An autoencoder is a network trained to reproduce its input through a lower-dimensional bottleneck: an encoder maps to a code , a decoder maps back to , and the loss is the reconstruction error. A conditional autoencoder reconstructs the cross-section of returns as , where the code ( factors) is a linear map of characteristic-managed portfolios and the betas are a network of the characteristics (Gu, Kelly and Xiu, 2021).
Quantitative Finance · المسرد
ما معنى Autoencoder, conditional autoencoder؟
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