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Universal portfolio algorithms in realistic-outcome markets

机译:现实成果市场的通用产品组合算法

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Universal portfolio algorithms find investment strategies competitive against any CRP (constant rebalanced portfolio) for each and every market sequence. This work studies the problem of competitiveness over a subset of realistic, non-pathological, market sequences observed in many settings, e.g., high-frequency trading. Competitive investment in this setting will be shown to be more an extension of the easier universal 0–1 loss problem than of universal gambling (or coding). Analysis of realism-agnostic investment algorithms will show that they perform much better on in-hindsight realistic sequences than previously demonstrated. We suggest that this implies that the study of realistic universal portfolio algorithms must involve a comparison to a stronger adversary than the CRP adversary: an adversary that rebalances a portfolio often enough to avoid pathological sequences, but not so frequently that transaction costs dominate.
机译:通用产品组合算法发现对每个市场序列的任何CRP(恒定重新平衡组合)竞争的投资策略。这项工作研究了在许多环境中观察到的现实,非病态,市场序列的竞争力问题,例如高频交易。在此环境中的竞争投资将被证明更加延伸,而不是通用赌博(或编码)更容易的通用0-1损耗问题。对现实主义 - 不可知的投资算法分析将表明,它们在内部明确的现实序列上表现得比先前证明更好。我们认为,这意味着现实普遍投资组合算法的研究必须与比CRP对手更强大的对手进行比较:一个对手,这些反对者通常足以避免病理序列,但不断的交易成本占据主导地位。

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