Market-Conditioned JEPA: Learning from Unpredictable Market Shocks

Yuqi Wang, Fengyuan Liu, Mukai Li, Haochen Luo, Lei Li +1

Much of the variation in financial time series is driven by market-wide shocks that cannot be predicted from an asset's own history. Per-asset self-supervised learning treats this variation as irreducible noise. Under a latent factor model, we show that conditioning prediction on the realized market factor makes the asset's market exposure necessary for optimal prediction, while reducing the noise against which the asset-specific component is learned. Building on this insight, we introduce Market-Conditioned JEPA (MC-JEPA), a joint-embedding predictive architecture for financial time series. During training, we construct a leave-one-out market condition for each asset from the future target embeddings of other assets and incorporate it through factor loadings derived from the asset's own representation. On 11 years of minute-level Chinese A-share data, MC-JEPA improves over per-asset JEPA across nine targets spanning returns, market exposure, risk, and liquidity, with the strongest and most statistically significant gains in exposure, risk, and liquidity. It achieves the best RankIC on all liquidity targets and on return horizons from two hours to five days, outperforming…