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.
I have downloaded the data following the provided link(https://1drv.ms/f/c/652674690cc447e6/Eu8Kxv4xxTFMtDQqTW0IU0UB8rnpjACA5twMi8BA_PfbSA?e=ooc0za), but I noticed that there is an overlap in the timeline for the train, valid, and test datasets. The train set covers from 2008/1 to 2020/3/31, the valid set from 2020/3/20 to 2020/6/20, and the test set from 2020/6/17 to 2022/12. Is this for the purpose of lookback window?
Hello,
Thanks for the remarkable job!
I have downloaded the data following the provided link(https://1drv.ms/f/c/652674690cc447e6/Eu8Kxv4xxTFMtDQqTW0IU0UB8rnpjACA5twMi8BA_PfbSA?e=ooc0za), but I noticed that there is an overlap in the timeline for the train, valid, and test datasets. The train set covers from 2008/1 to 2020/3/31, the valid set from 2020/3/20 to 2020/6/20, and the test set from 2020/6/17 to 2022/12. Is this for the purpose of lookback window?
Looking forward to your reply!
Best Regards