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Financial markets play an important role on the economical and social organization of modern society. In these kinds of markets, information is an invaluable asset. However, with the modernization of the financial transactions and the information systems, the large amount of information available for a trader can make prohibitive the analysis of a financial asset. In the last decades, many researchers...
In this paper we evaluate the combination of Extreme Learning Machine (ELM) and Support Vector Regression (SVR) with a Kalman filter regression model for financial time series forecasting. We also compare the forecast performance with a set of linear regression combination methods. The application of the traditional Kalman Filter for the statistical arbitrage strategy improves the statistical performance...
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