Heads, Not Backbones: Output Heads Dominate Architectures on Fat-Tailed Returns

arXiv:2606.30037v1 Announce Type: new Abstract: In a deep forecasting pipeline for fat-tailed financial returns at short horizons, which matters more - the backbone architecture or the output head? We compare four modern backbones (TimesNet, DLinear, N-BEATS, iTransformer) under three output heads: a point head, a single-Gaussian density head, and a Gaussian mixture density head with K=4 components. On S and P 500 monthly log-returns (1871-2023) under anchored walk-forward validation, the three heads form a strict gradient: switching from point to Gaussian improves CRPS by about 1.3 percent; s

Source: arXiv cs.LG — read the full report at the original publisher.

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