DocumentCode
1696293
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
fYear
2012
Firstpage
1
Lastpage
7
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location
New York, NY
ISSN
PENDING
Print_ISBN
978-1-4673-1802-0
Electronic_ISBN
PENDING
Type
conf
DOI
10.1109/CIFEr.2012.6327766
Filename
6327766
Link To Document