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Full-Text Articles in Business
On-Line Portfolio Selection With Moving Average Reversion, Bin Li, Steven C. H. Hoi
On-Line Portfolio Selection With Moving Average Reversion, Bin Li, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the 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 in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a …
Pamr: Passive-Aggressive Mean Reversion Strategy For Portfolio Selection, Bin Li, Peilin Zhao, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Pamr: Passive-Aggressive Mean Reversion Strategy For Portfolio Selection, Bin Li, Peilin Zhao, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Research Collection School Of Computing and Information Systems
This project proposes a novel online portfolio selection strategy named ``Passive Aggressive Mean Reversion" (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets. By analyzing PAMR's update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, including a mixture algorithm which mixes PAMR and other strategies. We …