most citedDeep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model

9 citations · 9 across the 1 of their papers we have counts for

collaborators

1 paper

cs.LG2019★ 9 cited

Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model

Kei Nakagawa, Tomoki Ito, Masaya Abe +1

A linear multi-factor model is one of the most important tools in equity portfolio management. The linear multi-factor models are widely used because they can be easily interpreted…