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Index tracking based on deep neural network

  • Published:2019-10 Issue: Volume:57 Page:107-114
  • ISSN:1389-0417
  • Container-title:Cognitive Systems Research
  • language:en
  • Short-container-title:Cognitive Systems Research

Author:

Ouyang Hongbing,Zhang Xiaowei,Yan Hongju

Funder

Fundamental Research Funds for the Central Universities

Nanning Development and Reform Committee

Publisher

Elsevier BV

Subject

Artificial Intelligence,Cognitive Neuroscience,Experimental and Cognitive Psychology,Software

Reference24 articles.

1. An evolutionary heuristic for the index tracking problem;Beasley;European Journal of Operational Research,2003

2. Bengio, Y., Courville, A., & Vincent, P. (2012). Unsupervised feature learning and deep learning: A review and new perspectives.

3. An empirical comparison of alternative models of index fund;Cai;Journal of Quantitative & Technical Economics,2006

4. Factor based index tracking;Corielli;Journal of Banking & Finance,2006

5. Tracking error and active portfolio management;EI-Hassan;Australian Journal of Management,2014

Cited by 28 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Index tracking using shapley additive explanations and one-dimensional pointwise convolutional autoencoders;International Review of Financial Analysis;2024-10

2. Index tracking via reparameterizable subset sampling in neural networks;INFOR: Information Systems and Operational Research;2024-08-14

3. Deep learning for enhanced index tracking;Quantitative Finance;2024-05-03

4. Index Tracking Via Learning to Predict Market Sensitivities;Lecture Notes in Networks and Systems;2024

5. Deep Learning in Stock Market: Techniques, Purpose, and Challenges;Handbook of Formal Optimization;2024
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