Introducing the CZAR Loss: A Tailored Objective Function for Financial Log-Return Predictions

תקציר מקורי באנגליתarXiv:2609.36061v1 Announce Type: new Abstract: In quantitative finance, standard regression losses are misaligned with the economics of return prediction. As the conditional mean of financial log-returns is close to zero, symmetric losses such as the mean squared and mean absolute errors make the constant zero forecast a near-optimal solution, penalizing models with genuine but noisy directional skill. This applies both during training, where predictions shrink toward zero, and during evaluation, where trivial forecasters can lead loss-based rankings. Under a Gaussian linear prediction model, we show that all symmetric monotonic losses share a universal breakeven directional accuracy against the zero predictor, which rises sharply and becomes unobtainable as the prediction noise approache