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Quantitative Finance · Glossário

O que é Pooled panel model, permutation-invariant network?

Também chamado de: pooled panel model · permutation-invariant network

Definition 9.1 Machine Learning for Markets · Capítulo 9 — Cross-Sectional Deep Models

A pooled panel model fits one function fθ(xit)f_\theta(x_{it}) to every asset ii and date tt of a panel, so that assets share parameters through their characteristics rather than each having its own. A permutation-invariant network maps a set of vectors to an output that does not depend on their order, typically ρ(∑iϕ(xi))\rho(\sum_i\phi(x_i)) for networks ϕ\phi and ρ\rho (Zaheer et al., 2017).

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