A Contrarian Trading Strategy: Mean vs. Median Reversion
Author:
Affiliation:
1. Department of Computer Science and Cybersecurity, University of Central Missouri, USA
2. Information Technology & Decision Sciences Department, Old Dominion University, USA
Publisher
ACM
Link
https://dl.acm.org/doi/pdf/10.1145/3599609.3599629
Reference25 articles.
1. Markowitz's “Portfolio Selection”: A Fifty-Year Retrospective
2. Does Algorithmic Trading Improve Liquidity?;Hendershott Terrence;Journal of Finance (66:1),2011
3. Hendershott Terrence Zhang M.X. Zhao J.L. and Zheng E.. 2017. FinTech - Innovating the Financial Industry Through Emerging Information Technologies. Information Systems Research (28:4) pp. 885-886. Hendershott Terrence Zhang M.X. Zhao J.L. and Zheng E.. 2017. FinTech - Innovating the Financial Industry Through Emerging Information Technologies. Information Systems Research (28:4) pp. 885-886.
4. Li , Bin , Hoi , Steven CH, Zhao , Peilin , and Gopalkrishnan , Vivekanand . 2013. Confidence weighted mean reversion strategy for online portfolio selection. ACM Transactions on Knowledge Discovery from Data (TKDD), 7(1) , pp. 1 - 38 . Li, Bin, Hoi, Steven CH, Zhao, Peilin, and Gopalkrishnan, Vivekanand. 2013. Confidence weighted mean reversion strategy for online portfolio selection. ACM Transactions on Knowledge Discovery from Data (TKDD), 7(1), pp. 1-38.
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