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  1. 有一个 LSTM 模型,features用的是过去五天每15分钟的股票的beta-netural 的 return 和 交易量数据,再加上其他一些 reference 数据(market cap,daily vol, adv, blahblah),用rolling 一年的数据 calibrate, 然后 out of sample backtesting 过去几年,performance 非常好, Sharpe Ratio 4-5 之间 ...

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