A new encoder-only Transformer variant with autoencoder pre-training is reported to achieve high out-of-sample R2 for US stock returns, but the headline numbers come from test-set model selection.
Expert Systems with Applications 202, 117239 (2022)
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Asset Pricing in Pre-trained Transformer
A new encoder-only Transformer variant with autoencoder pre-training is reported to achieve high out-of-sample R2 for US stock returns, but the headline numbers come from test-set model selection.