120,157 research outputs found
Efficient online portfolio simulation using dynamic moving average model and benchmark index
Online portfolio selection and simulation are some of the most important problems in several research communities, including finance, engineering, statistics, artificial intelligence, machine learning, etc. The primary aim of online portfolio selection is to determine portfolio weights in every investment period (i.e., daily, weekly, monthly, etc.) to maximize the investor’s final wealth after the end of investment period (e.g., 1 year or longer). In this paper, we present an efficient online portfolio selection strategy that makes use of market indices and benchmark indices to take advantage of the mean reversal phenomena at minimal risks. Based on empirical studies conducted on recent historical datasets for the period 2000 to 2015 on four different stock markets (i.e., NYSE, S&P500, DJIA, and TSX), the proposed strategy has been shown to outperform both Anticor and OLMAR — the two most prominent portfolio selection strategies in contemporary literature
On-Line Portfolio Selection with Moving Average Reversion
On-line portfolio selection has attracted increasing interests in machine
learning and AI communities recently. Empirical evidences 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 single-period mean reversion assumption, which is
not always satisfied in some real datasets, leading to poor performance when
the assumption does not hold. 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 selection strategy named "On-Line Moving Average
Reversion" (OLMAR), which exploits MAR by applying powerful online learning
techniques. From our empirical results, we found that OLMAR can overcome the
drawback of existing mean reversion algorithms and achieve significantly better
results, especially on the datasets where the existing mean reversion
algorithms failed. In addition to superior trading performance, OLMAR also runs
extremely fast, further supporting its practical applicability to a wide range
of applications.Comment: ICML201
Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum States
Consider an online convex optimization problem where the loss functions are
self-concordant barriers, smooth relative to a convex function , and
possibly non-Lipschitz. We analyze the regret of online mirror descent with
. Then, based on the result, we prove the following in a unified manner.
Denote by the time horizon and the parameter dimension. 1. For online
portfolio selection, the regret of , a variant of
exponentiated gradient due to Helmbold et al., is when . This improves on the original regret bound for . 2. For online portfolio
selection, the regret of online mirror descent with the logarithmic barrier is
. The regret bound is the same as that of Soft-Bayes due
to Orseau et al. up to logarithmic terms. 3. For online learning quantum states
with the logarithmic loss, the regret of online mirror descent with the
log-determinant function is also . Its per-iteration
time is shorter than all existing algorithms we know.Comment: 19 pages, 1 figur
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
Online Planner Selection with Graph Neural Networks and Adaptive Scheduling
Automated planning is one of the foundational areas of AI. Since no single
planner can work well for all tasks and domains, portfolio-based techniques
have become increasingly popular in recent years. In particular, deep learning
emerges as a promising methodology for online planner selection. Owing to the
recent development of structural graph representations of planning tasks, we
propose a graph neural network (GNN) approach to selecting candidate planners.
GNNs are advantageous over a straightforward alternative, the convolutional
neural networks, in that they are invariant to node permutations and that they
incorporate node labels for better inference.
Additionally, for cost-optimal planning, we propose a two-stage adaptive
scheduling method to further improve the likelihood that a given task is solved
in time. The scheduler may switch at halftime to a different planner,
conditioned on the observed performance of the first one. Experimental results
validate the effectiveness of the proposed method against strong baselines,
both deep learning and non-deep learning based.
The code is available at \url{https://github.com/matenure/GNN_planner}.Comment: AAAI 2020. Code is released at
https://github.com/matenure/GNN_planner. Data set is released at
https://github.com/IBM/IPC-graph-dat
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