CORN: Correlation-driven Nonparametric Learning Approach for Portfolio Selection

• Main Authors: LI, Bin, HOI, Steven C. H., GOPALKRISHNAN, Vivekanand
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Correlation coefficient; Nonparametric learning; Online portfolio selection; Databases and Information Systems; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/2265; https://ink.library.smu.edu.sg/context/sis_research/article/3265/viewcontent/CORN_Correlation_driven_Nonparametric_Learning_Approach_for_Portfolio_Selection.pdf
• Institution: Singapore Management University

Machine learning techniques have been adopted to select portfolios from financial markets in some emerging intelligent business applications. In this article, we propose a novel learning-to-trade algorithm termed CO Relation-driven Nonparametric learning strategy (CORN) for actively trading stocks....