Name
Abstract | ||
|---|---|---|
This paper employs genetic programming to discover statistical arbitrage strategies on the banking sector in the Euro Stoxx
universe. Binary decision rules are evolved using two different representations. The first is the classical single tree approach,
while the second is a dual tree structure where evaluation is contingent on the current market position. Hence, buy and sell
rules are co-evolved. Both methods are capable of discovering significant statistical arbitrage strategies.
|
Year | DOI | Venue |
|---|---|---|
2008 | 10.1007/978-3-540-78761-7_8 | EvoWorkshops |
Keywords | Field | DocType |
current market position,euro stoxx universe,classical single tree approach,statistical arbitrage strategy,genetic programming,different representation,binary decision rule,banking sector,significant statistical arbitrage strategy,dual tree structure,tree structure,decision rule | Statistical arbitrage,Mathematical economics,Financial economics,Dual tree,Binary decision diagram,Genetic programming,Sharpe ratio,Business | Conference |
Volume | ISSN | ISBN |
4974 | 0302-9743 | 3-540-78760-7 |
Citations | PageRank | References |
3 | 0.64 | 1 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Philip Saks | 1 | 8 | 1.61 |
| Dietmar G. Maringer | 2 | 12 | 3.63 |