Financial Forecasting

Sampling stochastic signals supported on a graph underlies many graph machine learning tasks, including recommender systems, forecasting in financial markets, and wireless network optimization. In these settings, the target signals are realizations of unknown conditional distributions. However, prevailing approaches rely mostly on intricate, application-tailored designs that often regress to a conditional mean instead of sampling from the conditional law. This paper unifies such problems as conditional graph signal generative modeling and tackles them with a single denoising diffusion framework. We learn a reverse diffusion process, parametrized by graph neural networks (GNNs), that draws graph signals conditioned directly on the graph topology and on node-feature side information. The reverse process is realized by a novel architecture, the U-Graph Neural Network (U-GNN), which generalizes the image-convolutional U-Net to graph-structured signals. The U-GNN performs multi-resolution encoder--decoder processing in which pooling and unpooling reduce to a learned node selection, expressed by nested selection matrices, and a zero-padded lifting of coarse signals back to the full node set. The graph convolutions are carried out on the original graph, with a stride that sets their hop reach, so the U-GNN bypasses explicit graph coarsening at every resolution. We demonstrate our method on two generative tasks: stock price forecasting and optimal wireless resource allocation, with extensive numerical results in both domains.

In a deep forecasting pipeline for fat-tailed financial returns at short horizons, which matters more - the backbone architecture or the output head? We compare four modern backbones (TimesNet, DLinear, N-BEATS, iTransformer) under three output heads: a point head, a single-Gaussian density head, and a Gaussian mixture density head with K=4 components. On S and P 500 monthly log-returns (1871-2023) under anchored walk-forward validation, the three heads form a strict gradient: switching from point to Gaussian improves CRPS by about 1.3 percent; switching from Gaussian to mixture adds a further about 2.4 percent. Switching between backbones, in contrast, changes CRPS by less than 1.5 percent on the point-head row and on the backbone-mean axis; density-head backbone spread is larger (up to 5.1 percent on the h=1 Gaussian row, driven by N-BEATS) but the head gradient (3.7 percentage points) still dominates. The Model Confidence Set on squared errors does not exclude any of the 12 variants at the 5 percent level: the head separates them only on distributional metrics (CRPS, pinball, coverage), not on squared error. The mixture head incremental value over a single Gaussian is largest in the highest-volatility regimes (13.9 percent in 1970s stagflation at h=12), confirming the mixture captures tail risk beyond what a unimodal Gaussian can express. The picture is horizon-dependent: the head dominates at short horizons, but at long horizons (h >= 6) the backbone re-takes the lead - an h-split we document against classical baselines (section 5.1). We conclude that on fat-tailed returns at short horizons, the head dominates the backbone, and the mixture distribution adds genuine value over a single Gaussian during crisis periods when risk-management decisions actually matter.

In financial forecasting, predictive performance depends not only on which model is trained, but also on how the trained model is deployed. We study this issue in multi-horizon volatility forecasting. Our starting point is that a trained multi-output (MIMO) forecaster does not define a single deployable predictor: by changing the inference-time rollout rule, the same trained model induces a family of forecasts with different accuracy and cost profiles. Across 20 stock-volatility series, three forecast horizons, and architectures ranging from linear models to PatchTST, we find that non-default rollout rules often improve over standard MIMO deployment. However, the best fixed rule varies substantially across architectures and horizons, making any single static replacement unreliable. We therefore evaluate validation-based deployment policies over the induced rule family. Under the primary MSE objective, validation-selected singletons provide a low-cost improvement over default MIMO, while small rule subsets recover much of the benefit of larger ensembles at substantially lower inference cost. We also find that policy rankings are metric-sensitive: MSE-selected policies do not transfer uniformly to QLIKE, a finance-standard volatility loss. These results show that inference-time deployment is a meaningful source of adaptiveness in financial forecasting, and that trained volatility forecasters should be evaluated not only by their architecture, but also by their deployment policy.

