A combination forecasting model using machine learning and Kalman filter for statistical arbitrage.
Jarley Palmeira NóbregaAdriano L. I. OliveiraPublished in: SMC (2014)
Keyphrases
- kalman filter
- forecasting model
- machine learning
- kalman filtering
- short term
- bp neural network
- object tracking
- particle filter
- support vector regression
- prediction model
- support vector machine
- pattern recognition
- mean shift
- learning algorithm
- extended kalman filter
- state space model
- ls svm
- feature selection
- data mining
- long term
- reinforcement learning
- state space
- data analysis
- image processing
- neural network