报告导读：本报告使用GRU和TCN模型训练深度学习因子，测试选股效果。模型效果上，GRU略好于TCN+GRU，略好于TCN；预测10日收益模型略好于预测5日模型。深度学习因子与低波动、低流动性因子相关性较高。构建指数增强选股策略，控制市值行业无暴露，2017年以来沪深300增强年化超额11.8%，本年超额-0.4%；中证500指数增强策略年化超额13.6%，本年超额2.7%；中证1000增强年化...
Source Link报告导读：本报告使用GRU和TCN模型训练深度学习因子，测试选股效果。模型效果上，GRU略好于TCN+GRU，略好于TCN；预测10日收益模型略好于预测5日模型。深度学习因子与低波动、低流动性因子相关性较高。构建指数增强选股策略，控制市值行业无暴露，2017年以来沪深300增强年化超额11.8%，本年超额-0.4%；中证500指数增强策略年化超额13.6%，本年超额2.7%；中证1000增强年化...
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