Financial decision-making is contextual: forecasting prices, valuing companies, and assessing event exposure weigh price history, accounting fundamentals, macroeconomic regime, and contemporaneous text. A benchmark over these four signals is hard to build because finance violates four assumptions of time-series evaluation: text must be gated by its publication date to prevent look-ahead, quarterly fundamentals are reported with a one- to ninety-day lag, filing text is partly redundant with the numerical statement fields it accompanies, and macroeconomic regimes leak across calendar splits. No public benchmark addresses all four signals jointly. MacroLens covers 4,416 U.S. small- and micro-cap equities over 2021-2026. Seven tasks share one point-in-time panel of prices, 46.8M XBRL accounting facts, 53 macroeconomic series, 295,860 SEC filings, and 215,882 news articles, plus a scenario layer of 1,130 macroeconomic events across 49 types automatically detected and rendered as natural language. Tasks span contextual forecasting, public and private valuation, statement generation from fundamentals and descriptions, scenario-conditioned returns, and real-estate valuation. We evaluate 19 methods across six families spanning naive heuristics through time-series foundation models, fine-tuned LLM-based time-series models, and zero-shot large language models (LLMs), plus a five-step feature-context ablation on two frontier LLMs and a gradient-boosted baseline. MacroLens is released at https://huggingface.co/datasets/DeepAuto-AI/MacroLens.

Financial time series forecasting presents structural challenges absent from standard benchmarks. Log-returns are non-stationary, exhibit exceptionally low signal-to-noise (SNR) ratios, and are governed by regime-dependent temporal dependencies. We identify a key limitation of state-of-the-art (SOTA) time series models in financial settings. A fixed context window is mismatched to the time-varying optimal look-back of non-stationary price processes. We propose the Regime-Aware Variable-context Expert Network (RAVEN), a Mixture-of-Experts framework designed to adaptively determine the temporal context for each input sample. Instead of relying on a fixed look-back horizon, RAVEN constructs a hierarchy of nested contiguous windows whose lengths are determined by the data itself. Specifically, RAVEN scores patches by learned importance in reverse chronological order and applies the Cumulative Importance Thresholding (CIT) mechanism to derive nested prefix windows, each routed to a scale-specialized expert. A Global Compressed Representation (GCR) branch runs in parallel over the full context, preserving global temporal coherence that local experts cannot guarantee. Because the nested routing induces structured overlap among expert inputs, we introduce a Correlation-Aware Weighting (CAW) to align variable-length expert outputs and penalize pairwise cosine similarity prior to aggregation. Experiments on cumulative log-return prediction (HS300, S&P500) and fund sales forecasting demonstrate that RAVEN achieves SOTA performances, improves Pearson correlation by 9.2% on HS300 and 20.2% on S&P500, and reduces MSE by 18.2% on fund sales forecasting, while achieving the best results in 14 of 16 metrics on four PEMS traffic benchmarks.

Forecasting benchmarks for retrieval-augmented LLMs routinely confound model capability with information leakage: features labeled with a target's timestamp are often not observable at the system's decision time. We study leakage-controlled equity factor ranking with a retrieval-augmented 7B open-source LLM forecaster. At each month-end from 2023-04 to 2026-03, the forecaster observes only decision-time information: lag-shifted FRED macro variables, recent macro-event summaries, and the Cleveland Fed's archived daily CPI nowcast for unreleased current-month inflation. A macro-analog retrieval module selects historical states, a critic LLM compresses them into one tactical rule, and an actor LLM maps the current state and recent rules into scores for seven U.S. equity style factors. The full pipeline obtains a median monthly Spearman rank IC of +0.154, with positive means across three non-overlapping contiguous 12-month subwindows; the mean IC remains statistically underpowered, with a bootstrap 95% confidence interval that includes zero. Non-LLM baselines under the same decision-time constraint demonstrate that a kNN macro-analog model recovers a comparable median IC, indicating that real-time inflation information and macro-similar retrieval explain much of the median signal. The LLM pipeline retains higher mean IC and a stronger long-short allocation sanity check, suggesting that any marginal benefit is concentrated in the extreme rankings that drive long-short portfolio formation. A descriptive audit of the 36 critic rules and per-month case studies appears in the appendix.

