risk-return profiles. Empirical results reveal that linear models with wavelet denoising... More >
Graphical Abstract