Financial time series exhibit non-stationary and heterogeneous statistical properties, making change-point detection challenging because no single unsupervised algorithm performs consistently across assets and market regimes. Conventional workflows consequently depend heavily on expert-driven model selection, feature design, and hyperparameter tuning, limiting their scalability and adaptability. We propose EvoTS-Agent, a validation-guided self-evolving LLM agent for autonomous financial time-series change-point detection. EvoTS-Agent first performs curated exploratory data analysis to characterize dataset properties and initialize candidate detection models. It then evolves executable experiment trajectories through three complementary operators: \textit{Revision} exploits the current best solution, \textit{Alternative Strategy} explores fundamentally different modeling directions when progress stagnates, and \textit{Recombination} synthesizes complementary evidence from high-performing trajectories. Validation feedback guides trajectory evolution throughout the search, enabling the agent to adapt its detection pipeline to the statistical characteristics of each dataset while preserving reliable optimization. Experiments across four benchmark datasets demonstrate that EvoTS-Agent consistently outperforms existing LLM-based agents while maintaining a 100\% execution success rate across all evaluated backbone LLMs.
Many economic and financial relationships may change gradually rather than abruptly. We study panel data models in which the coefficient vector is continuous and piecewise linear in calendar time, with a finite number of unknown kink dates at which its slope changes. We propose a penalised least squares estimator that applies adaptive weighted group penalties to the second differences of the coefficient path, and develop asymptotic theory showing that it recovers both the number and the locations of the kinks with probability approaching one. To our knowledge, this is the first panel framework to estimate an unknown number of common kink dates in a time-varying coefficient path under fixed effects. We establish that endpoint slopes converge at the usual cubic regime-length rate and interior slopes at rates determined by their own and adjacent regime lengths. We also develop a coefficient-by-coefficient extension allowing individual regressors to kink at different dates. Monte Carlo evidence supports the good finite sample properties, and we illustrate the method through an application in macro-finance, specifically the relationship between debt and growth.
William Cappelletti, Étienne Voutaz, Pascal Frossardcs.LG
Traditional change point detection in dynamic networks assumes abrupt transitions between stationary states, overlooking scenarios of continuous evolution which arise in most real-world applications, such as social networks or physical systems. We address this gap by formally defining regimes as periods of coherent dynamics in temporal graphs, which we characterize as trajectories along geodesics in a suitably defined graph space. This original perspective allows us to define regime changes as significant drifts in dynamics, either toward new trajectories or with pace changes. We leverage graph regression methods to measure the cumulative distance of sequences of observed graphs from the estimated geodesics between their endpoints, in the relevant graph space, which we can combine with change point detection algorithms. We present experiments on dynamic networks, with changing trajectories and varying speeds, in which we outperform state of the art change point detection models. Then, we analyse mobility data during the Covid-19 pandemic, and show that our assumptions on regular network evolution lead to change points that are more aligned to external events compared to the outcomes of baseline methods. Our work is the first to model and detect changes between evolving regimes in graph space, providing a realistic and powerful tool for analyzing complex temporal graph data.
A central challenge in dynamic network analysis is to represent temporal evolution in a way that is both geometrically meaningful and statistically identifiable. One approach embeds a sequence of network snapshots as trajectories in a Euclidean space and relates these trajectories to node embeddings. In multilayer and unfolded spectral constructions, however, node embeddings and their underlying latent positions are identifiable only up to general linear transformations. Although this ambiguity preserves edge probabilities, it can distort geometry and invalidate distance based temporal comparisons at both the trajectory and node-levels. We develop Multiscale Euclidean Network Trajectories (MENT), a framework for multiscale temporal trajectories based on second-moment geometry. By imposing an isotropic normalization on the anchor latent positions, we reduce the relevant ambiguity to orthogonal transformations and prevent distortion of the second-moment geometry. In this canonical representation, we define a trace variation distance and mode-wise variation distances along orthogonal directions, and use multidimensional scaling to obtain low-dimensional trajectories of time points at both global and mode-wise levels. The resulting trajectories support interpretation and inference. They admit mode-wise decompositions, support attribution of global and mode-wise temporal changes to nodes, and enable change point detection through 1D trajectories. We prove consistency of the proposed unfolded spectral embedding and of the induced temporal trajectories. Experiments on two synthetic and two real dynamic networks illustrate stable and interpretable recovery of temporal structure and show strong performance against existing change point detection baselines.