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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 …
Would Position Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh
Would Position Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh
Shih-Fen CHENG
On May 6, 2010, the US equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (DJIA) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short time later. Earlier research by Lee, Cheng and Koh (2010) identified the conditions under which a “flash crash” can be triggered by systematic traders running highly similar trading strategies, especially when they are “crowding out” other liquidity providers in the market. The authors contend that the events of May 6, …