Detecting structural instability and anomalies in high-dimensional financial time series is challenging due to complex temporal dependence and evolving cross-sectional structure. We propose ReGEN-TAD, an interpretable generative framework that integrates modern machine learning with econometric diagnostics for anomaly detection. The model combines joint forecasting and reconstruction within a refined convolutional--transformer architecture and aggregates complementary signals capturing predictive inconsistency, reconstruction degradation, latent distortion, and volatility shifts. Robust calibration yields a unified anomaly score without labeled data. Experiments on synthetic and financial panels demonstrate improved robustness to structured deviations while enabling economically coherent factor-level attribution.
@article{arxiv.2603.07864,
title = {An Interpretable Generative Framework for Anomaly Detection in High-Dimensional Financial Time Series},
author = {Waldyn G Martinez},
journal= {arXiv preprint arXiv:2603.07864},
year = {2026}
}