Financial Time Series

Follow this topic Ask about this topic

Momentum

3 papers in the last four weeks, down 57% on the four weeks before. 0.0% of all new papers.

Jul 13Week of Sep 28

Latest papers 63

Oct 7, 2026cs.LG

HAN-Mamba: Hierarchical Selective State Space Networks for Multi-Scale Financial Volatility Forecasting

Short-horizon realized volatility forecasting requires the integration of market information that evolves at incompatible temporal resolutions, from second-level order book dynamics to weekly regime drift. Our conference work introduced HAN-T, a hierarchical architecture in which scale-specific Transformer encoders process short, mid, and long-horizon streams and a learned attention fuser weighs their contributions. This article replaces the quadratic attention encoders with selective state space (Mamba) encoders while retaining attention only in the fuser, where the input is a three-token set rather than a long sequence. The resulting hybrid, HAN-Mamba, summarizes each stream through a recurrent state whose input-dependent gating matches two structural properties of volatility: persistent but decaying memory and abrupt regime shifts. On the Optiver Realized Volatility Prediction benchmark under time-aware five-fold cross-validation, HAN-Mamba improves mean RMSPE over HAN-T (0.1942 vs. 0.1965) with 33% fewer parameters. Its linear-time encoders further allow the high-frequency context to be extended from 60 to 240 buckets, reducing error to 0.1927 where the attention variant saturates, and support constant-time streaming updates at inference. Ablations attribute the gains to the encoder swap, confirm that the hierarchical prior transfers across sequence-model families, and show that the permutation-invariant attention fuser remains the correct mechanism for cross-scale integration.

Mihai Bogdan Deaconu, Ioan Daniel Pop

Faculty of Mathematics and Computer Science, Babeş-Bolyai University, Cluj-Napoca, Romania

Time Series Forecasting Financial Time Series Multiscale Time-Series Modeling Finance Selective SSMs

Oct 6, 2026cs.LG

Towards Financial World Modeling

Building a world model requires a state representation useful for planning and decision-making---potentially over tasks unknown at training time. In the context of financial markets, planning and decision-making may require a model to reason about market-wide conditions, asset-specific expected returns, liquidity, volatility, and cross-asset relationships. Yet financial representation learning has largely been evaluated on individual predictive tasks, oftentimes on a single time period using comparatively narrow datasets. We address this through three primary contributions. First, we introduce Market-1T, a dataset containing nearly one trillion observations across U.S. equities from 2008 to 2025 at 1 Hz resolution. Second, we develop and implement a rigorous evaluation protocol. Third, we conduct a systematic large-scale study of financial representation learning, comparing 18 encoder-training strategies across nearly two decades of market regimes. We evaluate learned representations both by their predictive utility on common finance tasks and through probes of latent structure. We find that encoders with similar predictive performance can organize market state very differently. Collectively, we establish a foundation for training and evaluating financial market representations in support of world models such as DINO-WM, V-JEPA 2, and LeWM.

Humzah Merchant, Alec Guthrie, Simon Mahns +2

University of Chicago · Johns Hopkins University · Brown University

Representation Learning Time Series Representation Learning Financial Time Series World Model Learning

Oct 5, 2026cs.LG

StaFIR: Convex Learning of Stationarity-Aware Causal Filters

Reducing nonstationarity in a persistent time series entails deciding how much of its temporal dependence to remove. In finance, fractional differencing is often tuned using the Augmented Dickey--Fuller (ADF) test, limiting the search to a one-parameter family of lag profiles and addressing input preservation only indirectly. We propose StaFIR, a causal finite-impulse-response filter with a learned nonnegative mixture of exponential lag profiles. Its convex learning objective balances empirical stationarity with similarity to the input. We evaluate StaFIR on ARFIMA--GARCH controlled settings and rolling financial series, including a realized-volatility forecasting task. The experiments show that StaFIR adjusts its filtering strength to persistence while limiting unnecessary transformation in stationary regimes. In downstream forecasting, there is no clear accuracy difference from fixed half-order differencing, while StaFIR achieves higher measured similarity to the raw signal. A complementary direct forecasting experiment finds that greater input similarity is associated with smaller forecasting penalties, although the raw representation remains stronger.

Lorena Egger, Mathis Linger

Drakai Capital Paris

Time Series Forecasting Financial Time Series Non-Stationary Time Series

Sep 14, 2026cs.LG

VertiFuseX: Generalizable Financial Forecasting via Multi-Stream Temporal Fusion

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 Forecasting Non-Stationary Time Series Forecasting Long Short-Term Memory Networks Financial Time Series Feature Fusion

Sep 14, 2026cs.AI

A Hybrid LSTM-XGBoost Framework for Multi-Horizon Stock Return Prediction Across Diversified Equity Portfolios

Accurate prediction of equity returns remains a major challenge in computational finance due to the non-stationary, nonlinear, and low signal-to-noise ratio nature of financial time series. This paper proposes a hybrid two-stage architecture that combines a long short-term memory (LSTM) network with an XGBoost gradient-boosted regressor for multi-horizon stock return prediction across a diversified panel of 14 U.S. equities spanning six industry sectors. The LSTM component, comprising two stacked layers with 64 hidden units, processes 60-day sliding windows of five sequential market features to produce 64-dimensional temporal embeddings that encode learned sequential market dynamics. These embeddings are concatenated with 14 hand-crafted technical indicators to form a 78-dimensional hybrid feature vector, which is subsequently passed to an XGBoost regressor tuned via 3-fold cross-validation grid search. The framework is trained on a multi-stock pooled corpus using strict chronological splits and per-stock MinMaxScaling to prevent look-ahead bias, and evaluated across four prediction horizons of 30, 90, 252, and 365 trading days. Experimental results demonstrate that the hybrid model achieves a test RMSE of 0.0949 on the 30-day horizon, roughly one-third that of the standalone LSTM baseline, while marginally matching or surpassing the XGBoost-Only baseline across the majority of stocks. Directional accuracy rises with horizon length, reaching 97.6% at 365 days; we show, however, that this largely tracks the high base rate of positive long-horizon returns in the sample, and we therefore benchmark directional accuracy against a naive always-positive predictor and treat the above-base-rate gap at short horizons as the more informative signal. A composite investment scoring framework derived from multi-horizon predictions is further proposed to support portfolio ranking and decision support.

