This paper proposes a hybrid computational intelligent system for the detection of statistical arbitrage opportunities in pairs of assets. The proposed methodology combines nonlinear neural network autoregressive models with GARCH parametrizations of volatility for describing the dynamics of the...

In statistical practice multicollinearity of predictor variables is rather the rule than the exception and appropriate models are needed to avoid instability of predictions. Feature extraction methods reflect the idea that latent variables not measurable directly are underlying the original...