arXiv subjects

John Cartlidge

Publications and source records attributed to John Cartlidge.

At least 19 recordsLinked to original sources

arXiv2026

StakeBench: Evaluating Language Understanding Grounded in Market Commitment

Existing financial NLP benchmarks often rely on labels supplied by outside observers, measuring how language is perceived rather than what speakers have committed to in the market. We introduce StakeBench, an evaluation framework for language understanding grounded in market commitment. StakeBench links 560,876 comments from 2,261 resolved markets to verified position, action, and market-odds records across Polymarket and Manifold. Supervision is derived from observable market behavior. Position sides, post-comment trading actions, and market-odds trajectories replace human annotation. Four diagnostic tasks test whether models detect market commitment, identify the revealed side, anticipate future action, and perform collective odds projection. Three commitment-aware metrics measure alignment with revealed preferences rather than perceived sentiment. Validity audits and explicit interpretation boundaries help distinguish observable commitment signals from latent belief and causal market-odds impact. Across 15 LLMs and 18 topics and platform settings, models partially recover position-side signals, with Directed Accuracy from 0.506 to 0.599, but show structural failures on later tasks. Ten of the fifteen models collapse to one or two action labels in future action anticipation, and no model consistently improves on the naive odds-direction baseline in collective odds projection. Model scale is not correlated with performance, finance-domain tuning does not improve revealed-side identification, and platform incentives strongly shape higher-order results. StakeBench is packaged with evaluation code and dataset under CC-BY 4.0.

cs.CL↗

arXiv2026

Market Regime Council for Dynamic Credit Assignment in Multi-Agent LLM Decision Systems

Multi-agent LLM decision systems for portfolio management still lack a principled way to assign credit across specialist agents, remain vulnerable to cold-start dominance under regime shifts, and offer limited transparency into how final allocations are formed. We propose Market Regime Council (MRC), a cooperative multi-agent decision system that computes exact Shapley credits across all single, pairwise, and Grand-coalition outputs for online agent weighting. Instantiated with N=3 specialist agents, at each trading period, MRC recomputes coalition-based Shapley weights from exponentially weighted performance histories, uses a Bayesian adaptive mixture to stabilize early periods, applies regime-dependent multipliers to adjust agent authority, and records each rebalance through a five-layer causal trace. Over 1,037 trading days across 13 crypto assets and five seeds, MRC achieves a Sharpe ratio of 1.51 and a cumulative return of 440.1%, ranking first on CR, SR, and IR among active baselines and attaining the lowest MDD among active methods. Ablation results show that the gains come from Shapley-weighted integration across coalition outputs rather than from any single stage in isolation. Code and demo data are included in the supplementary material.

cs.AI↗

arXiv2026

Contrast to Detect: Dynamic Graph Contrastive Regularization for Unsupervised Anomaly Detection in Multivariate Time Series

Anomaly detection in multivariate time series (MTS) is hindered by dynamic inter-variable dependencies and feature entanglement under spectral noise, and in practice, is further complicated by the absence of anomaly labels. Existing reconstruction-based detectors tend to recover anomalies as faithfully as normal patterns, while prevailing graph contrastive methods enforce invariance across views and thus assume a stationary relational structure, an assumption that breaks under structural drift in real systems. We propose ContrastAD, an unsupervised framework that turns structural evolution itself into a learning signal rather than suppressing it. A Multi-Perspective Embedder encodes inputs from temporal, attribute, and structural perspectives. A Frequency-Aware Attention Mixer then performs spectral top-K filtering before attention, preventing noise from leaking into query-key similarities. The core component, a Dynamic Graph Contrastive Learner, builds power-law-inspired sparse graph snapshots from batch-level DTW distances and contrasts the most divergent pair against a stable anchor, regularizing the latent space without imposing rigid invariance. Across five real-world benchmarks, ContrastAD attains the highest mean F1 on all five datasets and the highest AUC on three (SWaT 93.60, SMD 98.66, PSM 97.79), with statistically significant F1 and AUC margins over the strongest baseline on SWaT and PSM. On MSL and SMAP, it trails the AUC leader by under 0.7 points while still leading on F1. Ablation and sensitivity studies further confirm that the contrastive objective works best as a soft regularizer, supporting our claim that strict invariance is suboptimal under non-stationary dynamics.

