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 ...
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.
Autoencoder Asset Pricing Models_DONE.pdf 自动编码器(AE, autoencoder)是一种深度学习算法,本文研究了AE在资产定价模型中的应用 AE2020-09-08 上传大小:915KB 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,...
Correction: Conditional autoencoder asset pricing models for the Korean stock marketdoi:10.1371/journal.pone.0320348Kim, EunchongCho, TaeheeKoo, BonhaKang, Hyoung-GooPLoS ONE