ml4t-models

Finance-native model implementations for latent-factor estimation, stochastic discount factor learning, direct asset prediction, and end-to-end portfolio learning.

Documentation: https://ml4trading.io/docs/models/

Part of the ML4T Library Ecosystem

This library is one of six interconnected ML4T libraries supporting the research and production workflow described in Machine Learning for Trading.

What This Library Does

ml4t-models packages paper-faithful model families that are common in modern empirical asset pricing and portfolio learning:

• Latent-factor estimators with explicit structural outputs:
  • PCAModel
  • RPPCAModel
  • IPCAModel
  • CAEModel
• Weight-native stochastic discount factor modeling:
  • StochasticDiscountFactorModel
• Direct asset prediction:
  • SAEModel (SAE = supervised autoencoder)
• End-to-end portfolio learning:
  • LinearFeaturePortfolioModel
  • LSTMPortfolioModel
  • DeepPortfolioModel

The library is built around finance-native contracts rather than generic tensor trainers:

• PersistentPanelBatch for stable-ID panels
• CrossSectionBatch for ragged dated cross-sections
• PortfolioSequenceBatch for sequence-to-allocation models

It also keeps the predictive steps explicit:

• structural extraction
• factor-premium forecasting
• asset mapping
• downstream prediction and weight frames for ml4t-backtest and ml4t-diagnostic

Installation

pip install ml4t-models

Optional extras:

pip install ml4t-models[deep]         # torch-backed neural models
pip install ml4t-models[integration]  # polars + ml4t-specs bridges
pip install ml4t-models[docs]         # mkdocs site build
pip install ml4t-models[all]

Quick Start

1. Latent-Factor Forecast Pipeline

import numpy as np

from ml4t.models import (
    BetaLambdaMapper,
    CrossSectionBatch,
    ExpandingMeanFactorForecaster,
    IPCAConfig,
    IPCAModel,
    LatentFactorForecastPipeline,
)

batch = CrossSectionBatch(
    characteristics=np.random.randn(24, 200, 12),
    returns=np.random.randn(24, 200),
    timestamps=tuple(range(24)),
)

pipeline = LatentFactorForecastPipeline(
    model=IPCAModel(IPCAConfig(n_factors=3)),
    forecaster=ExpandingMeanFactorForecaster(),
    mapper=BetaLambdaMapper(),
)
pipeline.fit(batch)
prediction = pipeline.predict(batch)

print(prediction.asset_forecast.expected_returns.shape)
# (24, 200)

2. Weight-Native Stochastic Discount Factor

import numpy as np

from ml4t.models import CrossSectionBatch, StochasticDiscountFactorConfig, StochasticDiscountFactorModel

batch = CrossSectionBatch(
    characteristics=np.random.randn(36, 300, 16),
    returns=np.random.randn(36, 300),
    context_features=np.random.randn(36, 8),
    timestamps=tuple(range(36)),
)

model = StochasticDiscountFactorModel(
    StochasticDiscountFactorConfig(checkpoint_epochs=(256, 512, 768, 1024, 1280))
)
model.fit(batch)
state = model.extract(batch, checkpoint=1280)

print(state.asset_weights.shape)
# (36, 300)

3. End-to-End Portfolio Learning

import numpy as np

from ml4t.models import LSTMPortfolioConfig, LSTMPortfolioModel, PortfolioSequenceBatch

batch = PortfolioSequenceBatch(
    features=np.random.randn(8, 63, 20, 10),
    returns=np.random.randn(8, 63, 20),
    timestamps=tuple(range(63)),
    asset_ids=tuple(f"asset_{i}" for i in range(20)),
)

model = LSTMPortfolioModel(LSTMPortfolioConfig(max_iters=20, checkpoint_every=5))
model.fit(batch)
weights = model.predict(batch, checkpoint=20)

print(weights.weights.shape)
# (8, 63, 20)

4. Hand Off Predictions To The Rest Of ML4T

from ml4t.models import predictions_frame_from_asset_forecast, write_backtest_frames

frame = predictions_frame_from_asset_forecast(prediction.asset_forecast)
write_backtest_frames("artifacts/run_001", predictions=frame)

Model Families

Latent Factors

These models estimate a structural representation first, then let a separate forecaster produce ex ante factor premia.

Model	Contract	Native output	Predictive step
PCAModel	PersistentPanelBatch	static loadings, factor returns	factor-premium forecaster + mapper
RPPCAModel	PersistentPanelBatch	risk-premium-aware latent factors	factor-premium forecaster + mapper
IPCAModel	CrossSectionBatch	characteristic-implied betas, factor history	factor-premium forecaster + mapper
CAEModel	CrossSectionBatch	nonlinear characteristic betas, factor history	factor-premium forecaster + mapper

Stochastic Discount Factor

StochasticDiscountFactorModel is not a beta × lambda latent-factor model. It learns a weight-native no-arbitrage object and exposes:

• asset weights
• SDF series
• checkpointed phase-aware training state

Optional return projections are handled by separate mappers.

Direct Asset Prediction

SAEModel is a supervised autoencoder signal model. In this library it is treated as a direct predictor, not a latent-factor model.

Portfolio Learning

Portfolio models learn allocations directly:

• LinearFeaturePortfolioModel as a deterministic baseline
• LSTMPortfolioModel as a sequence baseline
• DeepPortfolioModel as a structured DeePM-style allocator

Design Principles

• Finance-native data contracts rather than generic dataloaders
• Explicit structural and predictive stages
• Checkpoint-aware neural training
• Clear separation between:
  • model estimation
  • forecasting
  • backtest and diagnostic integration
• Integration boundaries with sibling libraries instead of duplicated evaluation logic

Documentation

• Getting Started
• User Guide
• Architecture
• API Reference
• Book Guide