RVRAE — A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction

By Yilun Wang, Shengjie Guo

Published 2024-03-04

Everscope rating

1426.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: RVRAE. Problem types: Time Series Forecasting, Regression, Risk Management.

arXiv:2403.02500 · Paper rankings

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