Improving the statistical arbitrage strategy in intraday trading by combining extreme learning machine and support vector regression with linear regression models

Proceedings - International Conference on Tools with Artificial Intelligence, ICTAI

Volumn , Issue , 2013, Pages 182-188

  Nobrega, Jarley P ^a   Oliveira, Adriano L I ^a  

^a FEDERAL UNIVERSITY OF PERNAMBUCO   (Brazil)

Author keywords

Extreme Learning Machine; Forecast Combinations; Kalman Filter; Pair Trading; Statistical Arbitrage; Support Vector Regression

Indexed keywords

EXTREME LEARNING MACHINE; FORECAST COMBINATIONS; PAIR TRADING; STATISTICAL ARBITRAGE; SUPPORT VECTOR REGRESSION (SVR);

ARTIFICIAL INTELLIGENCE; COMMERCE; FORECASTING; KALMAN FILTERS; KNOWLEDGE ACQUISITION; LEARNING SYSTEMS; REGRESSION ANALYSIS; TOOLS;

STATISTICS;

EID: 84897696475     PISSN: 10823409     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICTAI.2013.36     Document Type: Conference Paper

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