Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
About this item
Full title
Author / Creator
Publisher
Cluj-Napoca: De Gruyter Poland
Journal title
Language
English
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Publication information
Publisher
Cluj-Napoca: De Gruyter Poland
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Scope and Contents
Contents
We investigated the predictability of mean reverting portfolios and the VAR(1) model in several aspects. First, we checked the dependency of the accuracy of VAR(1) model on different data types including the original data itself, the return of prices, the natural logarithm of stock and on the log return. Then we compared the accuracy of predictions...
Alternative Titles
Full title
Trading sparse, mean reverting portfolios using VAR(1) and LSTM prediction
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Author / Creator
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Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_3155992167
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3155992167
Other Identifiers
ISSN
1844-6086
E-ISSN
2066-7760
DOI
10.2478/ausi-2021-0013
