文章基本信息

标题：On-Line Portfolio Selection Strategy Based on Weighted Moving Average Asymmetric Mean Reversion
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作者：Zijin PENG
期刊名称：Management Science and Engineering
印刷版ISSN：1913-0341
电子版ISSN：1913-035X
出版年度：2016
卷号：10
期号：1
页码：43-48
出版社：Canadian Research & Development Center of Sciences and Cultures
其他摘要：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, we propose a new on-line strategy WMAAMR. This strategy runs in linear time, and thus is suitable for large-scale trading applications. Empirical results on four real markets show that WMAAMR can achieve better results and bear higher transaction cost rate.
关键词：Mean reversion;Weighted moving average;Multi-period;Asymmetry;Passive aggressive algorithm;On-line portfolio selection strategy