Improving the Statistical Arbitrage Strategy in Intraday Trading by Combining Extreme Learning Machine and Support Vector Regression with Linear Regression Models

摘要

In this paper we investigate the statistical and economic performance for statistical arbitrage strategy using Extreme Learning Machine (ELM) and Support Vector Regression (SVR) models, and their forecast combination through four linear combination models. The application of the traditional Kalman Filter for the statistical arbitrage strategy improves the statistical performance of ELM and SVR individual forecasts. It is presented evidence that the financial performance for most of cointegrated pairs can be improved by at least one linear combination technique.