Stock Index Spot–Futures Arbitrage Prediction Using Machine Learning Models

Stock Index Spot–Futures Arbitrage Prediction Using Machine Learning Models

With the development of quantitative finance, machine learning methods used in the financial fields have been given significant attention among researchers, investors, and traders. However, in the field of stock index spot–futures arbitrage, relevant work is still rare. Furthermore, existing work is...

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Bibliographic Details
Main Authors: Yankai Sheng, Ding Ma
Format: Article
Language:English
Published: MDPI AG 2022-10-01
Series:Entropy
Subjects:
spot–futures arbitrage
Least Absolute Shrinkage and Selection Operator (LASSO)
Extreme Gradient Boosting (XGBoost)
Back Propagation Neural Network (BPNN)
Long Short-Term Memory neural network (LSTM)
Online Access:https://www.mdpi.com/1099-4300/24/10/1462

Internet

https://www.mdpi.com/1099-4300/24/10/1462

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