├── .gitignore ├── DL_Finance_Project_2.pdf ├── README.md ├── R_squares ├── 2023-06-09_05-24-47.json ├── 2023-06-09_06-07-56.json ├── 2023-06-09_09-08-26.json └── 2023-06-11_18-16-38.json ├── analysis.py ├── data_prepare.py ├── imgs ├── R2_pred_table.png ├── R2_total_table.png ├── alpha │ ├── CA0_1_inference_alpha_plot.png │ ├── CA0_2_inference_alpha_plot.png │ ├── CA0_3_inference_alpha_plot.png │ ├── CA0_4_inference_alpha_plot.png │ ├── CA0_5_alpha_plot.png │ ├── CA0_5_inference_alpha_plot.png │ ├── CA0_6_inference_alpha_plot.png │ ├── CA1_1_inference_alpha_plot.png │ ├── CA1_2_inference_alpha_plot.png │ ├── CA1_3_inference_alpha_plot.png │ ├── CA1_4_inference_alpha_plot.png │ ├── CA1_5_inference_alpha_plot.png │ ├── CA1_6_inference_alpha_plot.png │ ├── CA2_1_inference_alpha_plot.png │ ├── CA2_2_inference_alpha_plot.png │ ├── CA2_3_inference_alpha_plot.png │ ├── CA2_4_inference_alpha_plot.png │ ├── CA2_5_inference_alpha_plot.png │ ├── CA2_6_inference_alpha_plot.png │ ├── CA3_1_inference_alpha_plot.png │ ├── CA3_2_inference_alpha_plot.png │ ├── CA3_3_inference_alpha_plot.png │ ├── CA3_4_inference_alpha_plot.png │ ├── CA3_5_inference_alpha_plot.png │ ├── CA3_6_inference_alpha_plot.png │ ├── FF_1_inference_alpha_plot.png │ ├── FF_2_inference_alpha_plot.png │ ├── FF_3_inference_alpha_plot.png │ ├── FF_4_inference_alpha_plot.png │ ├── FF_5_inference_alpha_plot.png │ ├── FF_6_inference_alpha_plot.png │ ├── IPCA_1_inference_alpha_plot.png │ ├── IPCA_2_inference_alpha_plot.png │ ├── IPCA_3_inference_alpha_plot.png │ ├── IPCA_4_inference_alpha_plot.png │ ├── IPCA_5_inference_alpha_plot.png │ ├── IPCA_6_inference_alpha_plot.png │ ├── PCA_1_inference_alpha_plot.png │ ├── PCA_2_inference_alpha_plot.png │ ├── PCA_3_inference_alpha_plot.png │ ├── PCA_4_inference_alpha_plot.png │ ├── PCA_5_inference_alpha_plot.png │ └── PCA_6_inference_alpha_plot.png ├── omit_char_R2_bias.png ├── pred_R2.png └── total_R2.png ├── main.py ├── models ├── CA.py ├── FF.py ├── IPCA.py ├── PCA.py └── modelBase.py └── utils.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/.gitignore -------------------------------------------------------------------------------- /DL_Finance_Project_2.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/DL_Finance_Project_2.pdf -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/README.md -------------------------------------------------------------------------------- /R_squares/2023-06-09_05-24-47.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/R_squares/2023-06-09_05-24-47.json -------------------------------------------------------------------------------- /R_squares/2023-06-09_06-07-56.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/R_squares/2023-06-09_06-07-56.json -------------------------------------------------------------------------------- /R_squares/2023-06-09_09-08-26.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/R_squares/2023-06-09_09-08-26.json -------------------------------------------------------------------------------- /R_squares/2023-06-11_18-16-38.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/R_squares/2023-06-11_18-16-38.json -------------------------------------------------------------------------------- /analysis.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/analysis.py -------------------------------------------------------------------------------- /data_prepare.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/data_prepare.py -------------------------------------------------------------------------------- /imgs/R2_pred_table.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/R2_pred_table.png -------------------------------------------------------------------------------- /imgs/R2_total_table.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/R2_total_table.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_5_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_5_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA0_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA0_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA1_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA1_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA1_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA1_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA1_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA1_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA1_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA1_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA1_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA1_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA1_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA1_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA2_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA2_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA2_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA2_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA2_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA2_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA2_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA2_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA2_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA2_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA2_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA2_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA3_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA3_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA3_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA3_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA3_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA3_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA3_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA3_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA3_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA3_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/CA3_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/CA3_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/FF_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/FF_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/FF_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/FF_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/FF_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/FF_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/FF_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/FF_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/FF_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/FF_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/FF_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/FF_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/IPCA_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/IPCA_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/IPCA_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/IPCA_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/IPCA_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/IPCA_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/IPCA_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/IPCA_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/IPCA_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/IPCA_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/IPCA_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/IPCA_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/PCA_1_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/PCA_1_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/PCA_2_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/PCA_2_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/PCA_3_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/PCA_3_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/PCA_4_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/PCA_4_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/PCA_5_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/PCA_5_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/alpha/PCA_6_inference_alpha_plot.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/alpha/PCA_6_inference_alpha_plot.png -------------------------------------------------------------------------------- /imgs/omit_char_R2_bias.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/omit_char_R2_bias.png -------------------------------------------------------------------------------- /imgs/pred_R2.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/pred_R2.png -------------------------------------------------------------------------------- /imgs/total_R2.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/imgs/total_R2.png -------------------------------------------------------------------------------- /main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/main.py -------------------------------------------------------------------------------- /models/CA.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/models/CA.py -------------------------------------------------------------------------------- /models/FF.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/models/FF.py -------------------------------------------------------------------------------- /models/IPCA.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/models/IPCA.py -------------------------------------------------------------------------------- /models/PCA.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/models/PCA.py -------------------------------------------------------------------------------- /models/modelBase.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/models/modelBase.py -------------------------------------------------------------------------------- /utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/RichardS0268/Autoencoder-Asset-Pricing-Models/HEAD/utils.py --------------------------------------------------------------------------------