# FactorVAE

**Repository Path**: nutquant/FactorVAE

## Basic Information

- **Project Name**: FactorVAE
- **Description**: No description available
- **Primary Language**: Unknown
- **License**: Not specified
- **Default Branch**: main
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2024-08-23
- **Last Updated**: 2024-08-23

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# FactorVAE

An unofficial PyTorch implementation of FactorVAE, proposed in "FactorVAE: A Probabilistic Dynamic Factor Model Based on Variational Autoencoder for Predicting Cross-Sectional Stock Returns" by Duan et al.(https://ojs.aaai.org/index.php/AAAI/article/view/20369)

## back test
![backtest](https://user-images.githubusercontent.com/40204613/233040294-7e920d46-fdc2-488d-8b68-ba1cb110e553.png)