Hedging properties of algorithmic investment strategies using long short-term memory and time series models for equity indices
Year of publication: |
2023
|
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Authors: | Michańków, Jakub ; Sakowsk, Paweł ; Ślepaczuk, Robert |
Publisher: |
Warsaw : University of Warsaw, Faculty of Economic Sciences |
Subject: | machine learning | recurrent neural networks | long short-term memory | algorithmic investment strategies | testing architecture | loss function | walk-forward optimization | overoptimization | Theorie | Theory | Neuronale Netze | Neural networks | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Hedging | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income |
Extent: | 1 Online-Ressource (circa 21 Seiten) Illustrationen |
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Series: | Working papers. - Warsaw : [Faculty of Economic Sciences, University of Warsaw], ZDB-ID 2890271-3. - Vol. no. 2023, 25 = 432 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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