因素-GAN:通过生成对抗网络提高股票价格预测和因素投资
1School of Finance, Shanghai University of Finance and Economics, Shanghai, China.
PloS one
|June 25, 2024
概括
使用生成对抗网络 (GAN) 的深度学习框架Factor-GAN通过提高回报预测和因素绩效来改进投资策略. 该模型在中国股票市场实现了23.52%的年化回报.
科学领域:
- 人工智能的人工智能
- 金融技术 金融技术
- 量化金融 量化金融
背景情况:
- 深度学习正在通过先进的数据分析来彻底改变金融.
- 因素投资依赖于多因素定价模型.
- 了解AI在金融中的经济机制至关重要.
研究的目的:
- 介绍Factor-GAN,这是一个使用生成对抗网络 (GAN) 进行因素投资的新框架.
- 通过深度学习的整合,提高投资策略的精度和稳定性.
- 分析中国股市深度学习的经济机制.
主要方法:
- 利用了70个公司特征的综合因素数据库.
- 集成的深度学习技术与多因素定价模型.
- 对中国股票市场数据进行了部分样本分析.
主要成果:
- 与线性模型相比,Factor-GAN显著提高了回报预测准确性和因素投资绩效.
- 根据Factor-GAN的长短投资组合产生了23.52%的年化回报,夏普比为1.29.
- 在国有企业过渡期间,因素的重要性发生了转变,流动性和波动性增加.
结论:
- 深度学习模型在财务回报预测和因素投资方面提供了卓越的性能.
- 在不同的市场细分和经济转型中,因素的重要性各不相同.
- 这项研究推进了可解释的AI和金融技术应用.
更多相关视频
03:14Augmenting Large Language Models via Vector Embeddings to Improve Domain-Specific Responsiveness
Published on: December 6, 2024
543
08:51Author Spotlight: Integrated Multi-Omics Analysis for Unveiling Multicellular Immune Signatures in Clinical Heart Attack Cohorts
Published on: September 20, 2024
1.2K
相关概念视频
01:03Prediction Intervals
2.2K
The interval estimate of any variable is known as the prediction interval. It helps decide if a point estimate is dependable.
However, the point estimate is most likely not the exact value of the population parameter, but close to it. After calculating point estimates, we construct interval estimates, called confidence intervals or prediction intervals. This prediction interval comprises a range of values unlike the point estimate and is a better predictor of the observed sample value, y.
However, the point estimate is most likely not the exact value of the population parameter, but close to it. After calculating point estimates, we construct interval estimates, called confidence intervals or prediction intervals. This prediction interval comprises a range of values unlike the point estimate and is a better predictor of the observed sample value, y.
2.2K
01:07End Point Prediction: Gran Plot
314
A Gran plot is used to predict the equivalence volume or endpoint of a potentiometric or acid-base titration without reaching the endpoint. Typically, titration data is collected as a function of the titrant's volume up to a point less than the equivalence volume and then transformed into a linear format. The straight line is extended to the x-axis, indicating the necessary titrant volume to achieve the equivalence point.
For potentiometric titration, the Gran plot is created by plotting...
For potentiometric titration, the Gran plot is created by plotting...
314
02:07Improving Translational Accuracy
10.0K
Base complementarity between the three base pairs of mRNA codon and the tRNA anticodon is not a failsafe mechanism. Inaccuracies can range from a single mismatch to no correct base pairing at all. The free energy difference between the correct and nearly correct base pairs can be as small as 3 kcal/ mol. With complementarity being the only proofreading step, the estimated error frequency would be one wrong amino acid in every 100 amino acids incorporated. However, error frequencies observed in...
10.0K
01:11Regression Analysis
5.7K
Regression analysis is a statistical tool that describes a mathematical relationship between a dependent variable and one or more independent variables.
In regression analysis, a regression equation is determined based on the line of best fit– a line that best fits the data points plotted in a graph. This line is also called the regression line. The algebraic equation for the regression line is called the regression equation. It is represented as:
In regression analysis, a regression equation is determined based on the line of best fit– a line that best fits the data points plotted in a graph. This line is also called the regression line. The algebraic equation for the regression line is called the regression equation. It is represented as:
5.7K
02:01Factorial Design
13.0K
Factorial Analysis is an experimental design that applies Analysis of Variance (ANOVA) statistical procedures to examine a change in a dependent variable due to more than one independent variable, also known as factors. Changes in worker productivity can be reasoned, for example, to be influenced by salary and other conditions, such as skill level. One way to test this hypothesis is by categorizing salary into three levels (low, moderate, and high) and skills sets into two levels (entry level...
13.0K
01:52Regression Toward the Mean
6.3K
Regression toward the mean (“RTM”) is a phenomenon in which extremely high or low values—for example, and individual’s blood pressure at a particular moment—appear closer to a group’s average upon remeasuring. Although this statistical peculiarity is the result of random error and chance, it has been problematic across various medical, scientific, financial and psychological applications. In particular, RTM, if not taken into account, can interfere when...
6.3K