cs.LG↗

arXiv2026

Latent Laplace Diffusion for Irregular Multivariate Time Series

Irregular multivariate time series impose a trade-off for long-horizon forecasting: discrete methods can distort temporal structure via re-gridding, while continuous-time models often require sequential solvers prone to drift. To bridge this gap, we present Latent Laplace Diffusion (LLapDiff), a generative framework that models the target as a low-dimensional latent trajectory, enabling horizon-wide generation without step-by-step integration over physical time. We guide the reverse process utilizing a stable modal parameterization motivated by stochastic port-Hamiltonian dynamics, and parameterize its mean evolution in the Laplace domain via learnable complex-conjugate poles, enabling direct evaluation over irregular timestamps. We also link continuous dynamics to irregular observations through renewal-averaging analysis, which maps sampling gaps to effective event-domain poles and motivates a gap-aware history summarizer. Extensive experiments show that LLapDiff improves over baselines in long-horizon forecasting, and its continuous-time generative nature supports missing-value imputation by querying the same model at historical timestamps. Code is available at https://github.com/pixelhero98/LLapDiffusion.

cs.LG↗

arXiv2026

Enhancing Regime Shift Detection Using Unstructured Data: A Study on the Treasury Market

Regime shifts in financial markets reorganise the joint dynamics of asset prices and macro variables, breaking any single-regime calibration. They are nonetheless hard to identify: the data signal is noisy and heavily multicollinear, while the contemporaneous text that announces them is unstructured. Standard regime shift detection reads only the data panel and ignores this text, even though it typically signals the shift weeks before it materialises in observed prices. We address this with a text-enhanced pipeline that cross-validates the two signals. A large language model (LLM) proposes candidates from text, which a likelihood-ratio vector-autoregression (VAR) test validates on the panel. In parallel, any regime shift detector proposes data-side candidates that a second LLM call accepts via a permissive text check. Because the acceptance stage consumes a candidate set rather than an algorithm's internals, the data channel accepts any data-driven detector. We deploy the pipeline on the US Treasury market, pairing 2010-2024 FOMC minutes with a 14-variable Treasury / macro panel, with every method evaluated on this same panel. The pipeline reaches F1 = 0.82 and F2 = 0.86 against a verified anchor list of monetary-policy regime shifts (best with rolling PCMCI as the data channel), with same-day modal detection latency, and is detector-agnostic: any of four interchangeable data-driven detectors clears the strongest pure data-only baseline on both scores.

q-fin.CP↗

arXiv2026

A market-calibrated accelerated failure time model for in-play football forecasting

In-play football forecasting models have struggled to match the accuracy of betting exchange prices, which aggregate information from many market participants. We close this gap by combining two extensions to a Weibull accelerated failure time model: calibrating team strength parameters to Betfair Exchange prices at kick-off to capture pre-match market information, and including post-shot expected goals as a time-varying covariate to capture in-play information. The calibration approach, where we jointly fit team-strength parameters to 1X2 and over/under betting markets via squared-error minimisation, applies to any intensity-based goal arrival model and enables stronger in-play forecasting. Evaluated across 140 English Premier League matches at minute intervals, the calibrated model almost matches Betfair's classification accuracy (70.2% versus 70.6%) while retaining interpretable team-level parameters and covariate effects. A comparison with two alternative continuous-time scoring models, both calibrated to the same pre-match odds, confirms that market calibration is the dominant driver of predictive accuracy. A betting simulation against Betfair in-play odds yields a 4.5% return on investment (Sharpe ratio 5.94) over 17,458 bets, suggesting an inefficiency within in-play football markets.

