2 papers
cs.CE2026
A Compact Selective State-Space Model for Cross-Sectional Stock Return Ranking from Raw Intraday Bars
Mingju Chen, Enze Zhang, Annan Li +5
We present STRATA (Staggered-Timescale Residual Architecture), a 244,633-parameter sequence model that maps five trading days of raw five-minute bar and order-book data directly to…
cs.CE2026
Centering Drives Normalization Gains: Price-Offset Nuisances in Cross-Sectional Return Prediction
Mingju Chen, Qianhui Liu, Yui Lo +1
Cross-sectional return prediction from raw intraday bars is sensitive to each instrument price level, an additive nuisance under a return-ranking hypothesis. We test whether removi…