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LSTM-DGMDH: High-Dimensional Index Tracking Based on LSTM and Adaptive Deep Evolutionary GMDH Neural Network Journal article
Tong, He, Liu, Yusheng, Liu, Lin, Li, Ning, Chen, Sibao, Xu, Lixiang, Tang, Yuanyan. LSTM-DGMDH: High-Dimensional Index Tracking Based on LSTM and Adaptive Deep Evolutionary GMDH Neural Network[J]. IEEE Access, 2023, 11, 115654-115667.
Authors:  Tong, He;  Liu, Yusheng;  Liu, Lin;  Li, Ning;  Chen, Sibao; et al.
Favorite | TC[WOS]:0 TC[Scopus]:1  IF:3.4/3.7 | Submit date：2024/02/22
Attention Mechanism  Gmdh Neural Network  High-dimensional Index Tracking  Lstm  Tracking Error External Criterion  
High-dimensional sparse index tracking based on a multi-step convex optimization approach Journal article
Shi Fangquan, Shu Lianjie, Luo Yiling, Huo Xiaoming. High-dimensional sparse index tracking based on a multi-step convex optimization approach[J]. Quantitative Finance, 2023, 23(9), 1361-1372.
Authors:  Shi Fangquan;  Shu Lianjie;  Luo Yiling;  Huo Xiaoming
Favorite | TC[WOS]:0 TC[Scopus]:1  IF:1.5/2.2 | Submit date：2023/08/15
Finance  Index Tracking  Sparsity  Cardinality  Lasso  
High-dimensional index tracking based on the adaptive elastic net Journal article
Shu, Lianjie, Shi, Fangquan, Tian, Guoliang. High-dimensional index tracking based on the adaptive elastic net[J]. Quantitative Finance, 2020, 20(9), 1513-1530.
Authors:  Shu, Lianjie;  Shi, Fangquan;  Tian, Guoliang
Favorite | TC[WOS]:13 TC[Scopus]:18  IF:1.5/2.2 | Submit date：2021/12/06
Cardinality  Index Tracking  Lasso  Sparsity