# Hermes: A Multi-Scale Spatial-Temporal Hypergraph Network for Stock Time Series Forecasting

arXiv: https://arxiv.org/abs/2509.23668 · HTML: https://mlsanity.com/paper/2509.23668/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 20 of its 53 references that are in the map.
- First posted on arXiv 28 Sep 2025.

## Builds on (most cited first, 20 of 20)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [PyTorch: An Imperative Style, High-Performance Deep Learning Library](https://mlsanity.com/paper/1912.01703/) (2019)
- [Graph Attention Networks](https://mlsanity.com/paper/1710.10903/) (2017)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [iTransformer: Inverted Transformers Are Effective for Time Series Forecasting](https://mlsanity.com/paper/2310.06625/) (2023)
- [Hypergraph Neural Networks](https://mlsanity.com/paper/1809.09401/) (2018)
- [TimeMixer: Decomposable Multiscale Mixing for Time Series Forecasting](https://mlsanity.com/paper/2405.14616/) (2024)
- [TFB: Towards Comprehensive and Fair Benchmarking of Time Series Forecasting Methods](https://mlsanity.com/paper/2403.20150/) (2024)
- [A Dual-Stage Attention-Based Recurrent Neural Network for Time Series Prediction](https://mlsanity.com/paper/1704.02971/) (2017)
- [SparseTSF: Modeling Long-term Time Series Forecasting with 1k Parameters](https://mlsanity.com/paper/2405.00946/) (2024)
- [DUET: Dual Clustering Enhanced Multivariate Time Series Forecasting](https://mlsanity.com/paper/2412.10859/) (2024)
- [CycleNet: Enhancing Time Series Forecasting through Modeling Periodic Patterns](https://mlsanity.com/paper/2409.18479/) (2024)
- [Temporal Relational Ranking for Stock Prediction](https://mlsanity.com/paper/1809.09441/) (2018)
- [MASTER: Market-Guided Stock Transformer for Stock Price Forecasting](https://mlsanity.com/paper/2312.15235/) (2023)
- [Temporal and Heterogeneous Graph Neural Network for Financial Time Series Prediction](https://mlsanity.com/paper/2305.08740/) (2023)
- [EasyTime: Time Series Forecasting Made Easy](https://mlsanity.com/paper/2412.17603/) (2024)
- [Ada-MSHyper: Adaptive Multi-Scale Hypergraph Transformer for Time Series Forecasting](https://mlsanity.com/paper/2410.23992/) (2024)
- [Efficient Integration of Multi-Order Dynamics and Internal Dynamics in Stock Movement Prediction](https://mlsanity.com/paper/2211.07400/) (2022)
- [A Comprehensive Energy Management Application Method considering Smart Home Occupant Behavior using IoT and Real Big Data](https://mlsanity.com/paper/2502.06052/) (2025)

## Built on by (most cited first, 1 of 1)

- [TimeART: Towards Agentic Time Series Reasoning via Tool-Augmentation](https://mlsanity.com/paper/2601.13653/) (2026)

## Abstract (arXiv)

Time series forecasting occurs in a range of financial applications providing essential decision-making support to investors, regulatory institutions, and analysts. Unlike multivariate time series from other domains, stock time series exhibit industry correlation. Exploiting this kind of correlation can improve forecasting accuracy. However, existing methods based on hypergraphs can only capture industry correlation relatively superficially. These methods face two key limitations: they do not fully consider inter-industry lead-lag interactions, and they do not model multi-scale information within and among industries. This study proposes the Hermes framework for stock time series forecasting that aims to improve the exploitation of industry correlation by addressing these limitations. The framework integrates moving aggregation and multi-scale fusion modules in a hypergraph network. Specifically, to more flexibly capture the lead-lag relationships among industries, Hermes proposes a hyperedge-based moving aggregation module. This module incorporates a sliding window and utilizes dynamic temporal aggregation operations to consider lead-lag dependencies among industries. Additionally, to effectively model multi-scale information, Hermes employs cross-scale, edge-to-edge message passing to integrate information from different scales while maintaining the consistency of each scale. Experimental results on multiple real-world stock datasets show that Hermes outperforms existing state-of-the-art methods.