Closed rchaaben closed 6 years ago
My bad..
'autoencoder.h5' is a trained model that I used when I was doing this research. I didn't include it in this repo for now... (sorry I was just busy that I don't have time to take care of it right now).
You can build one yourself starting from here.
I will upload it very soon, but sorry again for the inconvenience...
Hi, i am also very interested in this paper. And i meet across a problem. Do I need to normalize the stock_net_train before training the auto-encoder?
On Tue, Nov 28, 2017 at 5:52 AM, tcloaa notifications@github.com wrote:
Closed #3 https://github.com/tcloaa/Deep-Portfolio-Theory/issues/3.
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Good question.
The paper does not mention about the data preprocessing, even the type of data (weekly return of what?: close price? percentage of change? net change?)
So I chose percentage of change and did not do any normalization. What do you think?
exactly, i tried to train the percentage net change, but the result is not good. Especially when I try to track the ibb index, the performance of the predicted ibb index of selected stocks s25, s45 and s65 are bad. I am trying to figure out if the parameters of neural networks are not suitable. By the way, where did you find this data set? i want to collect more data to see if the performance would be improved by enlarge the size of data set.
On Tue, Nov 28, 2017 at 1:26 PM, tcloaa notifications@github.com wrote:
Reopened #3 https://github.com/tcloaa/Deep-Portfolio-Theory/issues/3.
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@skyhoudou Excel + Bloomberg add-in, using VBA Macro.
Hi, may I please know which encoder are you using because it seems that you are using a predefined encoder 'autoencoder.h5' and there is no information about it (I'm not able to run the code). Best regards.