search

LouisChen1992 / Deep_Learning_in_Asset_Pricing

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
116 stars 48 forks source link

Question #4

Closed budfox3 closed 4 years ago

budfox3 commented 4 years ago

I'm trying to implement your approach and I have a question about the estimation procedure. Is it correct that you don't use batches and always feed in the whole training set as a whole, compute the loss at t = T and backpropagate once every epoch? Thus, for the LSTMs you feed the macro data from t=1 until t=T and then repeat the LSTM output N times? Thanks & regards

LouisChen1992 commented 4 years ago

Right. We don't use mini-batch here.

budfox3 commented 4 years ago

Thank you very much.