Seif ElDein Mostafa, Yahia Ahmed, Farah Datwish +1

Faculty of Computer Science MSA University Giza, Egypt

Financial Forecasting Time Series Forecasting Financial Time Series

Sep 12, 2026cs.AI

CryptoL: Towards Scale Dominance and Physics Constraints Mitigation in Financial Multivariate Time Series Forecasting

Cryptocurrency forecasting presents a distinctive combination of extreme cross-asset scale heterogeneity, non-stationary dynamics, and structural dependencies among Open, High, Low, and Close (OHLC) variables. We present CryptoL, a unified framework designed to address these challenges within multivariate time-series forecasting. CryptoL evaluates forecasting error in context-normalized coordinates within the RevIN pipeline, preventing inverse normalization from introducing an additional squared-scale weighting into the MSE objective. We formally characterize this effect through the empirical risk and parameter-gradient geometry, establishing the conditions under which large-scale assets can disproportionately influence shared-model optimization. Beyond loss-space normalization, CryptoL examines channel-independent and channel-dependent normalization for OHLC data, showing that a shared channel-dependent affine transformation preserves candle-order relations that independent channel transformations need not preserve. The framework further incorporates scale-adaptive numerical stabilization to reduce distortions caused by a fixed normalization constant across assets spanning many orders of magnitude, together with a soft feasibility loss that penalizes violations of the defining OHLC inequalities. Experiments across heterogeneous cryptocurrency assets evaluate these components through controlled ablations and demonstrate improvements in forecasting accuracy, training stability, and the frequency of financially valid OHLC predictions relative to the considered baselines. CryptoL therefore provides an integrated approach to scale-balanced optimization, structure-preserving normalization, numerical stabilization, and constraint-aware cryptocurrency forecasting.

Yalda Taheri, Mohammad Hassan Heydari, Armon Rasooli +3

Multivariate Time Series Forecasting Financial Forecasting Time Series Forecasting Financial Time Series

Aug 30, 2026cs.AI

An Open-Source, Event-Driven Pipeline for Cryptocurrency Market Data: Ingestion, Forecasting, and On-Chain Fraud Detection

Cryptocurrency markets generate high-frequency, multi-source data that is expensive to work with unless a team already has commercial-grade streaming and warehousing infrastructure in place. This paper describes a fully open-source pipeline that reproduces the behavior of a cloud-native, event-driven system -- file arrival triggering a message, a message triggering compute -- entirely on commodity hardware, using Apache Kafka and a filesystem-watching poller in place of managed cloud triggers. The pipeline partitions historical Gemini exchange data into hourly and minutely files, ingests them asynchronously through two independently grouped Kafka consumers (one for audit logging, one for Spark-triggered ETL), and lands cleaned output in a PostgreSQL warehouse with historical and aggregated schemas plus asset-specific data marts. We use the resulting Bitcoin data mart to compare a seasonal ARIMA model against a single-layer LSTM network for price forecasting, and separately apply Random Forest and Gradient Boosting classifiers, with additional engineered features, to the public Ethereum fraud detection benchmark introduced by Farrugia et al. We report the architecture, the modeling methodology, and the resulting metrics, and we are explicit about the limitations of comparing forecasts issued at different horizons and of evaluating fraud detection on a static, already-labeled dataset.

Basil Sajid Shaikh, Melrick Mascarenhas, Nuzhat Faiz Shaikh

Seattle, WA, USA · San Diego, CA, USA · Pune, India

Financial Fraud Detection Financial Time Series

Aug 12, 2026q-fin.MF

DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces

This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage. Our model is designed to generate entire paths of daily spot and option prices for years in the future. We present a robust and useful if somewhat simplistic baseline in the form of an AR(1) model. We discuss model setup, data pipeline, and training and investigate market reconstruction, stability, and tail behavior. We illustrate model performance on 891 Option Metrics IvyDB S&P Index surfaces from 2022-01-03 through to 2025-08-29. We also demonstrate how to construct numerically a risk-neutral density. As part of this we develop a new test for zero conditional means under a given measure. We show that for 100,000 simulated paths a trading universe of 48 options and spot is numerically free of dynamic arbitrage.

Hans Buehler, Blanka Horvath, Anastasis Kratsios +1

Mathematical Institute and Oxford-Man Institute, University of Oxford. · McMaster University and Vector Institute.

