A neural evolutionary approach to financial modeling

  • Authors:
  • Antonia Azzini;Andrea G.B. Tettamanzi

  • Affiliations:
  • Università degli Studi di Milano, Crema, Italy;Università degli Studi di Milano, Crema, Italy

  • Venue:
  • Proceedings of the 8th annual conference on Genetic and evolutionary computation
  • Year:
  • 2006

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Abstract

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.