Bighead's Algorithm Notes

Feb 18, 2026 · Artificial Intelligence

Which Loss Function Ranks Stocks Best? An Empirical Study with Transformer Models

This paper evaluates point‑wise, pair‑wise, and list‑wise loss functions for Transformer‑based stock‑return prediction on 110 S&P 500 stocks, showing that Margin loss achieves the highest annual return (16.23%) and Sharpe ratio (0.75), ListNet delivers strong returns with low volatility, and BPR minimizes maximum drawdown, highlighting how loss design critically shapes ranking‑driven portfolio performance.