Have a personal or library account? Click to login
Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction Cover

Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction

Open Access
|Feb 2022

References

  1. O. Banerjee, L. El Ghaoui, A. d’Aspremont, Model selection through sparse maximum likelihood estimation,J. Mach. Learn. Res., 9 (2008) 485—516 ⇒288
  2. G. E. Box, G. C. Tiao, A canonical analysis of multiple time series Biometrika, 64 (1977) 355 ⇒288, 29010.1093/biomet/64.2.355
  3. A. d’Aspremont, Identifying small mean reverting portfolios, Quant. Finance, 11 (2011) 351–364 ⇒288, 29010.1080/14697688.2010.481634
  4. N. Fogarasi, J. Levendovszky, Sparse, mean reverting portfolio selection using simulated annealing,Quant. Finance, 11 (2011) 351–364 ⇒288, 29210.1080/14697688.2010.481634
  5. S. Geman, D. Geman, Stochastic relaxation, Gibbs distributions, and the Bayesian restoration of images, IEEE Trans. Patt. Anal. Mach. Intellig, 6 (1984) 721–741 ⇒29210.1109/TPAMI.1984.476759622499653
  6. S. Hochreiter, J. Schmidhube, Long Short-Term Memories, Neural Computation, 9 (1997) 1735–1780 ⇒29310.1162/neco.1997.9.8.17359377276
  7. H. Lütkepohl, New Introduction to Multiple Time Series Analysis, Springer (1993) ⇒29110.1007/978-3-642-61695-2
  8. L. S. Ornstein, G. E. Uhlenbeck, On the theory of the Brownian motion, Phys. Rev, 36 (1930) 823 ⇒29010.1103/PhysRev.36.823
  9. M. Phi, Illustrated Guide to LSTM’s and GRU’s: A step by step explanation, Sep 24, 2018. https://tinyurl.com/aus2xtjx ⇒295
  10. A. Rácz, N. Fogarasi, Improved sparse mean reverting portfolio selection using Simulated Annealing and Extreme Learning Machine, submitted to Algorithmic Finance ⇒289
  11. V.-D. Ta, C.-M. Liu, D. A. Tadesse, Portfolio optimization-based stock prediction using long-short term memory network in quantitative trading, Applied Sciences, 10 (2020) 437 ⇒28910.3390/app10020437
  12. P. Salamon, P. Sibani, R. Frost, facts, conjectures, and improvements for simulated annealing, SIAM Monographs on Mathematical Modeling and Computation. Society for Industrial and Applied Mathematics, 36 (2002) ⇒29210.1137/1.9780898718300
  13. A. Yadav, C. K. Jha, A. Sharan, Optimizing LSTM for time series prediction in Indian stock market, Procedia Computer Science, 167 (2020) 2091–2100 ⇒28910.1016/j.procs.2020.03.257
Language: English
Page range: 288 - 302
Submitted on: Oct 6, 2021
|
Accepted on: Nov 3, 2021
|
Published on: Feb 2, 2022
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2022 Attila Rácz, Norbert Fogarasi, published by Sapientia Hungarian University of Transylvania
This work is licensed under the Creative Commons Attribution 4.0 License.