PAMR : passive aggressive mean reversion strategy for portfolio selection

• Main Authors: Li, Bin, Zhao, Peilin, Gopalkrishnan, Vivekanand, Hoi, Steven C. H.
• Other Authors: School of Computer Engineering
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Engineering::Computer science and engineering
• Online Access: https://hdl.handle.net/10356/79730; http://hdl.handle.net/10220/18316
• Institution: Nanyang Technological University

This article 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 tech...