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arXiv · 2404.05101

StockGPT: A GenAI Model for Stock Prediction and Trading

Dat Mai
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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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Dat Mai. 2024-04-07. StockGPT: A GenAI Model for Stock Prediction and Trading. https://arxiv.org/abs/2404.05101

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