WP41
Multi-Resolution Context in Intraday Probabilistic Return Forecasting: A Pre-Registered, Matched-Budget Measurement on 300 U.S. Instruments
CHRONOS-X: a Multi-Resolution Patch Transformer against matched baselines, 5 to 60 minutes ahead, 2018–2025
Does multi-resolution context improve calibrated probabilistic forecasts of equity and ETF returns 5–60 minutes ahead? We test five pre-registered hypotheses with a Multi-Resolution Patch Transformer, its one-minute-only twin and ten baselines on 234 million one-minute bars of 300 instruments, with day-cluster…
High-frequency econometricsintraday forecastingprobabilistic forecastingtransformersmulti-resolution representations Quality controlled · 67.2 PDF · 82 pages