mlsanityData to 7 Oct 2026

Vector-Quantized Discrete Latent Factors Meet Financial Priors: Dynamic Cross-Sectional Stock Ranking Prediction for Portfolio Construction

arXiv 2605.13407 ↗First posted 13 May 2026cs.LG cs.CE q-fin.STcited by 0

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Abstract (arXiv)

Predicting cross-sectional stock returns is challenging due to low signal-to-noise ratios and evolving market regimes. Classical factor models offer interpretability but limited flexibility, while deep learning models achieve strong performance yet often underutilize financial priors. We address this gap with PRISM-VQ (PRior-Informed Stock Model with Vector Quantization), a dynamic factor framework that integrates expert prior factors, vector-quantized discrete latent factors learned from cross-sectional structure, and a structure-conditioned Mixture-of-Experts to generate time-varying factor loadings. Vector quantization acts as an information bottleneck that suppresses noise while capturing robust market structure, with discrete codes serving both as latent factors and as routing signals for temporal expert specialization. Experiments on CSI 300 and S&P 500 show consistent improvements in cross-sectional return prediction and portfolio performance over strong baselines while preserving interpretability. Our code is available at https://github.com/finxlab/PRISM-VQ.

Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 14 of its 36 references that are in the map. First posted on arXiv 13 May 2026.

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14 of 36 references.

References · 14

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2 more
  1. 2025FactorGCL: A Hypergraph-Based Factor Model with Temporal Residual Contrastive Learning for Stock Returns Predictioncited by 7
  2. 2024STORM: A Spatio-Temporal Factor Model Based on Dual Vector Quantized Variational Autoencoders for Financial Tradingcited by 2

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