CORN
Corn: Correlation-driven nonparametric learning approach for portfolio selection. Machine learning techniques have been adopted to select portfolios from financial markets in some emerging intelligent business applications. In this article, we propose a novel learning-to-trade algorithm termed CORrelation-driven Nonparametric learning strategy (CORN) for actively trading stocks. CORN effectively exploits statistical relations between stock market windows via a nonparametric learning approach. We evaluate the empirical performance of our algorithm extensively on several large historical and latest real stock markets, and show that it can easily beat both the market index and the best stock in the market substantially (without or with small transaction costs), and also surpass a variety of state-of-the-art techniques significantly.
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References in zbMATH (referenced in 8 articles )
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Sorted by year (- Zhang, Yong; Lin, Hong; Zheng, Lina; Yang, Xingyu: Adaptive online portfolio strategy based on exponential gradient updates (2022)
- Guo, Sini; Gu, Jia-Wen; Ching, Wai-Ki: Adaptive online portfolio selection with transaction costs (2021)
- Ha, Youngmin; Zhang, Hai: Algorithmic trading for online portfolio selection under limited market liquidity (2020)
- Lai, Zhao-Rong; Yang, Pei-Yi; Wu, Xiaotian; Fang, Liangda: A kernel-based trend pattern tracking system for portfolio optimization (2018)
- Li, Bin; Wang, Jialei; Huang, Dingjiang; Hoi, Steven C. H.: Transaction cost optimization for online portfolio selection (2018)
- Li, Bin; Sahoo, Doyen; Hoi, Steven C. H.: OLPS: a toolbox for on-line portfolio selection (2016) ioport
- Li, Bin; Hoi, Steven C. H.: Online portfolio selection: a survey (2014)
- Li, Bin; Zhao, Peilin; Hoi, Steven C. H.; Gopalkrishnan, Vivekanand: PAMR: passive aggressive mean reversion strategy for portfolio selection (2012)