ACT: Anti-Crosstalk Learning for Cross-Sectional Stock Ranking via Temporal Disentanglement and Structural Purification

ACT: Anti-Crosstalk Learning for Cross-Sectional Stock Ranking via Temporal Disentanglement and Structural Purification

Juntao Li
Liang Zhang
Published on 4/22/2026
Equities
Stocks
China
Machine learning
Deep learning
Stock picking
Factor investing

The paper introduces the Anti-CrossTalk (ACT) framework to address crosstalk in cross-sectional stock ranking, where unintended information interference occurs across predictive factors. ACT identifies two forms of crosstalk: temporal-scale crosstalk, where trends, fluctuations, and shocks are entangled, and structural crosstalk, where heterogeneous relations are indiscriminately fused. To mitigate these, ACT first decomposes each stock sequence into trend, fluctuation, and shock components using Temporal Component Decomposition (TCD). The trend component is processed by a Progressive Structural Purification Encoder (PSPE) that sequentially purifies structural crosstalk via bidirectional residual subtraction and dynamic graph refinement. Fluctuation and shock components are routed to dedicated isolation branches (FCI and SCI) to prevent non-transferable local patterns from contaminating cross-stock learning. Finally, an Adaptive Component Fusion (ACF) module integrates all branch representations for ranking. Experiments on CSI300 and CSI500 datasets demonstrate that ACT achieves state-of-the-art performance in both ranking accuracy and portfolio returns, with ablation studies confirming the necessity of each anti-crosstalk design.

Highlights

  • 1Identifies crosstalk as a key bottleneck in graph-based cross-sectional stock ranking, characterizing it from temporal-scale and structural perspectives.
  • 2Proposes the ACT framework with Temporal Component Decomposition (TCD) to disentangle trend, fluctuation, and shock components.
  • 3Introduces Progressive Structural Purification Encoder (PSPE) to mitigate structural crosstalk via bidirectional residual purification.
  • 4Achieves state-of-the-art ranking accuracy and portfolio performance on CSI300 and CSI500 datasets, with improvements up to 74.25% on CSI300.

Methods

  • M
    Temporal Component Decomposition (TCD) using recursive causal moving averages to separate trend, fluctuation, and shock components.
  • M
    Progressive Structural Purification Encoder (PSPE) with bidirectional residual purification and dynamic graph refinement.
  • M
    Fluctuation Component Isolation (FCI) using gated temporal convolutional networks (TCN) for stock-local oscillatory dynamics.
  • M
    Shock Component Isolation (SCI) with counterfactual buffer and stock-local MLP for event-driven disturbances.

Results

  • R
    ACT outperforms 16 baselines on CSI300 and CSI500 across IC, ICIR, RankIC, and RankICIR metrics.
  • R
    On CSI300, ACT achieves IC of 0.0692, ICIR of 0.6955, RankIC of 0.0786, and RankICIR of 0.7810, with improvements up to 74.25%.
  • R
    Ablation studies show removing PSPE, FCI, or SCI causes significant performance drops, validating each anti-crosstalk module.
  • R
    Portfolio backtesting on CSI500 shows ACT achieves annualized return of 0.4579, information ratio of 2.5944, and Sharpe ratio of 2.6696.
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