qlib icon indicating copy to clipboard operation
qlib copied to clipboard

HIST: weight calculation for the concept representation

Open EternalConfession opened this issue 2 years ago • 1 comments

As described in the article, the concept representation is calculated due to the capitalization of stocks.

image

But I didn't see capitalization of stocks in the code as in:

https://github.com/microsoft/qlib/blob/e78fe48a262b0f65ceabba4e0ce8a169b716dbc7/qlib/contrib/model/pytorch_hist.py#L447

Will this have an influence on the result?

EternalConfession avatar Aug 23 '22 08:08 EternalConfession

According to my understanding, after reading the code, it uses some way to approximate the market capitalization based weights.

pop0121 avatar Sep 13 '22 04:09 pop0121

This issue is stale because it has been open for three months with no activity. Remove the stale label or comment on the issue otherwise this will be closed in 5 days

github-actions[bot] avatar Dec 12 '22 06:12 github-actions[bot]