Bighead's Algorithm Notes

Jan 21, 2026 · Artificial Intelligence

Lead–LagNet: Modeling Cross‑Series Lead‑Lag Dependencies for Time‑Series Forecasting

Lead–LagNet addresses three key limitations of existing graph neural networks for multivariate time‑series forecasting—loss of fine‑grained temporal detail, shared weight assumptions, and reduced interpretability—by introducing a sequence preprocessor with a global influence separator and subsequence detector, a subsequence dependency encoder, and a decoupled message‑passing mechanism, achieving superior performance on synthetic benchmarks and S&P 500 market data.