May 5, 2016 · Empirical results show that RMR can overcome the drawbacks of existing mean reversion algorithms and achieve significantly better results.
In this paper, we propose a novel multiple period on-line portfolio selection strategy named “robust median reversion”. (RMR), which exploits the reversion ...
To overcome the limitation, we propose to exploit the reversion phenomenon by robust L1-median esti- mator, and design a novel on-line portfolio selec- tion ...
This Journal Article is brought to you for free and open access by the School of Computing and Information. Systems at Institutional Knowledge at Singapore ...
Empirical results show that RMR can overcome the drawbacks of existing mean reversion algorithms and achieve significantly better results. Finally, RMR runs in ...
Mean Reversion is an effective quantitative strategy based on the theory that prices will revert back to its historical mean.
Empirical results on various real markets show that RMR can overcome the drawbacks of existing mean reversion algorithms and achieve significantly better ...
Aug 3, 2016 · Abstract—Online portfolio selection has attracted increasing attention from data mining and machine learning communities in recent.
The robust median reversion (RMR) strategy is designed to overcome the poor performance of previous online portfolio selection algorithms when noisy financial ...
People also ask
What is the mean reversion portfolio strategy?
What are the portfolio selection strategies?
What is passive aggressive mean reversion strategy for portfolio selection?
What is an example of a mean reversion strategy?
Moving average reversion strategy for on-line portfolio selection · Computer Science, Mathematics. Artificial Intelligence · 2015.