PAMR: Passive aggressive mean reversion strategy for portfolio selection

Machine Learning

Volumn 87, Issue 2, 2012, Pages 221-258

  Li, Bin ^a   Zhao, Peilin ^a   Hoi, Steven C H ^a   Gopalkrishnan, Vivekanand ^b  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^b Deloitte Analytics Institute   (Singapore)

Author keywords

Mean Reversion; Online learning; Passive aggressive learning; Portfolio selection

Indexed keywords

DATA SETS; EMPIRICAL PERFORMANCE; EXPERIMENTAL TESTBED; FINANCIAL MARKET; LEARNING TECHNIQUES; MEAN REVERSION; MIXTURE ALGORITHM; NUMERICAL EXPERIMENTS; ONLINE LEARNING; ONLINE PORTFOLIOS; ONLINE TRADING; PASSIVE AGGRESSIVE LEARNING; PERFORMANCE METRICS; PORTFOLIO SELECTION; REAL DATA SETS; SOURCE CODES; UPDATE SCHEMES;

ALGORITHMS; DATA PROCESSING;

COMMERCE;

EID: 84862811835     PISSN: 08856125     EISSN: 15730565     Source Type: Journal    
DOI: 10.1007/s10994-012-5281-z     Document Type: Article

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