Neural Network-based Automatic Factor Construction

no code implementations • 14 Aug 2020 • Jie Fang, Jian-Wu Lin, Shu-Tao Xia, Yong Jiang, Zhikang Xia, Xiang Liu

This paper proposes Neural Network-based Automatic Factor Construction (NNAFC), a tailored neural network framework that can automatically construct diversified financial factors based on financial domain knowledge and a variety of neural network structures.

Time Series Time Series Analysis

Alpha Discovery Neural Network based on Prior Knowledge

no code implementations • 26 Dec 2019 • Jie Fang, Shu-Tao Xia, Jian-Wu Lin, Zhikang Xia, Xiang Liu, Yong Jiang

This paper proposes Alpha Discovery Neural Network (ADNN), a tailored neural network structure which can automatically construct diversified financial technical indicators based on prior knowledge.

Time Series Time Series Analysis