Quantitative Finance Generative Modeling Financial Time Series

Aug 12, 2026cs.LG

Calibration Bets on the Past: Post-Training Quantization for Financial Time-Series Forecasting

Financial forecasting models are typically developed in full precision, yet production deployment often requires low-precision inference to reduce memory and computational cost. Post-training quantization (PTQ) enables such deployment without retraining. However, reliable activation quantization requires calibration: activation ranges are estimated from historical data before deployment and then remain fixed during future inference. The importance of this deployment choice for financial forecasting remains poorly understood. We present a systematic study of activation calibration for PTQ in cross-sectional volatility forecasting on the S&P 500. Our evaluation covers seven representative neural architectures, eight walk-forward test years (2018-2025), and 560 trained models. We find that activation calibration has little effect at 8 bits but becomes the primary determinant of predictive performance at 4 bits. Under default absolute-maximum (abs-max) calibration, static 4-bit quantization of both weights and activations removes 11-62% of the full-precision mean information coefficient in affected architectures. Replacing abs-max with percentile calibration recovers 53-94% of this degradation in the four most affected architectures. The preferred activation range also varies across market periods. Narrow ranges improve resolution under typical market conditions but lose part of their advantage when test-period market dispersion exceeds the calibration history. These findings show that activation calibration is a first-class deployment decision for reliable 4-bit PTQ in financial forecasting. When substantial degradation remains, 8-bit activations or weight-only 4-bit quantization provide more robust deployment choices.

Junyi Ye, Ivy Gateri Wanjiku

School of Computing, Montclair State University · Montclair, New Jersey, USA

Financial Forecasting 4-Bit Quantization Time Series Forecasting Activation Quantization Financial Time Series Post-Training Quantization

Aug 12, 2026q-fin.ST

Regime-Gated Residual Mixture-of-Experts for Cross-Sectional Volatility Forecasting

Financial volatility is regime dependent, yet incorporating regime information into neural networks can also destabilize training. This paper asks where such information should enter a neural cross-sectional volatility forecasting model. We study five-day realized-volatility forecasts for 1,027 U.S. equities using a rolling walk-forward evaluation framework in which information, model capacity, hyperparameter tuning, and random seeds are matched across architectures. We propose RG-ResMoE, a regime-gated residual mixture-of-experts architecture in which regime information is used only for expert routing rather than for direct forecasting. The base predictor models volatility from stock features, while a gating network uses regime state variables to route residual corrections. RG-ResMoE consistently outperforms a capacity-matched MLP in both forecasting accuracy and training stability in the main U.S. study. Similar gains are observed on an independent Japanese panel. The integration pathway is decisive: appending the same regime variables directly to the forecasting input degrades both predictive performance and training stability, whereas restricting them to the routing gate improves accuracy and Value-at-Risk calibration. Hard routing consistently underperforms soft routing. The results suggest that, in compact neural volatility forecasting models, the primary value of mixture-of-experts models lies less in increasing model capacity than in controlling how nonstationary regime information influences prediction.

Junyi Ye, Gargi Vijay Borde

School of Computing, Montclair State University · Montclair, New Jersey, USA

Quantitative Finance Non-Stationary Time Series Forecasting Financial Time Series Mixture-of-Experts Models

Aug 12, 2026q-fin.CP

AI-Driven Multiscenario Interest Rate Forecasting: A Proof of Concept for Banking Asset Management

This study focuses on developing an AI-supported prototype for multiperspective interest rate forecasting that combines classical econometric models with modern artificial intel-ligence methods. Tested in a major European bank, the system enables more precise and flexible prediction of interest rate developments, supporting strategic decision-making in Asset-Liability Management (ALM). It integrates topic modeling, sentiment analysis, econometric forecasting, and market-based analyses within an interactive platform. Leveraging AI to analyze large volumes of financial documents and market data enables the identification of monetary policy trends and sentiment signals at an early stage. The core econometric model is a Bayesian vector autoregression (BVAR) that enables simulation-based scenario analyses to evaluate economic developments from multiple perspectives. The system's innovation lies in its integration of several forecasting approaches that consolidate previously separate information sources and present them transparently and interpretably. Financial analysts and risk managers thus gain a better basis for making decisions, allowing them to assess interest rate risks more accurately and manage market movements more proactively. While the prototype demonstrates how AI can transform interest rate management in banking, further development is required to optimize real-time data integration and regulatory compliance. Even at this stage, the study shows that multi-perspective, AI-driven forecasting provides substantial added value for banks by increasing transparency, strengthening evidence-based decision-making, and improving risk management.

Ekkehardt Bauer, Dirk Holländer, Linus Wolff +3

zeb.rolfes.schierenbeck.associates Ltd. · zeb Institute for Financial Services, University Witten/Herdecke

Multivariate Time Series Forecasting Financial Time Series Finance

Aug 12, 2026cs.CL

LabelFusion-TS: Fusing Large Language Models, Transformer Encoders, and Financial Time Series for Monetary-Policy Stance Classification

Financial text is produced and interpreted within a market environment, yet financial text classifiers almost always receive text alone. We study whether financial time series are useful as an additional input on the task of classifying sentences from Federal Reserve communication as hawkish, dovish, or neutral. Our system, \lfts{}, extends the \lf{} architecture with this modality: a small voting network combines three independently trained components, a fine-tuned RoBERTa encoder, a prompted large language model (LLM), and a fused ensemble of time-series transformers over the market series of the months preceding publication. Because only about a thousand annotated sentences are available for training, the RoBERTa encoder is first pre-trained on sentences annotated automatically by the LLM and only then fine-tuned on the human labels. Trained on Federal Open Market Committee (FOMC) communication up to 2015 and evaluated on 2015--2022, the fused system achieves 70.2% weighted F1 -- against 64.1% for the zero-shot LLM -- and overtakes it with as few as 240 human-labelled sentences. We take this as initial evidence for market time series as an input modality in financial text classification.

