Suimon, Yoshiyuki; Sakaji, Hiroki; Izumi, Kiyoshi; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/82, pp. 1-21
machine learning approach of an autoencoder. In addition, we focus on the model parameters of the intermediate layer of the … neural network that constitute the autoencoder and confirm that the three automatically generated factors represent the … bonds by setting their valuation with the autoencoder, and we confirm good performance compared with the trend …