Can I read Transformer Model for Asset Allocation on EtoBox?
Transformer Model for Asset Allocation by Harvey Kim is a document available to read on EtoBox.
What is Transformer Model for Asset Allocation about?
1. The document proposes a new transformer-based asset allocation approach using a large dataset from the Chinese stock market. 2. The empirical findings show that the transformer model, with its self-attention mechanism, improves the use of time-series information related to returns and volatility, increases predictability, and captures more economic gains than other nonlinear models like LSTM. 3. Using SHAP values to interpret the model, the transformer model finds that fundamentals like earnings yie
- Author
- Harvey Kim
- Language
- EN