Hardening Soft Information: A Transformer-Based Approach to Forecasting Stock Return Volatility

Matthew Caron, Oliver Müller. Hardening Soft Information: A Transformer-Based Approach to Forecasting Stock Return Volatility. In Xintao Wu, Chris Jermaine, Li Xiong 0001, Xiaohua Hu 0001, Olivera Kotevska, Siyuan Lu, Weija Xu, Srinivas Aluru, ChengXiang Zhai, Eyhab Al-Masri, Zhiyuan Chen 0003, Jeff Saltz 0001, editors, IEEE International Conference on Big Data, Big Data 2020, Atlanta, GA, USA, December 10-13, 2020. pages 4383-4391, IEEE, 2020. [doi]

Abstract

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