Organizations: Lanzhou University, Lanzhou, China · Brandeis University, Waltham, USA · Shenzhen University, Shenzhen, China · Central University of Finance and Economics, Beijing, China · Central China Normal University, Wuhan, China
Financial time-series forecasting in real-world high-frequency markets is often hindered by delayed or partially stale observations caused by asynchronous data acquisition and transmission latency. To better reflect such practical conditions, we investigate a simulated delay setting where a portion of historical signals is corrupted by a Zero-Order Hold (ZOH) mechanism, significantly increasing forecasting difficulty through stepwise stagnation artifacts. In this paper, we propose ReLaMix (Residual Latency-Aware Mixing Network), a lightweight extension of TimeMixer that integrates learnable bottleneck compression with residual refinement for robust signal recovery under delayed observations. ReLaMix explicitly suppresses redundancy from repeated stale values while preserving informative market dynamics via residual mixing enhancement. Experiments on a large-scale second-resolution PAXGUSDT benchmark demonstrate that ReLaMix consistently achieves state-of-the-art accuracy across multiple delay ratios and prediction horizons, outperforming strong mixer and Transformer baselines with substantially fewer parameters. Moreover, additional evaluations on BTCUSDT confirm the cross-asset generalization ability of the proposed framework. These results highlight the effectiveness of residual bottleneck mixing for high-frequency financial forecasting under realistic latency-induced staleness.
Figures & tables
Fig. 1: Comparison of High-Frequency Signal Recovery Paradigms. Row 1: Naive models overfit ZOH noise. Row 2: Two-stage pipelines introduce additional latency. Row 3 (Ours): ReLaMix employs an end-to-end bottleneck mixer to efficiently recover clean signals.
Fig. 2: Overview of ReLaMix. The model combines an information bottleneck projection with stacked mixing blocks and dense residual refinement for robust forecasting under ZOH-delayed observations.
Fig. 3: Qualitative visualization of ReLaMix signal recovery on PAXGUSDT. ReLaMix restores high-frequency K-line dynamics and trading volume variations under simulated ZOH delays.
Model
Type
Metric
Delay 15%
Delay 25%
Delay 35%
k=1
k=5
k=7
k=10
k=1
k=5
k=7
k=10
k=1
k=5
k=7
k=10
LSTM [ 9 ]
RNN
MSE
0.73306
1.003
1.073
1.194
0.74987
1.076
1.12
1.112
0.70363
1.166
1.176
1.094
MAE
0.61313
0.69925
0.78572
0.82405
0.65159
0.72386
0.81053
0.78591
0.61939
0.76006
0.84618
0.7905
R2
0.77519
0.70017
0.67701
0.6388
0.77004
0.67859
0.66273
0.66387
0.78422
0.65142
0.64606
0.66352
Params
51,781
53,081
53,731
54,706
51,781
53,081
53,731
54,706
51,781
53,081
53,731
54,706
GRU [ 10 ]
RNN
MSE
0.44374
0.5643
0.57861
0.65081
0.40418
0.6381
0.60754
0.63042
0.51218
0.59574
0.68202
0.72566
TABLE I: SOTA comparison and ablation results on PAXGUSDT under simulated ZOH delays. The best and second-best results are highlighted in red and blue , respectively. Ablation variants are excluded from the ranking.
Model
Type
Metric
Delay 25%
Delay 35%
k=5
k=10
k=5
k=10
LSTM [ 9 ]
RNN
MSE
0.0332
0.0307
0.0334
0.0305
MAE
0.0287
0.0297
0.0307
0.0302
R2
0.7700
0.7831
0.7681
0.7845
GRU [ 10 ]
RNN
MSE
0.0345
0.0309
0.0345
0.0306
MAE
0.0346
0.0341
0.0351
0.0305
TABLE II: SOTA results on BTCUSDT under simulated ZOH delays. Best and second-best results are highlighted in red and blue .
