Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Finance and Financial Management
Robust Median Reversion Strategy For On-Line Portfolio Selection, Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, Shuigeng Zhou
Robust Median Reversion Strategy For On-Line Portfolio Selection, Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, Shuigeng Zhou
Research Collection School Of Computing and Information Systems
On-line portfolio selection has been attracting increasing interests from artificial intelligence community in recent decades. Mean reversion, as one most frequent pattern in financial markets, plays an important role in some state-of-the-art strategies. Though successful in certain datasets, existing mean reversion strategies do not fully consider noises and outliers in the data, leading to estimation error and thus non-optimal portfolios, which results in poor performance in practice. To overcome the limitation, we propose to exploit the reversion phenomenon by robust L1-median estimator, and design a novel on-line portfolio selection strategy named "Robust Median Reversion" (RMR), which makes optimal …
Confidence Weighted Mean Reversion Strategy For Online Portfolio Selection, Bin Li, Steven C. H. Hoi, Peilin Zhao, Vivekanand Gopalkrishnan
Confidence Weighted Mean Reversion Strategy For Online Portfolio Selection, Bin Li, Steven C. H. Hoi, Peilin Zhao, Vivekanand Gopalkrishnan
Research Collection School Of Computing and Information Systems
Online portfolio selection has been attracting increasing attention from the data mining and machine learning communities. All existing online portfolio selection strategies focus on the first order information of a portfolio vector, though the second order information may also be beneficial to a strategy. Moreover, empirical evidence shows that relative stock prices may follow the mean reversion property, which has not been fully exploited by existing strategies. This article proposes a novel online portfolio selection strategy named Confidence Weighted Mean Reversion (CWMR). Inspired by the mean reversion principle in finance and confidence weighted online learning technique in machine learning, CWMR …