A Novel approach to portfolio construction

This paper proposes a machine learning-based framework for asset selection and portfolio construction, termed the Best-Path Algorithm Sparse Graphical Model (BPASGM). The method extends the Best-Path Algorithm (BPA) by mapping linear and non-linear dependencies among a large set of financial assets into a sparse graphical model satisfying a structural Markov property. Based on this representation, BPASGM performs a dependence-driven screening that removes positively or redundantly connected assets, isolating subsets that are conditionally independent or negatively correlated. This step is designed to enhance diversification and reduce estimation error in high-dimensional portfolio settings. Portfolio optimization is then conducted on the selected subset using standard mean-variance techniques. BPASGM does not aim to improve the theoretical mean-variance optimum under known population parameters, but rather to enhance realized performance in finite samples, where sample-based Markowitz portfolios are highly sensitive to estimation error. Monte Carlo simulations show that BPASGM-based portfolios achieve more stable risk-return profiles, lower realized volatility, and superior risk-adjusted performance compared to standard mean-variance portfolios. Empirical results for U.S. equities, global stock indices, and foreign exchange rates over 1990-2025 confirm these findings and demonstrate a substantial reduction in portfolio cardinality. Overall, BPASGM offers a statistically grounded and computationally efficient framework that integrates sparse graphical modeling with portfolio theory for dependence-aware asset selection.

Self-Soupervision: Cooking Model Soups without Labels

Model soups are strange and strangely effective combinations of parameters. They take a model (the stock), fine-tune it into multiple models (the ingredients), and then mix their parameters back into one model (the soup) to improve predictions. While all known soups require supervised learning, and optimize the same loss on labeled data, our recipes for Self-\emph{Soup}ervision generalize soups to self-supervised learning (SSL). Our Self-Souping lets us flavor ingredients on new data sources, e.g. from unlabeled data from a task for transfer or from a shift for robustness. We show that Self-Souping on corrupted test data, then fine-tuning back on uncorrupted train data, boosts robustness by +3.5\% (ImageNet-C) and +7\% (LAION-C). Self-\emph{Soup}ervision also unlocks countless SSL algorithms to cook the diverse ingredients needed for more robust soups. We show for the first time that ingredients can differ in their SSL hyperparameters -- and more surprisingly, in their SSL algorithms. We cook soups of MAE, MoCoV3, and MMCR ingredients that are more accurate than any one single SSL ingredient.

GAPNet: Plug-in Jointly Learning Task-Specific Graph for Dynamic Stock Relation

The advent of the web has led to a paradigm shift in the financial relations, with the real-time dissemination of news, social discourse, and financial filings contributing significantly to the reshaping of financial forecasting. The existing methods rely on establishing relations a priori, i.e. predefining graphs to capture inter-stock relationships. However, the stock-related web signals are characterised by high levels of noise, asynchrony, and challenging to obtain, resulting in poor generalisability and non-alignment between the predefined graphs and the downstream tasks. To address this, we propose GAPNet, a Graph Adaptation Plug-in Network that jointly learns task-specific topology and representations in an end-to-end manner. GAPNet attaches to existing pairwise graph or hypergraph backbone models, enabling the dynamic adaptation and rewiring of edge topologies via two complementary components: a Spatial Perception Layer that captures short-term co-movements across assets, and a Temporal Perception Layer that maintains long-term dependency under distribution shift. Across two real-world stock datasets, GAPNet has been shown to consistently enhance the profitability and stability in comparision to the state-of-the-art models, yielding annualised cumulative returns of up to 0.47 for RT-GCN and 0.63 for CI-STHPAN, with peak Sharpe Ratio of 2.20 and 2.12 respectively. The plug-and-play design of GAPNet ensures its broad applicability to diverse GNN-based architectures. Our results underscore that jointly learning graph structures and representations is essential for task-specific relational modeling.

Automating Forecasting Question Generation and Resolution for AI Evaluation

Forecasting future events is highly valuable in decision-making and is a robust measure of general intelligence. As forecasting is probabilistic, developing and evaluating AI forecasters requires generating large numbers of diverse and difficult questions, and accurately resolving them. Previous efforts to automate this laborious work relied on recurring data sources (e.g., weather, stocks), limiting diversity and utility. In this work, we present a system for generating and resolving high-quality forecasting questions automatically and at scale using LLM-powered web research agents. We use this system to generate 1499 diverse, real-world forecasting questions, and to resolve them several months later. We estimate that our system produces verifiable, unambiguous questions approximately 96% of the time, exceeding the rate of Metaculus, a leading human-curated forecasting platform. We also find that our system resolves questions at approximately 95% accuracy. We verify that forecasting agents powered by more intelligent LLMs perform better on these questions (Brier score of 0.134 for Gemini 3 Pro, 0.149 for GPT-5, and 0.179 for Gemini 2.5 Flash). Finally, we demonstrate how our system can be leveraged to directly improve forecasting, by evaluating a question decomposition strategy on a generated question set, yielding a significant improvement in Brier scores (0.132 vs. 0.141).

Alpha Discovery via Grammar-Guided Learning and Search

Automatically discovering formulaic alpha factors is a central problem in quantitative finance. Existing methods often ignore syntactic and semantic constraints, relying on exhaustive search over unstructured and unbounded spaces. We present AlphaCFG, a grammar-based framework for defining and discovering alpha factors that are syntactically valid, financially interpretable, and computationally efficient. AlphaCFG uses an alpha-oriented context-free grammar to define a tree-structured, size-controlled search space, and formulates alpha discovery as a tree-structured linguistic Markov decision process, which is then solved using a grammar-aware Monte Carlo Tree Search guided by syntax-sensitive value and policy networks. Experiments on Chinese and U.S. stock market datasets show that AlphaCFG outperforms state-of-the-art baselines in both search efficiency and trading profitability. Beyond trading strategies, AlphaCFG serves as a general framework for symbolic factor discovery and refinement across quantitative finance, including asset pricing and portfolio construction.

