# Crisis-Resilient Portfolio Management via Graph-based Spatio-Temporal Learning

arXiv: https://arxiv.org/abs/2510.20868 · HTML: https://mlsanity.com/paper/2510.20868/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- Builds on 9 of its 27 references that are in the map.
- First posted on arXiv 23 Oct 2025.

## Builds on (most cited first, 9 of 9)

- [Semi-Supervised Classification with Graph Convolutional Networks](https://mlsanity.com/paper/1609.02907/) (2016)
- [Graph Attention Networks](https://mlsanity.com/paper/1710.10903/) (2017)
- [A Unified Approach to Interpreting Model Predictions](https://mlsanity.com/paper/1705.07874/) (2017)
- [Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting](https://mlsanity.com/paper/2012.07436/) (2020)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [N-BEATS: Neural basis expansion analysis for interpretable time series forecasting](https://mlsanity.com/paper/1905.10437/) (2019)
- [A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem](https://mlsanity.com/paper/1706.10059/) (2017)
- [Learning Graph Structures with Transformer for Multivariate Time Series Anomaly Detection in IoT](https://mlsanity.com/paper/2104.03466/) (2021)
- [Temporal Relational Ranking for Stock Prediction](https://mlsanity.com/paper/1809.09441/) (2018)

## Built on by (most cited first, 2 of 2)

- [Agentic-Kube: A Graph-Enhanced Multi-Agent Reinforcement Learning Framework for Multi-Objective Kubernetes Scheduling](https://mlsanity.com/paper/2603.12031/) (2026)
- [FinInvest-GTCN: Explainable Graph-Temporal-Causal Modeling for Risk-Aware Investment Decision Optimization](https://mlsanity.com/paper/2606.28933/) (2026)

## Abstract (arXiv)

Financial time series forecasting faces a fundamental challenge: predicting optimal asset allocations requires understanding regime-dependent correlation structures that transform during crisis periods. Existing graph-based spatio-temporal learning approaches rely on predetermined graph topologies--correlation thresholds, sector classifications--that fail to adapt when market dynamics shift across different crisis mechanisms: credit contagion, pandemic shocks, or inflation-driven selloffs. We present CRISP (Crisis-Resilient Investment through Spatio-temporal Patterns), a graph-based spatio-temporal learning framework that encodes spatial relationships via Graph Convolutional Networks and temporal dynamics via BiLSTM with self-attention, then learns sparse structures through multi-head Graph Attention Networks. Unlike fixed-topology methods, CRISP discovers which asset relationships matter through attention mechanisms, filtering 92.5% of connections as noise while preserving crisis-relevant dependencies for accurate regime-specific predictions. Trained on 2005--2021 data encompassing credit and pandemic crises, CRISP demonstrates robust generalization to 2022--2024 inflation-driven markets--a fundamentally different regime--by accurately forecasting regime-appropriate correlation structures. This enables adaptive portfolio allocation that maintains profitability during downturns, achieving Sharpe ratio 3.76: 707% improvement over equal-weight baselines and 94% improvement over static graph methods. Learned attention weights provide interpretable regime detection, with defensive cluster attention strengthening 49% during crises versus 31% market-wide--emergent behavior from learning to forecast rather than imposing assumptions.