Michael Schlee, Fabian Lukassen, Christoph Weisser

Centre for Statistics, Georg-August-Universität Göttingen, Germany · Hochschule Bielefeld (HSBI) - University of Applied Sciences and Arts, Bielefeld, Germany

Financial Sentiment Analysis Financial Time Series

Aug 11, 2026cs.LG

Long-Horizon Forecasting of Complete Financial Statements with Forma

Specialist training beats generalist scale when forecasting financial statements. To our knowledge, no prior work jointly forecasts complete financial statements beyond one year, yet in a discounted-cash-flow valuation most firm value sits past that window. We release ProForma-20Q, a reproducible benchmark for forecasting 78 statement line items 1-20 quarters ahead, for anonymized firms, from past statements and an industry code, scored by change-space

R^2

. On it, Forma, a transformer that reads statements as sets of (account, quarter, value) tuples and maximizes a masked-tuple Gaussian likelihood, beats every competitor we field: classical machine learning, chained gradient boosting, a zero-shot time-series foundation model, and frontier large language models. Its lead widens with horizon, where valuation needs accuracy most, and its Gaussian predictive intervals never under-cover. Forma's forecasts nearly satisfy accounting identities; exact coherence is recoverable at no statistically significant accuracy cost. Its tuple interface supports scenario analysis without retraining, and we show that pinning future revenue paths sharpens the rest of the statement.

Travis L. Johnson, Jiannan Jiang, Soumyabrata Chaudhuri +3

University of Texas at Austin, Austin, TX, USA

Long-Term Time Series Forecasting Financial Forecasting Forecasting Benchmarks Financial Time Series Probabilistic Time Series Forecasting

Aug 9, 2026cs.LG

Hybrid Neural-Classical Correction for Frozen Time Series Foundation Models: A Comprehensive Ablation Study on High-Frequency Stock Prediction

Foundation models for time series forecasting demonstrate impressive zero-shot generalization but often underperform on specialized domains such as high-frequency finance. We present a comprehensive study of hybrid neural-classical correction for adapting frozen TimesFM (200M parameters) to stock return prediction during the volatile opening trading hour. We compare two neural correction architectures - AttnCorrect (multi-head self-attention, approximately 471K parameters) and GatedLinear (low-rank bilinear projection with gating, approximately 49K parameters) - each augmented with Random Forest residual learning. Through systematic ablation across 10 major technology stocks (NVDA, MSFT, AAPL, GOOG, GOOGL, AMZN, META, AVGO, TSLA, NFLX) spanning 2 million data points, we reveal critical insights: (1) The hybrid neural-classical approach achieves 0.597 pooled correlation and 6.4x mean per-day correlation improvement over frozen TimesFM; (2) Classical residual learning (Random Forest) provides the largest single-component contribution, matching or exceeding the neural correction component; (3) Simpler neural architectures surprisingly outperform complex ones when classical residual learning is removed; (4) Self-attention provides the largest neural-only contribution. GatedLinear+RF achieves best overall performance with 9x fewer neural parameters than AttnCorrect+RF. We report three complementary correlation metrics - mean per-day, cross-day cumulative, and pooled - to provide a complete picture of predictive quality. Our results provide practical guidance: effective foundation model adaptation requires careful integration of neural and classical components, with classical methods playing a crucial complementary role.

Kasun Dewage, Suranadi De Silva, Shankhadeep Mondal

Dept. of Mathematics University of Central Florida Orlando, FL, USA · Dept. of Computer Science University of Central Florida Orlando, FL, USA

Residual Learning Time Series Forecasting Financial Time Series Time-Series Foundation Models

Aug 7, 2026cs.LG

Accounting Graph Transformer for Short-History Multi-KPI Forecasting in Small Businesses

Small businesses often have only 12-24 months of accounting history, yet planning and risk workflows require coordinated forecasts across financial statements. We study joint 12-month forecasting of 13 income-statement, balance-sheet, cash-flow, and working-capital key performance indicators (KPIs) from 71 monthly ledger series. We introduce the Accounting Graph Transformer (AGT), which represents each ledger series as a masked token, exchanges information through typed attention on a fixed accounting-relation graph, pools target-specific context, and fuses it with a gated three-month recency path. Across 11,993 forecast origins from 1,060 unseen companies, AGT achieves sample-weighted KPI-macro mean absolute error (MAE)

0.6990 \pm 0.0013

over three independent seeds, compared with

0.7378 \pm 0.0014

for the strongest baseline, LightGBM. At the pre-specified seed 42, a paired company-clustered bootstrap gives a LightGBM-minus-AGT difference of 0.0395 with 95% confidence interval (CI)

[0.0350,0.0439]

. AGT is best on all 13 KPIs against LightGBM, TimeMixer, and SOFTS in the matched seed-42 comparison, while final-architecture ablations show that relational attention, accounting topology, and the recency path each improve validation and test accuracy. On 7,094 additional unseen companies with origins sampled from January-May 2025, AGT obtains 0.7548 MAE versus 0.7694 for SOFTS. A single 5.3M-parameter model produces 156 aligned forecasts without company-specific fitting, providing one forecasting layer for integrated planning, liquidity, and working-capital analysis.

