The use of Neural Networks for modeling nonlinear mean reversion: Measuring efficiency and integration in ADR markets

We propose the use of a Neural Network (NN) methodology for evaluating models of time series that exhibit nonlinear mean reversion, such as those stemming from equilibrium relationships that are affected by transaction costs or institutional rigidities. Given the vast array of such models found in t...

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Bibliographische Detailangaben

Hauptverfasser:	Suarez, E. D., Aminian, F., Aminian, M.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Artificial neural networks Biological system modeling Data models Equations Mathematical model Security Time series analysis
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