stat.AP↗

arXiv2026

Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics

Systemic risk refers to the overall vulnerability arising from the high degree of interconnectedness and interdependence within the financial system. In the rapidly developing decentralized finance (DeFi) ecosystem, numerous studies have analyzed systemic risk through specific channels such as liquidity pressures, leverage mechanisms, smart contract risks, and historical risk events. However, these studies are mostly event-driven or focused on isolated risk channels, paying limited attention to the structural dimension of systemic risk. Overall, this study provides a unified quantitative framework for ecosystem-level analysis and continuous monitoring of systemic risk in DeFi. From a network-based perspective, this paper proposes the DeFi Correlation Fragility Indicator (CFI), constructed from time-varying correlation networks at the protocol category level. The CFI captures ecosystem-wide structural fragility associated with correlation concentration and increasing synchronicity. Furthermore, we define a Risk Contribution Score (RCS) to quantify the marginal contribution of different protocol types to overall systemic risk. By combining the CFI and RCS, the framework enables both the tracking of time-varying systemic risk and identification of structurally important functional modules in risk accumulation and amplification.

q-fin.RM↗

arXiv2025

How Wide and How Deep? Mitigating Over-Squashing of GNNs via Channel Capacity Constrained Estimation

Existing graph neural networks typically rely on heuristic choices for hidden dimensions and propagation depths, which often lead to severe information loss during propagation, known as over-squashing. To address this issue, we propose Channel Capacity Constrained Estimation (C3E), a novel framework that formulates the selection of hidden dimensions and depth as a nonlinear programming problem grounded in information theory. Through modeling spectral graph neural networks as communication channels, our approach directly connects channel capacity to hidden dimensions, propagation depth, propagation mechanism, and graph structure. Extensive experiments on nine public datasets demonstrate that hidden dimensions and depths estimated by C3E can mitigate over-squashing and consistently improve representation learning. Experimental results show that over-squashing occurs due to the cumulative compression of information in representation matrices. Furthermore, our findings show that increasing hidden dimensions indeed mitigate information compression, while the role of propagation depth is more nuanced, uncovering a fundamental balance between information compression and representation complexity.

cs.LG↗

arXiv2025

Capturing Intransitive Dominance in Tennis Forecasting: A Graph Neural Network Approach

Intransitive player dominance, where player A beats B, B beats C, but C beats A, is common in competitive tennis. Yet, there are few known attempts to incorporate it within forecasting methods. We address this problem with a graph neural network approach that explicitly models these intransitive relationships through temporal directed graphs, with players as nodes and their historical match outcomes as directed edges. Our model (65.7% accuracy, 0.214 Brier score) forecasts competitively with established rating systems such as Weighted Elo. Although it does not improve on the baseline in unconditional accuracy, a forecast-encompassing test shows that it carries complementary information. A combined forecast significantly outperforms Weighted Elo, and there is some indication that the gain grows more strongly on the intransitive matchups our model targets. A graph-based representation of player interactions thus captures a forecasting signal that transitive rating systems discard, even between players who share no common opponents.

cs.LG↗

arXiv2025

BondBERT: What we learn when assigning sentiment in the bond market

Bond markets respond differently to macroeconomic news compared to equity markets, yet most sentiment models are trained primarily on general financial or equity news data. However, bond prices often move in the opposite direction to economic optimism, making general or equity-based sentiment tools potentially misleading. We introduce BondBERT, a transformer-based language model fine-tuned on bond-specific news. BondBERT can act as the perception and reasoning component of a financial decision-support agent, providing sentiment signals that integrate with forecasting models. We propose a generalisable framework for adapting transformers to low-volatility, domain-inverse sentiment tasks by compiling and cleaning 30,000 UK bond market articles (2018-2025). BondBERT's sentiment predictions are compared against FinBERT, FinGPT, and Instruct-FinGPT using event-based correlation, up/down accuracy analyses, and LSTM forecasting across ten UK sovereign bonds. We find that BondBERT consistently produces positive correlations with bond returns, and achieves higher alignment and forecasting accuracy than the three baseline models. These results demonstrate that domain-specific sentiment adaptation better captures fixed income dynamics, bridging a gap between NLP advances and bond market analytics.

