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A Compact Selective State-Space Model for Cross-Sectional Stock Return Ranking from Raw Intraday Bars
We present STRATA (Staggered-Timescale Residual Architecture), a 244,633-parameter sequence model that maps five trading days of raw five-minute bar and order-book data directly to a next-day cross-sectional return ranking, with no hand-crafted features. The raw-input setting has a structural obstac
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