Weighted Multivariate Mean Reversion for Online Portfolio Selection

Wu, Boqian1; Lyu, Benmeng2,3; Gu, Jiawen2

10.1007/978-3-031-43424-2_16

2023

European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases (ECML PKDD)

2945-9133

1611-3349

978-3-031-43423-5

MACHINE LEARNING AND KNOWLEDGE DISCOVERY IN DATABASES: RESEARCH TRACK, ECML PKDD 2023, PT V

14173

SEP 18-22, 2023

null,Turin,ITALY

GEWERBESTRASSE 11, CHAM, CH-6330, SWITZERLAND

SPRINGER INTERNATIONAL PUBLISHING AG

Portfolio selection is a fundamental task in finance and it is to seek the best allocation of wealth among a basket of assets. Nowadays, Online portfolio selection has received increasing attention from both AI and machine learning communities. Mean reversion is an essential property of stock performance. Hence, most state-of-the-art online portfolio strategies have been built based on this. Though they succeed in specific datasets, most of the existing mean reversion strategies applied the same weights on samples in multiple periods and considered each of the assets separately, ignoring the data noise from short-lived events, trend changing in the time series data, and the dependence of multi-assets. To overcome these limitations, in this paper, we exploit the reversion phenomenon with multivariate robust estimates and propose a novel online portfolio selection strategy named "Weighted Multivariate Mean Reversion" (WMMR) (Code is available at: https://github.com/boqian333/WMMR).. Empirical studies on various datasets show that WMMR has the ability to overcome the limitations of existing mean reversion algorithms and achieve superior results.

portfolio selection online learning multivariate robust estimates

通讯

英语

CPCI-S

NSFC[11801262]

Computer Science

Computer Science, Artificial Intelligence ; Computer Science, Theory & Methods

WOS:001156142300016

Web of Science

1.Univ Twente, Enschede, Netherlands
2.Southern Univ Sci & Technol, Shenzhen, Peoples R China
3.Univ Hong Kong, Hong Kong, Peoples R China

Wu, Boqian,Lyu, Benmeng,Gu, Jiawen. Weighted Multivariate Mean Reversion for Online Portfolio Selection[C]. GEWERBESTRASSE 11, CHAM, CH-6330, SWITZERLAND:SPRINGER INTERNATIONAL PUBLISHING AG,2023.