Stockformer: A Price-Volume Factor Stock Selection Model Based on Wavelet Transform and Multi-Task Self-Attention Networks

arXiv:2401.06139v2 Announce Type: replace-cross
Abstract: As the Chinese stock market continues to evolve and its market structure grows increasingly complex, traditional quantitative trading methods are facing escalating challenges. Particularly, due to policy uncertainty and the frequent market fluctuations triggered by sudden economic events, existing models often struggle to accurately predict market dynamics. To address these challenges, this paper introduces Stockformer, a price-volume factor stock selection model that integrates wavelet transformation and a multitask self-attention network, aimed at enhancing responsiveness and …

arxiv attention cs.lg networks price q-fin.tr replace self-attention stock type wavelet