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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 …
Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi
Online Portfolio Selection: A Survey, Bin Li, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection techniques published in the literature. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then we survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, Follow-the-Winner approaches, Follow-the-Loser approaches, Pattern-Matching--based approaches, and Meta-Learning Algorithms. In addition to the problem formulation …