Stock price prediction remains challenging due to the non-stationary and noisy nature of financial time series. Existing deep learning models often rely on rigid decision-level fusion, ad hoc hyperparameter tuning, and compressed final-layer outputs, causing information loss, overfitting, and limited cross-market generalization. We propose VertiFuseX, a hybrid LSTM architecture using penultimate-layer vertical fusion of multi-scale temporal representations. VertiFuseX stacks and reweights penultimate features from LSTM, Bi-LSTM, and St-LSTM branches, integrates a parallel DNN stream, and jointly optimizes all components via backpropagation under a fixed hyperparameter configuration. This preserves richer intermediate temporal information across scales. Evaluated on 15 years (2010-2024) of closing prices from 10 global equity indices using strict chronological out-of-sample testing with the final 365 trading days held out, VertiFuseX achieves 30-54% MAPE reductions and over 40% improvements in MAE and RMSE versus LSTM-based baselines, and outperforms seven state-of-the-art models across 33 metric-dataset comparisons. Ablation studies confirm penultimate-layer fusion drives these gains over final-layer fusion and decision-level ensembling. Gradient-based saliency analysis shows consistent emphasis on mid-range dependencies at lags 9-15 days. Economic validation via algorithmic trading simulation under extreme market regimes shows reduced maximum drawdowns and superior risk-adjusted returns. With 675k parameters, a 2.6 MB memory footprint, and 1.5 ms/sample inference latency, VertiFuseX offers a lightweight, interpretable, deployment-ready framework for robust financial forecasting.
Aashish Bohra, Vivek Vijay
Department of Computer Science and Engineering, Indian Institute of Technology Jodhpur, Jodhpur, Rajasthan, India · Department of Mathematics, Indian Institute of Technology Jodhpur, Jodhour, Inida
Financial time series evolve across multiple temporal resolutions, challenging forecasting systems to incorporate newly available information without repeatedly recomputing unchanged representations. We introduce HARN, a Hierarchical Associative Resonance Network for event-driven multi-timeframe forecasting. HARN maintains persistent representations across temporal levels and updates each level only when its corresponding completed bar becomes available. The architecture combines causal multi-scale temporal encoding, gated associative memory, cross-level resonance, and hierarchical evidence aggregation, with forecasting performed in basis-point space and reconstructed to the original price scale. We evaluate HARN on four assets spanning equity, foreign exchange, and commodity markets using multiple random seeds and component ablations. HARN achieves competitive reconstructed-price forecasting errors against single-timeframe PatchTST and TimeXer baselines, while ablations reveal the effects of removing individual components across assets and timeframes. A code-level audit further examines consistency between the implementation and the defined event-driven causal protocol. The results position HARN as a persistent multi-timeframe forecasting framework rather than evidence of universal predictive superiority.
Financial time-series forecasting must capture price dynamics across heterogeneous assets while incorporating news available at prediction time. We introduce DualCast, a dual-path framework that extends a frozen language model with a discrete financial vocabulary. Each log-return patch is represented by a learned summary token and three residual shape tokens, preserving local drift and volatility while allowing shape patterns to be shared across assets. To improve codebook utilization, we develop adaptive frequency-equalizing residual vector quantization, which rebalances overloaded codewords without compromising reconstruction accuracy. The fast path trains only the new financial-token embeddings and output heads on a frozen Qwen3-8B backbone. A toggleable LoRA adapter enables a slow path that conditions on the fast forecast and news available at the forecast origin to produce a revised prediction. The reviser is initialized by supervised fine-tuning and further optimized with a return-space group relative policy optimization objective that rewards improvements over the fast forecast. In zero-shot evaluations covering equities and energy prices at five-minute, daily, and weekly resolutions, the slow path achieves the lowest mean absolute percentage error among the compared methods in 8 of 12 dataset-horizon settings, including every longest-horizon setting. News ablations indicate additional gains in most tested settings, although their magnitude varies across markets. DualCast thus combines a fast numerical forecaster with an optional text-conditioned revision mechanism.
Wentao Zhao, Hongqiang Wu, Shanghang Liu +3
Department of Automation, Tsinghua University, Beijing, 100084, China · School of Software, Tsinghua University, Beijing, 100084, China · School of Computer Science, Northwestern Polytechnical University, Xi’an, 710129, China +1