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Volumn 3955 LNAI, Issue , 2006, Pages 596-599

An intelligent statistical arbitrage trading system

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; INTELLIGENT AGENTS; MATHEMATICAL MODELS; NEURAL NETWORKS; STATISTICAL METHODS;

EID: 33745819233     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/11752912_77     Document Type: Conference Paper
Times cited : (12)

References (7)
  • 2
    • 33745854053 scopus 로고    scopus 로고
    • Abu-Mostafa, Y., LeBaron, B., Lo, A.W., Weigend, A.S., eds.: Computational Finance 1999. The MIT Press
    • Burgess, N.: Statistical arbitrage models of the FTSE 100. In Abu-Mostafa, Y., LeBaron, B., Lo, A.W., Weigend, A.S., eds.: Computational Finance 1999. The MIT Press (2000) 297-312
    • (2000) Statistical Arbitrage Models of the FTSE 100 , pp. 297-312
    • Burgess, N.1
  • 4
    • 33745811149 scopus 로고    scopus 로고
    • Modelling nonlinear cointegration in international equity index futures
    • Refenes, A., Abu-Mostafa, Y., Moody, J., Weigend, A., eds.: World Scientific
    • Burgess, N., Refenes, A.: Modelling nonlinear cointegration in international equity index futures. In Refenes, A., Abu-Mostafa, Y., Moody, J., Weigend, A., eds.: Neural Networks in Financial Engineering. World Scientific (1996) 50-63
    • (1996) Neural Networks in Financial Engineering , pp. 50-63
    • Burgess, N.1    Refenes, A.2
  • 5
    • 1642306657 scopus 로고    scopus 로고
    • Intraday and interday basis dynamics: Evidence from the FTSE 100 index futures market
    • 20
    • Garrett, I., Taylor, N.: Intraday and interday basis dynamics: Evidence from the FTSE 100 index futures market. Studies in Nonlinear Dynamics nd Econometrics 5 (2001) 133-152(20)
    • (2001) Studies in Nonlinear Dynamics Nd Econometrics , vol.5 , pp. 133-152
    • Garrett, I.1    Taylor, N.2
  • 6
    • 33745827264 scopus 로고    scopus 로고
    • Exchange rate forecasting comparison: Neural networks, machine learning and linear models
    • Refenes, A., Abu-Mostafa, Y., Moody, J., Weigend, A., eds.: World Scientific
    • Steurer, E., Hann, T.: Exchange rate forecasting comparison: neural networks, machine learning and linear models. In Refenes, A., Abu-Mostafa, Y., Moody, J., Weigend, A., eds.: Neural Networks in Financial Engineering. World Scientific (1996) 113-121
    • (1996) Neural Networks in Financial Engineering , pp. 113-121
    • Steurer, E.1    Hann, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.