mlsanityData to 14 Oct 2026

Adaptive Financial Transformer with Regime-Gated Attention for Stock Return Prediction

arXiv 2606.29347 ↗First posted 28 Jun 2026cs.LG cs.AIcited by 0

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Abstract (arXiv)

Adaptive Financial Transformer (AFT) is proposed for stock return prediction under non-stationary financial markets. The model incorporates a Market Regime Encoder, an Adaptive Gate Network, and an Adaptive Financial Context module to dynamically bias self-attention based on semantic relationships between financial indicators. Unlike conventional Transformer architectures that treat all input features uniformly, the proposed approach groups 95 engineered financial features into 11 semantic categories and adapts attention according to latent market regimes. The study also identifies and corrects sequence alignment and backtesting issues that can inflate reported trading performance, and introduces a financially-aware composite objective that jointly optimizes prediction error, directional accuracy, and non-overlapping Sharpe ratio. Extensive experiments compare the proposed architecture against classical machine learning models, recurrent neural networks, and Transformer baselines using chronological evaluation, five random seeds, ablation studies, hyperparameter optimization, explainability analysis, and multi-stock validation. Results demonstrate competitive predictive performance while reducing model complexity by 15.2% and improving parameter efficiency through feature selection, providing an interpretable Transformer architecture for financial time-series forecasting.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 19 of its 33 references that are in the map. First posted on arXiv 28 Jun 2026.

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19 of 33 references.

References · 19

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7 more
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  2. 2026Adaptive Regime-Aware Stock Price Prediction Using Autoencoder-Gated Dual Node Transformers with Reinforcement Learning Control
  3. 2025MIGT: Memory Instance Gated Transformer Framework for Financial Portfolio Management
  4. 2026KiT: A Foundation Model for Financial Time-Series Forecasting using DiffusionTransformers
  5. 2026HAN-Mamba: Hierarchical Selective State Space Networks for Multi-Scale Financial Volatility Forecasting
  6. 2026RAVEN: A Regime-Aware Variable-context Expert Network for Financial Time Series Forecasting
  7. 2026Uni-FinLLM: A Unified Multimodal Large Language Model with Modular Task Heads for Micro-Level Stock Prediction and Macro-Level Systemic Risk Assessment
  8. 2026Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance