Open access
Jul 2026
Regime-Aware Conformal Transformer for Multi-Horizon Financial Forecasting Under Market Uncertainty
A regime-aware conformal calibration rule is introduced that computes horizon-specific volatility-normalized residual quantiles inside low-volatility regimes, while retaining a global conformal safety floor to avoid under-coverage when local volatility scaling becomes too optimistic.
J. Stein
· Journal of Mathematical Fina... · 0 citations