A Micro-Manifold Identity-Preserving Spatiotemporal Graph Neural Network for Financial Risk Early Warning
Traditional financial early warning models often rely on the independent and identically distributed (IID) assumption, failing to adequately capture cross-sectional spatial contagion effects and temporal dynamic mutations, and are susceptible to the over-smoothing problem when processing highly imbalanced graph networks. To address these limitations, this study proposes a micro-manifold-based identity-preserving spatiotemporal graph neural network framework (Micro-STAGNN). In the spatial dimension, an identity-preserving graph convolutional operator (IP-GCN) is constructed. By hard-coding a self-preservation coefficient (λ=0.8), it quantifies peer risk spillover while mitigating feature dilution, ensuring the transmission of heterogeneous default signals. In the temporal dimension, Long Short-Term Memory networks are cascaded with a temporal attention mechanism to capture the nonlinear temporal inflection points that trigger financial distress. The empirical study utilizes a sample of China’s A-share market from 2015 to 2025, evaluating the model using an Out-of-Time Validation protocol and Focal Loss. Results indicate that under a highly imbalanced distribution with a positive-to-negative sample ratio of approximately 1:50, Micro-STAGNN achieves an OOT ROC-AUC of 0.9095, a minority class default recall of 89%, and reduces the missed detection rate to 11%, outperforming traditional nonlinear cross-sectional models such as XGBoost. Furthermore, temporal attention weights provide explainable support for the early warning results.
Authors
- Chiawei Chu (ORCID: https://orcid.org/0000-0002-1334-9848)
- Te Guo
- Jin Kuang
Institutions
- Zhejiang International Studies University (CN)
- City University of Macau (MO)
Publication Details
- Journal
- Mathematics
- Published
- 2026-04-21
- DOI
- https://doi.org/10.3390/math14081388
- Primary Topic
- Financial Distress and Bankruptcy Prediction
- Type
- article
- Field-Weighted Citation Impact
- 0.00