Yitong Duan, Lei Wang, Qizhong Zhang, Jian Li. FactorVAE: A Probabilistic Dynamic Factor Model Based on Variational Autoencoder for Predicting Cross-Sectional Stock Returns. In Thirty-Sixth AAAI Conference on Artificial Intelligence, AAAI 2022, Thirty-Fourth Conference on Innovative Applications of Artificial Intelligence, IAAI 2022, The Twelveth Symposium on Educational Advances in Artificial Intelligence, EAAI 2022 Virtual Event, February 22 - March 1, 2022. pages 4468-4476, AAAI Press, 2022. [doi]
Abstract is missing.