Elements of information theory
Elements of information theory
COLT '96 Proceedings of the ninth annual conference on Computational learning theory
Convex Optimization
Algorithms for portfolio management based on the Newton method
ICML '06 Proceedings of the 23rd international conference on Machine learning
Online Passive-Aggressive Algorithms
The Journal of Machine Learning Research
Efficient projections onto the l1-ball for learning in high dimensions
Proceedings of the 25th international conference on Machine learning
Can we learn to beat the best stock
Journal of Artificial Intelligence Research
CORN: Correlation-driven nonparametric learning approach for portfolio selection
ACM Transactions on Intelligent Systems and Technology (TIST)
Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection
ACM Transactions on Knowledge Discovery from Data (TKDD)
Online portfolio selection: A survey
ACM Computing Surveys (CSUR)
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On-line portfolio selection has been attracting increasing interests from artificial intelligence community in recent decades. Mean reversion, as one most frequent pattern in financial markets, plays an important role in some state-of-the-art strategies. Though successful in certain datasets, existing mean reversion strategies do not fully consider noises and outliers in the data, leading to estimation error and thus non-optimal portfolios, which results in poor performance in practice. To overcome the limitation, we propose to exploit the reversion phenomenon by robust L1-median estimator, and design a novel on-line portfolio selection strategy named "Robust Median Reversion" (RMR), which makes optimal portfolios based on the improved reversion estimation. Empirical results on various real markets show that RMR can overcome the drawbacks of existing mean reversion algorithms and achieve significantly better results. Finally, RMR runs in linear time, and thus is suitable for large-scale trading applications.