Bighead's Algorithm Notes

Apr 6, 2026 · Artificial Intelligence

STORM: A Bidirectional Spatiotemporal Factor Model Achieving Sharpe Ratio >1

STORM introduces a bidirectional VQ‑VAE‑based spatiotemporal factor model that extracts fine‑grained time‑series and cross‑sectional features, uses discrete codebooks for orthogonal, diverse factor embeddings, and outperforms nine baselines on portfolio management and algorithmic trading tasks, delivering Sharpe ratios exceeding 1.