FedRegNAS: Regime-Aware Federated Neural Architecture Search for Privacy-Preserving Stock Price Forecasting

Financial time series are heterogeneous, nonstationary, and dispersed across institutions that cannot share raw data. While federated learning enables collaborative modeling under privacy constraints, fixed architectures struggle to accommodate cross-market drift and device-resource diversity; conversely, existing neural architecture search techniques presume centralized data and typically ignore communication, latency, and privacy budgets. This paper introduces FedRegNAS, a regime-aware federated NAS framework that jointly optimizes forecasting accuracy, communication cost, and on-device latency under user-level (ε,δ)-differential privacy. FedRegNAS trains a shared temporal supernet composed of candidate operators (dilated temporal convolutions, gated recurrent units, and attention blocks) with regime-conditioned gating and lightweight market-aware personalization. Clients perform differentiable architecture updates locally via Gumbel-Softmax and mirror descent; the server aggregates architecture distributions through Dirichlet barycenters with participation-weighted trust, while model weights are combined by adaptive, staleness-robust federated averaging. A risk-sensitive objective emphasizes downside errors and integrates transaction-cost-aware profit terms. We further inject calibrated noise into architecture gradients to decouple privacy leakage from weight updates and schedule search-to-train phases to reduce communication. Across three real-world equity datasets, FedRegNAS improves directional accuracy by 3–7 percentage points and Sharpe ratio by 18–32%. Ablations highlight the importance of regime gating and barycentric aggregation, and analyses outline convergence of the architecture mirror-descent under standard smoothness assumptions. FedRegNAS yields adaptive, privacy-aware architectures that translate into materially better trading-relevant forecasts without centralizing data.