A combination forecasting model using machine learning and Kalman filter for statistical arbitrage

Jarley P. Nobrega, Adriano L. I. Oliveira. A combination forecasting model using machine learning and Kalman filter for statistical arbitrage. In 2014 IEEE International Conference on Systems, Man, and Cybernetics, SMC 2014, San Diego, CA, USA, October 5-8, 2014. pages 1294-1299, IEEE, 2014. [doi]

Abstract

Abstract is missing.