Shu Wan
Publications
Forecast Collapse in Time-Series Foundation Models
When forecasting hourly returns for 1,000 US equities, we observe an unexpected phenomenon: predictions become nearly flat and show poor stock ranking, as measured by cross-sectional correlation. We call this forecast collapse. Surprisingly, the phenomenon largely disappears when forecasting trading volume under the same setting. We investigate forecast collapse across time-series foundation models (TSFMs), twelve deep-learning forecasting models, and 97 public benchmark configurations, and find that it is closely tied to target predictability. We identify two distinct reasons behind it: low predictability limits the amplitude of calibrated point forecasts, while per-series objectives leave cross-series structure unidentified. These findings reveal a calibration-ranking tradeoff: optimizing squared error leads to flat predictions, whereas directly optimizing cross-sectional correlation improves ranking but can inflate forecast amplitude by more than an order of magnitude. To address this tradeoff, we introduce CalibRank, a simple objective that balances calibration and ranking. On Finance1K, CalibRank nearly triples cross-sectional correlation while keeping amplitude close to the target, and improves correlation on all tested models. Our results reveal a blind spot in conventional time-series evaluation: per-series metrics can hide failures in cross-series structure needed by downstream decisions.
The Good, the Bad, and the Ugly of Markov Boundary for Tabular Prediction
Under standard graphical assumptions, the Markov boundary of a target variable is the smallest set of features that renders every other feature redundant. Once the boundary is observed, the target is conditionally independent of the rest of the table. This is a tempting object for tabular prediction, since it names exactly the columns a model should need. Yet modern regressors are still trained on the full feature set. We ask whether the Markov boundary is genuinely useful for prediction on SCM3K, a 3,450-task synthetic SCM benchmark with feature counts from 40 to 1000 and six SCM families, evaluated with six regressors. The answer is more nuanced than the theory suggests. Restricting a regressor to the oracle boundary often improves prediction substantially, and the improvement grows as the feature space becomes larger and sparser. But the natural pipeline of recovering the boundary with causal discovery and training on the recovered mask does not deliver. Existing estimators exhaust the compute budget before reaching the regime where the boundary helps most, and even where they run they rarely beat the full feature set. We trace this to three causes. Discovery optimizes structural recovery rather than prediction. False negatives and false positives carry sharply asymmetric predictive cost. The exact boundary is only one of many feature sets that beat all features. We then develop what these facts imply for prediction-aligned feature selection and for tabular models that learn to use causal structure.
DAGverse: Building Document-Grounded Semantic DAGs from Scientific Papers
Directed Acyclic Graphs (DAGs) are widely used to represent structured knowledge in scientific and technical domains. However, datasets for real-world DAGs remain scarce because constructing them typically requires expert interpretation of domain documents. We study Doc2SemDAG construction: recovering a preferred semantic DAG from a document together with the cited evidence and context that explain it. This problem is challenging because a document may admit multiple plausible abstractions, the intended structure is often implicit, and the supporting evidence is scattered across prose, equations, captions, and figures. To address these challenges, we leverage scientific papers containing explicit DAG figures as a natural source of supervision. In this setting, the DAG figure provides the DAG structure, while the accompanying text provides context and explanation. We introduce DAGverse, a framework for constructing document-grounded semantic DAGs from online scientific papers. Its core component, DAGverse-Pipeline, is a semi-automatic system designed to produce high-precision semantic DAG examples through figure classification, graph reconstruction, semantic grounding, and validation. As a case study, we test the framework for causal DAGs and release DAGverse-1, a dataset of 108 expert-validated semantic DAGs with graph-level, node-level, and edge-level evidence. Experiments show that DAGverse-Pipeline outperforms existing Vision-Language Models on DAG classification and annotation. DAGverse provides a foundation for document-grounded DAG benchmarks and opens new directions for studying structured reasoning grounded in real-world evidence.