Trading strategy of structured mutual fund based on deep learning network
作者：
Highlights：
• Deep learning network is constructed for trading strategy of structured fund.
• Deep learning network is useful for modeling structured fund’s trading strategy.
• Considering trading behavior and share numbers can improve model performance.
• Transfer learning can stabilize the portfolios’ returns.
• The action of holding is more effective in an uncertain market.
摘要
•Deep learning network is constructed for trading strategy of structured fund.•Deep learning network is useful for modeling structured fund’s trading strategy.•Considering trading behavior and share numbers can improve model performance.•Transfer learning can stabilize the portfolios’ returns.•The action of holding is more effective in an uncertain market.
论文关键词：Deep learning network,Structured mutual fund,Transfer learning network,Trading strategy
论文评审过程：Received 15 September 2020, Revised 1 January 2021, Accepted 8 June 2021, Available online 12 June 2021, Version of Record 24 June 2021.
论文官网地址：https://doi.org/10.1016/j.eswa.2021.115390
