PAMR swMATH ID: 15437 Software Authors: B. Li, P. Zhao, S. Hoi, V. Gopalkrishnan Description: Pamr: Passive aggressive mean reversion strategy for portfolio selection. This article proposes a novel online portfolio selection strategy named “Passive Aggressive Mean Reversion” (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets. By analyzing PAMR’s update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, including a mixture algorithm which mixes PAMR and other strategies. We conduct extensive numerical experiments to evaluate the empirical performance of the proposed algorithms on various real datasets. The encouraging results show that in most cases the proposed PAMR strategy outperforms all benchmarks and almost all state-of-the-art portfolio selection strategies under various performance metrics. In addition to its superior performance, the proposed PAMR runs extremely fast and thus is very suitable for real-life online trading applications. The experimental testbed including source codes and data sets is available at http://www.cais.ntu.edu.sg/ chhoi/PAMR/. Homepage: http://link.springer.com/article/10.1007/s10994-012-5281-z Related Software: CORN; OLPS; Forgetron; GraphLab; Pegasos; LIBSVM; MapReduce; GitHub Cited in: 13 Publications all top 5 Cited by 29 Authors 4 Hoi, Steven C. H. 3 Li, Bin 3 Yang, Xingyu 2 He, Jin’an 2 Lin, Hong 2 Wang, Jialei 2 Zhang, Yong 2 Zhao, Peilin 1 Ching, Wai-Ki 1 Fang, Liangda 1 Gopalkrishnan, Vivekanand 1 Gu, Jiawen 1 Guo, Sini 1 Ha, Youngmin 1 Huang, Dingjiang 1 Kacem, Imed 1 Lai, Zhao-Rong 1 Li, Hongyi 1 Li, Roujia 1 Liu, Jia 1 Liu, Zhiyong 1 Lu, Jing 1 Peng, Zijin 1 Schroeder, Pascal 1 Wu, Xiaotian 1 Xian, Jiayi 1 Xu, Weijun 1 Yang, Pei-Yi 1 Zheng, Lina all top 5 Cited in 11 Serials 2 European Journal of Operational Research 2 Journal of Machine Learning Research (JMLR) 1 ACM Computing Surveys 1 Machine Learning 1 Soft Computing 1 Journal of Combinatorial Optimization 1 Discrete Dynamics in Nature and Society 1 Optimization and Engineering 1 RAIRO. Operations Research 1 Quantitative Finance 1 SN Operations Research Forum Cited in 4 Fields 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Computer science (68-XX) 1 Statistics (62-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year