arXiv subjects

Roy E. Welsch

Publications and source records attributed to Roy E. Welsch.

5 recordsLinked to original sources

arXiv2026

FlagGAM: Rule-Basis Generalized Additive Models for Explainable Tabular Prediction

Tabular applications often require inspectable prediction rules and stable behavior when records are incomplete. We propose FlagGAM, a rule-basis framework that separates feature-level rule construction from prediction. A Flag Core Module converts numerical and categorical variables into sparse, human-readable univariate bases: threshold flags, category-level flags, tail-deviation bases, and categorical step functions. A default additive head combines these bases as a restricted GAM-style predictor, while the retained sparse rule-basis matrix supports mixed-type classification and regression, feature-specific weighting, and optional flexible heads. On clean benchmarks, additive FlagGAM stays close to modern additive and rule-based baselines on classification and improves over global linear modeling on regression, while remaining less flexible than tree-based predictors. Its clearest advantage appears under deployment-time perturbations: across three classification datasets, FlagGAM has the smallest mean AUROC degradation under missingness and numerical noise. Flexible heads improve absolute accuracy and approach strong tree-based baselines, but should be interpreted as nonlinear predictors over learned rule bases. These results support FlagGAM as a constrained additive rule-basis model for applications that need readable rules and stable behavior with incomplete inputs.

cs.LG↗

arXiv2026

Point-in-Time Financial RAG with Frozen LLMs and Market-Feedback Adaptive Retrieval

Financial retrieval-augmented generation (RAG) systems typically rank evidence by textual relevance, but in financial markets evidence utility depends on event type, forecast horizon, and market context. We study news-triggered event-impact prediction as a point-in-time financial RAG problem. For each company-news anchor, the system retrieves financial news and SEC filing passages, appends a pre-decision market-context card, and predicts multi-horizon residual-return signals. Our method keeps the LLM frozen and adapts retrieval through an external Bayesian source memory updated from matured residual-return feedback. On a fixed 89-stock Nasdaq-oriented universe derived from the FinRL-DeepSeek/FNSPID task, using original FNSPID news and point-in-time EDGAR filing passages, Frozen Reader with Source Memory improves held-out macro-F1 from 0.438 to 0.471 and downstream portfolio Sharpe from 0.52 to 0.84 relative to Frozen Reader with No Memory. Supervised LoRA gives modest gains under static retrieval, but after source-memory adaptation, the LoRA reader does not improve over the frozen reader. These results suggest that, for financial RAG systems, learning where to retrieve can be as important as learning how to read, offering a modular route to market-feedback adaptation.

cs.CL↗

arXiv2026

Hierarchical Reinforced Trader (HRT): A Bi-Level Approach for Optimizing Stock Selection and Execution

Automated equity trading requires converting noisy market and news signals into executable portfolio decisions under risk, turnover, and transaction costs. We propose Hierarchical Reinforced Trader (HRT), a bi-level reinforcement learning framework for text-aware portfolio management in multi-asset equity markets. HRT separates trading into two coordinated decisions: a factorized sparse High-Level Controller (HLC) selects asset-level increase, reduce, or hold directions from compact market and text-derived signals, while a risk-aware Low-Level Controller (LLC) converts these directions into feasible portfolio weight adjustments under turnover, drawdown, and text-risk penalties. This decomposition avoids enumerating the full joint action space and makes selection and execution easier to inspect. We evaluate HRT on an open stock-news benchmark with a fixed 89-stock Nasdaq universe, using 2013--2018 for training, 2019 for validation, and 2020--2023 for final out-of-sample testing; the test horizon is restricted to 2020--2023 due to public benchmark data availability under the same timestamp-clean text-aware protocol. Across market-proxy, same-universe portfolio, alpha-only, flat-RL, and hierarchical ablation baselines, HRT delivers the strongest learning-based return--risk--cost trade-off. The full model improves Sharpe from 1.06 for HRT-Base to 1.24, reduces daily turnover from 0.112 to 0.090, and remains robust under transaction-cost stress. These results suggest that separating sparse directional selection from risk-aware execution is an effective way to incorporate market forecasts and text-derived risk signals into portfolio management.

q-fin.TR↗

arXiv2024

Aligning LLMs with Human Instructions and Stock Market Feedback in Financial Sentiment Analysis

Financial sentiment analysis is crucial for trading and investment decision-making. This study introduces an adaptive retrieval augmented framework for Large Language Models (LLMs) that aligns with human instructions through Instruction Tuning and incorporates market feedback to dynamically adjust weights across various knowledge sources within the Retrieval-Augmented Generation (RAG) module. Building upon foundational models like LLaMA 2, we fine-tune a series of LLMs ranging from 7B to 70B in size, enriched with Instruction Tuning and RAG, and further optimized through direct feedback and Reinforcement Learning (RL)-based refinement methods applied to the source weights of RAG.Through extensive evaluation, we demonstrate that the sentiment outputs from our LLMs more accurately mirror the intrinsic sentiment of textual data, showcasing a 1% to 6% boost in accuracy and F1 score over existing state-of-the-art models and leading conversational AI systems. Moreover, the sentiments extracted are more indicative of the directions in stock price movements. On top of that, we successfully construct portfolios that yield a 3.61% higher Sharpe ratio compared to the S&P 500 baseline in bullish markets. These portfolios also demonstrate resilience in bearish markets, with a 5x reduction in return losses compared to those typically experienced by the S&P 500.

cs.CE↗

arXiv2024

Estimating Heterogeneous Treatment Effects on Survival Outcomes Using Counterfactual Censoring Unbiased Transformations

Methods for estimating heterogeneous treatment effects (HTE) from observational data have largely focused on continuous or binary outcomes, with less attention paid to survival outcomes and almost none to settings with competing risks. In this work, we develop censoring unbiased transformations (CUTs) for survival outcomes both with and without competing risks. After converting time-to-event outcomes using these CUTs, direct application of HTE learners for continuous outcomes yields consistent estimates of heterogeneous cumulative incidence effects, total effects, and separable direct effects. Our CUTs enable application of a much larger set of state of the art HTE learners for censored outcomes than had previously been available, especially in competing risks settings. We provide generic model-free learner-specific oracle inequalities bounding the finite-sample excess risk. The oracle efficiency results depend on the oracle selector and estimated nuisance functions from all steps involved in the transformation. We demonstrate the empirical performance of the proposed methods in simulation studies.

stat.ME↗