Finance & Investing / Machine Learning & Pattern Recognition
ISBN: 978-1-4822-4963-7
9 781482 249637
With the aim to sequentially determine optimal allocations across a set of
assets, Online Portfolio Selection (OLPS) has significantly reshaped the
financial investment landscape. Online Portfolio Selection: Principles
and Algorithms supplies a comprehensive survey of existing OLPS
principles and presents a collection of innovative strategies that leverage
machine learning techniques for financial investment.
The book presents four new algorithms based on machine learning
techniques that were designed by the authors, as well as a new back-
test system they developed for evaluating trading strategy effectiveness.
The book uses simulations with real market data to illustrate the trading
strategies in action and to provide readers with the confidence to deploy
the strategies themselves. The book is presented in five sections that:
I. Introduce and formulate OLPS as a sequential decision task
II. Present key OLPS principles, including benchmarks, follow the
winner, follow the loser, pattern matching, and meta-learning
III. Detail four innovative OLPS algorithms based on cutting-edge
machine learning techniques
IV. Provide a toolbox for evaluating the OLPS algorithms and present
empirical studies comparing the proposed algorithms with the
state of the art
V. Investigate possible future directions
Complete with a back-test system that uses historical data to evaluate
the performance of trading strategies, as well as MATLAB
code for the
back-test systems, this book is an ideal resource for graduate students in
finance, computer science, and statistics. It is also suitable for researchers
and engineers interested in computational investment.
Readers are encouraged to visit the authors’ website for updates:
Online Portfolio
Principles and Algorithms
Li and Hoi
Bin Li and Steven C.H. Hoi
6000 Broken Sound Parkway, NW
Suite 300, Boca Raton, FL 33487
711 Third Avenue
New York, NY 10017
2 Park Square, Milton Park
Abingdon, Oxon OX14 4RN, UK
an informa business
Online Portfolio Selection
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Online Portfolio
Principles and Algorithms
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Online Portfolio
Principles and Algorithms
Bin Li and Steven C.H. Hoi
T&F Cat #K23731 — K23731_C000 — page iii — 10/13/2015 — 16:23
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