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StockGPT: A GenAI Model for Stock Prediction and Trading

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  • Dat Mai

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. "StockGPT: A GenAI Model for Stock Prediction and Trading," Papers 2404.05101, arXiv.org, revised Oct 2024.
    • Handle: RePEc:arx:papers:2404.05101
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    References listed on IDEAS

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    Cited by:

    1. Han Ding & Yinheng Li & Junhao Wang & Hang Chen, 2024. "Large Language Model Agent in Financial Trading: A Survey," Papers 2408.06361, arXiv.org.

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