使用深度学习进行特征选择?
https://qastack.cn/stats/250381/feature-selection-using-deep-learning
Deep Learning Factor Alpha
http://fin.sustech.edu.cn/news_view.aspx?TypeId=126&Id=643&FId=t2:126:2
Summary:
A deep learning automated solution to generate long-short factors using a high-dimensional firm characteristics.
Our algorithm performs a nonlinear search and finds the optimal transformation of characteristics used for security sorting, with one asset pricing objective: minimizing alphas.
Our deep factors, hidden neurons in the neural network, are trained greedily with the backward propagation feedback from the loss function that considers both time series and cross-sectional variations. Our conditional forecast generalizes a benchmark, such as CAPM, and includes Fama-French type models as special cases. The conclusion is the improvement of insignificant alphas for some anomalies as well as sorted portfolios.
http://www.360doc.com/content/21/0123/10/45289182_958492795.shtml