Visual Attention Model for Cross-sectional Stock Return Prediction and End-to-End Multimodal Market Representation Learning
“We show that our proposed model outperforms strong baselines in both short-term and long-term stock return prediction tasks.”
AssetEquitiessingle stocks
StrategyMachine learning
TechniqueTransformerrecurrent neural network
FrequencyDaily
Also stated: Excess return, Price and volume, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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