Learning Universal Multi-level Market Irrationality Factors to Improve Stock Return Forecasting

Chen Yang; Jingyuan Wang; Xiaohan Jiang; Junjie Wu

Home/Archive/arXiv

arXiv · 2502.04737

Learning Universal Multi-level Market Irrationality Factors to Improve Stock Return Forecasting

Chen Yang·Jingyuan Wang·Xiaohan Jiang·Junjie Wu

View original source ↗Read source document ↗Export metadata ↓

Abstract

Recent years have witnessed the perfect encounter of deep learning and quantitative trading has achieved great success in stock investment. Numerous deep learning-based models have been developed for forecasting stock returns, leveraging the powerful representation capabilities of neural networks to identify patterns and factors influencing stock prices. These models can effectively capture general patterns in the market, such as stock price trends, volume-price relationships, and time variations. However, the impact of special irrationality factors -- such as market sentiment, speculative behavior, market manipulation, and psychological biases -- have not been fully considered in existing deep stock forecasting models due to their relative abstraction as well as lack of explicit labels and data description. To fill this gap, we propose UMI, a Universal multi-level Market Irrationality factor model to enhance stock return forecasting. The UMI model learns factors that can reflect irrational behaviors in market from both individual stock and overall market levels. For the stock-level, UMI construct an estimated rational price for each stock, which is cointegrated with the stock's actual price. The discrepancy between the actual and the rational prices serves as a factor to indicate stock-level irrational events. Additionally, we define market-level irrational behaviors as anomalous synchronous fluctuations of stocks within a market. Using two self-supervised representation learning tasks, i.e., sub-market comparative learning and market synchronism prediction, the UMI model incorporates market-level irrationalities into a market representation vector, which is then used as the market-level irrationality factor.

Explore related subjects

cs.LG

Keep this discovery

Explore connections, maps & timelines

BibTeX RIS

Chen Yang, Jingyuan Wang, Xiaohan Jiang, Junjie Wu. 2025-02-07. Learning Universal Multi-level Market Irrationality Factors to Improve Stock Return Forecasting. https://arxiv.org/abs/2502.04737

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Analysis of Regularized Learning in Banach Spaces for Linear-functional Data

This article delves into the study of the theory of regularized learning in Banach spaces for linear-functional data. It encompasses discussions on representer theorems, pseudo-approximation theorems, and convergence theorems. Regularized learning is designed to minimize regularized empirical risks over a Banach space. The empirical risks are calculated by utilizing training data and multi-loss functions. The input training data are composed of linear functionals in a predual space of the Banach space to capture discrete local information from multimodal data and multiscale models. Through the regularized learning, approximations of the exact solution to an unidentified or uncertain original problem are globally achieved. In the convergence theorems, the convergence of the approximate solutions to the exact solution is established through the utilization of the weak* topology of the Banach space. The theorems of regularized learning are utilized in the interpretation of classical machine learning, such as support vector machines and artificial neural networks.

cs.LG↗

arXiv2026

On Minimal Depth in Neural Networks

Understanding the relationship between the depth of a neural network and its representational capacity is a central problem in deep learning theory. In this work, we develop a geometric framework to analyze the expressivity of ReLU networks with the notion of depth complexity for convex polytopes. The depth of a polytope recursively quantifies the number of alternating convex hull and Minkowski sum operations required to construct it. This geometric perspective serves as a rigorous tool for deriving depth lower bounds and understanding the structural limits of deep neural architectures. We establish lower and upper bounds on the depth of polytopes, as well as tight bounds for classical families. These results yield two main consequences. First, we provide a purely geometric proof of the expressivity bound by Arora et al. (2018), confirming that $\lceil \log_2(n+1)\rceil$ hidden layers suffice to represent any continuous piecewise linear (CPWL) function. Second, we prove that, unlike general ReLU networks, convex polytopes do not admit a universal depth bound. Specifically, the depth of cyclic polytopes in dimensions $n \geq 4$ grows unboundedly with the number of vertices. This result implies that Input Convex Neural Networks (ICNNs) cannot represent all convex CPWL functions with a fixed depth, revealing a sharp separation in expressivity between ICNNs and standard ReLU networks.

cs.LG↗

arXiv2026

ELEMENT: Episodic and Lifelong Exploration via Maximum Entropy

Reinforcement learning agents depend on reward signals whose density is rarely under the designer's control, and when such signals are absent, an agent must generate its own drive to explore. State entropy maximization offers a principled objective for this, but existing methods break down at scale in two ways: the intrinsic reward vanishes once a state has been visited, discouraging revisits to the very gateways that lead onward, and estimating entropy over millions of accumulated observations becomes computationally prohibitive. We address both with Episodic and Lifelong Exploration via Maximum Entropy (ELEMENT), a multiscale intrinsically motivated framework for reward-free exploration that transfers to downstream tasks. ELEMENT couples lifelong entropy maximization with a complementary episodic term acting on a faster timescale. For the episodic term, we derive average episodic state entropy, an intrinsic reward that is the exact minimizer of a tractable upper bound on the reward-decomposition objective; for the lifelong term, we propose a $k$NN graph-based estimator that keeps entropy tractable without forgetting. ELEMENT consistently outperforms state-of-the-art intrinsic reward baselines on state coverage and unsupervised pre-training. Videos, code, and supplementary material: https://sites.google.com/view/element-rl.

cs.LG↗