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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.