Deep Factor Model - Explaining Deep Learning Decisions for Forecasting Stock Returns with Layer-Wise Relevance Propagation.
Kei NakagawaTakumi UchidaTomohisa AoshimaPublished in: MIDAS/PAP@PKDD/ECML (2018)
Keyphrases
- deep learning
- stock returns
- financial time series
- restricted boltzmann machine
- stock market
- wavelet support vector machine
- unsupervised learning
- short term
- unsupervised feature learning
- stock price
- cross sectional
- decision makers
- decision making
- exchange rate
- mental models
- machine learning
- developed countries
- deep architectures
- deep belief networks
- non stationary
- pairwise
- weakly supervised
- financial data
- information retrieval
- garch model
- financial markets
- decision process
- cash flow
- developing countries