A self-attention based cross-sectional return forecasting model with evidence from the Chinese market
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DOI: 10.1016/j.frl.2024.105144
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More about this item
Keywords
Self-attention; Cross-sectional models; Asset pricing; Stock market;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
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