{"paper":{"title":"Benchmarking Deep Time Series Models for Equity Portfolios","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM"],"primary_cat":"math.OC","authors_text":"Aoxin Zhang, Kwanting Leung, Yuhan Cheng","submitted_at":"2026-06-08T12:36:12Z","abstract_excerpt":"Benchmarking forecasting architectures for daily equity portfolios is not just a prediction exercise. It also asks which model remains usable after preferences, costs, and portfolio constraints are imposed. We build a CRSP daily-stock benchmark for 15 deep and statistical time-series architectures over 2018--2024. The protocol combines common-window decile portfolios, stochastic multi-criteria acceptability analysis, a deployment-adjusted acceptability index, and a constrained quadratic portfolio layer with capacity, beta, industry, risk, leverage, and turnover controls. The index starts from "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.09420","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.09420/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}