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Quantitative Finance · Glosario

¿Qué es Entity embedding?

Definition 9.2 Machine Learning for Markets · Capítulo 9 — Cross-Sectional Deep Models

An entity embedding represents each value jj of a categorical variable (an industry, a venue, a stock identifier) by a vector ej∈Rme_j\in\mathbb R^m learned with the rest of the network, in place of a one-hot column per category (Guo and Berkhahn, 2016).

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