This article proposes a multiple-period mean reversion, or so-called “Moving Average Reversion” (MAR), and a new on-line portfolio selection strategy named “On ...
The basic idea is to represent multi-period mean reversion as “Moving Average Reversion”. (MAR), which explicitly predicts next price relatives using moving ...
This paper proposes a novel online portfolio selection strategy named “On-Line Moving Average Reversion” ... Confidence weighted mean reversion strategy for on- ...
This project proposes a novel online portfolio selection strategy named ``On-Line Moving Average Reversion" (OLMAR). On-line portfolio selection has attracted ...
In this paper, we study the online portfolio selection problem from the perspective of meta learning for mean reversion. The online portfolio selec- tion ...
Mean Reversion is an effective quantitative strategy based on the theory that prices will revert back to its historical mean.
To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a new on-line portfolio ...
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On-Line Portfolio Selection with Moving Average Reversion · Robust Median Reversion Strategy for Online Portfolio Selection · Machine Learning manuscript No.
To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a new on-line portfolio ...
This article proposes a multiple-period mean reversion, or so-called "Moving Average Reversion" (MAR), and a new on-line portfolio selection strategy named ...