Shrutendra Harsola, Vignesh Subrahmaniam

Foresight-AI, Intuit Bangalore, India

Multivariate Time Series Forecasting Financial Forecasting Financial Time Series Graph Transformer

Aug 4, 2026cs.LG

FinVerse: Financial Time-Series Benchmark

As time-series foundation models have emerged, the need for benchmarks that can evaluate their forecasting ability in meaningful ways has become increasingly important. Existing time-series forecasting benchmarks provide useful standardized comparisons, but they often evaluate heterogeneous series with uniform error-based metrics. Strong performance under such metrics does not necessarily imply that a model's forecasts will support the best real-world decisions across domains. For example, in stock forecasting, correctly predicting whether a price will rise or fall can be more directly relevant to realized returns than minimizing point-wise forecast error alone. To this end, we introduce FinVerse, a finance-domain time-series forecasting benchmark that takes a first step toward more realistic evaluation. The released FinVerse data artifact contains 116,897 financial time series with 171.1M observations, of which 60,232 series with 17.4M observations are selected as evaluated targets based on their economic relevance to financial decisions. Unlike generic forecasting benchmarks that primarily emphasize uniform point-forecast or probabilistic accuracy, FinVerse defines 11 metric families comprising 78 evaluation metrics and assigns the most appropriate evaluation metrics to each individual time series based on its underlying economic meaning. Our analysis of 43 public time-series forecasting foundation models shows that strong performance under generic forecasting criteria does not necessarily translate into useful financial forecasts. This finding highlights the need for domain-aware benchmarks that evaluate models under objectives closer to real-world decision making.

Jaehoon Lee, Jun Seo, Seunghan Lee +9

LG AI Research

Benchmark Design Financial Forecasting Time Series Forecasting Forecasting Benchmarks Financial Time Series Time-Series Foundation Models+1

Aug 3, 2026cs.LG

Latent-Regime Bias Auditing for Volatility Forecasting

Volatility forecasts are commonly evaluated with aggregate accuracy metrics such as RMSE and MAE, but these metrics can hide conditional failures that matter for risk management. This paper proposes a model-agnostic audit framework for evaluating whether volatility forecasts remain reliable across latent market regimes. We learn time-series representations of market-state windows, cluster them into regimes using only training information, assign regimes out of sample, and compare aggregate forecast behavior with regime-conditional bias, tail-underprediction, and underprediction-sensitive economic losses. Applied to daily volatility forecasting across cryptocurrency and ETF assets, the audit shows that models with competitive aggregate accuracy can still exhibit substantial regime-specific bias and severe tail underprediction. The results suggest that volatility forecasting should be evaluated not only by average error, but also by where and how forecasts become unreliable. Our framework shifts forecast evaluation from asking which model is most accurate on average to identifying the market regimes in which apparently accurate forecasts fail conditionally. Reproducibility: https://github.com/arthurchagas1/Latent-Regime-Bias-Auditing-for-Volatility-Forecasting

Arthur Chagas, Pedro Bento, Yan Aquino +3

Department of Computer Science Universidade Federal de Minas Gerais – UFMG Belo Horizonte, Brazil

Time Series Forecasting Financial Time Series Black-Box Model Auditing

Jul 27, 2026cs.CL

LLM-Based vs. Lexicon-Based Sentiment Signals for Tail-Risk Detection in Meme Stocks

This paper presents an empirical comparison of lexicon-based and Large Language Model (LLM)-based sentiment analysis for extracting market-relevant signals from social media discourse in highly volatile equity markets. Using Reddit data from r/WallStreetBets and focusing on meme stocks (GME, AMC, NOK), we construct time-aligned sentiment indicators and evaluate their relationship with market returns, with particular attention to extreme positive return events in the upper tail of the return distribution. The LLM-based approach generates multidimensional sentiment representations capturing emotional polarity, bullishness, sarcasm likelihood, and topical relevance, whereas the baseline relies on the VADER lexicon-based model. We evaluate both approaches using lead/lag correlation analysis, OLS regression, ROC-AUC-based directional classification, and a quantile-based early-warning framework. The results indicate that LLM-derived indicators provide a richer multidimensional representation and exhibit stronger asset-specific statistical structure than the lexicon-based baseline. However, their relationship with market movements remains heterogeneous across assets, suggesting that increased linguistic expressiveness does not necessarily translate into stable forecasting performance in retail-driven volatility regimes.

Paul Kilian, Markus Kleffmann

IU International University of Applied Sciences, Erfurt, Germany

Social Media Analysis Sentiment Analysis Financial Sentiment Analysis Financial Time Series

Jul 26, 2026cs.LG

Extreme Volatility Warning under Label Scarcity via Multi-Source Anomaly Fusion

Early warning of extreme market volatility is central to financial risk management, but actionable events are rare, nonstationary, and often triggered by exogenous information shocks. In our CSI300 setting, only $\sim$ 80 positive samples are observed across 791 training days, making heavily supervised multi-source models unstable. We first analyze a 100K-parameter hierarchical text-signal fusion model (HTSF) and find that added parameterization hurts in this low-label regime. Motivated by this failure, we propose \textbf{AAMSF} (Anomaly-Augmented Multi-Signal Fusion), a semisupervised framework that combines Isolation Forest anomaly scores over market indicators, GDELT events, Chinese financial news, and English media with lightweight Ridge score fusion. We further introduce \textbf{T-AAMSF}, a temporal extension for multi-day anomaly accumulation. On CSI300 (2018--2023), AAMSF achieves test AUC-ROC \textbf{0.680}, outperforming the strongest unsupervised baseline (0.630) and neural baseline (0.588), while T-AAMSF improves PR-AUC to 0.291. Ablations reveal strong source asymmetry: GDELT and domestic financial news provide complementary risk signals, whereas English media consistently reduces performance, and learned weighting is unreliable under validation noise. These results suggest an empirical design principle for label-scarce financial risk warning: robust anomaly geometry and source reliability can matter more than supervised representation capacity.

