This project forked from dkyol/asset-pricing-model
PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
Autoencoder Asset Pricing Models - SSRN
Autoencoder Asset Pricing Models
Yale ICF Working Paper No. 2019-04
Chicago Booth Research Paper No. 19-24
35 Pages Posted: 7 Mar 2019 Last revised: 1 Oct 2019
Shihao Gu
University of Chicago - Booth School of Business
Bryan T. Kelly
Yale SOM; AQR Capital Management, LLC; National Bureau of Economic Research (NBER)
Dacheng Xiu
University of Chicago - Booth School of Business
Date Written: September 30, 2019
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