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Full-Text Articles in Finance and Financial Management
Moving Average Reversion Strategy For On-Line Portfolio Selection, Bin Li, Steven C. H. Hoi, Doyen Sahoo, Zhi-Yong Liu
Moving Average Reversion Strategy For On-Line Portfolio Selection, Bin Li, Steven C. H. Hoi, Doyen Sahoo, Zhi-Yong Liu
Research Collection School Of Computing and Information Systems
On-line portfolio selection, a fundamental problem in computational finance, has attracted increasing interest from artificial intelligence and machine learning communities in recent years. Empirical evidence shows that stock's high and low prices are temporary and stock prices are likely to follow the mean reversion phenomenon. While existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied, leading to poor performance in certain real datasets. To overcome this limitation, this article proposes a multiple-period mean reversion, or so-called "Moving Average Reversion" (MAR), and …
Semi-Universal Portfolios With Transaction Costs, Dingjiang Huang, Yan Zhu, Bin Li, Shuigeng Zhou, Steven C. H. Hoi
Semi-Universal Portfolios With Transaction Costs, Dingjiang Huang, Yan Zhu, Bin Li, Shuigeng Zhou, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
Online portfolio selection (PS) has been extensively studied in artificial intelligence and machine learning communities in recent years. An important practical issue of online PS is transaction cost, which is unavoidable and nontrivial in real financial trading markets. Most existing strategies, such as universal portfolio (UP) based strategies, often rebalance their target portfolio vectors at every investment period, and thus the total transaction cost increases rapidly and the final cumulative wealth degrades severely. To overcome the limitation, in this paper we investigate new investment strategies that rebalances its portfolio only at some selected instants. Specifically, we design a novel on-line …