Binocular Directional Forecasting: A Cross-Attention Fusion Approach
“Using U.S. equity and option daily data from 1996 to 2023, we show that the binocular model significantly outperforms stock-only benchmarks in out-of-sample directional prediction at both monthly and quarterly horizons.”
AssetVolatility and optionsoptions
StrategyMachine learningmomentum
TechniqueTransformerfeedforward network
GeographyUS
Also stated: Daily, 1996–2023, Sharpe ratio, Excess return, Options-implied, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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