{"id":"https://openalex.org/W2106093860","doi":"https://doi.org/10.1109/cifer.2012.6327766","title":"A mean-reverting strategy based on fuzzy transform residuals","display_name":"A mean-reverting strategy based on fuzzy transform residuals","publication_year":2012,"publication_date":"2012-03-01","ids":{"openalex":"https://openalex.org/W2106093860","doi":"https://doi.org/10.1109/cifer.2012.6327766","mag":"2106093860"},"language":"en","primary_location":{"id":"doi:10.1109/cifer.2012.6327766","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2012.6327766","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2012 IEEE Conference on Computational Intelligence for Financial Engineering &amp; Economics (CIFEr)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5068516967","display_name":"Luigi Troiano","orcid":"https://orcid.org/0000-0002-8304-8813"},"institutions":[{"id":"https://openalex.org/I16337185","display_name":"University of Sannio","ror":"https://ror.org/04vc81p87","country_code":"IT","type":"education","lineage":["https://openalex.org/I16337185"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Luigi Troiano","raw_affiliation_strings":["Department of Engineering, University of Sannio, Benevento, Italy","Department of Engineering, University of Sannio, Benevento-Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Engineering, University of Sannio, Benevento, Italy","institution_ids":["https://openalex.org/I16337185"]},{"raw_affiliation_string":"Department of Engineering, University of Sannio, Benevento-Italy","institution_ids":["https://openalex.org/I16337185"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5089741192","display_name":"Pravesh Kriplani","orcid":null},"institutions":[{"id":"https://openalex.org/I16337185","display_name":"University of Sannio","ror":"https://ror.org/04vc81p87","country_code":"IT","type":"education","lineage":["https://openalex.org/I16337185"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Pravesh Kriplani","raw_affiliation_strings":["Computational and Intelligent Systems Engineering Laboratory (CISELab), University of Sannio, Benevento, Italy","Computational and Intelligent Systems Engineering Lab (CISELab), University of Sannio, Benevento, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computational and Intelligent Systems Engineering Laboratory (CISELab), University of Sannio, Benevento, Italy","institution_ids":["https://openalex.org/I16337185"]},{"raw_affiliation_string":"Computational and Intelligent Systems Engineering Lab (CISELab), University of Sannio, Benevento, Italy","institution_ids":["https://openalex.org/I16337185"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I16337185"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.2450495,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"7"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.865897536277771},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5341839790344238},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.5329500436782837},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.530433177947998},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.48335689306259155},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.4730971157550812},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.44489210844039917},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.42868179082870483},{"id":"https://openalex.org/keywords/stock-price","display_name":"Stock price","score":0.4208206236362457},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.391290545463562},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.22506797313690186},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.1444789171218872}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.865897536277771},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5341839790344238},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.5329500436782837},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.530433177947998},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.48335689306259155},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.4730971157550812},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44489210844039917},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.42868179082870483},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.4208206236362457},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.391290545463562},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.22506797313690186},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.1444789171218872},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cifer.2012.6327766","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2012.6327766","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2012 IEEE Conference on Computational Intelligence for Financial Engineering &amp; Economics (CIFEr)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W148565058","https://openalex.org/W1865649313","https://openalex.org/W1930083487","https://openalex.org/W1975994995","https://openalex.org/W1985642738","https://openalex.org/W1990933550","https://openalex.org/W1995352199","https://openalex.org/W2038621549","https://openalex.org/W2040810017","https://openalex.org/W2043092640","https://openalex.org/W2057530883","https://openalex.org/W2070173743","https://openalex.org/W2075594316","https://openalex.org/W2077134345","https://openalex.org/W2102592663","https://openalex.org/W2106798814","https://openalex.org/W2108406090","https://openalex.org/W2110603299","https://openalex.org/W2118391173","https://openalex.org/W2128846462","https://openalex.org/W2144487825","https://openalex.org/W2150779817","https://openalex.org/W2153562738","https://openalex.org/W2606362422","https://openalex.org/W3028434020","https://openalex.org/W3097267636","https://openalex.org/W3121378067","https://openalex.org/W3122010751","https://openalex.org/W3122335283","https://openalex.org/W3122630436","https://openalex.org/W3123598380","https://openalex.org/W3123925554","https://openalex.org/W3125719191","https://openalex.org/W3125868023","https://openalex.org/W3125981747","https://openalex.org/W4230644069","https://openalex.org/W4238999458","https://openalex.org/W4241631103","https://openalex.org/W4249141133","https://openalex.org/W4252797302","https://openalex.org/W4253239620","https://openalex.org/W6606071030"],"related_works":["https://openalex.org/W3121451284","https://openalex.org/W1554714919","https://openalex.org/W3141949298","https://openalex.org/W4299636112","https://openalex.org/W1706118333","https://openalex.org/W2799727225","https://openalex.org/W3125208732","https://openalex.org/W188380163","https://openalex.org/W3123400712","https://openalex.org/W3125349967"],"abstract_inverted_index":{"This":[0],"paper":[1],"develops":[2],"a":[3,12,27,37],"stock":[4],"market":[5],"price":[6],"model,":[7],"which":[8],"is":[9,33,48],"based":[10],"on":[11],"detrending":[13],"time":[14],"series":[15],"by":[16],"iterating":[17],"the":[18,52],"application":[19],"of":[20],"fuzzy":[21],"trasform":[22],"and":[23,42],"computing":[24],"residuls":[25],"over":[26],"given":[28],"lookback":[29],"period.":[30],"The":[31],"model":[32],"used":[34],"to":[35,55],"define":[36],"mean-reverting":[38],"strategy":[39,54],"with":[40],"stationary":[41],"gaussian":[43],"residuals.":[44],"A":[45],"preliminary":[46],"experimention":[47],"aimed":[49],"at":[50],"comparing":[51],"proposed":[53],"well-established":[56],"GARCH":[57],"method.":[58]},"counts_by_year":[{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":6}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}
