A neural evolutionary approach to financial modeling

  title={A neural evolutionary approach to financial modeling},
  author={Antonia Azzini and Andrea Tettamanzi},
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. 
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