Short Communication: Deep Fundamental Factor Models

DOI10.1137/20M1330518zbMath1452.91332arXiv1903.07677MaRDI QIDQ5131409

Nick Polson, Matthew F. Dixon

Publication date: 7 November 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.07677

zbMATH Keywords

interpretabilityfactor modelsfinancial econometricsdeep learning

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Artificial neural networks and deep learning (68T07) Diagnostics, and linear inference and regression (62J20)

Uses Software

• GitHub

Cites Work

• Sufficient forecasting using factor models
• Multilayer feedforward networks are universal approximators
• Deep learning for finance: deep portfolios

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