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The remarkable achievements and rapid advancements of Large Language Models (LLMs) such as ChatGPT and GPT-4 have showcased their immense potential in quantitative investment.
The capital asset pricing model: Some empirical tests
Michael C Jensen, Fischer Black, and Myron S Scholes · 1972
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Common risk factors in the returns on stocks and bonds
Eugene F Fama and Kenneth R French · 1993
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A consumption-based explanation of expected stock returns
Motohiro Yogo · 2006
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A five-factor asset pricing model
Eugene F Fama and Kenneth R French · 2015
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Proximal policy optimization algorithms
et al. Schulman J · 2017
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Leveraging social media news to predict stock index movement using rnn-boost
Weiling Chen, Chai Kiat Yeo, Chiew Tong Lau, and Bu Sung Lee · 2018
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Bert: Pre-training of deep bidirectional transformers for language understanding
Jacob Devlin, Ming-Wei Chang, Kenton Lee, and Kristina Toutanova · 2018
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Listening to chaotic whispers: A deep learning framework for news-oriented stock trend prediction
Ziniu Hu, Weiqing Liu, Jiang Bian, Xuanzhe Liu, and Tie-Yan Liu · 2018
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Roberta: A robustly optimized bert pretraining approach
Yinhan Liu, Myle Ott, Naman Goyal, Jingfei Du, Mandar Joshi, Danqi Chen, Omer Levy, Mike Lewis, Luke Zettlemoyer, and Veselin Stoyanov · 2019
Earlier work this paper cites.
Cross-sectional stock price prediction using deep learning for actual investment management
Masaya Abe and Kei Nakagawa · 2020
Cited alongside, same era.
Language models are few-shot learners
Tom Brown, Benjamin Mann, Nick Ryder, Melanie Subbiah, Jared D Kaplan, Prafulla Dhariwal, Arvind Neelakantan, Pranav Shyam, Girish Sastry, Amanda Askell, et al · 2020
Cited alongside, same era.
Empirical asset pricing via machine learning
Shihao Gu, Bryan Kelly, and Dacheng Xiu · 2020
Cited alongside, same era.
Ric-nn: A robust transferable deep learning framework for cross-sectional investment strategy
Kei Nakagawa, Masaya Abe, and Junpei Komiyama · 2020
Cited alongside, same era.
Cluecorpus2020: A large-scale chinese corpus for pre-training language model
Liang Xu, Xuanwei Zhang, and Qianqian Dong · 2020
Cited alongside, same era.
CSL: A large-scale Chinese scientific literature dataset
Yudong Li, Yuqing Zhang, Zhe Zhao, Linlin Shen, Weijie Liu, Weiquan Mao, and Hui Zhang · 2022
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S_i_lstm: stock price prediction based on multiple data sources and sentiment analysis
Shengting Wu, Yuling Liu, Ziran Zou, and Tien-Hsiung Weng · 2022
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Deep learning in asset pricing
Luyang Chen, Markus Pelger, and Jason Zhu · 2023
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Efficient and effective text encoding for chinese llama and alpaca
Yiming Cui, Ziqing Yang, and Xin Yao · 2023
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Can chatgpt improve investment decision? from a portfolio management perspective
Hyungjin Ko and Jaewook Lee · 2023
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Can chatgpt forecast stock price movements? return predictability and large language models
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Factorvae: A probabilistic dynamic factor model based on variational autoencoder for predicting cross-sectional stock returns
Yitong Duan, Lei Wang, Qizhong Zhang, and Jian Li · 2022
Cited alongside, same era.
Factor models, machine learning, and asset pricing
Stefano Giglio, Bryan Kelly, and Dacheng Xiu · 2022
Cited alongside, same era.
Hisa-smfm: historical and sentiment analysis based stock market forecasting model
Ishu Gupta, Tarun Kumar Madan, Sukhman Singh, and Ashutosh Kumar Singh · 2022
Cited alongside, same era.
Alejandro Lopez-Lira and Yuehua Tang · 2023
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Llama: Open and efficient foundation language models
Hugo Touvron, Thibaut Lavril, Gautier Izacard, Xavier Martinet, Marie-Anne Lachaux, Timothée Lacroix, Baptiste Rozière, Naman Goyal, Eric Hambro, Faisal Azhar, et al · 2023
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Qianqian Xie, Weiguang Han, Yanzhao Lai, Min Peng, and Jimin Huang · 2023
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