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Quantitative Finance > Computational Finance
Title: StockGPT: A GenAI Model for Stock Prediction and Trading
(Submitted on 7 Apr 2024 (v1), last revised 9 Apr 2024 (this version, v2))
Abstract: This paper introduces StockGPT, an autoregressive ``number'' model trained and tested on 70 million daily U.S. stock returns over nearly 100 years. Treating each return series as a sequence of tokens, StockGPT automatically learns the hidden patterns predictive of future returns via its attention mechanism. On a held-out test sample from 2001 to 2023, a daily rebalanced long-short portfolio formed from StockGPT predictions earns an annual return of 119% with a Sharpe ratio of 6.5. The StockGPT-based portfolio completely spans momentum and long-/short-term reversals, eliminating the need for manually crafted price-based strategies, and also encompasses most leading stock market factors. This highlights the immense promise of generative AI in surpassing human in making complex financial investment decisions.
Submission history
From: Dat Mai [view email][v1] Sun, 7 Apr 2024 22:53:43 GMT (978kb,D)
[v2] Tue, 9 Apr 2024 21:01:59 GMT (1062kb,D)
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