# Contrastive Learning of Asset Embeddings from Financial Time Series

arXiv: https://arxiv.org/abs/2407.18645 · HTML: https://mlsanity.com/paper/2407.18645/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 13 of its 36 references that are in the map.
- First posted on arXiv 26 Jul 2024.

## Builds on (most cited first, 13 of 13)

- [BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding](https://mlsanity.com/paper/1810.04805/) (2018)
- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [A Simple Framework for Contrastive Learning of Visual Representations](https://mlsanity.com/paper/2002.05709/) (2020)
- [Semi-Supervised Classification with Graph Convolutional Networks](https://mlsanity.com/paper/1609.02907/) (2016)
- [Representation Learning with Contrastive Predictive Coding](https://mlsanity.com/paper/1807.03748/) (2018)
- [node2vec: Scalable Feature Learning for Networks](https://mlsanity.com/paper/1607.00653/) (2016)
- [Graph Contrastive Learning with Augmentations](https://mlsanity.com/paper/2010.13902/) (2020)
- [Contrastive Learning with Hard Negative Samples](https://mlsanity.com/paper/2010.04592/) (2020)
- [Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019](https://mlsanity.com/paper/1911.13288/) (2019)
- [An efficient framework for learning sentence representations](https://mlsanity.com/paper/1803.02893/) (2018)
- [Fund2Vec: Mutual Funds Similarity using Graph Learning](https://mlsanity.com/paper/2106.12987/) (2021)
- [Stock Embeddings: Learning Distributed Representations for Financial Assets](https://mlsanity.com/paper/2202.08968/) (2022)
- [Measuring Financial Time Series Similarity With a View to Identifying Profitable Stock Market Opportunities](https://mlsanity.com/paper/2107.03926/) (2021)

## Abstract (arXiv)

Representation learning has emerged as a powerful paradigm for extracting valuable latent features from complex, high-dimensional data. In financial domains, learning informative representations for assets can be used for tasks like sector classification, and risk management. However, the complex and stochastic nature of financial markets poses unique challenges. We propose a novel contrastive learning framework to generate asset embeddings from financial time series data. Our approach leverages the similarity of asset returns over many subwindows to generate informative positive and negative samples, using a statistical sampling strategy based on hypothesis testing to address the noisy nature of financial data. We explore various contrastive loss functions that capture the relationships between assets in different ways to learn a discriminative representation space. Experiments on real-world datasets demonstrate the effectiveness of the learned asset embeddings on benchmark industry classification and portfolio optimization tasks. In each case our novel approaches significantly outperform existing baselines highlighting the potential for contrastive learning to capture meaningful and actionable relationships in financial data.