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    Long Short-Term Memory Recurrent Neural Network for Predicting the Return of Rate Underframe the Fama-French 5 Factor by Bui Thanh Khoa, Tran Trong Huynh

    Published 2022-01-01
    “…From January 1, 2010, through March 3, 2022, the stock market in Ho Chi Minh City was experimentally researched. The rolling window approach is used in combination with the Root Mean Square Error (RMSE), and the results of the FF5 model with the LSTM-RNN algorithm are more efficient in prediction error than the MLE methodology. …”
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