Fast universalization of investment strategies with provably good relative returns

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 2380 LNCS, Issue , 2002, Pages 888-900

  Akcoglu, Karhan ^a   Drineas, Petros ^a   Kao, Ming Yang ^b  

^a Yale University   (United States)

^b Northwestern University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOMATA THEORY; COMPUTATIONAL EFFICIENCY; ELECTRONIC TRADING; FINANCIAL MARKETS; INVESTMENTS; STRATEGIC PLANNING;

COMPUTATION TECHNIQUES; INVESTMENT STRATEGY; ON-LINE ALGORITHMS; PERFORMANCE APPROACH; PORTFOLIO STRATEGIES; RUN-TIME EFFICIENCY; TRADING STRATEGIES; UNIVERSAL PORTFOLIOS;

PARAMETER ESTIMATION;

EID: 49449113888     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/3-540-45465-9_76     Document Type: Conference Paper

References (18)

1. 2 techniques for bounding mixing times. In Reversible Markov Chains and Random Walks on Graphs. 1999. Unpublished monograph. Available at http://stat-www.berkeley.edu/users/aldous/ book.html.
2. D. Applegate and R. Kannan. Sampling and integration of near log-concave functions. In Proceedings of the 23rd Annual ACM Symposium on Theory of Computing, pages 156-163, 1991.
3. A. Blum and A. Kalai. Universal portfolios with and without transaction costs. Machine Learning, 35(3):193-205, 1999.
4. W. Brock, J. Lakonishok, and B. LeBaron. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47(5):1731-1764, 1992.
5. T. M. Cover. Universal portfolios. Mathematical Finance, 1(1):1-29, January 1991.
6. T. M. Cover and E. Ordentlich. Online portfolio selection. In Proceedings of the 9th Annual Conference on Computational Learning Theory, 1996.
7. T. M. Cover and E. Ordentlich. Universal portfolios with side-information. IEEE Transactions on Information Theory, 42(2), March 1996.
8. P. Diaconis and L. Saloff-Coste. Logarithmic Sobolev inequalities for finite Markov chains. Annals of Applied Probability, 6:695-750, 1996.
9. G. B. Folland. Real Analysis: Modern Techniques and their Applications. John Wiley & Sons, New York, 1984.
10. A. Frieze and R. Kannan. Log-Sobolev inequalities and sampling from log-concave distributions. Annals of Applied Probability, 9:14-26, 1999.
11. H. M. Gartley. Profits in the Stock Market. Lambert Gann Publishing Company, Pomeroy, WA, 1935.
12. D. P. Helmbold, R. E. Schapire, Y. Singer, and M. K. Warmuth. On-line portfolio selection using multiplicative updates. Mathematical Finance, 8(4):325-347, 1998.
13. W. Hoeffding. Probability inequalities for sums of bounded random variables. Journal of the American Statistical Association, 58:13-30, March 1963.
14. A. Kalai and S. Vempala. Efficient algorithms for universal portfolios. In Proceedings of the 41st Annual IEEE Symposium on Foundations of Computer Science, pages 486-491, 2000.
15. N. Metropolis, A. W. Rosenbluth, M. N. Rosenbluth, A. H. Teller, and E. Teller. Equation of state calculation by fast computing machines. Journal of Chemical Physics, 21:1087-1092, 1953.
16. A. Sinclair. Improved bounds for mixing rates of Markov chains and multicommodity flow. Combinatorics, Probabilityand Computing, 1:351-370, 1992.
17. R. Sullivan, A. Timmermann, and H. White. Data-snooping, technical trading rules and the bootstrap. Journal of Finance, 54:1647-1692, 1999.
18. R. Wyckoff. Studies in Tape Reading. Fraser Publishing Company, Burlington, VT, 1910.