E2EAI: End-to-End Deep Learning Framework for Active Investing

Zikai Wei, Bo Dai and Dahua Lin

Papers from arXiv.org

Abstract: Active investing aims to construct a portfolio of assets that are believed to be relatively profitable in the markets, with one popular method being to construct a portfolio via factor-based strategies. In recent years, there have been increasing efforts to apply deep learning to pursue "deep factors'' with more active returns or promising pipelines for asset trends prediction. However, the question of how to construct an active investment portfolio via an end-to-end deep learning framework (E2E) is still open and rarely addressed in existing works. In this paper, we are the first to propose an E2E that covers almost the entire process of factor investing through factor selection, factor combination, stock selection, and portfolio construction. Extensive experiments on real stock market data demonstrate the effectiveness of our end-to-end deep leaning framework in active investing.

Date: 2023-05
New Economics Papers: this item is included in nep-big and nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2305.16364 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2305.16364

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().