An intelligent statistical arbitrage trading system
2006
This paper proposes an intelligent combination of neural network theory and financial statistical models for the detection of arbitrage opportunities in a group of stocks. The proposed intelligent methodology is based on a class of neural network-GARCH autoregressive models for the effective handling of the dynamics related to the statistical mispricing between relative stock prices. The performance of the proposed intelligent trading system is properly measured with the aid of profit & loss diagrams.
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