Chapter 166: Contrastive Predictive Coding (CPC)

Overview

Contrastive Predictive Coding (CPC) is a powerful self-supervised learning framework designed to extract compact latent representations from high-dimensional data, especially sequences like audio, text, or financial time-series.

The core idea of CPC is to learn features that “predict the future” in a latent space. Instead of predicting the raw data (which is extremely noisy in finance), the model predicts the representations of future time steps.

Architecture

Encoder ($g_{enc}$): Maps a window of raw data $x_t$ to a latent representation $z_t$.
Autoregressive Model ($g_{ar}$): Summarizes all $z_{\leq t}$ into a context vector $c_t$ (e.g., using a GRU or LSTM).
Prediction: A linear transformation maps $c_t$ to predicted future latents $\hat{z}_{t+k}$.
InfoNCE Loss: Measures how well $\hat{z}{t+k}$ matches the actual $z{t+k}$ compared to “negative” samples drawn from other time steps.

Why it Matters for Trading

Financial markets are non-stationary and noisy. Predicting the next price (regression) is often an exercise in futility. CPC allows the model to:

Ignore local noise and focus on slow-moving structural features.
Learn temporal dependencies without needing explicit labels.
Create “Context Vectors” that capture the current market regime (Bull/Bear/Sideways).

Project Structure

166_contrastive_predictive_coding/
├── README.md           # English Overview
├── README.ru.md        # Russian Overview
├── docs/ru/theory.md   # Mathematical deep-dive
├── python/
│   ├── model.py       # CNN Encoder + GRU context
│   ├── cpc_loss.py    # InfoNCE loss for sequences
│   └── train.py       # Self-supervised training
└── rust/src/
    └── lib.rs         # Inference for the context vector