Stock Forecasting Based on Informational Complexity Representation: A Framework of Wavelet Entropy, Multiscale Entropy, and Dual-Branch Network

Stock price sequences are characterized by pronounced nonlinearity, non-stationarity, and multi-scale volatility. They are further influenced by complex, multi-source factors, such as macroeconomic conditions and market behavior, making high-precision forecasting highly challenging. Existing approaches are limited by noise and multi-dimensional market features, as well as difficulties in balancing prediction accuracy with model complexity. To address these challenges, we propose Wavelet Entropy and Cross-Attention Network (WECA-Net), which combines wavelet decomposition with a multimodal cross-attention mechanism. From an information-theoretic perspective, stock price dynamics reflect the time-varying uncertainty and informational complexity of the market. We employ wavelet entropy to quantify the dispersion and uncertainty of energy distribution across frequency bands, and multiscale entropy to measure the scale-dependent complexity and regularity of the time series. These entropy-derived descriptors provide an interpretable prior of “information content” for cross-modal attention fusion, thereby improving robustness and generalization under non-stationary market conditions. Experiments on Chinese stock indices, A-Share, and CSI 300 component stock datasets demonstrate that WECA-Net consistently outperforms mainstream models in Mean Absolute Error (MAE) and R² across all datasets. Notably, on the CSI 300 dataset, WECA-Net achieves an R² of 0.9895, underscoring its strong predictive accuracy and practical applicability. This framework is also well aligned with sensor data fusion and intelligent perception paradigms, offering a robust solution for financial signal processing and real-time market state awareness.