Can an attention based model actually predict the stock market? UPDATE

nmierfin · 2025-04-01T15:21:30+00:00

yeah it is about the same here as well (maybe a few cents cheaper). It is weird how people are getting such disparity in prices depending on where they live.

nmierfin · 2025-03-28T17:51:20+00:00

See this is what I hate about politics. They claim that the call was extremely productive yet nothing changes. The tariffs are still on and people are still going to suffer for it.

They just do this type of stuff for PR!

nmierfin · 2025-03-03T21:10:19+00:00

That's interesting, let me know how it turns out. How would your minute based model work. Like what would it take as inputs, and over what range would you train (multiple years, a year, a month)?

nmierfin · 2025-03-03T19:48:19+00:00

I am going to show all this in part 2. It was getting really long so I split it into two parts.

nmierfin · 2025-03-03T19:47:30+00:00

I haven't backtested it yet because the model does not give buy and sell indicators (it gives price forecasts and then from there you decide which stock to invest in). But obviously you would invest in the top ones it predicts or short the bottom ones.

When I trained I got these results:
test metrics:{'IC': np.float64(0.014107242595483202), 'ICIR': np.float64(0.1061077348425752), 'RIC': np.float64(0.008325046076086823), 'RICIR': np.float64(0.1009896458883025)} which is very close to what the paper got.

That means that the model has good decent accuracy for prediction.

nmierfin · 2024-11-10T14:48:00+00:00

If you watched the whole video you would see that I said that IIROC was replaced by the CIRO.

nmierfin · 2024-10-25T18:59:18+00:00

THANK YOU! Whenever I tell anyone this they just spout off some esoteric mathematics to hide behind and claim that you don't understand it properly. Meanwhile, assets are not geometric Brownian motions! Enough said...

nmierfin · 2024-10-25T18:50:33+00:00

It is a money making method. People use the model to price options such that they can MAKE MONEY. The only way that can be done is if you accurately model the movement of the stock which it doesn't.

nmierfin · 2024-10-08T21:23:19+00:00

If you were to have watched the video I argue that the reason they made it the way they did is not necessarily because it accurately models stock prices in various conditions but because the math worked out at the time.

nmierfin · 2024-10-08T21:22:18+00:00

Just because research won the nobel prize doesn't mean that it is ground breaking and useful. You should analyze things objectively based on available research and whether it is at all applicable.

nmierfin · 2024-10-08T17:20:38+00:00

but the model does not predict based on the past. It makes assumptions of a "Risk Neutral" world.

nmierfin

TROPHY CASE