A Mean-Reverting Strategy based on Fuzzy Transform Residuals

被引：0

作者：

Troiano, Luigi ^{[1
]}

Kriplani, Pravesh ^{[2
]}

机构：

[1] Univ Sannio, Dept Engn, Benevento, Italy

[2] Univ Sannio, CISELab, Benevento, Italy

来源：

2012 IEEE CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING & ECONOMICS (CIFER) | 2012年

关键词：

STOCK-PRICES; TEMPORARY COMPONENTS; PORTFOLIO; REVERSION; COINTEGRATION; CONSUMPTION; ESTIMATORS; DECISIONS; ARBITRAGE; RETURNS;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper develops a stock market price model, which is based on a detrending time series by iterating the application of fuzzy trasform and computing residuls over a given lookback period. The model is used to define a mean-reverting strategy with stationary and gaussian residuals. A preliminary experimention is aimed at comparing the proposed strategy to well-established GARCH method.

引用

页码：11 / 17

页数：7

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