DocumentCode
2235587
Title
Modelling relationships between international equity markets using computational intelligence
Author
Burgess, A.N.
Author_Institution
Decision Technol. Centre, London Bus. Sch., UK
Volume
3
fYear
1998
fDate
21-23 Apr 1998
Firstpage
13
Abstract
This paper describes the use of computational intelligence techniques for financial forecasting. The econometric concept of cointegration is used as the basis of a class of “statistical arbitrage” models. The simple cointegration models are shown to suffer from mis-specifications and non-stationarities which can be alleviated by the use of computational intelligence techniques
Keywords
financial data processing; forecasting theory; genetic algorithms; neural nets; stock markets; cointegration; computational intelligence; econometric concept; financial forecasting; genetic algorithms; international equity markets; model combination; neural nets; Biological neural networks; Biological system modeling; Competitive intelligence; Computational intelligence; Econometrics; Economic forecasting; Genetic algorithms; Intelligent networks; Neural networks; Predictive models;
fLanguage
English
Publisher
ieee
Conference_Titel
Knowledge-Based Intelligent Electronic Systems, 1998. Proceedings KES '98. 1998 Second International Conference on
Conference_Location
Adelaide, SA
Print_ISBN
0-7803-4316-6
Type
conf
DOI
10.1109/KES.1998.725946
Filename
725946
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