This paper presents an approach to the joint optimization of neural network structure and weights which can take advantage of backpropagation as a specialized decoder. The approach has been applied to a financial problem, whereby a factor model capturing the mutual relationships among several financial instruments is sought for. A sample application of such a model to statistical arbitrage is also presented.
A neural evolutionary approach to financial modeling / Antonia Azzini, Andrea G. B. Tettamanzi - In: Genetic and evolutionary computation conference : GECCO 2006 / [a cura di] Maarten Keijzer ... [et al.]. - New York : Association for computing machinery, 2006. - ISBN 1595931864. - pp. 1605-1612 (( Intervento presentato al 8. convegno Genetic and Evolutionary Computation Conference (GECCO) tenutosi a Seattle nel 2006.
A neural evolutionary approach to financial modeling
Antonia Azzini;Andrea G. B. Tettamanzi
2006
Abstract
This paper presents an approach to the joint optimization of neural network structure and weights which can take advantage of backpropagation as a specialized decoder. The approach has been applied to a financial problem, whereby a factor model capturing the mutual relationships among several financial instruments is sought for. A sample application of such a model to statistical arbitrage is also presented.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
