FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4387079020> ?p ?o ?g. }

• W4387079020 endingPage "121472" @default.
• W4387079020 startingPage "121472" @default.
• W4387079020 abstract "In this paper, we propose an effective online portfolio selection strategy by integrating expert opinions, which are obtained based on mean reversion and trading volume. Existing studies have found that mean reversion and high volume premium exist in the stock market in the short term. Some online portfolio strategies have been proposed that rely upon mean reversion, but it is rare to consider both mean reversion and high volume premium, which is what we will do in this paper. First, a portfolio based on mean reversion and high volume premium is constructed using recent window data. Second, a pool of portfolios, also known as a pool of expert strategies or expert opinions, is established by changing the window size. Finally, the online gradient update algorithm is adopted to integrate a pool of expert strategies, and the MRvol strategy in this paper is proposed. Theoretically, we prove that the regret of MRvol is bounded. Empirically, we use the actual stock price and trading volume data from different markets to test the performance of MRvol. The results show that MRvol performs better than other online strategies in terms of final cumulative wealth and risk-adjusted return metrics in most cases, among which the annualized percentage yield of MRvol on all datasets is 16%–37%, and the average values of Sharpe ratio, Calmar ratio and Information ratio are 1.113, 0.9216 and 0.0299, respectively. Additionally, MRvol has linear computational time complexity, and the running time of test results is all less than 1 s. Furthermore, it maintains strong robustness under different parameters and can bear reasonable transaction costs." @default.
• W4387079020 created "2023-09-28" @default.
• W4387079020 creator A5011606859 @default.
• W4387079020 creator A5047952696 @default.
• W4387079020 creator A5077775791 @default.
• W4387079020 date "2024-03-01" @default.
• W4387079020 modified "2023-10-13" @default.
• W4387079020 title "Online portfolio selection of integrating expert strategies based on mean reversion and trading volume" @default.
• W4387079020 cites W1540619019 @default.
• W4387079020 cites W168276760 @default.
• W4387079020 cites W1835519738 @default.
• W4387079020 cites W1964964840 @default.
• W4387079020 cites W1995236272 @default.
• W4387079020 cites W2014583745 @default.
• W4387079020 cites W2027264865 @default.
• W4387079020 cites W2029480990 @default.
• W4387079020 cites W2059590802 @default.
• W4387079020 cites W2101194190 @default.
• W4387079020 cites W2106052345 @default.
• W4387079020 cites W2106658060 @default.
• W4387079020 cites W2129160848 @default.
• W4387079020 cites W2131177033 @default.
• W4387079020 cites W2144487825 @default.
• W4387079020 cites W2155468247 @default.
• W4387079020 cites W2158076035 @default.
• W4387079020 cites W2163325343 @default.
• W4387079020 cites W2322530610 @default.
• W4387079020 cites W2346153109 @default.
• W4387079020 cites W2559584224 @default.
• W4387079020 cites W2746758043 @default.
• W4387079020 cites W2765391715 @default.
• W4387079020 cites W2801275319 @default.
• W4387079020 cites W2809119175 @default.
• W4387079020 cites W2873719378 @default.
• W4387079020 cites W2917882659 @default.
• W4387079020 cites W2950932906 @default.
• W4387079020 cites W2969471676 @default.
• W4387079020 cites W2972733119 @default.
• W4387079020 cites W2980996168 @default.
• W4387079020 cites W3015581296 @default.
• W4387079020 cites W3015954380 @default.
• W4387079020 cites W3024952421 @default.
• W4387079020 cites W3035574064 @default.
• W4387079020 cites W3083080466 @default.
• W4387079020 cites W3094150893 @default.
• W4387079020 cites W3111238365 @default.
• W4387079020 cites W3121426059 @default.
• W4387079020 cites W3138591600 @default.
• W4387079020 cites W3148510157 @default.
• W4387079020 cites W3199879188 @default.
• W4387079020 cites W3201707004 @default.
• W4387079020 cites W4200156671 @default.
• W4387079020 cites W4200321735 @default.
• W4387079020 cites W4206050003 @default.
• W4387079020 cites W4206743074 @default.
• W4387079020 cites W4231450980 @default.
• W4387079020 cites W4237883889 @default.
• W4387079020 cites W4253239620 @default.
• W4387079020 cites W4280614906 @default.
• W4387079020 cites W4297384888 @default.
• W4387079020 cites W4318040589 @default.
• W4387079020 cites W4362227105 @default.
• W4387079020 doi "https://doi.org/10.1016/j.eswa.2023.121472" @default.
• W4387079020 hasPublicationYear "2024" @default.
• W4387079020 type Work @default.
• W4387079020 citedByCount "0" @default.
• W4387079020 crossrefType "journal-article" @default.
• W4387079020 hasAuthorship W4387079020A5011606859 @default.
• W4387079020 hasAuthorship W4387079020A5047952696 @default.
• W4387079020 hasAuthorship W4387079020A5077775791 @default.
• W4387079020 hasConcept C106159729 @default.
• W4387079020 hasConcept C121332964 @default.
• W4387079020 hasConcept C127413603 @default.
• W4387079020 hasConcept C135205223 @default.
• W4387079020 hasConcept C139938925 @default.
• W4387079020 hasConcept C149782125 @default.
• W4387079020 hasConcept C162324750 @default.
• W4387079020 hasConcept C204036174 @default.
• W4387079020 hasConcept C20556612 @default.
• W4387079020 hasConcept C2780821815 @default.
• W4387079020 hasConcept C41008148 @default.
• W4387079020 hasConcept C62520636 @default.
• W4387079020 hasConcept C78519656 @default.
• W4387079020 hasConceptScore W4387079020C106159729 @default.
• W4387079020 hasConceptScore W4387079020C121332964 @default.
• W4387079020 hasConceptScore W4387079020C127413603 @default.
• W4387079020 hasConceptScore W4387079020C135205223 @default.
• W4387079020 hasConceptScore W4387079020C139938925 @default.
• W4387079020 hasConceptScore W4387079020C149782125 @default.
• W4387079020 hasConceptScore W4387079020C162324750 @default.
• W4387079020 hasConceptScore W4387079020C204036174 @default.
• W4387079020 hasConceptScore W4387079020C20556612 @default.
• W4387079020 hasConceptScore W4387079020C2780821815 @default.
• W4387079020 hasConceptScore W4387079020C41008148 @default.
• W4387079020 hasConceptScore W4387079020C62520636 @default.
• W4387079020 hasConceptScore W4387079020C78519656 @default.
• W4387079020 hasLocation W43870790201 @default.
• W4387079020 hasOpenAccess W4387079020 @default.

• next