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Autoencoder-Asset-Pricing-Models

We propose a new latent factor conditional asset pricing model, which delivers out-of-sample pricing errors that are far smaller (and generally insignificant) compared to other leading factor models.

aqr.com
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Overview

We propose a new latent factor conditional asset pricing model, which delivers out-of-sample pricing errors that are far smaller (and generally insignificant) compared to other leading factor models.

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ai-quant-directory

Source links & provenance

https://www.aqr.com/Insights/Research/Working-Paper/Autoencoder-Asset-Pricing-Models ↗

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