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Kronos: A Foundation Model for the Language of Financial Markets

Created by
  • Haebom

Author

Yu Shi, Zongliang Fu, Shuo Chen, Bohan Zhao, Wei Xu, Changshui Zhang, Jian Li

Outline

This paper proposes Kronos, a comprehensive and scalable pre-training framework specialized for candlestick chart (K-line) data in financial markets. Kronos introduces a specialized tokenizer that converts continuous market information into token sequences, preserving both price fluctuations and trading activity patterns. It is pre-trained with an autoregressive objective function using a large-scale multi-market corpus consisting of over 12 billion K-line records from 45 global exchanges. It demonstrates outstanding performance in zero-shot settings across a variety of financial tasks, outperforming existing methods in a variety of tasks, including price time series forecasting, volatility prediction, and synthetic K-line sequence generation. The pre-trained model is publicly available.

Takeaways, Limitations

Takeaways:
We present the first integrated and scalable pre-training framework specialized for financial K-line data.
Achieve superior performance in a variety of financial tasks, including price prediction, volatility forecasting, and synthetic data generation.
Proving its practicality with excellent performance in zero-shot settings.
Expanding research and suggesting usability through the release of pre-trained models.
Limitations:
The performance improvements of Kronos presented in this paper may be limited to specific datasets and tasks.
Further research is needed on generalization performance to other types of financial data or markets.
Further research is needed on the model's interpretability and explainability.
Consideration should be given to computational costs and resource consumption due to excessive parameters.
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