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View Code? Open in Web Editor NEWReimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
Home Page: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3335536
Reimplementation of Autoencoder Asset Pricing Models (GKX, 2019)
Home Page: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3335536
From the data_prepare.py
I find that the managed portfolio is constructed using the classical method, i.e., long the first decile and short the last decile. However, the preprocessing method of GKX (2021) is a linear transformation of returns (see equation (16) in the original paper). I wonder if it is your simple choice for convenience, or you just find the classical method is better than the authors' method?
Is this possible to have the data up-to-date with 2023-24 data ?
Thanks you a lot for the work
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