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)

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