2011
AISTATS
AISTATS 2011
Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection
Abstract
This paper proposes a novel on-line portfolio selection strategy named “Confidence Weighted Mean Reversion” (CWMR). Inspired by the mean reversion principle and the confidence weighted online learning technique, CWMR models a portfolio vector as Gaussian distribution, and sequentially updates the distribution by following the mean reversion trading principle. The CWMR strategy is able to effectively exploit the power of mean reversion for on-line portfolio selection. Extensive experiments on various real markets demonstrate the effectiveness of our strategy in comparison to the state of the art.
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Interdisciplinary Bridge
— Machine Learning and Mathematics & Optimization
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Keyword Pioneer
— gaussian distribution
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Cross-Pollinator
— Artificial Intelligence, Computer Science, Computer Vision, Data Science & Analytics, Deep Learning, Interdisciplinary, Knowledge & Reasoning, Machine Learning, Mathematics & Optimization, Natural Language Processing, Reinforcement Learning, Robotics, Security & Privacy, Speech & Audio
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Hot Topic Early Bird
— gaussian distribution