q-fin.CP↗

arXiv2025

Automated Risk Management Mechanisms in DeFi Lending Protocols: A Crosschain Comparative Analysis of Aave and Compound

Blockchain-based decentralised lending is a rapidly growing and evolving alternative to traditional lending, but it poses new risks. To mitigate these risks, lending protocols have integrated automated risk management tools into their smart contracts. However, the effectiveness of the latest risk management features introduced in the most recent versions of these lending protocols is understudied. To close this gap, we use a panel regression fixed effects model to empirically analyse the cross-version (v2 and v3) and cross-chain (L1 and L2) effectiveness of liquidation mechanisms, measured through TVL and total revenue as proxies for performance of the two most popular lending protocols, Aave and Compound, during the period Jan 2021 to Dec 2024. Our analysis reveals that liquidation events in v3 of both protocols lead to an increase in total value locked and total revenue, with stronger impact on the L2 blockchain compared to L1. In contrast, liquidations in v2 have an insignificant impact, which indicates that the most recent v3 protocols have better risk management than the earlier v2 protocols. We also show that L1 blockchains are the preferred choice among large investors for their robust liquidity and ecosystem depth, while L2 blockchains are more popular among retail investors for their lower fees and faster execution.

q-fin.RM↗

arXiv2025

VMDNet: Temporal Leakage-Free Variational Mode Decomposition for Electricity Demand Forecasting

Accurate electricity demand forecasting is challenging due to the strong multi-periodicity of real-world demand series, which makes effective modeling of recurrent temporal patterns crucial. Decomposition techniques make such structure explicit and thereby improve predictive performance. Variational Mode Decomposition (VMD) is a powerful signal-processing method for periodicity-aware decomposition and has seen growing adoption in recent years. However, existing studies often suffer from information leakage and rely on inappropriate hyperparameter tuning. To address these issues, we propose VMDNet, a causality-preserving framework that (i) applies sample-wise VMD to avoid temporal leakage; (ii) represents each decomposed mode with frequency-aware embeddings and decodes it using parallel temporal convolutional networks (TCNs), ensuring mode independence and efficient learning; and (iii) introduces a Stackelberg game inspired bilevel scheme to guide the selection of VMD's two key hyperparameters. Experiments on three widely used electricity demand datasets show that VMDNet consistently outperforms state-of-the-art baselines.

cs.LG↗

arXiv2025

Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDE

The optimal asset allocation between risky and risk-free assets is a persistent challenge due to the inherent volatility in financial markets. Conventional methods rely on strict distributional assumptions or non-additive reward ratios, which limit their robustness and applicability to investment goals. To overcome these constraints, this study formulates the optimal two-asset allocation problem as a sequential decision-making task within a Markov Decision Process (MDP). This framework enables the application of reinforcement learning (RL) mechanisms to develop dynamic policies based on simulated financial scenarios, regardless of prerequisites. We use the Kelly criterion to balance immediate reward signals against long-term investment objectives, and we take the novel step of integrating the Time-series Dense Encoder (TiDE) into the Deep Deterministic Policy Gradient (DDPG) RL framework for continuous decision-making. We compare DDPG-TiDE with a simple discrete-action Q-learning RL framework and a passive buy-and-hold investment strategy. Empirical results show that DDPG-TiDE outperforms Q-learning and generates higher risk adjusted returns than buy-and-hold. These findings suggest that tackling the optimal asset allocation problem by integrating TiDE within a DDPG reinforcement learning framework is a fruitful avenue for further exploration.

q-fin.PM↗

arXiv2025

Cross-Modal Temporal Fusion for Financial Market Forecasting

Accurate forecasting in financial markets requires integrating diverse data sources, from historical prices to macroeconomic indicators and financial news. However, existing models often fail to align these modalities effectively, limiting their practical use. In this paper, we introduce a transformer-based deep learning framework, Cross-Modal Temporal Fusion (CMTF), that fuses structured and unstructured financial data for improved market prediction. The model incorporates a tensor interpretation module for feature selection and an auto-training pipeline for efficient hyperparameter tuning. Experimental results using FTSE 100 stock data demonstrate that CMTF achieves superior performance in price direction classification compared to classical and deep learning baselines. These findings suggest that our framework is an effective and scalable solution for real-world cross-modal financial forecasting tasks.

