No Detail Found!

On-line portfolio selection via mean reversion strategy.

Author(s)
Li Gao School of Business Administration, South China University of Technology, Guangzhou 510640, China; School of Science, South China University of Technology, Guangzhou 510640, China
Weiguo Zhang School of Business Administration, South China University of Technology, Guangzhou 510640, China; School of Science, South China University of Technology, Guangzhou 510640, China
Abstract
This paper presents a novel adaptive algorithm using mean reversion strategy without transaction cost. The antiocr algorithm only exploits the property of “reversal to the mean” and its performance not only significantly depends on the size of window but also fluctuates wildly according to the different size of window. To overcome these limitations, this proposed algorithm is designed to deal with the portfolio selection problem by fully exploiting both the price momentum and the price reversal in Chinese stock markets. Equipped with several parameters, the proposed mean reversion strategy can better track the changing stock market. Extensive experiments on real stock data from Chinese markets demonstrate the effectiveness of our strategies in comparison with the anticor algorithm without knowledge of the investment duration.
Publication Details
Page(s) 136-143
DOI DOI not available
Published Journal: Journal of Theoretical and Applied Information Technology, Volume: 45, Issue: 1, Year: 2012

Request the full text from PASTIC

More from Journal of Theoretical and Applied Information Technology
0

Citations

0

Downloads

63

Views

Copyright ©  PASTIC National Center, Islamabad www.pastic.gov.pk