A neural evolutionary approach to financial modeling
Antonia Azzini, Andrea G. B. Tettamanzi · 2006
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. Categories and Subject Descriptors I.2.6 [Artificial Intelligence]: Learning—connectionism