Statistical arbitrage powered by Explainable Artificial Intelligence

作者：

Highlights：

• Machine learning approach powered by eXplainable Artificial Intelligence techniques.

• Statistical arbitrage trading pipeline on historical data of the S&P500 index.

• Feature selection methods improve the portfolio performances.

• Trading strategies with Explainable AI outperform competitive trading strategies.

摘要

•Machine learning approach powered by eXplainable Artificial Intelligence techniques.•Statistical arbitrage trading pipeline on historical data of the S&P500 index.•Feature selection methods improve the portfolio performances.•Trading strategies with Explainable AI outperform competitive trading strategies.

论文关键词：Stock market forecast,Statistical arbitrage,Machine learning,Explainable Artificial Intelligence

论文评审过程：Received 20 October 2021, Revised 24 May 2022, Accepted 2 June 2022, Available online 9 June 2022, Version of Record 16 June 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117763