# NeuralBeta: Estimating Beta Using Deep Learning

arXiv: https://arxiv.org/abs/2408.01387 · HTML: https://mlsanity.com/paper/2408.01387/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- Builds on 5 of its 26 references that are in the map.
- First posted on arXiv 2 Aug 2024.

## Builds on (most cited first, 5 of 5)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [PyTorch: An Imperative Style, High-Performance Deep Learning Library](https://mlsanity.com/paper/1912.01703/) (2019)
- [Learning Phrase Representations using RNN Encoder-Decoder for Statistical Machine Translation](https://mlsanity.com/paper/1406.1078/) (2014)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)

## Built on by (most cited first, 2 of 2)

- [DELPHYNE: A Pre-Trained Model for General and Financial Time Series](https://mlsanity.com/paper/2506.06288/) (2025)
- [Dynamic Hedging Strategies in Derivatives Markets with LLM-Driven Sentiment and News Analytics](https://mlsanity.com/paper/2504.04295/) (2025)

## Abstract (arXiv)

Traditional approaches to estimating beta in finance often involve rigid assumptions and fail to adequately capture beta dynamics, limiting their effectiveness in use cases like hedging. To address these limitations, we have developed a novel method using neural networks called NeuralBeta, which is capable of handling both univariate and multivariate scenarios and tracking the dynamic behavior of beta. To address the issue of interpretability, we introduce a new output layer inspired by regularized weighted linear regression, which provides transparency into the model's decision-making process. We conducted extensive experiments on both synthetic and market data, demonstrating NeuralBeta's superior performance compared to benchmark methods across various scenarios, especially instances where beta is highly time-varying, e.g., during regime shifts in the market. This model not only represents an advancement in the field of beta estimation, but also shows potential for applications in other financial contexts that assume linear relationships.