Stock market index prediction using deep Transformer model

作者：

Highlights：

• It is an innovative work to apply Transformer to predict stock markets.

• Back-testing experiments on main stock market indices are implemented.

• Performance of Transformer is compared with traditional deep learning models.

• Evaluation criteria include prediction accuracy and net value analysis.

摘要

•It is an innovative work to apply Transformer to predict stock markets.•Back-testing experiments on main stock market indices are implemented.•Performance of Transformer is compared with traditional deep learning models.•Evaluation criteria include prediction accuracy and net value analysis.

论文关键词：Deep learning,Transformer,Stock index prediction

论文评审过程：Received 29 October 2021, Revised 15 June 2022, Accepted 8 July 2022, Available online 14 July 2022, Version of Record 18 July 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.118128