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

• URL: http://arxiv.org/abs/2606.29347v1
• Date: Sun, 28 Jun 2026 11:33:19 GMT
• Title: Adaptive Financial Transformer with Regime-Gated Attention for Stock Return Prediction
• Abstract summary: Adaptive Financial Transformer (AFT) is proposed for stock return prediction under non-stationary financial markets.<n>The model incorporates a Market Regime, an Adaptive Gate Network, and an Adaptive Financial Context module.<n>Results demonstrate competitive predictive performance while reducing model complexity by 15.2%.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: 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.

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