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 proceedingConference contribution

Published

Standard

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 proceedingConference contribution

Harvard

Al-Baghdadi, N, Lindsay, D, Kalnishkan, Y & Lindsay, S 2020, Practical investment with the long-short game. in Conformal and Probabilistic Prediction and Applications: COPA 2020. vol. 128, Proceedings of Machine Learning Research , Proceedings of Machine Learning Research, pp. 209-228, The 9th Symposium on Conformal and Probabilistic Prediction with Applications: COPA 2020, 9/09/20. <http://proceedings.mlr.press/v128/>

APA

Al-Baghdadi, N., Lindsay, D., Kalnishkan, Y., & Lindsay, S. (2020). Practical investment with the long-short game. In Conformal and Probabilistic Prediction and Applications: COPA 2020 (Vol. 128, pp. 209-228). (Proceedings of Machine Learning Research ). Proceedings of Machine Learning Research. http://proceedings.mlr.press/v128/

Vancouver

Al-Baghdadi N, Lindsay D, Kalnishkan Y, Lindsay S. Practical investment with the long-short game. In Conformal and Probabilistic Prediction and Applications: COPA 2020. Vol. 128. Proceedings of Machine Learning Research. 2020. p. 209-228. (Proceedings of Machine Learning Research ).

Author

Al-Baghdadi, Najim ; Lindsay, David ; Kalnishkan, Yuri ; Lindsay, Sian. / Practical investment with the long-short game. Conformal and Probabilistic Prediction and Applications: COPA 2020. Vol. 128 Proceedings of Machine Learning Research, 2020. pp. 209-228 (Proceedings of Machine Learning Research ).

BibTeX

@inproceedings{1e5061726f8841db83feeea0e3ab48ac,
title = "Practical investment with the long-short game",
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{\textquoteright}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. ",
keywords = "Prediction with Expert Advice, Online Learning, Aggregating Algorithm, Portfolio Optimisation, Long-Short Game, Foreign Exchange, Currency Trading",
author = "Najim Al-Baghdadi and David Lindsay and Yuri Kalnishkan and Sian Lindsay",
year = "2020",
month = sep,
language = "English",
volume = "128",
series = "Proceedings of Machine Learning Research ",
publisher = "Proceedings of Machine Learning Research",
pages = "209--228",
booktitle = "Conformal and Probabilistic Prediction and Applications",
note = "The 9th Symposium on Conformal and Probabilistic Prediction with Applications: COPA 2020, COPA 2020 ; Conference date: 09-09-2020 Through 11-09-2020",
url = "https://cml.rhul.ac.uk/copa2020/",

}

RIS

TY - GEN

T1 - Practical investment with the long-short game

AU - Al-Baghdadi, Najim

AU - Lindsay, David

AU - Kalnishkan, Yuri

AU - Lindsay, Sian

PY - 2020/9

Y1 - 2020/9

N2 - 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.

AB - 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.

KW - Prediction with Expert Advice

KW - Online Learning

KW - Aggregating Algorithm

KW - Portfolio Optimisation

KW - Long-Short Game

KW - Foreign Exchange

KW - Currency Trading

M3 - Conference contribution

VL - 128

T3 - Proceedings of Machine Learning Research

SP - 209

EP - 228

BT - Conformal and Probabilistic Prediction and Applications

PB - Proceedings of Machine Learning Research

T2 - The 9th Symposium on Conformal and Probabilistic Prediction with Applications: COPA 2020

Y2 - 9 September 2020 through 11 September 2020

ER -