Practical investment with the long-short game. / Al-Baghdadi, Najim; Lindsay, David; Kalnishkan, Yuri; Lindsay, Sian.
Conformal and Probabilistic Prediction and Applications: COPA 2020. Vol. 128 Proceedings of Machine Learning Research, 2020. p. 209-228 (Proceedings of Machine Learning Research ).Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
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- http://proceedings.mlr.press/v128/
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Abstract
In this paper we apply the aggregating algorithm, an on-line prediction with expert advice algorithm, to real-world foreign exchange trading data with the aim of finding investment strategies with optimal returns. We consider the Long-Short game first introduced in Vovk and Watkins (1998) and it’s implementation, including the derivation of expert predictions from model trading data. Furthermore, we propose modifications to improve the practical performance of the game with respect to well-known portfolio performance indicators.
| Original language | English |
|---|---|
| Title of host publication | Conformal and Probabilistic Prediction and Applications |
| Subtitle of host publication | COPA 2020 |
| Publisher | Proceedings of Machine Learning Research |
| Pages | 209-228 |
| Number of pages | 20 |
| Volume | 128 |
| Publication status | Published - Sep 2020 |
| Event | The 9th Symposium on Conformal and Probabilistic Prediction with Applications: COPA 2020 - Online Duration: 9 Sep 2020 → 11 Sep 2020 https://cml.rhul.ac.uk/copa2020/ |
Publication series
| Name | Proceedings of Machine Learning Research |
|---|
Conference
| Conference | The 9th Symposium on Conformal and Probabilistic Prediction with Applications: COPA 2020 |
|---|---|
| Abbreviated title | COPA 2020 |
| Period | 9/09/20 → 11/09/20 |
| Internet address |
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ID: 39176900