StockGPT: A GenAI Model for Stock Prediction and Trading

• URL: http://arxiv.org/abs/2404.05101v3
• Date: Wed, 23 Oct 2024 15:28:45 GMT
• Title: StockGPT: A GenAI Model for Stock Prediction and Trading
• Abstract summary: This paper introduces StockGPT, an autoregressive number'' model trained and tested on 70 million daily U.S. stock returns over nearly 100 years. Treating each return series as a sequence of tokens, StockGPT automatically learns the hidden patterns predictive of future returns. On a held-out test sample from 2001 to 2023, daily and monthly rebalanced long-short portfolios formed from StockGPT predictions yield strong performance.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: This paper introduces StockGPT, an autoregressive ``number'' model trained and tested on 70 million daily U.S.\ stock returns over nearly 100 years. Treating each return series as a sequence of tokens, StockGPT automatically learns the hidden patterns predictive of future returns via its attention mechanism. On a held-out test sample from 2001 to 2023, daily and monthly rebalanced long-short portfolios formed from StockGPT predictions yield strong performance. The StockGPT-based portfolios span momentum and long-/short-term reversals, eliminating the need for manually crafted price-based strategies, and yield highly significant alphas against leading stock market factors, suggesting a novel AI pricing effect. This highlights the immense promise of generative AI in surpassing human in making complex financial investment decisions.

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