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A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion
Work
Year: 2020
Type: article
Abstract: Mean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real mark... more
Source: Discrete Dynamics in Nature and Society
Authors Zijin Peng, Weijun Xu, Hongyi Li
Institutions South China University of Technology, Chinese University of Hong Kong
Cites: 21
Cited by:
Related to: 10
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Topic: Advanced Bandit Algorithms Research
Subfield: Management Science and Operations Research
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: gold
APC paid (est): $2,300
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China
Grant IDS 17YJC630026, 2017A030312001, 71771091, 71720107002