cs.LG↗

arXiv2025

zkMixer: A Configurable Zero-Knowledge Mixer with Anti-Money Laundering Consensus Protocols

We introduce a zero-knowledge cryptocurrency mixer framework that allows groups of users to set up a mixing pool with configurable governance conditions, configurable deposit delays, and the ability to refund or confiscate deposits if it is suspected that funds originate from crime. Using a consensus process, group participants can monitor inputs to the mixer and determine whether the inputs satisfy the mixer conditions. If a deposit is accepted by the group, it will enter the mixer and become untraceable. If it is not accepted, the verifiers can freeze the deposit and collectively vote to either refund the deposit back to the user, or confiscate the deposit and send it to a different user. This behaviour can be used to examine deposits, determine if they originate from a legitimate source, and if not, return deposits to victims of crime.

cs.CR↗

arXiv2025

Improving Bayesian Optimization for Portfolio Management with an Adaptive Scheduling

Existing black-box portfolio management systems are prevalent in the financial industry due to commercial and safety constraints, though their performance can fluctuate dramatically with changing market regimes. Evaluating these non-transparent systems is computationally expensive, as fixed budgets limit the number of possible observations. Therefore, achieving stable and sample-efficient optimization for these systems has become a critical challenge. This work presents a novel Bayesian optimization framework (TPE-AS) that improves search stability and efficiency for black-box portfolio models under these limited observation budgets. Standard Bayesian optimization, which solely maximizes expected return, can yield erratic search trajectories and misalign the surrogate model with the true objective, thereby wasting the limited evaluation budget. To mitigate these issues, we propose a weighted Lagrangian estimator that leverages an adaptive schedule and importance sampling. This estimator dynamically balances exploration and exploitation by incorporating both the maximization of model performance and the minimization of the variance of model observations. It guides the search from broad, performance-seeking exploration towards stable and desirable regions as the optimization progresses. Extensive experiments and ablation studies, which establish our proposed method as the primary approach and other configurations as baselines, demonstrate its effectiveness across four backtest settings with three distinct black-box portfolio management models.

cs.LG↗

arXiv2024

Dynamic Graph Representation with Contrastive Learning for Financial Market Prediction: Integrating Temporal Evolution and Static Relations

Temporal Graph Learning (TGL) is crucial for capturing the evolving nature of stock markets. Traditional methods often ignore the interplay between dynamic temporal changes and static relational structures between stocks. To address this issue, we propose the Dynamic Graph Representation with Contrastive Learning (DGRCL) framework, which integrates dynamic and static graph relations to improve the accuracy of stock trend prediction. Our framework introduces two key components: the Embedding Enhancement (EE) module and the Contrastive Constrained Training (CCT) module. The EE module focuses on dynamically capturing the temporal evolution of stock data, while the CCT module enforces static constraints based on stock relations, refined within contrastive learning. This dual-relation approach allows for a more comprehensive understanding of stock market dynamics. Our experiments on two major U.S. stock market datasets, NASDAQ and NYSE, demonstrate that DGRCL significantly outperforms state-of-the-art TGL baselines. Ablation studies indicate the importance of both modules. Overall, DGRCL not only enhances prediction ability but also provides a robust framework for integrating temporal and relational data in dynamic graphs. Code and data are available for public access.

cs.LG↗

arXiv2024

Artificial Intelligence for Collective Intelligence: A National-Scale Research Strategy

Advances in artificial intelligence (AI) have great potential to help address societal challenges that are both collective in nature and present at national or trans-national scale. Pressing challenges in healthcare, finance, infrastructure and sustainability, for instance, might all be productively addressed by leveraging and amplifying AI for national-scale collective intelligence. The development and deployment of this kind of AI faces distinctive challenges, both technical and socio-technical. Here, a research strategy for mobilising inter-disciplinary research to address these challenges is detailed and some of the key issues that must be faced are outlined.

cs.AI↗