# Integrating event information and multi dimensional relationships for improved financial time series forecasting

## TL;DR

This paper introduces DAFF-Net, a new deep learning model that improves financial predictions by combining event information and complex asset relationships.

## Contribution

The novel DAFF-Net framework integrates event-driven patterns and multi-dimensional asset relationships for financial forecasting.

## Key findings

- DAFF-Net outperforms eight baseline models with 7.4%-15.2% lower MSE and 7.0%-21.4% higher R² scores.
- The model shows significant improvements in long-term financial time series predictions.
- Cross-asset validation on four sectors confirms DAFF-Net's effectiveness across different markets.

## Abstract

Financial time series prediction is extremely challenging due to the intertwined effects of market narratives and complex inter-asset relationships. Traditional prediction models often fail to distinguish similar price patterns driven by different underlying causes, limiting their predictive accuracy in practical scenarios. To address these limitations, this study proposes the Dual-stream Alpha Factor Fusion Network (DAFF-Net), an innovative deep learning framework that integrates event-driven temporal pattern extraction with multi-dimensional relationship-aware channel soft clustering. The event-driven temporal pattern extractor employs an event-aware router to fuse time series data with contextual event information encoded from news, corporate announcements, and macroeconomic data, enabling the model to understand the underlying narratives behind market fluctuations. The multi-dimensional relationship-aware channel soft clustering module constructs a comprehensive asset relationship network through adaptive fusion of frequency-domain, fundamental, and knowledge graph relationships, which is more effective than single-relationship approaches and better captures complex cross-asset dependencies. We validated our approach primarily on Amazon stock data covering the period from 2010 to 2025, with additional cross-asset validation on four stocks from different sectors (healthcare, financial, energy, and electric vehicle sectors). Results demonstrate that DAFF-Net significantly outperforms eight representative baseline models including ARIMA, LSTM, Transformer, and DUET across multiple prediction time horizons. Specifically, compared to the strongest baseline, DAFF-Net achieves 7.4%-15.2% improvement in MSE and 7.0%-21.4% enhancement in \documentclass[12pt]{minimal}
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\begin{document}$$\text {R}^{2}$$\end{document} metrics, showing particularly outstanding advantages in long-term prediction tasks. These results prove the effectiveness of integrating event information and multi-dimensional relationships in financial prediction, providing a new technical paradigm for quantitative investment and risk management applications.