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.
In: 2024 International Conference on Computer, Control, Informatics and Its Applications (IC3INA), pp
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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.