HKU team proposes MC-JEPA, a market-conditioned JEPA for financial time series
OpenFinMind · hf · 2026-11-11
Researchers from HKU and Grace Investment Machine propose MC-JEPA, a joint-embedding predictive architecture for financial time series. Key insight: much of return variation comes from market-wide shocks unpredictable from an asset's own history. The method constructs a leave-one-out market condition from other assets' future target embeddings and injects it via factor loadings, improving market exposure, risk, liquidity, and return forecasts. Reported gains on 11 years of minute-level Chinese A-share data.
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