PAMR: Passive aggressive mean reversion strategy for portfolio selection

This publication has 40 references indexed in Scilit:

• CORN
  ACM Transactions on Intelligent Systems and Technology, 2011
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
  Mathematical Finance, 2006
• On the Generalization Ability of On-Line Learning Algorithms
  IEEE Transactions on Information Theory, 2004
• Support vector machine with adaptive parameters in financial time series forecasting
  IEEE Transactions on Neural Networks, 2003
• Efficient Universal Portfolios for Past‐Dependent Target Classes
  Mathematical Finance, 2003
• Application of support vector machines in financial time series forecasting
  Omega, 2001
• Universal portfolios with side information
  IEEE Transactions on Information Theory, 1996
• Mean reversion in stock prices
  Journal of Financial Economics, 1988
• The perceptron: A probabilistic model for information storage and organization in the brain.
  Psychological Review, 1958
• Portfolio Selection
  The Journal of Finance, 1952