A neural evolutionary approach to financial modeling

Antonia Azzini, Andrea G.B. Tettamanzi
2006 Proceedings of the 8th annual conference on Genetic and evolutionary computation - GECCO '06  
This paper presents an approach to the joint optimization of neural network structure and weights which can take advantage of backpropagation as a specialized decoder. The approach has been applied to a financial problem, whereby a factor model capturing the mutual relationships among several financial instruments is sought for. A sample application of such a model to statistical arbitrage is also presented.
doi:10.1145/1143997.1144263 dblp:conf/gecco/AzziniT06 fatcat:iku77g55cbhsxpwtt7sc4mnnju