Jin Qian, Zhangzhi Xiong, Mingrui Li +1

ShanghaiTech University, Shanghai, China

Multimodal Anomaly Detection Financial Time Series Finance Anomaly Detection

Jul 25, 2026cs.LG

Bitcoin Price Direction Prediction via Regime-Aware Multi-Modal Fusion of Social Sentiment and Technical Features

Bitcoin price prediction on sub-daily timescales is a hard open problem in computational finance. Bitcoin exhibits fat-tailed returns, non-stationary dynamics, and a price discovery process influenced by social discourse on Reddit and Twitter. Conventional approaches fuse OHLCV technical features with sentiment via static concatenation, applying identical fusion weights regardless of market state. This is inconsistent with the behavioural finance literature, which shows that retail sentiment is most predictive during volatile periods and noisy during calm ones. This paper proposes Regime-Aware Multi-Modal Learning (RAML), which conditions fusion of sentiment and price features on a dynamically detected binary market regime. Rolling 24-hour volatility partitions observations into stable and volatile regimes; a learnable sigmoid gate adjusts the weight of the sentiment embedding relative to the price embedding, trusting sentiment more during volatility and price dynamics more during stable phases. The system is evaluated on 3,491 hourly observations (July 2024-September 2025), combining Bitcoin OHLCV data with Reddit /r/Bitcoin FinBERT sentiment. Four models are compared - price-only BiLSTM, sentiment-only classifier, static-concatenation BiLSTM, and RAML - across 3-hour and 6-hour horizons, with an ablation study isolating the sentiment branch, regime detection, and adaptive fusion. RAML achieves macro-F1 of 0.5474 (3h) and 0.5513 (6h), with the highest AUC at 3 hours (0.5084), indicating better calibration. Ablation confirms every component is necessary, and replacing adaptive weighting with concatenation causes recall collapse at 6 hours (F1: 0.14). These results establish regime-conditioned adaptive fusion as a necessary design principle for multi-modal financial forecasting.

Muhammad Abdullah Haroon

Department of Computer Science, FAST National University of Computer and Emerging Sciences (FAST-NUCES), Lahore, Pakistan

Quantitative Finance Time Series Classification Financial Time Series Multimodal Fusion Finance

Jul 24, 2026cs.LG

Susceptible Reservoir Architectures for Regime-Conditional Volatility Forecasting

Volatility forecasting is dominated by persistence and measurement noise, leaving limited residual structure for nonlinear models to exploit. We introduce Susceptible Architectures (SUSA), a reservoir-design principle for volatility forecasting, and its two concrete implementations, based on complex-valued open-chain and periodic reservoirs and regime-conditioned experts to interpret reservoir features across calm, onset, recovery, and persistent-stress states. We also implement open-system

q

-qubit counterparts in Qiskit while retaining a common AR-Ridge anchor and a bounded residual correction trained under QLIKE. We evaluate models on 16 U.S. equity and exchange-traded-fund series using three disjoint chronological training, validation, and test folds, a 12-observation input window, and a five-observation forecast horizon. The proposed models perform competitively with GARCH, achieving statistically significant QLIKE improvements for specific assets (IWM, XLP). Also models' forecasts complement HARQ-style predictions: a stacked ensemble improves mean QLIKE by 0.0116 over its strongest constituent and wins in 75% of test scenarios.

Aliaksei Kaliutau

Monodromy, London, United Kingdom.

Quantitative Finance Time Series Forecasting Reservoir Computing Financial Time Series

Jul 24, 2026cs.LG

Optimizing Transformer Neural Network for Real-Time Outlier Detection on FPGAs

In this work, we explore how the inference time of a Transformer Neural Network can be efficiently optimized with applications to real-time anomaly detection in financial time series. The financial time series are price series such as asset prices. Unfortunately, the data is often with errors or outliers that make the downstream data processing tasks useless, unstable or even harmful. Moreover, the amount of financial time-series data has been significantly increasing. Hence, there is a need for better data-cleaning methods in terms of accuracy and in terms of processing speed. Transformers as a neural network architecture have achieved superior performances in many tasks such as Natural Language Processing and Computer Vision. Time series modelling and especially anomaly detection tasks can benefit from the features of transformers architecture in multiple ways, including the capacity to capture long-range dependencies and interactions. Increasingly powerful hardware, such as field-programmable gate arrays (FPGAs), have seen increasing usage in recent years due to their reconfigurability and high performance. They can be efficiently utilized to speed up the computations of the Transformer architecture. We explore different Transformer architectures for time series modelling and how they can be efficiently implemented on an FPGA board (PYNQ-Z2). In particular, we examine the application of Transformers to detect anomalies in time series and we show how they can be efficiently implemented on an FPGA board to minimize latency. The code is available at https://github.com/thxi/icl_thesis

Ilia Sobakinskikh, Paul Alexander Bilokon

Transformer Inference Financial Time Series Time-Series Anomaly Detection FPGA-Based Neural Network Acceleration Time Series Transformers

Jul 21, 2026cs.LG

Predictive Extrema, Unprofitable Policies: An AI-Assisted Audit of Candle-Based Binance Spot Timing Models

