Online Portfolio Selection

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.

This book investigates the OLPS problem. The authors unveil four innovative algorithms based on the cutting edge machine learning techniques and also detail a powerful trading simulation tools. The book includes MATLAB® code for simulation trading systems that use historical data to evaluate the performance of trading strategies.

Introduction. Principles. Algorithms. Empirical Studies. Conclusion.