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Numerical Analysis and Scientific Computing
Research Collection School Of Computing and Information Systems
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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 …