From News to Returns: A Granger-Causal Hypergraph Transformer on the Sphere
Year: 2025
Type: conference-paper
Abstract: We propose the Causal Sphere Hypergraph Transformer (CSHT), a novel architecture for interpretable financial time-series forecasting that unifies Granger-causal hypergraph structure, Riemannian geometry, and causally masked Transformer attention. CSHT models the directional influence of financial news and sentiment on asset returns by extracting multivariate Granger-causal dependencies, which are encoded as directional hyperedges on the surface of a hypersphere. Attention is constrained via angular masks that preserve both temporal directionality and geometric consistency. Evaluated on S&P 500 data from 2018 to 2023, including the 2020 COVID-19 shock, CSHT consistently outperforms baselines across return prediction, regime classification, and top-asset ranking tasks. By enforcing predictive causal structure and embedding variables in a Riemannian manifold, CSHT delivers both robust generalisation across market regimes and transparent attribution pathways from macroeconomic events to stock-level responses. These results suggest that CSHT is a principled and practical solution for trustworthy financial forecasting under uncertainty.
Authors: Anoushka Harit, Zhongtian Sun, Jongmin Yu
Institutions: University of Cambridge, University of Kent
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
Funder: University of Oxford
OpenAlex ID: W4416232956