Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
From MaRDI portal
Publication:1751873
DOI10.1016/j.ejor.2016.10.031zbMath1395.91514OpenAlexW2342352817MaRDI QIDQ1751873
Nicolas Huck, Xuan Anh Do, Christopher Krauss
Publication date: 25 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/130166
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05)
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Uses Software
Cites Work
- Persistence in forecasting performance and conditional combination strategies
- A decision-theoretic generalization of on-line learning and an application to boosting
- Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization
- Statistical arbitrage in the US equities market
- Pairs trading with partial cointegration
- An Introduction to Statistical Learning
- Pairs trading based on statistical variability of the spread process
- Random forests
- Stochastic gradient boosting.
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