As high-quality public web corpora become increasingly exhausted, clean long-context documents have become a scarce and expensive source of training data for large language models (LLMs). Existing long-context corpora are often proprietary and costly to acquire, synthetically generated, or concentrated in narrow domains such as programming. We introduce the Stanford EDGAR Filings Dataset (SEFD), an open reconstruction of SEC filings into layout-faithful MultiMarkdown for financial language modeling and evaluation. SEFD makes audited financial statements, risk disclosures, ownership reports, accounting notes, and market-moving event filings usable as long-context pretraining data and as a basis for financial reasoning, forecasting, compliance, and document understanding. The resulting corpus is token-efficient, model-ready, and has less than 0.1% overlap with Common Crawl-derived corpora. We release SEFD-v1, a 152B-token initial public snapshot, and provide corpus-level analyses of a larger 18.5M-filing archive estimated at 550B tokens. We further introduce two SEFD-derived benchmarks: EDGAR-Forecast, which evaluates filing-grounded numerical forecasting after model knowledge cutoffs, and EDGAR-OCR, which evaluates transcription of complex financial tables.

Can financial news reliably predict short-term stock movements? Despite advances in large language models, this question remains unresolved. We revisit this problem using a zero-shot natural language processing framework, investigating whether models can extract actionable signals from financial news without domain-specific training. We design a structured pipeline that combines zero-shot natural language inference with temporal aggregation, explicitly modelling recency and event-dependent impact horizons when integrating information across articles. To address the need for transparency in high-stakes settings, we introduce a multi-layered explainability framework that links predictions to token-level, article-level, and aggregate evidence, and produces grounded natural language rationales. Across multiple models and prediction horizons, we find that zero-shot approaches consistently fail to outperform simple baselines, with particularly weak performance on negative movements, suggesting deeper structural limitations in mapping news sentiment to short-term price dynamics. However, explainability signals reliably distinguish between trustworthy and unreliable predictions, offering practical value even when accuracy is limited. These findings highlight the limits of zero-shot financial NLP and motivate a shift toward decision-support systems that prioritise transparency and uncertainty awareness. Code: https://github.com/alimert05/zero-shot-stock-xai

Financial forecasting is difficult due to low signal-to-noise ratios, latent factors, heavy tails, regime shifts, and jumps. Real-world benchmarks offer limited failure attribution: researchers can observe underperformance, but often cannot isolate why because mechanisms are unobservable and entangled. Real financial data reveal only one realized path, making it difficult to assess tail-risk calibration or data efficiency. We introduce FinStressTS, a mechanism-aware synthetic benchmark that links model behavior to controlled structural causes. FinStressTS comprises 30 diagnostic environments around six mechanism families: volatility clustering, multi-scale persistence, heavy-tailed shocks, regime switching, self-exciting jumps, and zero-inflated processes. We evaluate two tasks: point forecasting, using NMAE across five settings, and probabilistic forecasting, using CRPS under known data-generating mechanisms. We benchmark 15 models, from classical methods (HAR, VAR) to Transformer forecasters (PatchTST, iTransformer) and deep probabilistic architectures (DeepAR, TSFlow), and use learning curves to measure sample efficiency. Our evaluation reveals three insights. First, performance is mechanism-dependent: autoregressive and linear models are highly competitive, and often outperform Transformer-based models, in several volatility-, tail-, and jump-driven environments. Second, distributional alignment matters: parametric probabilistic models such as DeepAR calibrate well in stationary settings, while flexible models can help when distributions become multimodal or sparse. Third, neural models often require more data to match simple baselines, with larger gains mainly when learning latent regimes or complex distributions. FinStressTS provides an open framework for diagnosing failure modes and advancing risk-aware forecasting.

Incorporating news into time series forecasting is appealing because news can reveal abrupt exogenous events that historical values alone cannot recover. However, existing LLM-based news-forecasting pipelines face two practical limitations: relevant news articles often exceed the model's context window, and iterative retrieval of supplementary news is typically unguided, leading to redundant updates and slow convergence. We address these issues with a novel framework that combines importance-aware news compression and process-level retrieval supervision. First, we train an importance reward model that estimates the forecasting utility of each article and uses this signal to allocate compression budgets during sequential pairwise fusion, preserving informative content within a fixed context limit. Second, we introduce a process reward model (PRM) that ranks multiple supplementary-news candidates conditioned on the current error profile and the history of previously selected articles, replacing one-shot blind retrieval with quality-controlled selection. Both components are trained offline using historical data with ground truth; inference uses the frozen filtering logic and compression modules without any reflection loop. Experiments on finance, energy, traffic, and bitcoin forecasting benchmarks show that our method improves prediction accuracy over strong baselines, significantly reduces the number of refinement iterations compared to the iterative baseline, and remains effective when relevant articles span thousands of tokens.

