Online Portfolio Selection: Principles and Algorithms

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: Introduce OLPS and formulate OLPS as a sequential decision task Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art 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: http://olps.stevenhoi.org.

Table of Contents:
Introduction. Principles. Algorithms. Empirical Studies. Conclusion.

About the Author :
Dr. Bin Li received a bachelor’s degree in computer science from Huazhong University of Science and Technology, Wuhan, China, and a bachelor’s degree in economics from Wuhan University, Wuhan, China, in 2006. He earned a PhD degree from the School of Computer Engineering of Nanyang Technological University, Singapore, in 2013. He completed the CFA Program in 2013 and is currently an associate professor of finance at the Economics and Management School of Wuhan University. Dr. Li was a postdoctoral research fellow at the Nanyang Business School of Nanyang Technological University. His research interests are computational finance and machine learning. He has published several academic papers in premier conferences and journals.Dr. Steven C.H. Hoi received his bachelor’s degree in computer science from Tsinghua University, Beijing, China, in 2002, and both his master’s and PhD degrees in computer science and engineering from The Chinese University of Hong Kong, Hong Kong, China, in 2004 and 2006, respectively. He is currently an associate professor in the School of Information Systems, Singapore Management University, Singapore. Prior to joining SMU, he was a tenured associate professor in the School of Computer Engineering, Nanyang Technological University, Singapore. His research interests are machine learning and data mining and their applications to tackle real-world big data challenges across varied domains, including computational finance, multimedia information retrieval, social media, web search and data mining, computer vision and pattern recognition, and so on.

Review :
"Modern curriculum developments over the last decade, has tended towards favoring digital aspects of RF engineering, with the result that the difficult area of RF analog design has suffered subsequently. This book addresses this issue very clearly by using many design examples making a difficult subject much more accessible to students and professionals alike." -Paul Tobin, Dublin Institute of Technology "A very comprehensive treatment with an excellent use of examples to explain the workings and theory of RF amplifiers." -Tony Harris, Electronics & Innovation, Ltd. "The author has many years of experience working in the RF industry as well as teaching the RF courses at IUPU Fort Wayne. This book is a culmination of his extensive work in the RF Power Amplifier. The book blends the theory with practice very well and presents the challenging subject in a clear and understandable manner. The treatment of the RF systems in this book makes it well suited to be the textbook for senior undergraduate or beginning graduate courses in RF Systems. It is also an excellent resource for practicing engineers." -Jay K. Lee, Syracuse University, New York "The radio frequency amplifier is a key component in modern wireless communication systems. It also is a vital component in other technologies where, radio frequency signals are used. With the proliferation of wireless, communication in society, more and more scientist and engineers use radio, frequency technologies in their work. The present book gives a good overview of, analysis and design of radio frequency amplifiers as well as details about the, main design stages." -Daniel Rannow, University of Gavle, Gavle, Sweden