Combination Forecasting Reversion Strategy for Online Portfolio Selection
نویسندگان
چکیده
منابع مشابه
Boosting Moving Average Reversion Strategy for Online Portfolio Selection: A Meta-learning Approach
In this paper, we study the online portfolio selection problem from the perspective of meta learning for mean reversion. The online portfolio selection problem aims to maximize the final accumulated wealth by rebalancing the portfolio at each time period based on the portfolio prices announced before. Mean Reversion is a typical principle in portfolio theory and strategies that utilize this pri...
متن کاملMoving average reversion strategy for on-line portfolio selection
On-line portfolio selection, a fundamental problem in computational finance, has attracted increasing interests from artificial intelligence and machine learning communities in recent years. Empirical evidence shows that stock’s high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While existing mean reversion strategies are shown to ac...
متن کاملOn-line Portfolio Selection via Mean Reversion Strategy
This paper presents a novel adaptive algorithm using mean reversion strategy without transaction cost. The antiocr algorithm only exploits the property of “reversal to the mean” and its performance not only significantly depends on the size of window but also fluctuates wildly according to the different size of window. To overcome these limitations, this proposed algorithm is designed to deal w...
متن کاملAdaptive Bayesian Optimisation for Online Portfolio Selection
We present a Bayesian approach for online portfolio selection, a fundamental problem in computational finance. We pose the problem as the global optimisation of an expensive, time-varying, black-box function. As the optimum is itself dynamic, we use a model that allows us to capture time-dependent patterns of the function and to provide sequential decision processes that enable us to select opt...
متن کاملOn-Line Portfolio Selection with Moving Average Reversion
On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidence 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 ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ACM Transactions on Intelligent Systems and Technology
سال: 2018
ISSN: 2157-6904,2157-6912
DOI: 10.1145/3200692