lakshay bhati

Reconstruction Buys Variance, Not Independence: A Tokenizer Keeps the Microstructure That Duplicates OHLCV and Drops the Signed Channels

Two-stage models for financial time series fit a tokenizer under a reconstruction objective and then an autoregressive model over the resulting codes. This assumes that a representation good enough to reconstruct from is good enough to forecast from, and it fails in a predictable...