On-line portfolio selection with moving average reversion

• Main Authors: LI, Bin, HOI, Steven C. H.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Data sets; Empirical evidence; Empirical performance; Mean reversion; Moving averages; Online learning; Portfolio selection; Computer Sciences; Databases and Information Systems; Portfolio and Security Analysis; Theory and Algorithms
• Online Access: https://ink.library.smu.edu.sg/sis_research/2340; https://ink.library.smu.edu.sg/context/sis_research/article/3340/viewcontent/On_Line_Portfolio_Selection_with_Moving_Average_Reversion.pdf
• Institution: Singapore Management University

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...