NeuroAI and Beyond

Neuroscience and Artificial Intelligence (AI) have made significant progress in the past few years but have only been loosely inter-connected. Based on a workshop held in August 2025, we identify current and future areas of synergism between these two fields. We focus on the subareas of embodiment, language and communication, robotics, learning in humans and machines and Neuromorphic engineering to take stock of the progress made so far, and possible promising new future avenues. Overall, we advocate for the development of NeuroAI, a type of Neuroscience-informed Artificial Intelligence that, we argue, has the potential for significantly improving the scope and efficiency of AI algorithms while simultaneously changing the way we understand biological neural computations. We include personal statements from several leading researchers on their diverse views of NeuroAI. Two Strength-Weakness-Opportunities-Threat (SWOT) analyses by researchers and trainees are appended that describe the benefits and risks offered by NeuroAI.

One Global Model, Many Behaviors: Stockout-Aware Feature Engineering and Dynamic Scaling for Multi-Horizon Retail Demand Forecasting with a Cost-Aware Ordering Policy (VN2 Winner Report)

Inventory planning for retail chains requires translating demand forecasts into ordering decisions, including asymmetric shortages and holding costs. The VN2 Inventory Planning Challenge formalizes this setting as a weekly decision-making cycle with a two-week product delivery lead time, where the total cost is defined as the shortage cost plus the holding cost. This report presents the winning VN2 solution: a two-stage predict-then-optimize pipeline that combines a single global multi-horizon forecasting model with a cost-aware ordering policy. The forecasting model is trained in a global paradigm, jointly using all available time series. A gradient-boosted decision tree (GBDT) model implemented in CatBoost is used as the base learner. The model incorporates stockout-aware feature engineering to address censored demand during out-of-stock periods, per-series scaling to focus learning on time-series patterns rather than absolute levels, and time-based observation weights to reflect shifts in demand patterns. In the decision stage, inventory is projected to the start of the delivery week, and a target stock level is calculated that explicitly trades off shortage and holding costs. Evaluated by the official competition simulation in six rounds, the solution achieved first place by combining a strong global forecasting model with a lightweight cost-aware policy. Although developed for the VN2 setting, the proposed approach can be extended to real-world applications and additional operational constraints.

Agreement-Driven Multi-View 3D Reconstruction for Live Cattle Weight Estimation

Accurate cattle live weight estimation is vital for livestock management, welfare, and productivity. Traditional methods, such as manual weighing using a walk-over weighing system or proximate measurements using body condition scoring, involve manual handling of stock and can impact productivity from both a stock and economic perspective. To address these issues, this study investigated a cost-effective, non-contact method for live weight calculation in cattle using 3D reconstruction. The proposed pipeline utilized multi-view RGB images with SAM 3D-based agreement-guided fusion, followed by ensemble regression. Our approach generates a single 3D point cloud per animal and compares classical ensemble models with deep learning models under low-data conditions. Results show that SAM 3D with multi-view agreement fusion outperforms other 3D generation methods, while classical ensemble models provide the most consistent performance for practical farm scenarios (R$^2$ = 0.69 $\pm$ 0.10, MAPE = 2.22 $\pm$ 0.56 \%), making this practical for on-farm implementation. These findings demonstrate that improving reconstruction quality is more critical than increasing model complexity for scalable deployment on farms where producing a large volume of 3D data is challenging.

Linguistic and Argument Diversity in Synthetic Data for Function-Calling Agents

The construction of function calling agents has emerged as a promising avenue for extending model capabilities. A major challenge for this task is obtaining high quality diverse data for training. Prior work emphasizes diversity in functions, invocation patterns, and interaction turns, yet linguistic diversity of requests and coverage of arguments (e.g., \texttt{city\_name}, \texttt{stock\_ticker}) remain underexplored. We propose a method that generates synthetic datasets via optimizing general-purpose diversity metrics across both queries and arguments, without relying on hand-crafted rules or taxonomies, making it robust to different usecases. We demonstrate the effectiveness of our technique via both intrinsic and extrinsic testing, comparing it to SoTA data generation methods. We show a superiority over baselines in terms of diversity, while keeping comparable correctness. Additionally, when used as a training set, the model resulting from our dataset exhibits superior performance compared to analogous models based on the baseline data generation methods in out-of-distribution performance. In particular, we achieve an $7.4\%$ increase in accuracy on the BFCL benchmark compared to similar counterparts.

Neural Nonlinear Shrinkage of Covariance Matrices for Minimum Variance Portfolio Optimization

This paper introduces a neural network-based nonlinear shrinkage estimator of covariance matrices for the purpose of minimum variance portfolio optimization. It is a hybrid approach that integrates statistical estimation with machine learning. Starting from the Ledoit-Wolf (LW) shrinkage estimator, we decompose the LW covariance matrix into its eigenvalues and eigenvectors, and apply a lightweight transformer-based neural network to learn a nonlinear eigenvalue shrinkage function. Trained with portfolio risk as the loss function, the resulting precision matrix (the inverse covariance matrix) estimator directly targets portfolio risk minimization. By conditioning on the sample-to-dimension ratio, the approach remains scalable across different sample sizes and asset universes. Empirical results on stock daily returns from Standard & Poor's 500 Index (S&P500) demonstrate that the proposed method consistently achieves lower out-of-sample realized risk than benchmark approaches. This highlights the promise of integrating structural statistical models with data-driven learning.