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Articles

Forecast Collapse in Time-Series Foundation Models

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By Shu Wan, Miles Ma, Hank Zhu
| huggingface.co
Published on Aug 14 · Submitted by Shu on Aug 17 · Abel Abstract Forecast collapse in hourly equity return prediction stems from low predictability and per-series objectives, and the proposed CalibRank objective balances calibration and ranking to restore cross-sectional structure. When forecasting hourly returns for 1,000 US equities, we observe an unexpected phenomenon: predictions become nearly flat and show poor stock ranking, as measured by cross-sectional correlation.
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