Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500

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

zbMATH Keywords

financerandom forestsensemble learningdeep learninggradient-boosting

Mathematics Subject Classification ID

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

• R
• AdaBoost.MH
• PerformanceAnalytics
• TTR
• xts
• ElemStatLearn
• ISLR
• ADADELTA

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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