Asset Pricing in Pre-trained Transformer (opens in new tab)

arXiv:2505.01575v3 Announce Type: replace-cross Abstract: This paper proposes an innovative Transformer model, Single-directional representative from Transformer (SERT), for US large capital stock pricing. It also innovatively applies the pre-trained Transformer models under the stock pricing and factor investment context. They are compared with standard Transformer models and encoder-only Transformer models in three periods covering the entire COVID-19 pandemic to examine the model adaptivit...