StockGPT: A GenAI Model for Stock Prediction and Trading
<|reference_start|>StockGPT: A GenAI Model for Stock Prediction and Trading: 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, a daily rebalanced long-short portfolio formed from StockGPT predictions earns an annual return of 119% with a Sharpe ratio of 6.5. The StockGPT-based portfolio completely spans momentum and long-/short-term reversals, eliminating the need for manually crafted price-based strategies, and also encompasses most leading stock market factors. This highlights the immense promise of generative AI in surpassing human in making complex financial investment decisions.<|reference_end|>
@article{mai2024stockgpt:,
    title={StockGPT: A GenAI Model for Stock Prediction and Trading},
    author={Dat Mai},
    journal={arXiv preprint arXiv:2404.05101},
    year={2024},
    archivePrefix={arXiv},
    eprint={2404.05101},
    primaryClass={q-fin.CP cs.AI q-fin.PM q-fin.PR q-fin.ST}
}