dkyol / Asset-Pricing-Model

PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics

Asset-Pricing-Model

Autoencoder implementation in PyTorch

Implementation seeks to replicate architecture demonstrated in the following working papers:

Autoencoder Asset Pricing Models - SSRN

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04

Chicago Booth Research Paper No. 19-24

35 Pages Posted: 7 Mar 2019 Last revised: 1 Oct 2019
Shihao Gu
University of Chicago - Booth School of Business

Bryan T. Kelly
Yale SOM; AQR Capital Management, LLC; National Bureau of Economic Research (NBER)

Dacheng Xiu
University of Chicago - Booth School of Business

Date Written: September 30, 2019