Moving average reversion strategy for on-line portfolio selection.

Bin Li Steven C. H. Hoi Doyen Sahoo Zhiyong Liu

Published in: Artif. Intell. (2015)

Keyphrases

portfolio selection
moving average
autoregressive
multiple objectives
financial markets
exponential smoothing
genetic algorithm
optimal strategy
machine learning
denoising
news articles
arma model
optimal portfolio