An Intelligent Statistical Arbitrage Trading System

@inproceedings{Thomaidis2006AnIS,
  title={An Intelligent Statistical Arbitrage Trading System},
  author={Nikos S. Thomaidis and Nick Kondakis and Georgios Dounias},
  booktitle={SETN},
  year={2006}
}
This paper proposes an intelligent combination of neural network theory and financial statistics for the detection of statistical arbitrage opportunities in specific pairs 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… CONTINUE READING
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