Open AccessFactorVAE: A Probabilistic Dynamic Factor Model Based on Variational Autoencoder for Predicting Cross-Sectional Stock Returns
Author(s) -
Yitong Duan,
Lei Wang,
Qizhong Zhang,
Jian Li
Publication year - 2022
Publication title -
proceedings of the ... aaai conference on artificial intelligence
Language(s) - English
Resource type - Journals
eISSN - 2374-3468
pISSN - 2159-5399
DOI - 10.1609/aaai.v36i4.20369
Subject(s) - autoencoder , factor analysis , computer science , machine learning , probabilistic logic , randomness , artificial intelligence , stock market , dynamic factor , econometrics , data mining , deep learning , mathematics , statistics , paleontology , horse , biology