عنوان انگلیسی مقاله:

Detecting statistical arbitrage opportunities using a combined neural network – GARCH model

ترجمه عنوان مقاله: تشخیص فرصت های معاملات آماری با استفاده از شبکه های عصبی ترکیبی – مدل GARCH

رشته: تحقیق در عملیات

سال انتشار: 2012

تعداد صفحات مقاله انگلیسی: 14 صفحه

منبع: International Paper

نوع فایل: pdf

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چکیده مقاله

This paper proposes a hybrid computational intelligent system for the detection of statistical arbitrage opportunities in pairs of assets. The proposed methodology combines nonlinear neural network autoregressive models with GARCH parametrizations of volatility for describing the dynamics of the correction of relative mispricings. First results from this approach seem encouraging; further experimentation on the optimal sampling frequency, the forecasting horizon and the points of entry and exit is conducted, in order to improve the economic value when transaction costs are taken into account.
Keywords: statistical arbitrage, intelligent trading systems, neural networks, GARCH models

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