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RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction
March 6, 2024, 5:42 a.m. | Yilun Wang, Shengjie Guo
cs.LG updates on arXiv.org arxiv.org
Abstract: In recent years, the dynamic factor model has emerged as a dominant tool in economics and finance, particularly for investment strategies. This model offers improved handling of complex, nonlinear, and noisy market conditions compared to traditional static factor models. The advancement of machine learning, especially in dealing with nonlinear data, has further enhanced asset pricing methodologies. This paper introduces a groundbreaking dynamic factor model named RVRAE. This model is a probabilistic approach that addresses the …
abstract advancement arxiv autoencoder cs.lg dynamic economics finance investment investment strategies market prediction q-fin.pm q-fin.pr returns stock strategies tool type
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