{"type":"ScholarlyArticle","title":"TransAlpha: Lightweight Design Empowers Stock Return Forecasting","authors":[{"name":"Xiao Yang","slug":"xiao-yang","given":"Xiao","family":"Yang","affiliation":""}],"abstract":"In intraday stock return forecasting, existing Transformer methods face high computational complexity and do not explicitly handle noisy predictors. We propose TransAlpha, a light-weight Transformer variant tailored for cross section data to advance end-to-end forecasting methods with three novel components (Cross-Sectional Denoising for signal purification, Temporal Attention Gating for trend weighting, and Smart Pooling to avoid information loss) along with a multi-component hybrid loss function. We validate on full A-share market stock data and four key segments (CSI 300/500/1000/2000) with 400 proprietary alpha factors of 15-minute frequencies. TransAlpha outperforms state-of-the-art baselines in predictive power and portfolio profitability, indicating tailored Transformer models have significant practical value in quantitative trade.","doi":"10.24963/ijcai.2026/580","url":"https://ijcai.org/proceedings/2026/580","pdf":"https://ijcai.org/proceedings/2026/0580.pdf","markdown":"https://ijcai.org/proceedings/2026/580.md","bibtex":"https://ijcai.org/proceedings/2026/bibtex/580","volume":{"slug":"2026","title":"Proceedings of the Thirty-Fifth International Joint Conference on Artificial Intelligence","short_title":"IJCAI 2026","url":"https://ijcai.org/proceedings/2026/","year":2026,"location":"Bremen, Germany","dates":"15-21 August 2026","editors":"Diego Calvanese","isbn":"978-1-956792-09-6","publisher":"International Joint Conferences on Artificial Intelligence Organization","doi_prefix":"10.24963/ijcai.2026"},"section":"Machine Learning","track":"Main Track","number":580,"pages":{"first":5209,"last":5217},"keywords":["Machine Learning: Supervised Learning","Machine Learning: Deep learning architectures","Multidisciplinary Topics and Applications: Finance","Machine Learning: Applications"],"videos":[],"references":[],"license_note":"Copyright International Joint Conferences on Artificial Intelligence."}