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
收藏
页码：11 / 17
页数：7
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