Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
Diffolio:多变量金融时序概率预测与组合构建的扩散模型
Probabilistic forecasting is crucial in multivariate financial time-series for constructing efficient portfolios that account for complex cross-sectional dependencies. In this paper, we propose Diffolio, a diffusion model designed for multivariate financial time-series forecasting and portfolio construction. Diffolio employs a denoising network with a hierarchical attention architecture, comprising both asset-level and market-level layers. Furthermore, to better reflect…