Title :
Modelling relationships between international equity markets using computational intelligence
Author_Institution :
Decision Technol. Centre, London Bus. Sch., UK
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;
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
DOI :
10.1109/KES.1998.725946
