Title :
A mean-reverting strategy based on fuzzy transform residuals
Author :
Troiano, Luigi ; Kriplani, Pravesh
Author_Institution :
Dept. of Eng., Univ. of Sannio, Benevento, Italy
Abstract :
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.
Keywords :
Gaussian processes; autoregressive processes; fuzzy set theory; iterative methods; pricing; stock markets; time series; transforms; GARCH method; Gaussian residuals; application iteration; detrending time series; fuzzy transform residuals; lookback period; mean-reverting strategy; stationary residuals; stock market price model; Approximation methods; Computational modeling; Investments; Market research; Time series analysis; Transforms; Vectors;
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location :
New York, NY
Print_ISBN :
978-1-4673-1802-0
Electronic_ISBN :
PENDING
DOI :
10.1109/CIFEr.2012.6327766