Financial retrieval-augmented generation (RAG) systems typically rank evidence by textual relevance, but in financial markets evidence utility depends on event type, forecast horizon, and market context. We study news-triggered event-impact prediction as a point-in-time financial RAG problem. For each company-news anchor, the system retrieves financial news and SEC filing passages, appends a pre-decision market-context card, and predicts multi-horizon residual-return signals. Our method keeps the LLM frozen and adapts retrieval through an external Bayesian source memory updated from matured residual-return feedback. On a fixed 89-stock Nasdaq-oriented universe derived from the FinRL-DeepSeek/FNSPID task, using original FNSPID news and point-in-time EDGAR filing passages, Frozen Reader with Source Memory improves held-out macro-F1 from 0.438 to 0.471 and downstream portfolio Sharpe from 0.52 to 0.84 relative to Frozen Reader with No Memory. Supervised LoRA gives modest gains under static retrieval, but after source-memory adaptation, the LoRA reader does not improve over the frozen reader. These results suggest that, for financial RAG systems, learning where to retrieve can be as important as learning how to read, offering a modular route to market-feedback adaptation.

Accurately forecasting the impact of salient financial events on markets is critical for investors and policymakers. However, existing multimodal time-series models typically fuse text and prices symmetrically, without an explicit way to decide when event text is truly predictive, and thus struggle to exploit the directional event-to-price structure and the heterogeneous roles of textual and price signals. In this work, we propose GS-Fuse, a multimodal event-based forecasting framework that employs (i) a Granger-supervised, causal-aware gated fusion module, which learns to open toward event text only when it provides incremental predictive value beyond historical prices, and (ii) a multi-granularity alignment mechanism that jointly aligns high-level event representations and fine-grained textual cues with future market trajectories. Built as a flexible, plug-and-play adapter on top of off-the-shelf large language models and time-series foundation models, GS-Fuse can be instantiated across diverse backbones and market settings. Extensive experiments on real-world financial datasets show that GS-Fuse consistently outperforms state-of-the-art time-series and multimodal baselines across multiple assets and forecasting horizons.

Large Language Models (LLMs) are increasingly applied to forecasting. To evaluate this capability while mitigating pre-training data contamination, several living benchmarks have been proposed. However, existing benchmarks either lack the multidimensional events essential for accurate forecasting due to data scarcity, or focus on relatively closed environments. To assess the predictive capabilities of LLMs in complex, real-world scenarios, we propose LEAF, the first living benchmark for event-augmented forecasting tasks, including future event probabilities, trend and time series forecasting. LEAF utilizes a recursive retrieval agent system paired with dual-agent cross-validation to provide comprehensive and relevant auxiliary text for forecasting. Evaluating state-of-the-art proprietary and open-weight LLMs, we find that these models can leverage signals extracted from complex events to enhance predictive performance. In the stock domain, we find that LLMs achieve better performance on equities they confidently identify as more predictable. Furthermore, the events demonstrate a strong correlation with the target equities. To this end, LEAF provides a necessary, dynamically updating testbed to continuously track and drive progress in event-driven forecasting tasks.

Using Chronos-2, an open-source time-series foundation model, we evaluate pretrained time-series models for economic and financial forecasting with an emphasis on whether multivariate (MV) inputs improve accuracy relative to univariate (UV) baselines. The study covers two panels -- the Magnificent-7 equities and U.S. Treasury interest rates -- as well as a combined panel, using rolling monthly evaluations from 2000--2025. We vary input window lengths and forecast horizons and report RMSE and MAPE. Across datasets, MV forecasts consistently outperform UV forecasts, with especially strong gains for interest rates and meaningful improvements for equities. Series-level comparisons show MV improvements in every case, and error dispersion is generally lower under MV inputs. We also provide parameter-heatmap and time-series visualizations. However, mixing time series across equity and interest rate markets reduces forecast accuracy, indicating that adding noisy context degrades model performance. Overall, the results indicate that foundation models can leverage cross-series information to improve forecast accuracy in finance, and that the benefits are strongest when related series are modeled jointly under disciplined rolling protocols. Other than using an open-source foundation model, this paper also showcases how AI may be used for financial research.

