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On-Line Portfolio Selection Strategy Based on Weighted Moving Average Asymmetric Mean Reversion
Management Science and Engineering
Mean reversion is an important property for constructing efficient on-line portfolio selection strategy. The existing strategies mostly suppose that the mean reversion is multi-period symmetric or single-period asymmetric. However, the mean reversion is multi-period and asymmetric in the real market. Taking this into account, on-line strategies based on multi-period asymmetric mean reversion is proposed. With designing multi-piecewise loss function and imitating passive aggressive algorithm, wefatcat:danq43fbhra4zhsrtx3di5mt4a