arXiv Machine Learning

CEDAR: Controlled and Event-Driven Demand Forecasting via Residual Decomposition

CEDAR is a two‑stage framework for demand forecasting that incorporates planned actions and external event signals. Stage I uses an Action‑Interleaved Transformer to model controllable state transitions under interventions, while Stage II applies a Residual Correction Module that aligns event descriptions with product context using LLM‑assisted text representations. Experiments on a large Alibaba 1688 dataset show that CEDAR improves simulation accuracy over traditional time‑series forecasting baselines and benefits real‑world budget planning.

arXiv AI
Sep 16

Repurposing Deep Limit Order Book Forecasting for Scenario-Conditioned Market Impact Modeling

The paper demonstrates that deep limit order book forecasting models can be repurposed to quantify scenario-conditioned market impact without retraining. By injecting counterfactual order‑book messages into a trained Transformer forecaster, the authors compare predictive distributions before and after the injection, defining a short‑horizon model‑implied market impact. The approach achieves a Spearman correlation of 0.99 and 97.2% directional agreement with historical outcomes for non‑neutral scenarios, and captures incremental sequence‑dependent variation beyond scenario identity and pre‑event forecasts.

By Eljas Linna, Kestutis Baltakys, Derrick Manoharan, Alexandros Iosifidis, Juho Kanniainen
arXiv Machine Learning
Jun 10

One Step Closer to Ground Truth: A Multi-Scale Residual-Aware Representation Learning Pipeline for Predicting Time Series Data

arXiv:2606. 10678v1 Announce Type: new Abstract: Transformer-based models have emerged as leading paradigms in time-series forecasting in recent years, employing self-attention mechanisms to capture long-range dependencies.

By Amrijit Biswas, Mustafa Kamal, Robin Krambroeckers, M. M. Lutfe Elahi, Sifat Momen, Nabeel Mohammed, Shafin Rahman