search

SJTU-Quant / MASTER

This is the official code and supplementary materials for our AAAI-2024 paper: MASTER: Market-Guided Stock Transformer for Stock Price Forecasting. MASTER is a stock transformer for stock price forecasting, which models the momentary and cross-time stock correlation and guide feature selection with market information.
96 stars 20 forks source link

Correlation factors? #4

Closed RicardoJFP closed 1 month ago

RicardoJFP commented 1 month ago

Congrats for this work, it's certainly innovative. I have question regarding the mine function on the momentary and cross-time stock correlation - which data are you mainly considering (variables used)? Are you mainly looking at stock / portfolio price correlation or are considering finding stock price correlation with other market factors?

LITONG99 commented 1 month ago

Thank you for your attention to this work. We consider Alpha158 factors, which is a set of handcrafted features derived from basic variables such as OHLCV data. Alpha158 contains indicative information about the future stock price (a clue is that simple regression models on Alpha158 achieve fair performance sometimes). MASTER mines the correlation between stock prices. Indicative features instead of a single price value are used for robustness.

The manuscripts, data, and code of MASTER are all published, please refer to them for more details.