Useful References

The following are some useful resources that may help in better understanding Online Portfolio Selection

OLPS - Literature
  1. Li, Bin, and Steven CH Hoi. "Online portfolio selection: A survey." ACM Computing Surveys (CSUR) 46.3 (2014): 35.
  2. Li, Bin, et al. "Moving average reversion strategy for on-line portfolio selection."Artificial Intelligence 222 (2015): 104-123.
  3. Li, Bin, et al. "Confidence weighted mean reversion strategy for online portfolio selection." ACM Transactions on Knowledge Discovery from Data (TKDD) 7.1 (2013): 4.;
  4. Li, Bin, et al. "PAMR: Passive aggressive mean reversion strategy for portfolio selection." Machine learning 87.2 (2012): 221-258.


OLPS - Toolbox
  1. Li, Bin, Doyen Sahoo, and Steven CH Hoi. "OLPS: A Toolbox for On-Line Portfolio Selection."


Online Learning
  1. Hoi, Steven CH, Jialei Wang, and Peilin Zhao. "Libol: A library for online learning algorithms." The Journal of Machine Learning Research 15.1 (2014): 495-499.

Poster

Picture

Links

Main Project Page
Project on GitHub
About OLPS
OLPS Toolbox