Deep risk model: a deep learning solution for mining latent risk factors to improve covariance matrix estimation

Hengxu Lin, Dong Zhou, Weiqing Liu, Jiang Bian 0002. Deep risk model: a deep learning solution for mining latent risk factors to improve covariance matrix estimation. In Anisoara Calinescu, Lukasz Szpruch, editors, ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3 - 5, 2021. ACM, 2021. [doi]

Abstract

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