Selection of Market Window Size in Portfolio Strategies.
Jia-Yi LieHong-Yu DuanYu-Luan ChenZhao-Rong LaiPublished in: ICEME (2018)
Keyphrases
- window size
- sliding window
- market data
- selection strategies
- investment strategies
- window sizes
- decision making
- market conditions
- portfolio management
- fixed size
- trading strategies
- selection strategy
- trading agents
- congestion control
- order statistics
- selection algorithm
- stock market
- asset allocation
- futures market
- portfolio selection
- resource allocation
- business processes
- long term