Upload README.md with huggingface_hub
Browse files
README.md
CHANGED
|
@@ -1,26 +1,64 @@
|
|
| 1 |
-
-
|
| 2 |
-
tags:
|
| 3 |
-
- ml-intern
|
| 4 |
-
---
|
| 5 |
|
| 6 |
-
|
|
|
|
|
|
|
|
|
|
| 7 |
|
| 8 |
-
|
| 9 |
-
## Generated by ML Intern
|
| 10 |
|
| 11 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 12 |
|
| 13 |
-
|
| 14 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 15 |
|
| 16 |
## Usage
|
| 17 |
|
| 18 |
-
```
|
| 19 |
-
|
|
|
|
| 20 |
|
| 21 |
-
|
| 22 |
-
|
| 23 |
-
|
|
|
|
|
|
|
| 24 |
```
|
| 25 |
|
| 26 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1 |
+
# FinJEPA: Financial Joint-Embedding Predictive Architecture
|
|
|
|
|
|
|
|
|
|
| 2 |
|
| 3 |
+
FinJEPA is a JEPA-based world model for portfolio optimization over a **separated action space** consisting of:
|
| 4 |
+
- **Portfolio weights** (continuous, simplex-constrained)
|
| 5 |
+
- **Trading signals** (discrete: long/short/flat per asset)
|
| 6 |
+
- **Hedging signal** (binary: on/off)
|
| 7 |
|
| 8 |
+
## Architecture (SOTA Blend)
|
|
|
|
| 9 |
|
| 10 |
+
| Component | Source | Key Innovation |
|
| 11 |
+
|-----------|--------|----------------|
|
| 12 |
+
| Time Series Encoder | TS-JEPA (Sennadir 2025) | 1D-CNN patch tokenizer + Transformer |
|
| 13 |
+
| Action Conditioning | JEPA-WMs (Terver 2025) | AdaLN + RoPE in predictor |
|
| 14 |
+
| Collapse Prevention | EB-JEPA (Terver 2026) | SIGReg + Inverse Dynamics Model |
|
| 15 |
+
| Multi-step Rollout | EB-JEPA | K-step autoregressive training |
|
| 16 |
+
| Planner | JEPA-WMs + EB-JEPA | CEM L2 cost / MPPI cumulative cost in latent space |
|
| 17 |
+
| TD Branch | TD-JEPA (Bagatella 2025) | Optional separate task encoder for zero-shot RL |
|
| 18 |
|
| 19 |
+
## Model
|
| 20 |
+
|
| 21 |
+
```
|
| 22 |
+
Financial Time Series (T, F)
|
| 23 |
+
β
|
| 24 |
+
βΌ
|
| 25 |
+
[TimeSeriesTokenizer] ββ 1D-CNN patches + position encoding
|
| 26 |
+
β
|
| 27 |
+
βββββΊ [Context Encoder] (student)
|
| 28 |
+
β β
|
| 29 |
+
β βΌ
|
| 30 |
+
β [Predictor] ββββ Action embedding (weights + signals)
|
| 31 |
+
β (AdaLN + RoPE) β
|
| 32 |
+
β β β
|
| 33 |
+
β βΌ βΌ
|
| 34 |
+
β Predicted target [ActionEmbedder]
|
| 35 |
+
β embeddings βββ weights (continuous)
|
| 36 |
+
β βββ signals (discrete)
|
| 37 |
+
β βββ hedge (binary)
|
| 38 |
+
β
|
| 39 |
+
βββββΊ [Target Encoder] (teacher, EMA frozen)
|
| 40 |
+
β
|
| 41 |
+
βΌ
|
| 42 |
+
Ground truth target embeddings
|
| 43 |
+
```
|
| 44 |
|
| 45 |
## Usage
|
| 46 |
|
| 47 |
+
```bash
|
| 48 |
+
python finjepa/run_training_fast.py
|
| 49 |
+
```
|
| 50 |
|
| 51 |
+
Full training on real data:
|
| 52 |
+
```bash
|
| 53 |
+
python finjepa/train.py --data_source hf \
|
| 54 |
+
--dataset_name paperswithbacktest/Stocks-Daily-Price \
|
| 55 |
+
--n_assets 5 --batch_size 128 --epochs 50 --push_to_hub
|
| 56 |
```
|
| 57 |
|
| 58 |
+
## References
|
| 59 |
+
|
| 60 |
+
1. TS-JEPA β Sennadir et al. (2025). arxiv:2509.25449
|
| 61 |
+
2. JEPA-WMs β Terver et al. (2025). arxiv:2512.24497
|
| 62 |
+
3. EB-JEPA β Terver et al. (2026). arxiv:2602.03604
|
| 63 |
+
4. V-JEPA 2 β Assran et al. (2025). arxiv:2506.09985
|
| 64 |
+
5. TD-JEPA β Bagatella et al. (2025). arxiv:2510.00739
|