Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Iterative Refinement Labeling
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Abstract (arXiv)
Price movement forecasting, aimed at predicting financial asset trends based on current market information, has achieved promising advancements through machine learning (ML) methods. Most existing ML methods, however, struggle with the extremely low signal-to-noise ratio and stochastic nature of financial data, often mistaking noises for real trading signals without careful selection of potentially profitable samples. To address this issue, we propose LARA, a novel price movement forecasting framework with two main components: Locality-Aware Attention (LA-Attention) and Iterative Refinement Labeling (RA-Labeling). (1) LA-Attention, enhanced by metric learning techniques, automatically extracts the potentially profitable samples through masked attention scheme and task-specific distance metrics. (2) RA-Labeling further iteratively refines the noisy labels of potentially profitable samples, and combines the learned predictors robust to the unseen and noisy samples. In a set of experiments on three real-world financial markets: stocks, cryptocurrencies, and ETFs, LARA significantly outperforms several machine learning based methods on the Qlib quantitative investment platform. Extensive ablation studies confirm LARA's superior ability in capturing more reliable trading opportunities.
Key facts. Cited by 6 papers in the map (data through 7 Oct 2026). Builds on 23 of its 58 references that are in the map. First posted on arXiv 26 Jul 2021.
Builds on
23 of 58 references.
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Citing papers per year: 2022: 1; 2023: 0; 2024: 1; 2025: 2; 2026: 2.
6 papers.
- 2022MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimizationcited by 10
- 2025From Deep Learning to LLMs: A survey of AI in Quantitative Investmentcited by 9
- 2024A Survey of Financial AI: Architectures, Advances and Open Challengescited by 6
- 2026FinStressTS: A Parametric Synthetic Benchmark for Time-Series Forecasting in Financecited by 2
- 2025From Patterns to Predictions: A Shapelet-Based Framework for Directional Forecasting in Noisy Financial Marketscited by 0
- 2026The Label Horizon Paradox: Rethinking Supervision Targets in Financial Forecastingcited by 0
- 2026FinStressTS: A Parametric Synthetic Benchmark for Time-Series Forecasting in Finance2 Jun 2026
- 2026The Label Horizon Paradox: Rethinking Supervision Targets in Financial Forecasting3 Feb 2026
- 2025From Patterns to Predictions: A Shapelet-Based Framework for Directional Forecasting in Noisy Financial Markets18 Sep 2025
- 2025From Deep Learning to LLMs: A survey of AI in Quantitative Investment27 Mar 2025
- 2024A Survey of Financial AI: Architectures, Advances and Open Challenges1 Nov 2024
- 2022MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization1 Sep 2022