Pre-training a transformer on the TSX index reduces binary cross-entropy loss on individual stocks from 0.69 to 0.64 and yields lower MSE than LSTM or XGBoost in regression, though ensembles achieve higher average daily returns.
Ensembling and Dynamic Asset Selection for Risk -Controlled Statistical Arbitrage,
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From Index to Equity: Pre-Training Transformers for Stock Return Prediction
Pre-training a transformer on the TSX index reduces binary cross-entropy loss on individual stocks from 0.69 to 0.64 and yields lower MSE than LSTM or XGBoost in regression, though ensembles achieve higher average daily returns.