Boosting Moving Average Reversion Strategy for Online Portfolio Selection: A Meta-learning Approach.
Xiao LinMin ZhangYongfeng ZhangZhaoquan GuYiqun LiuShaoping MaPublished in: DASFAA (2) (2017)
Keyphrases
- portfolio selection
- meta learning
- moving average
- base classifiers
- inductive learning
- autoregressive
- model selection
- learning tasks
- feature selection
- machine learning algorithms
- ensemble methods
- decision trees
- financial markets
- multiple objectives
- robust optimization
- machine learning
- knowledge acquisition
- non stationary
- data mining
- multi class
- multi agent systems
- support vector
- reinforcement learning
- learning algorithm