Daily Market Return Prediction with Transformer
May 21, 2026 — Conference presentation, 15th International Conference of the Financial Engineering and Banking Society (FEBS)
We apply a Transformer encoder to forecast daily market returns using lagged market returns over horizons of 5, 20, and 60 days.
Co-authors: Yufeng Han (UNC Charlotte), Guofu Zhou (Washington University in St. Louis)