Hedging properties of algorithmic investment strategies using long short-term memory and time series models for equity indices
Jakub Michańków, Paweł Sakowsk, Robert Ślepaczuk
| Year of publication: |
2023
|
|---|---|
| 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 | Neuronale Netze | Neural networks | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Anlageverhalten | Behavioural finance |
freely available
| Extent: | 1 Online-Ressource (circa 21 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - Warsaw : [Faculty of Economic Sciences, University of Warsaw], ISSN 2957-0506, 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 |
Persistent link: https://www.econbiz.de/10014448237