S-NODE-ANF-RRC: Stochastic Neural ODE for Financial Regime Forecasting and False Alarm Control on JSE Equities

Emerging-market equity exchanges require regime forecasting systems that are continuous in time, robust to heavy-tailed distributions, and optimised against false alarms. No existing method addresses all three simultaneously, and no prior study has reported a crisis false-alarm rate on JSE equities. We propose S-NODE-ANF-RRC: a stochastic neural ODE within an Adaptive Neuro-Fuzzy Risk-Regime Clustering architecture, integrated by a Milstein scheme with Lyapunov-regularised dual-loss training. The system is evaluated as a one-step-ahead probabilistic forecaster (h=1 trading day) on 2696 daily observations across 17 JSE securities (March 2015–March 2026). Gaussian mixture clustering on raw features (kurtosis 54.8) inflates ARI by 1.3×; log-transformation corrects this artefact. Two operational profiles emerge: the N-ODE-ANF-RRC achieves the lowest cost (10,350 bp, 65.1% below GMM) and longest lead time (0.71 days); the S-NODE-ANF-RRC achieves the lowest false alarm rate among probabilistic architectures (FAR = 0.051), with a 42.0% cost reduction versus GMM (McNemar p=0.027, power 1−β=0.73; bootstrap CI [5250, 19,600] bp excludes zero). Ablation confirms drift, diffusion, and dual-loss as the minimum viable daily-frequency configuration.

Authors

Institutions

Publication Details

Journal
Forecasting
Published
2026-06-24
DOI
https://doi.org/10.3390/forecast8040054
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

S-NODE-ANF-RRC: Stochastic Neural ODE for Financial Regime Forecasting and False Alarm Control on JSE Equities

Ntebogang Dinah Moroke
Forecasting
Stock Market Forecasting Methods
article

S-NODE-ANF-RRC: Stochastic Neural ODE for Financial Regime Forecasting and False Alarm Control on JSE Equities

Ntebogang Dinah Moroke
article en

Abstract

Emerging-market equity exchanges require regime forecasting systems that are continuous in time, robust to heavy-tailed distributions, and optimised against false alarms. No existing method addresses all three simultaneously, and no prior study has reported a crisis false-alarm rate on JSE equities. We propose S-NODE-ANF-RRC: a stochastic neural ODE within an Adaptive Neuro-Fuzzy Risk-Regime Clustering architecture, integrated by a Milstein scheme with Lyapunov-regularised dual-loss training. The system is evaluated as a one-step-ahead probabilistic forecaster (h=1 trading day) on 2696 daily observations across 17 JSE securities (March 2015–March 2026). Gaussian mixture clustering on raw features (kurtosis 54.8) inflates ARI by 1.3×; log-transformation corrects this artefact. Two operational profiles emerge: the N-ODE-ANF-RRC achieves the lowest cost (10,350 bp, 65.1% below GMM) and longest lead time (0.71 days); the S-NODE-ANF-RRC achieves the lowest false alarm rate among probabilistic architectures (FAR = 0.051), with a 42.0% cost reduction versus GMM (McNemar p=0.027, power 1−β=0.73; bootstrap CI [5250, 19,600] bp excludes zero). Ablation confirms drift, diffusion, and dual-loss as the minimum viable daily-frequency configuration.

ForecastingVol. 8(4)
North-West University (ZA)
Partnerships for the goals
Openalex Percentile: Top 3%
Stock Market Forecasting Methods
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.