jepa-fx-risk

Research project exploring JEPA (Joint Embedding Predictive Architecture) as a framework for latent representation learning applied to FX trading risk management.

Primary hypothesis: JEPA embeddings trained on FX time-series will produce latent market-state representations that are structurally separable by regime without explicit regime labels, measurable by silhouette score on k-means clusters validated against held-out realised-volatility regime labels.

Current phase: Phase 0 — SSL Feasibility Gate (not yet started)

Brain wing: jepa-fx — query via brain_query wing=jepa-fx

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Architecture

This is a Go-first, Python-minimal research project.

Layer	Language	Rationale
Data pipeline	Go	Type-safe, fast, no dependency hell
Experiment runner	Go	CLI tooling, reproducible invocations
Evaluation harness	Go	Silhouette, linear probe, collapse diagnostics
Model training	Python + PyTorch	TS-JEPA requires it; kept minimal and isolated

Structure

specs/          experiment specs (one per phase)
src/            Go packages: pipeline, eval, cmd
model/          Python: TS-JEPA training loop only
experiments/    one directory per run (gitignored except summaries)
results/        tracked: metric tables, key figures
data/           gitignored; see data/README.md for download instructions
notebooks/      EDA only; outputs stripped before commit
docs/           ADRs and research notes

Quick start

task data:fetch          # download DUKASCopy G10 tick data
task pipeline:build      # build Go data pipeline
task check               # lint + vet + test
task experiment:run -- --spec specs/phase-0-ssl-feasibility.md

Phases

Phase	Goal	Status
0	SSL feasibility gate — MAE baseline on FX data	🔲 Not started
1	JEPA representation PoC — silhouette > 0.35	🔲 Not started
2	Regime detection validation — recall > 70%, lead > 5d	🔲 Not started
3	Distributional forecasting — VaR passes Kupiec	🔲 Not started
4	Multi-pair transfer — exotic pair improvement	🔲 Not started

Key constraints

• Training cutoff: 2023-01-01 — all post-2023 data is sealed for final evaluation
• Training data: 2008–2022, all G10 pairs, DUKASCopy
• Out of scope: options pricing, directional alpha, live trading, exotic pairs (Phases 1–3)
• End-state: publishable research result — not institutional deployment

Related

• Brain wing: wiki/jepa-fx/ — decisions, hypotheses, failure modes
• Synthesis document: JEPA_FX_Risk_Synthesis.docx (session 2026-05-27)