Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Deep Learning in Characteristics-Sorted Factor Models
Guanhao Feng, Jingyu He, Nicholas G. Polson, and Jianeng Xu ♦ This paper presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for constructing long-short factor portfolio weights is nonlinear modeling,…