We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs. Numerical results come from scripted fixed-seed model runs and deterministic simulators; human-supervised AI agents supported the July 20 evidence-integrity revision through literature retrieval, separately tasked critique, artifact reconciliation, documentation, and source packaging, not trading decisions. The strongest later-period evidence, conditional on extensive predecessor search, is negative: an unchanged ten-pair mandatory-daily selector lost 6.72% over 19 July cycles at an assumed 31-bps completed-cycle cost, with 3 wins and 16 losses. In short model-specific July evaluations, the validation-selected local-minimum policy returned -1.79%, while the local-maximum sell-to-cash/re-entry policy underperformed continuous holding by 2.80%; their gross mean advantages of 11.11 and 12.21 bps were below even the 21-bps stress. A Gurgul-inspired, OHLCV-only daily adaptation attained minimum/maximum ROC AUC of 0.874/0.896 but average precision of only 0.134/0.116 and lost 44.30% over seven cycles, versus -41.20% for buy-and-hold. A forensic audit also downgraded an earlier One4All "30-day holdout": its dates had influenced prior architecture work, its four-hour outcome horizon was not purged at split boundaries, it used same-close entry, and its raw result directories were absent. Across the tested, mostly exploratory protocols, event-ranking performance did not establish positive executable policy value. Every operational decision remains NO_TRADE.

Ayoub Jadouli

Computer Science and Smart Systems, Faculty of Sciences and Technology Abdelmalek Essaâdi University, Tangier, Morocco

Quantitative Finance Algorithmic Auditing Financial Time Series Finance Algorithmic Trading

Jul 20, 2026cs.LG

Volatility-Aware Extreme Event Detection in High-Frequency Financial Markets

Predicting extreme price movements in high-frequency financial markets is a challenging task due to non-stationarity, heavy-tailed return distributions, and severe class imbalance. In particular, rare but impactful events are often difficult to detect using conventional modeling approaches, which typically treat extreme movements as isolated observations. This study proposes a volatility-aware approach for extreme event detection using high-frequency Bitcoin limit order book (LOB) data. Motivated by empirical evidence of volatility clustering, the target formulation is extended to incorporate both large future returns and high-volatility regimes. This redefinition increases the proportion of informative samples and aligns the learning objective with the underlying market dynamics. Using a tree-based model (XGBoost) with time-series cross-validation and imbalance-aware evaluation, the proposed method achieves a Precision-Recall AUC of approximately 0.40, significantly outperforming the baseline formulation with a PR-AUC of around 0.06. This represents more than a sixfold improvement in detecting rare events. The results highlight that target design plays a critical role in financial machine learning, often exceeding the impact of model complexity. By incorporating volatility structure into the labeling process, the proposed approach provides a more effective and realistic framework for extreme event detection in high-frequency cryptocurrency markets.

Maorufa Zaman, Haris Md Sahed

Department of Digital Business & Innovation

Quantitative Finance Financial Time Series Time-Series Anomaly Detection

Jul 15, 2026cs.AI

A Comparative Analysis of Machine Learning Models for Long and Short-Term Forecasting of the Egyptian Stock Market: A Focus on EGX30

This study concentrates on predicting stock prices in the Egyptian market, focusing on the EGX30, an influential financial hub in the Middle East. While most research focuses on global stocks, there's a growing need to understand stock trends in developing countries like Egypt. The study compares different machine learning models for forecasting EGX30 trends, covering short and long-term predictions. Using historical EGX30 data, including metrics like root mean squared error, Mean Absolute Percentage Error, and coefficient of determination, models like K-Nearest Neighbours, random forest, extreme gradient boosting, long short-term memory networks, and gated recurrent unit networks were evaluated. The goal is to determine the most effective models for EGX30 prediction, considering Egypt's unique market dynamics. Insights from this study aid investors in making informed decisions. Results show that the Gated Recurrent Unit (GRU) outperformed the other models in the one-week, one-month, and two-months while the eXtreme Gradient Boosting (XGBoost) model outperformed others in the one-day predictions, highlighting their usefulness in predictive analysis for financial markets. The study also showed the importance of using the ensemble techniques, especially in the long-term predictions which proved better results reaching 5 times the GRU in the two-month predictions. Additionally, the study notes the surprisingly good performance of K-Nearest Neighbours (KNN) on long-term predictions, suggesting its enduring relevance and potential for future applications in the fintech domains.

Muhammed Walid, Ahmed El-Naeimy, Hosam Moubarak +1

Cyber Physical Lab, Department of Computer Science & Engineering · Egypt-Japan University Of Science and Technology, Alexandria, Egypt · Accounting Department +1

Long-Term Time Series Forecasting Recurrent Neural Networks Financial Time Series

Jul 15, 2026cs.LG

VAIOM: Continuous-Input, Discrete-Output Decoder-Only Financial Sequence Modeling

Financial observations are continuous, heterogeneous, and noisy, whereas decoder-only next-token models are usually built around discrete symbolic inputs. We introduce Vector-Input Autoregressive Inference for Ordinal-Return Modeling (VAIOM), a decoder-only Transformer for probabilistic next-return modeling on one-hour foreign-exchange bars. VAIOM separates input representation from output likelihood: continuous multivariate financial-event vectors preserve numerical structure at the input, while a categorical distribution over the next volatility-normalized return bucket supports cross-entropy training and likelihood evaluation. The selected 0.9M Hybrid Continuous Input model combines continuous event features with categorical asset metadata, a Mixture-of-Market-States return head, Gap, volatility-regime, and Ordinal auxiliary objectives, and full-sequence supervision. Models and preprocessing are fit using pre-2024 Train data; models are selected on 2024H2 Validation and evaluated without refitting on two 2025 Test periods. Across three independent training seeds, every model outperforms fixed single-bar LightGBM baseline in both Test halves. For the canonical checkpoint, paired gains over LightGBM are 0.029 and 0.043 bits per event. Validation experiments show that continuous input improves over discrete-token input under the same categorical return objective, full-sequence supervision improves over last-position training, and auxiliary representation shaping together with a mixture-structured return head improves return likelihood in controlled comparisons. A supporting capacity study finds that the smallest evaluated complete architecture rung achieves the strongest Validation likelihood on the present corpus.

