Gamers playing this game have all kinds of tricks to try to bypass the load screen itself because it takes a long time to go through it but the game by design forces you to look at the load screen multiple times just to do one task. One way that I remember was to play in a Solo session that way you don't have to load every time you come out of multiplayer. They even make a GTA online software tool that blocks GTA on the firewall at very specific intervals to force an online session in order to speed up load times.