Sparse Autoencoders as Implicit Diversification Regularisers for Cross-Sectional Cryptocurrency Returns
In briefSparse autoencoders as a diversification tool for crypto returns
SummaryThis paper uses sparse autoencoders (SAEs) to describe daily returns of many cryptocurrencies with only a few active features. In a time-ordered evaluation against common benchmarks, SAE portfolios show consistently lower volatility, linked to lower correlations among selected assets. However, the SAE does not outperform a simple contrarian strategy on risk-adjusted returns, and its factor identities are unstable across training runs.