Authors
Attila Rácz
Budapest University of Technology and Economics, Department of Networked Systems and Services
Norbert Fogarasi
Budapest University of Technology and Economics, Department of Networked Systems and Services
Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
By: Attila Rácz and Norbert Fogarasi
DOI: https://doi.org/10.2478/ausi-2021-0013 | Journal eISSN: 2066-7760
Language: English
Page range: 288 - 302
Submitted on: Oct 6, 2021
|Accepted on: Nov 3, 2021
|Published on: Feb 2, 2022
Published by: Sapientia Hungarian University of Transylvania
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
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© 2022 Attila Rácz, Norbert Fogarasi, published by Sapientia Hungarian University of Transylvania
This work is licensed under the Creative Commons Attribution 4.0 License.