Long Short-Term Memory Recurrent Neural Network for Predicting the Return of Rate Underframe the Fama-French 5 Factor

Table 1

Variable description.

Variable name	Description
Mkt	Outstanding return on market portfolio
HML	The difference between returns on diversified portfolios of high and low B/M stocks
RMW	The difference between returns on diversified portfolios of high and weak profitability stocks
SMB	Profit from a diversified portfolio of small stocks minus profit from a diversified portfolio of large stocks
CMA	The difference between returns on diversified portfolios of low and high investment companies’ stocks can be conservative and aggressive.
P1, P2, …, P10	Returns of equal-weighted portfolios