{"slug": "stn-tgat-top-k-portfolio-construction-via-prior-guided-graph-attention-with-soft", "title": "STN-TGAT: Top-K Portfolio Construction via Prior-Guided Graph Attention with Learnable Soft-Threshold Sparsification", "summary": "Researchers propose STN-TGAT, a model integrating a temporal Transformer with a Graph Attention Network for stock ranking and portfolio construction, which outperforms benchmarks in predictive accuracy and investment profitability on S&P 500 data.", "body_md": "arXiv:2607.19385v1 Announce Type: new\nAbstract: This paper tackles the problem of stock ranking and portfolio construction under realistic investment settings by jointly modeling temporal dynamics and cross-sectional dependencies. We propose the Soft-Threshold NMI-prior Transformer Graph Attention Network (STN-TGAT), which integrates a temporal Transformer with a Graph Attention Network to capture long-horizon sequential patterns and dynamic inter-stock relationships. An NMI-based prior graph combined with a soft-threshold sparsification mechanism enhances structural robustness by mitigating noisy correlations while preserving informative connections. The portfolio formation process incorporates practical considerations, including Top-5 selection within the Top-50 $S\\&P$ 500 constituents, explicit weight allocation, and transaction cost adjustment, thereby aligning the evaluation with real-world trading conditions. Empirical results on real-world data demonstrate that STN-TGAT consistently outperforms benchmark models from predictive accuracy and investment profitability measured by portfolio returns. These findings suggest that combining decision-aligned training with adaptive relational modeling provides a coherent and practically effective framework for data-driven portfolio construction.", "url": "https://wpnews.pro/news/stn-tgat-top-k-portfolio-construction-via-prior-guided-graph-attention-with-soft", "canonical_source": "https://arxiv.org/abs/2607.19385", "published_at": "2026-07-23 04:00:00+00:00", "updated_at": "2026-07-23 04:12:38.779741+00:00", "lang": "en", "topics": ["machine-learning", "artificial-intelligence"], "entities": ["STN-TGAT", "S&P 500"], "alternates": {"html": "https://wpnews.pro/news/stn-tgat-top-k-portfolio-construction-via-prior-guided-graph-attention-with-soft", "markdown": "https://wpnews.pro/news/stn-tgat-top-k-portfolio-construction-via-prior-guided-graph-attention-with-soft.md", "text": "https://wpnews.pro/news/stn-tgat-top-k-portfolio-construction-via-prior-guided-graph-attention-with-soft.txt", "jsonld": "https://wpnews.pro/news/stn-tgat-top-k-portfolio-construction-via-prior-guided-graph-attention-with-soft.jsonld"}}