This paper reflects on a AI research project carried out by a team of high-school and early-undergraduate students under the mentorship of graduate researchers and ably assisted by AI tools. We share our experience in not only on the learning experience for the high school students, but also on how AI tools accelerated the process that enabled the high school students to focus on higher order problem formulation and solution. Although the participants entered the project with limited background in both AI and finance, they showed strong enthusiasm for technical market analysis and ETF price prediction. Traditional learning settings would first teach the necessary methods in a classroom setting and only later let students apply them. In contrast, our project emphasized workflow design: students identified the sequence of steps needed to address the problem and then used AI-driven tools to execute each step. We note that the high school students developed the necessary code through iterating with the AI tools, and we used our daily stand-ups to debug and answer conceptual questions. Each of the student was able to dig deeper into their area of interest whether computer science or finance, while collaboratively making a significant advance over the summer of 2025. This project was an important pedagogical exercise on how AI tools can be used for mentoring high school students, allowing them to focus on their specific interests and using the daily stand-ups to focus on problem definition and conceptual understanding. Despite their limited technical qualifications, the students were able to leverage AI tools to build meaningful models with real-world application.

Financial market forecasting is inherently uncertain, yet most deep learning approaches rely on point predictions that provide only single-value estimates without quantifying uncertainty. Such predictions are insufficient for risk-aware decision-making, as they fail to capture the range of possible outcomes and the associated confidence of forecasts.The problem can be solved using prediction intervals, which allow obtaining an upper and lower bound for the prediction, thus enabling uncertainty representation in the model. Yet, the current methods tend to disregard relationships between assets or cannot simultaneously ensure good calibration and sharpness of the resulting intervals in dynamically changing market regimes. In our work, we propose a spatio-temporal graph-based approach with a bi-level chaotic fusion technique to solve this problem. Our model uses separate nonlinear transformation functions to estimate the interval center and width. Additionally, a volatility-aware gating mechanism is used to make predictions dependent on the regime in which the market operates. Temporal dependencies are considered by embedding graph structures and sequentially modeling them. Training is conducted according to a Lower-Upper Bound Estimation (LUBE) objective. Our experimental results show significant improvements compared to existing baselines (LSTM, GRU, GCN, HGNN) when applied to data from 2016 to 2026 with 43 leading companies in eight sectors of the NSE. It provides the lowest Winkler score (0.0778), tightest prediction intervals (PIAW = 0.1407), and highest coverage (PICP = 96.6%), with all differences statistically significant (p < 0.001) according to the Diebold-Mariano test.

Time series models predict numbers; decision-makers need advisory -- directional signals with reasoning, actionable suggestions, and risk management. Training language models for such predictive advisory faces a fundamental challenge: quality depends on outcomes unknown at prediction time. We bridge two ideas from reinforcement learning -- using information unavailable during execution to retrospectively generate training signal, and preference alignment -- and propose Hindsight Preference Optimization: observed outcomes let an LLM judge rank candidate advisories on dimensions that scalar metrics cannot capture, producing preference pairs for DPO without human annotation. We apply this to Vision-Language-Model-based predictive advisories on S&P 500 equity time series, demonstrated by a 4B model outperforming its 235B teacher on both accuracy and advisory quality.

We study how generative artificial intelligence (GenAI) reshapes financial analysts' information production. Using the 2023 integration of GenAI into FACTSET as a plausibly exogenous change in AI access, we find that FACTSET-associated reports become markedly richer--featuring 26% more distinct information sources, 24% broader topical coverage, and 21% more analytical methods--while also improving timeliness. However, these gains do not uniformly improve decision quality: relative forecast accuracy declines when analysts face greater information-processing demands. Yet, a machine-learning benchmark processing the same observable inputs shows no analogous deterioration, pointing to a human processing constraint rather than poorer underlying information. Placebo tests using other data vendors make a common platform-wide technology trend unlikely. Overall, GenAI relaxes information-acquisition constraints while making human attention a more important bottleneck.

We examine whether financial news can improve realised volatility forecasting using a parsimonious NLP-based framework that incorporates specialised financial word embeddings alongside general-purpose alternatives. News-only forecasts contain useful predictive information but generally do not outperform strong volatility-history benchmarks. Crucially, combining stock-related news forecasts with a strong volatility-history benchmark lowers forecast losses for several specifications and increases realised utility, providing evidence consistent with forecast complementarity. Performance varies across news types, embedding representations, and volatility regimes. SHAP attributions associate forecast variation with economically interpretable firm-specific and macroeconomic news themes.