From Index to Equity: Pre-Training Transformers for Stock Return Prediction
This research aims to leverage machine learning to improve stock price prediction and support informed investment decisions related to buying, selling, and holding assets. Specifically, this work investigates transformer-based models for stock prediction and examines the impact of pre-training strategies on forecasting performance. A transformer model was first pre-trained on the Toronto Stock Exchange Index (TSX) to predict intra-day return direction and subsequently fine-tuned on individual TSX stocks. The model was further adapted for return-value regression tasks. Performance was benchmarked against Long Short-Term Memory (LSTM) and XGBoost models. Pre-training on the market index imp...
| Authors | Marie Soehl Coolsaet, Roberto Gallardo, Zhen Gao |
|---|---|
| Primary category | q-fin.ST |
| Published | 12 May 2026 |
| Last updated at source | 12 May 2026 |
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