Moving average reversion strategy for on-line portfolio selection

• Main Authors: LI, Bin, HOI, Steven C. H., SAHOO, Doyen, LIU, Zhi-Yong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Mean reversion; Moving average reversion; On-line learning; Portfolio selection; Computer Sciences; Databases and Information Systems; Finance and Financial Management; Numerical Analysis and Scientific Computing
• Online Access: https://ink.library.smu.edu.sg/sis_research/2971; https://ink.library.smu.edu.sg/context/sis_research/article/3971/viewcontent/Moving_Aver_Rev_2015.pdf
• Institution: Singapore Management University

On-line portfolio selection, a fundamental problem in computational finance, has attracted increasing interest from artificial intelligence and machine learning communities in recent years. Empirical evidence shows that stock's high and low prices are temporary and stock prices are likely to fo...