基于 KAN 的因子模型自动编码器

Tianqi Wang, Shubham Singh
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引用次数: 0

摘要

受科尔莫哥洛夫-阿诺德网络(KANs)最新进展的启发,我们为潜在因素条件资产定价模型引入了一种新方法。虽然以前在资产定价领域的机器学习应用主要使用带有 ReLU 激活函数的多层感知器对潜在因素暴露进行建模,但我们的方法引入了基于 KAN 的自动编码器,在准确性和可解释性方面都超越了 MLP 模型。我们的模型在将暴露近似为资产特征的非线性函数方面提供了更大的灵活性,同时还为用户提供了解释潜在因子的直观框架。实证回溯测试证明了我们的模型在解释横截面风险敞口方面的卓越能力。此外,利用我们的模型预测构建的多空投资组合获得了更高的夏普比率,凸显了其在投资管理中的实用价值。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
KAN based Autoencoders for Factor Models
Inspired by recent advances in Kolmogorov-Arnold Networks (KANs), we introduce a novel approach to latent factor conditional asset pricing models. While previous machine learning applications in asset pricing have predominantly used Multilayer Perceptrons with ReLU activation functions to model latent factor exposures, our method introduces a KAN-based autoencoder which surpasses MLP models in both accuracy and interpretability. Our model offers enhanced flexibility in approximating exposures as nonlinear functions of asset characteristics, while simultaneously providing users with an intuitive framework for interpreting latent factors. Empirical backtesting demonstrates our model's superior ability to explain cross-sectional risk exposures. Moreover, long-short portfolios constructed using our model's predictions achieve higher Sharpe ratios, highlighting its practical value in investment management.
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