Moving average reversion strategy for on-line portfolio selection
نویسندگان
چکیده
منابع مشابه
Moving 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...
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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 ...
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ژورنال
عنوان ژورنال: Artificial Intelligence
سال: 2015
ISSN: 0004-3702
DOI: 10.1016/j.artint.2015.01.006