Bohan Ma

Bohan Ma, Yushan Xue, Yuan Lu et al.

As the Chinese stock market continues to evolve and its market structure grows increasingly complex, traditional quantitative trading methods are facing escalating challenges. Particularly, due to policy uncertainty and the frequent market fluctuations triggered by sudden economic events, existing models often struggle to accurately predict market dynamics. To address these challenges, this paper introduces Stockformer, a price-volume factor stock selection model that integrates wavelet transformation and a multitask self-attention network, aimed at enhancing responsiveness and predictive accuracy regarding market instabilities. Through discrete wavelet transform, Stockformer decomposes stock returns into high and low frequencies, meticulously capturing long-term market trends and short-term fluctuations, including abrupt events. Moreover, the model incorporates a Dual-Frequency Spatiotemporal Encoder and graph embedding techniques to effectively capture complex temporal and spatial relationships among stocks. Employing a multitask learning strategy, it simultaneously predicts stock returns and directional trends. Experimental results show that Stockformer outperforms existing advanced methods on multiple real stock market datasets. In strategy backtesting, Stockformer consistently demonstrates exceptional stability and reliability across market conditions-whether rising, falling, or fluctuating-particularly maintaining high performance during downturns or volatile periods, indicating a high adaptability to market fluctuations. To foster innovation and collaboration in the financial analysis sector, the Stockformer model's code has been open-sourced and is available on the GitHub repository: https://github.com/Eric991005/Multitask-Stockformer.

Hengzhi Yu, Bohan Ma, Mingshuai Chen et al.

This paper addresses the problem of inferring a hybrid automaton from a set of input-output traces of a hybrid system exhibiting discrete mode switching between continuously evolving dynamics. Existing approaches mainly adopt a derivative-based method where (i) the occurrence of mode switching is determined by a drastic variation in derivatives and (ii) the clustering of trace segments relies on signal similarity -- both subject to user-supplied thresholds. We present a derivative-agnostic approach, named Dainarx, to infer nonlinear hybrid systems where the dynamics are captured by nonlinear autoregressive exogenous (NARX) models. Dainarx employs NARX models as a unified, threshold-free representation through the detection of mode switching and trace-segment clustering. We show that Dainarx suffices to learn models that closely approximate a general class of hybrid systems featuring high-order nonlinear dynamics with exogenous inputs, nonlinear guard conditions, and linear resets. Experimental results on a collection of benchmarks indicate that our approach can effectively and efficiently infer nontrivial hybrid automata with high-order dynamics yielding significantly more accurate approximations than state-of-the-art techniques.