Neural augmented Kalman filtering with Bollinger bands for pairs trading

DOI10.1109/TSP.2024.3385984zbMATH Open1548.94398MaRDI QIDQ6605636

Guy Revach, Nir Shlezinger, Amit Milstein, Haoran Deng, Hai Morgenstern

Publication date: 16 September 2024

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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