Adaptive Multi-Scale Anomaly Detection for Cross-Sector Financial Time Series via End-to-End Wavelet-Attention Fusion

Traditional two-stage pipelines for financial anomaly detection suffer from a critical yet often overlooked flaw: the wavelet decomposition and the downstream detector are optimized independently. When a fixed Haar filter encounters the fat-tail shocks typical in A-share sectors, gradient flow breaks at the decomposition boundary, and the detector receives suboptimal frequency segments. We introduce EWAF-AE, an autoencoder that embeds discrete wavelet transform as a learnable layer, allowing the spectral filters to co-train with the encoder. Instead of a homogeneous backbone, we split the encoding: a shallow Transformer handles the low-frequency trend branch, while a masked locality-sensitive attention module processes high-frequency details. A gating network then calibrates the fusion ratio per sector—nonferrous metals receive heavier trend weighting (0.888), whereas banking shifts toward detail sensitivity (0.252)—based on rolling volatility and a learnable sector embedding. The anomaly score is not a single MSE, but a weighted composite of pixel-level, trend-consistency, detail-sparsity, and spectral losses, augmented by a triplet margin loss on pseudo-anomalous samples. On six A-share sector indices from 2015 to 2025, EWAF-AE hits 83.3% of benchmark crisis events, compared with 25.0% for Isolation Forest and 41.7% for LSTM-AE.

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Publication Details

Journal
Asia Pacific Economic and Management Review
Published
2026-11-04
DOI
https://doi.org/10.62177/apemr.v3i5.1855
Primary Topic
Anomaly Detection Techniques and Applications
Type
article
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article

Adaptive Multi-Scale Anomaly Detection for Cross-Sector Financial Time Series via End-to-End Wavelet-Attention Fusion

Mengting Zhang, Junxiang Lu
Asia Pacific Economic and Management Review
Anomaly Detection Techniques and Applications
article

Adaptive Multi-Scale Anomaly Detection for Cross-Sector Financial Time Series via End-to-End Wavelet-Attention Fusion

Mengting Zhang, Junxiang Lu
article en

Abstract

Traditional two-stage pipelines for financial anomaly detection suffer from a critical yet often overlooked flaw: the wavelet decomposition and the downstream detector are optimized independently. When a fixed Haar filter encounters the fat-tail shocks typical in A-share sectors, gradient flow breaks at the decomposition boundary, and the detector receives suboptimal frequency segments. We introduce EWAF-AE, an autoencoder that embeds discrete wavelet transform as a learnable layer, allowing the spectral filters to co-train with the encoder. Instead of a homogeneous backbone, we split the encoding: a shallow Transformer handles the low-frequency trend branch, while a masked locality-sensitive attention module processes high-frequency details. A gating network then calibrates the fusion ratio per sector—nonferrous metals receive heavier trend weighting (0.888), whereas banking shifts toward detail sensitivity (0.252)—based on rolling volatility and a learnable sector embedding. The anomaly score is not a single MSE, but a weighted composite of pixel-level, trend-consistency, detail-sparsity, and spectral losses, augmented by a triplet margin loss on pseudo-anomalous samples. On six A-share sector indices from 2015 to 2025, EWAF-AE hits 83.3% of benchmark crisis events, compared with 25.0% for Isolation Forest and 41.7% for LSTM-AE.

Asia Pacific Economic and Management ReviewVol. 3(5)
Openalex Percentile: Top 16%
Anomaly Detection Techniques and Applications
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