Temporal Attentive Graph Networks for Financial Surveillance: An Incremental Multi-Scale Framework
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Systemic risk propagation in modern financial markets is characterized by non-linear contagion and rapid topological evolution, rendering traditional static monitoring methods ineffective. Existing Graph Neural Networks (GNNs) often struggle to capture “structural breaks” during crises due to their reliance on static adjacency assumptions and isotropic aggregation. To address these challenges, this study proposes the Temporal Attentive Graph Networks (TAGN), a dynamic framework designed for extreme volatility prediction and financial surveillance. TAGN constructs an incremental multi-scale graph by fusing high-frequency trading data, supply chain linkages, and institutional co-holdings to model heterogeneous risk transmission channels. Technically, it employs a deeply coupled GAT-GRU architecture, where the Graph Attention Network (GAT) dynamically assigns weights to contagion sources, and the Gated Recurrent Unit (GRU) memorizes the trajectory of structural evolution. Extensive experiments on the S&P 500 dataset (2018–2024) demonstrate that TAGN significantly outperforms state-of-the-art baselines, including WinGNN and PatchTST, achieving an AUC of 0.890 and a Precision at 50 of 61.5%. Notably, a risk early-warning index derived from TAGN exhibits a 1–2 week lead time over the VIX index during major market stress events, such as the Silicon Valley Bank collapse. This research facilitates a paradigm shift from historical statistical estimation to dynamic network-aware sensing, offering interpretable tools for RegTech applications.