A neural evolutionary approach to financial modeling

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 and neural nets; I.6.5 [Simulation and Modeling]: Model Development--modeling methodologies General Terms Algorithms Keywords Evolutionary Algorithms, Neural Networks, Financial Modeling, Statistical Arbitrage

• Type: Conference
• Year: 2006
• Where: GECCO
• Authors: Antonia Azzini, Andrea Tettamanzi
• Keywords: GECCO 2006, Neural Network Structure, Neural Networks, Optimization, Statistical Arbitrage