Investigate the Operation of Random forest and Deep neural networks on Statistical Arbitrage Strategy

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FAZLZADEH ALIREZA; Haghigha Jafar; Pourkeivan Faranak; AHMADIAN VAHID

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2019 | Volume:10 | Issue:40 Page(s): 349-364

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Information Journal Paper

Title

Investigate the Operation of Random forest and Deep neural networks on Statistical Arbitrage Strategy

Author(s)

FAZLZADEH ALIREZA | Haghigha Jafar | Pourkeivan Faranak | AHMADIAN VAHID | Issue Writer Certificate

Keywords

Deep neural networksQ1

Random forestQ1

Statistical arbitrageQ1

Abstract

In this research, the statistical analysis of Random forest effects has been done. Also, to evaluate the performance of the Random forest algorithm in the field of Statistical arbitrage compared to other models presented in the previous research, the comparison of the results from the application of this algorithm with deep neural network algorithm has been done. The models are taught with stock price information and the output from this technique categorizes stocks according to the position of buying and selling. Using this strategy, profitable positions are identified in market shares for profit. The results showed that the model of Random forest with less error classification than deep neural network model. Using this strategy, profitable positions are identified in market shares for profit. The results showed that the model of Random forest with less error classification than deep neural network model.

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APA: Copy

FAZLZADEH, ALIREZA, Haghigha, Jafar, Pourkeivan, Faranak, & AHMADIAN, VAHID. (2019). Investigate the Operation of Random forest and Deep neural networks on Statistical Arbitrage Strategy. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(40 ), 349-364. SID. https://sid.ir/paper/197626/en

Vancouver: Copy

FAZLZADEH ALIREZA, Haghigha Jafar, Pourkeivan Faranak, AHMADIAN VAHID. Investigate the Operation of Random forest and Deep neural networks on Statistical Arbitrage Strategy. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2019;10(40 ):349-364. Available from: https://sid.ir/paper/197626/en

IEEE: Copy

ALIREZA FAZLZADEH, Jafar Haghigha, Faranak Pourkeivan, and VAHID AHMADIAN, “Investigate the Operation of Random forest and Deep neural networks on Statistical Arbitrage Strategy,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 40 , pp. 349–364, 2019, [Online]. Available: https://sid.ir/paper/197626/en

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