Online portfolio selection: A survey

Ministry of Education, Singapore under its Academic Research Funding Tier

Agent-based learning for pattern matching in high-frequency trade data

A dissertation submitted in fulfilment of the requirements for the degree of Master of Science to the Faculty of Science, University of the Witwatersrand, 2017Previousresearchofsequentialinvestmentstrategiesforportfolioselectionhaveshownthatthereare strategies that exist that can beat the best stock in the market. In this dissertation, an algorithm is presented that uses a nearest neighbour approach similar to the one used by Gy¨orfi et al [20, 21, 22]. Theapproachishoweverextendedtoincludezero-costportfoliosandusesaquadraticapproximation, instead of an optimisation step, to determine how capital should be allocated in the portfolio based on the neighbours that have been found. A portfolio that results in an increase in the investor’s capitalandcomparesfavourablytocertainbenchmarks,suchasthebeststock,indicatesthatthereare patternsinthetimeseriesdata. Otherfeaturesofthealgorithmpresentedistoallowforthedatatobe clustered by a selection of stocks or partitioned based on time. The algorithm is tested on synthetic datasetsthatdepictdifferentmarkettypesandisshowntoaccuratelydeterminetrendsinthedata. The algorithm is then tested on real data from the New York Stock Exchange (NYSE) and data from the JohannesburgStockExchange(JSE).Theresultsofthealgorithmfromtherealdatasetsarecompared to implemented versions of past strategies from the literature and compares favourably.XL201

PAMR: Passive-Aggressive Mean Reversion Strategy for Portfolio Selection

This article proposes a novel online portfolio selection strategy named “Passive Aggressive Mean Reversion” (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets. By analyzing PAMR’s update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, including a mixture algorithm which mixes PAMR and other strategies. We conduct extensive numerical experiments to evaluate the empirical performance of the proposed algorithms on various real datasets. The encouraging results show that in most cases the proposed PAMR strategy outperforms all benchmarks and almost all state-of-the-art portfolio selection strategies under various performance metrics. In addition to its superior performance, the proposed PAMR runs extremely fast and thus is very suitable for real-life online trading applications. The experimental testbed including source codes and data sets is available at http://www.cais.ntu.edu.sg/~chhoi/PAMR/.Accepted versio

Foundations of Trusted Autonomy

Trusted Autonomy; Automation Technology; Autonomous Systems; Self-Governance; Trusted Autonomous Systems; Design of Algorithms and Methodologie

Light and the lens: streams of damaged consciousness in post-crash Irish modernist fiction

This thesis examines the state of Irish literature since the 2008-9 financial crash. I contend that, whilst a supposedly mature Realism was the dominant mode of Irish writing during the ‘Celtic Tiger’ years of economic boom, since the crash an identifiably Modernist literary movement has (re-)emerged. Examples of this re-emergent Modernism are Eimear McBride’s A Girl is a Half-formed Thing (2013), Anakana Schofield’s Malarky (2012) and Martin John (2015), Kevin Barry’s Beatlebone (2015) and Mike McCormack’s Solar Bones (2016). I position these texts in relation to discourses of both Realism and Postmodernism, and to Irish High Modernism of the 1920s and 1930s, arguing that they represent a dynamic extension of Modernist aesthetics, not merely a static recapitulation of Modernist convention. I argue that the terms Realism, Modernism and Postmodernism (and ‘Metamodernism’, a recent category in which I include Barry’s Beatlebone) more usefully denote literary techniques with a particular aesthetic/political relationship to the world, than fixed historical periods. I analyse these texts’ use of such Modernist techniques through a theoretical lens which draws upon debates concerning literary form in twentieth-century Marxism, Gramscian theories of hegemony (notably as developed by Raymond Williams), Marxist-influenced theorisation of Ireland and Irishness, and linguistic criticism which contrasts Modernist interrogation and fracture with Realist meta-language and closure. I examine both the narratological techniques which comprise these texts’ ‘Modernism’, and also the material circumstances of their publication, which has relied heavily on a small group of Arts Council-supported small presses and literary magazines. My thesis also draws on contemporary journalism, both with regard to the economic context of Celtic Tiger and post-crash Ireland and to the reception of my primary texts. The thesis ends with a ‘coda’, which treats the immediately post-crash rejuvenation of Irish Modernism as a closed (or closing) historical moment, and speculates whether Irish Modernist aesthetics will continue to innovate and interrogate (as suggested by Anna Burns’ Milkman (2018)), or whether this ‘Movement’ is already expiring, to be replaced by a socially liberal but formally conservative return to Realist aesthetics (as suggested by Sally Rooney’s Normal People (2018))

Forget Not the Whip! Nietzsche, Perspectivism, and Feminism: A Non-Apologist Interpretation of Nietzsche’s Polemical Axiology

The nineteenth-century German philosopher Friedrich Nietzsche is notoriously a misogynist according to many feminists. In parallel, Nietzsche’s theory of value, perspectivism, is relativist according to many philosophers. However, I propose a counter-reading of both Nietzsche’s comments regarding women and his comments regarding perspective in which I interpret Nietzsche as neither misogynistic nor relativistic. I adopt a stance which is non-apologist, in that I do not merely wash my hands of Nietzsche’s apparently sexist remarks about women as Walter Kaufmann does, for example. Rather I demonstrate that Nietzsche is performing a polemical attack on a particular kind of naïve feminism which only seeks certain privileges for women in principle without determining whether those privileges are valuable for the empowerment of any actual women. I argue that Nietzsche’s perspectivism and his remarks about women are explicitly and inextricably intertwined because of his repeated and explicit connections between ideas of women and ideas of truth. Thus any reading of Nietzsche’s remarks about women must be tied to a reading of Nietzsche’s remarks about truth and other axiological judgments made from necessarily human perspectives. Judgments made from the inhuman perspective of ‘objectivity’ fail to obtain regarding truth or women. Because Nietzsche’s perspectivism advocates a non-relativist plurality of interpretations about truth and hence also truths about women, I argue that Nietzsche’s perspectivism actually provides a feminist argument

Selling Sex in the City

Selling Sex in the City offers a worldwide analysis of prostitution that takes a long historical approach which covers a time period from 1600 to the 2000s. The overviews in this volume examine sex work in more than twenty notorious “sin cities” around the world, ranging from Sydney to Singapore and from Casablanca to Chicago. Situated within a comparative framework of local developments, the book takes up themes such as labour relations, coercion, agency, gender, and living and working conditions. Selling Sex in the City thus reveals how prostitution and societal reactions to the trade have been influenced by colonization, industrialization, urbanization, the rise of nation states, imperialism, and war, as well as by revolutions in politics, transport, and communication. Contributors are: Pascale Absi, Dlila Amir, Deborah Bernstein, Francesca Biancani, Thaddeus Gregory Blanchette, Amalia L. Cabezas, Susan P. Conner, Satarupa Dasgupta, Mfon Umoren Ekpootu, Raelene Frances, Pamela Fuentes, Sue Gronewold, Hanan Hammad, Shawna Herzog, Philippa Hetherington, Nicole Keusch, Liat Kozma, Julia Laite, Nomi Levenkron, Mary Linehan, Maja Mechant, Fernanda Nuñez, Marion Pluskota, Cristiana Schettini, Hila Shamir, Yvonne Svanström, Isabelle Tracol-Huynh, Michela Turno, Elise van Nederveen Meerkerk, and Mark David Wyers