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cloudquant / an-analysis-of-pca-and-autoencoder-generated-factors-in-predicting-sp500-returns Goto Github PK
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Abstract: The S&P500 is difficult to predict. Multi-factor models provide a useful framework for making returns predictions and for controlling portfolio risk. This paper explores a three-step process in predicting PCA and Autoencoders factors to generate multi-factor models from the S&P500 component securities.
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