Reproduce AAAI22-FactorVAE

Known Issues

In factor_encoder.py, the PortfolioLayer misrepresent the paper's idea of "a portfolio set". The current version only use "one portfolio" instead of "a set of".
Dataset now is not consistent with the paper due to some personal reason.
In feature_extractor.py, the latent feature, which is the GRU's output, seems quirky.

Name		Name	Last commit message	Last commit date
Latest commit History 15 Commits
CSI		CSI
factorVAE		factorVAE
.gitignore		.gitignore
README.md		README.md
generate_dataset.ipynb		generate_dataset.ipynb
tic_list.txt		tic_list.txt
train.ipynb		train.ipynb