Yiming Ma, Xinyu Chen

Decoder-Only Language Models Time Series Forecasting Financial Time Series Time Series Transformers Finance Autoregressive Modeling

Jul 14, 2026q-fin.ST

When Directional Accuracy Lies: A Base-Rate-Honest Benchmark for LoRA-Adapted TimesFM on Equity Forecasting

Large pretrained time-series models such as TimesFM are attractive for financial forecasting, but raw directional accuracy is a misleading scoreboard in equity markets. An early LoRA adapter in this project appeared to reach roughly 80% directional accuracy; we show this is not evidence of skill. Over a long horizon in a rising market, a trivial "always-up" rule attains comparably high accuracy without using the input at all. To separate genuine skill from this base-rate artifact, we build a reproducible, frozen-data benchmark with expanding walk-forward folds, a stratified held-out-ticker split, honest baselines (zero-shot TimesFM, always-up, random-walk, persistence, AR(1)), and paired significance tests (McNemar, Diebold-Mariano) under Benjamini-Hochberg FDR control. We apply the identical method to two universes -- a tech-heavy NASDAQ-100 and a broad S&P 500 -- reporting excess accuracy over the always-up base rate. Three findings replicate. First, when the historical ~80% condition is recreated, the high number is a base rate of ~0.70 that the fine-tuned model scores below. Second, pooled LoRA shows no directional skill over the base rate at any horizon on either universe (negative at the six-month horizon). Third, per-sector specialization is significantly worse than a single pooled adapter (Diebold-Mariano p<0.001 on held-out stocks at h=128). Fine-tuning's only measurable benefit is a statistically significant reduction in point-forecast error relative to zero-shot TimesFM, which nonetheless does not beat naive baselines and confers no tradeable directional edge. The contribution is methodological: a defensible, fully seeded protocol that prevents the base-rate trap, together with the replicated negative result it produces.

Taizhen Cheung

Financial Forecasting Time Series Forecasting Forecasting Benchmarks Low-Rank Adaptation Financial Time Series Finance

Jul 7, 2026cs.CE

Macroeconomic Message Passing for Anticipating Foreign Exchange Regime Changes: A Deep Logical Learning Approach using Graph Tsetlin Machines

This paper introduces a graph-theoretic approach for predicting market regimes in foreign exchange (FX) currency prices. Specifically, the proposed model incorporates exogenous macroeconomic variables to update localized node features via message-passing operations. Utilizing the Graph Tsetlin Machine (GraphTM) framework, we empirically demonstrate the efficacy of this approach in anticipating market regimes for the US Dollar and Japanese Yen currency pair (USD/JPY). By representing multivariate macroeconomic drivers and technical indicators as hypervectorized directed multigraphs, the GraphTM leverages structured message passing to construct deep, interpretable logical clauses capable of recognizing complex sub-graph patterns.

Christian Blakely, Melanie Gilmore

†Centre for Artificial Intelligence Research, University of Agder, Norway · ‡Head of AI, Bernoly AG, Zurich, Switzerland · ¶La Jolla Private Wealth Group, Wells Fargo Advisors, La Jolla, CA, USA

Quantitative Finance Financial Time Series

Jun 29, 2026cs.LG

Heads, Not Backbones: Output Heads Dominate Architectures on Fat-Tailed Returns

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.

Sichao He, Yansong Zhang

Peking University · Academy for Advanced Interdisciplinary Studies · Beijing, China +2

Quantitative Finance Financial Forecasting Heavy-Tailed Distributions Financial Time Series Finance Probabilistic Time Series Forecasting

Jun 29, 2026cs.CL

Fast Numbers, Slow Language: Bridging Quantitative and Qualitative Earnings Signals

Earnings announcements release two types of information sequentially: quantitative surprise (numeric earnings-per-share (EPS)/revenue versus analyst estimate) arrives first in press releases and financial news, processed by algorithmic traders within minutes; qualitative language (management tone, guidance, question-and-answer (Q&A) credibility) arrives 30-90 min later in the earnings conference call transcript (ECT), requiring human interpretation overnight. Financial economists have studied quantitative surprise for 50 years; natural language processing (NLP) researchers have studied qualitative ECT signals for a decade. Despite studying the same event, the two communities used incompatible frameworks: different targets (return vs. volatility), trading setups (long top-decile and short bottom-decile vs. trade-all), and metrics (return spread between top and bottom 20% (Q5-Q1) vs. mean squared error (MSE)), making direct comparison and connection challenging. We bridge these communities with EarningsInOne, the first corpus aligning earnings news, ECTs, and intraday and next-day prices across SP 1500 (broad U.S. equity universe, 2022-2025). Applying unified trading and evaluation tools to both signal types, we confirm a clean speed separation, fast numbers, slow language: quantitative surprise peaks at announcement and is largely eliminated by the next market open; qualitative ECT sentiment peaks on the next trading day, real and tradeable, but hidden under prior transcript-based evaluation that optimised sign-agnostic volatility with pointwise MSE.

Ding Yu, Zhuo Liu, Hao Zhang +1

University of Rochester · Rochester Institute of Technology

Quantitative Finance Financial Sentiment Analysis Financial Time Series Finance