Neural network-based automatic factor construction

DOI10.1080/14697688.2020.1814039zbMath1471.91535arXiv2008.06225OpenAlexW3094421831MaRDI QIDQ4957272

Zhikang Xia, Xiang Liu, Shenglei Hu, Jie Fang, Jianwu Lin, Yong Jiang, Shutaong Xia

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.06225

zbMATH Keywords

neural networkdeep learningquantitative investmentfactor construction

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Related Items (1)

Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm

Uses Software

• xgboost
• Tensor2Tensor

Cites Work

• Varying-Parameter Convergent-Differential Neural Solution to Time-Varying Overdetermined System of Linear Equations
• Common risk factors in the returns on stocks and bonds
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