Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction

DOI10.2478/AUSI-2021-0013MaRDI QIDQ6494339

Attila Rácz, Norbert Fogarasi

Publication date: 30 April 2024

Published in: Acta Universitatis Sapientiae. Informatica (Search for Journal in Brave)

zbMATH Keywords

optimizationmean reversionportfolio selectiontime-series predictionLSTM

Mathematics Subject Classification ID

Economic time series analysis (91B84) Trade models (91B60)

Cites Work

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• Identifying small mean-reverting portfolios
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• A canonical analysis of multiple time series
• Facts, Conjectures, and Improvements for Simulated Annealing

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