Our autoencoder asset pricing model delivers out-of-sample pricing errors that are far smaller (and generally insignificant) compared to other leading factor models.doi:10.1016/j.jeconom.2020.07.009Shihao GuBryan KellyDacheng XiuJournal of Econometrics
Autoencoder-Asset-Pricing-Models 🧐 Report | Report PDF file Set Up # generate preprocessed data and download portfolio returns python data_prepare.py # train models (ALL together) python main.py --Model 'FF PCA IPCA CA0 CA1 CA2 CA3' --K '1 2 3 4 5 6' # train models (selected ...
0.文章信息 文章标题:基于自编码器(Autoencoder)的资产定价模型(Autoencoder Asset Pricing Models) Shihao Gu, Bryan Kelly, Dacheng Xiu, Autoencoder asset pricing models, Journal of Econometrics, Vol…
见《Autoencoder asset pricing models》,使得可以处理不同输入尺寸的资产收益率向量,通过在一个standard的encoder-decoder架构中引入先验信息即截面资产的初始因子暴露度矩阵来帮助重建截面的资产收益率向量。
We propose a new latent factor conditional asset pricing model, which delivers out-of-sample pricing errors that are far smaller (and generally insignificant) compared to other leading factor models.
Asset pricing models, a cornerstone in finance, aim to explain the cross-sectional variations in expected returns of assets. Rooted in the Capital Asset Pricing Model (CAPM), which connects a single market factor to risk and return, the evolution of these models has led to the so-called fact...
所需:50积分/C币 ippicv_win.zip opencv CMake点击Configure后,如果没有出现Configuring done,说明配置的过程中CMake查找一些依赖项时候,没有找到,就会自动下载,但是这些库往往是国外网站,所以很容易下载失败,所以要注意自己查看报红色的区域。 上传者:weixin_43140187时间:2020-04-29 ...
In addition to denoising, HOLO also applies Dropout during the training process. Dropout is a commonly used regularization technique primarily aimed at reducing model overfitting. In deep learning models, overfitting refers to the phenomenon where a model performs well on training data bu...
Correction: Conditional autoencoder asset pricing models for the Korean stock marketdoi:10.1371/journal.pone.0320348Kim, EunchongCho, TaeheeKoo, BonhaKang, Hyoung-GooPLoS ONE