A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion
Mean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real market. To better utilize mean reversion and improve the existing online portfolio selection strategies,...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/5956146 |
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| _version_ | 1832547651047915520 |
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| author | Zijin Peng Weijun Xu Hongyi Li |
| author_facet | Zijin Peng Weijun Xu Hongyi Li |
| author_sort | Zijin Peng |
| collection | DOAJ |
| description | Mean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real market. To better utilize mean reversion and improve the existing online portfolio selection strategies, we propose a new online strategy named multiperiodical asymmetric mean reversion (MAMR). The MAMR strategy incorporates a multipiecewise loss function with the moving average method and then imitates the passive-aggressive algorithm. We further provide a solution via convex optimization. This strategy runs in linear time and thus is suitable for large-scale trading applications. Our empirical results testing six real market datasets show that this strategy can achieve better results in bearing higher transaction cost. |
| format | Article |
| id | doaj-art-8733f79276054b1095f0d3ae1250accd |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-8733f79276054b1095f0d3ae1250accd2025-02-03T06:43:51ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2020-01-01202010.1155/2020/59561465956146A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean ReversionZijin Peng0Weijun Xu1Hongyi Li2School of Business Administration, South China University of Technology, Guangzhou 510641, ChinaSchool of Business Administration, South China University of Technology, Guangzhou 510641, ChinaBusiness School, Chinese University of Hong Kong, Shantin, NT, Hong KongMean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real market. To better utilize mean reversion and improve the existing online portfolio selection strategies, we propose a new online strategy named multiperiodical asymmetric mean reversion (MAMR). The MAMR strategy incorporates a multipiecewise loss function with the moving average method and then imitates the passive-aggressive algorithm. We further provide a solution via convex optimization. This strategy runs in linear time and thus is suitable for large-scale trading applications. Our empirical results testing six real market datasets show that this strategy can achieve better results in bearing higher transaction cost.http://dx.doi.org/10.1155/2020/5956146 |
| spellingShingle | Zijin Peng Weijun Xu Hongyi Li A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion Discrete Dynamics in Nature and Society |
| title | A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion |
| title_full | A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion |
| title_fullStr | A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion |
| title_full_unstemmed | A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion |
| title_short | A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion |
| title_sort | novel online portfolio selection strategy with multiperiodical asymmetric mean reversion |
| url | http://dx.doi.org/10.1155/2020/5956146 |
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