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Multifactor Timing with Deep Learning.

We develop deep neural networks with economically motivated restrictions that are designed to overcome the main challenges of factor timing. Our critical innovations include integrating multitask (MT) learning to capture the common structure across factors, with long short-term memory neural network...

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Publicado en:Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 31
Autores principales: Cotturo, Paul, Liu, Fred, Proner, Robert
Formato: Artículo
Publicado: Oxford University Press / USA 2026
Materias:
Economic indicators
Long short-term memory
Deep learning
Investment management
Machine learning
Business forecasting
Artificial neural networks
Acceso en línea:Ver este registro en EBSCOhost