Market-Conditioned JEPA: Learning from Unpredictable Market Shocks

Yuqi Wang, Fengyuan Liu, Mukai Li, Haochen Luo, Lei Li, Qi Liu

Market-Conditioned JEPA: Learning from Unpredictable Market Shocks: 5 upvotes on Hugging Face Daily Papers, #23 of 39 papers on 2026-11-11. Day-by-day upvote history.

Upvotes over time

It had 4 upvotes by its first day, 5 upvotes by the next day, 5 upvotes by day 3, 5 upvotes by day 7, and has 5 now. It ranked #76 of 133 papers in its week and #223 of 340 in its month. Its code repository has 2 GitHub stars.

Much of the variation in financial time series is driven by market-wide shocks that cannot be predicted from an asset's own history. Per-asset self-supervised learning treats this variation as irreducible noise. Under a latent factor model, we show that conditioning prediction on the realized market factor makes the asset's market exposure necessary for optimal prediction, while reducing the noise against which the asset-specific component is learned. Building on this insight, we introduce Market-Conditioned JEPA (MC-JEPA), a joint-embedding predictive architecture for financial time series. During training, we construct a leave-one-out market condition for each asset from the future target embeddings of other assets and incorporate it through factor loadings derived from the asset's own representation. On 11 years of minute-level Chinese A-share data, MC-JEPA improves over per-asset JEPA across nine targets spanning returns, market exposure, risk, and liquidity, with the strongest and most statistically significant gains in exposure, risk, and liquidity. It achieves the best RankIC on all liquidity targets and on return horizons from two hours to five days, outperforming time-series foundation models and self-supervised baselines, and delivers the best portfolio performance in a historical backtest. Ablations show that the return and exposure gains require the condition to be aligned with the realized market movement. After restoring the volatility scale removed by normalization, the predictor's factor loadings rank stocks by market beta nearly as well as a supervised probe, without labels. A synthetic factor-model study with known parameters shows that conditioning improves the recovery of both market exposure and the asset-specific component.

Paper page on Hugging Face · arXiv

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