A Deep Temporal Factor Analysis Method for Large Scale Financial Portfolio Selection
Author:
Affiliation:
1. Shanghai Jiao Tong University,Department of Computer Science and Engineering
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10094559/10094560/10095847.pdf?arnumber=10095847
Reference23 articles.
1. BYY harmony learning, independent state space, and generalized APT financial analyses
2. Robust portfolio optimization;qiu;Advances in Neural Infor-Mation Processing Systems,2015
3. Maximum likelihood estimates of linear dynamic systems
4. Arbitrage pricing theory-based Gaussian temporal factor analysis for adaptive portfolio management
5. Machine learning and causal analyses for modeling financial and economic data
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