A Causal Perspective of Stock Prediction Models
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
In the realm of stock prediction, machine learning models encounter considerable obstacles due to the inherent low signal-to-noise ratio and the nonstationary nature of financial markets. These challenges often result in spurious correlations and unstable predictive relationships, leading to poor performance of models when applied to out-of-sample (OOS) domains. To address these issues, we investigate <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">Domain Generalization</i> techniques, with a particular focus on causal representation learning to improve a prediction model's generalizability to OOS domains. By leveraging multi-factor models from econometrics, we introduce a novel error bound that explicitly incorporates causal relationships. In addition, we present the connection between the proposed error bound and market nonstationarity. We also develop a <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">Causal Discovery</i> technique to discover invariant feature representations, which effectively mitigates the proposed error bound, and the influence of spurious correlations on causal discovery is rigorously examined. Our theoretical findings are substantiated by numerical results, showcasing the effectiveness of our approach in enhancing the generalizability of stock prediction models.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it