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

arXiv: https://arxiv.org/abs/2605.13407 · HTML: https://mlsanity.com/paper/2605.13407/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 14 of its 36 references that are in the map.
- First posted on arXiv 13 May 2026.

## Builds on (most cited first, 14 of 14)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [PyTorch: An Imperative Style, High-Performance Deep Learning Library](https://mlsanity.com/paper/1912.01703/) (2019)
- [A Simple Framework for Contrastive Learning of Visual Representations](https://mlsanity.com/paper/2002.05709/) (2020)
- [XGBoost: A Scalable Tree Boosting System](https://mlsanity.com/paper/1603.02754/) (2016)
- [Neural Discrete Representation Learning](https://mlsanity.com/paper/1711.00937/) (2017)
- [RoFormer: Enhanced Transformer with Rotary Position Embedding](https://mlsanity.com/paper/2104.09864/) (2021)
- [Outrageously Large Neural Networks: The Sparsely-Gated Mixture-of-Experts Layer](https://mlsanity.com/paper/1701.06538/) (2017)
- [Empirical Evaluation of Gated Recurrent Neural Networks on Sequence Modeling](https://mlsanity.com/paper/1412.3555/) (2014)
- [FiLM: Visual Reasoning with a General Conditioning Layer](https://mlsanity.com/paper/1709.07871/) (2017)
- [Temporal Convolutional Networks for Action Segmentation and Detection](https://mlsanity.com/paper/1611.05267/) (2016)
- [Qlib: An AI-oriented Quantitative Investment Platform](https://mlsanity.com/paper/2009.11189/) (2020)
- [MASTER: Market-Guided Stock Transformer for Stock Price Forecasting](https://mlsanity.com/paper/2312.15235/) (2023)
- [FactorGCL: A Hypergraph-Based Factor Model with Temporal Residual Contrastive Learning for Stock Returns Prediction](https://mlsanity.com/paper/2502.05218/) (2025)
- [STORM: A Spatio-Temporal Factor Model Based on Dual Vector Quantized Variational Autoencoders for Financial Trading](https://mlsanity.com/paper/2412.09468/) (2024)

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

- [STOCK-JEPA: Prior-Anchored Latent Revision Representation Learning in Equity Markets](https://mlsanity.com/paper/2610.07006/) (2026)

## 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.