{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/deep-learning-in-asset-pricing","title":"Deep Learning in Characteristics-Sorted Factor Models","arxiv_id":"1805.01104","date":"2018-05-03","proceeding":null,"authors":["Guanhao Feng","Jingyu He","Nicholas G. Polson","Jianeng Xu"],"abstract":"This paper presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for constructing long-short factor portfolio weights is nonlinear modeling, while factors are treated as inputs in linear models. We provide a structural deep learning framework to generalize the complete mechanism for fitting cross-sectional returns by firm characteristics through generating risk factors -- hidden layers. Our model has an economic-guided objective function that minimizes aggregated realized pricing errors. Empirical results on high-dimensional characteristics demonstrate robust asset pricing performance and strong investment improvements by identifying important raw characteristic sources.","url_abs":"https://arxiv.org/abs/1805.01104v7","url_pdf":"https://arxiv.org/pdf/1805.01104v7.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"deep-learning-in-asset-pricing","repo_url":"https://github.com/Jianeng/Deep-Learning-in-Asset-Pricing","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"tf","reach":null},{"paper_slug":"deep-learning-in-asset-pricing","repo_url":"https://github.com/lye0618/Deep-Learning-in-Asset-Pricing","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"tf","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}