Autoencoding Stock Prices (opens in new tab)

Autoencoding stock prices as found in Heaton et al., 2016 So you want to build an autoencoder? Great! This article will demonstrate how to build an autoencoder and use it to measure stock prices against an index. This technique is described in more technical terms here. Once we’ve trained the autoencoder, we can use it to measure how well each component follows the other members of the index. This can be useful for finding deeper insights into an index, and doesn’t require a priori knowledge ...