LouisChen1992 / Deep_Learning_in_Asset_Pricing

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
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Instruments #5

Closed budfox3 closed 4 years ago

budfox3 commented 4 years ago

Hi Louis, sorry to bother you again.

In your paper you write that g is normalized, but you don't describe how. You write that w it is normalized with the l1 norm. That works fine in my code as well. But how did you normalize g?

Because when I use l1 normalization (time axis) for g, my adversary has a hard time increasing the loss. When I don't use normalization, only the train SR increases, but not as much as yours in the paper.

Regards