{"id":"https://openalex.org/W2158100334","doi":"https://doi.org/10.1145/2435209.2435213","title":"Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection","display_name":"Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection","publication_year":2013,"publication_date":"2013-03-01","ids":{"openalex":"https://openalex.org/W2158100334","doi":"https://doi.org/10.1145/2435209.2435213","mag":"2158100334"},"language":"en","primary_location":{"id":"doi:10.1145/2435209.2435213","is_oa":false,"landing_page_url":"https://doi.org/10.1145/2435209.2435213","pdf_url":null,"source":{"id":"https://openalex.org/S41523882","display_name":"ACM Transactions on Knowledge Discovery from Data","issn_l":"1556-4681","issn":["1556-4681","1556-472X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Knowledge Discovery from Data","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100365193","display_name":"Bin Li","orcid":"https://orcid.org/0000-0002-5746-9665"},"institutions":[{"id":"https://openalex.org/I172675005","display_name":"Nanyang Technological University","ror":"https://ror.org/02e7b5302","country_code":"SG","type":"education","lineage":["https://openalex.org/I172675005"]}],"countries":["SG"],"is_corresponding":true,"raw_author_name":"Bin Li","raw_affiliation_strings":["Nanyang Technological University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Nanyang Technological University","institution_ids":["https://openalex.org/I172675005"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074834854","display_name":"Steven C. H. Hoi","orcid":"https://orcid.org/0000-0002-4584-3453"},"institutions":[{"id":"https://openalex.org/I172675005","display_name":"Nanyang Technological University","ror":"https://ror.org/02e7b5302","country_code":"SG","type":"education","lineage":["https://openalex.org/I172675005"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Steven C. H. Hoi","raw_affiliation_strings":["Nanyang Technological University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Nanyang Technological University","institution_ids":["https://openalex.org/I172675005"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5015991234","display_name":"Peilin Zhao","orcid":"https://orcid.org/0000-0001-8543-3953"},"institutions":[{"id":"https://openalex.org/I172675005","display_name":"Nanyang Technological University","ror":"https://ror.org/02e7b5302","country_code":"SG","type":"education","lineage":["https://openalex.org/I172675005"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Peilin Zhao","raw_affiliation_strings":["Nanyang Technological University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Nanyang Technological University","institution_ids":["https://openalex.org/I172675005"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5108788852","display_name":"Vivekanand Gopalkrishnan","orcid":null},"institutions":[{"id":"https://openalex.org/I145325580","display_name":"Deloitte (United States)","ror":"https://ror.org/03xkm6e60","country_code":"US","type":"company","lineage":["https://openalex.org/I145325580","https://openalex.org/I4210139068"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Vivekanand Gopalkrishnan","raw_affiliation_strings":["Deloitte Analytics Institute (Asia)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Deloitte Analytics Institute (Asia)","institution_ids":["https://openalex.org/I145325580"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5100365193"],"corresponding_institution_ids":["https://openalex.org/I172675005"],"apc_list":null,"apc_paid":null,"fwci":6.8184,"has_fulltext":false,"cited_by_count":132,"citation_normalized_percentile":{"value":0.96887252,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":100},"biblio":{"volume":"7","issue":"1","first_page":"1","last_page":"38"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12288","display_name":"Optimization and Search Problems","score":0.9851999878883362,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12761","display_name":"Data Stream Mining Techniques","score":0.982699990272522,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.721276581287384},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.6954632997512817},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.665992259979248},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.44210952520370483},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.4348723590373993},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.42375653982162476},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.41923272609710693},{"id":"https://openalex.org/keywords/exploit","display_name":"Exploit","score":0.4129423201084137},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.41132652759552},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.33930814266204834},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.3390601873397827},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17230737209320068},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1286199986934662}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.721276581287384},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.6954632997512817},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.665992259979248},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.44210952520370483},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.4348723590373993},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.42375653982162476},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.41923272609710693},{"id":"https://openalex.org/C165696696","wikidata":"https://www.wikidata.org/wiki/Q11287","display_name":"Exploit","level":2,"score":0.4129423201084137},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.41132652759552},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33930814266204834},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.3390601873397827},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17230737209320068},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1286199986934662},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1145/2435209.2435213","is_oa":false,"landing_page_url":"https://doi.org/10.1145/2435209.2435213","pdf_url":null,"source":{"id":"https://openalex.org/S41523882","display_name":"ACM Transactions on Knowledge Discovery from Data","issn_l":"1556-4681","issn":["1556-4681","1556-472X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Knowledge Discovery from Data","raw_type":"journal-article"},{"id":"pmh:oai:ink.library.smu.edu.sg:sis_research-3268","is_oa":false,"landing_page_url":"https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3268&context=sis_research","pdf_url":null,"source":{"id":"https://openalex.org/S4377196871","display_name":"Institutional Knowledge (InK) - Institutional Knowledge at Singapore Management University (Singapore Management University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79891267","host_organization_name":"Singapore Management University","host_organization_lineage":["https://openalex.org/I79891267"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://doi.org/10.1145/2435209.2435213","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.41999998688697815,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[{"id":"https://openalex.org/G4904063092","display_name":null,"funder_award_id":"RG33/11","funder_id":"https://openalex.org/F4320320751","funder_display_name":"Ministry of Education - Singapore"}],"funders":[{"id":"https://openalex.org/F4320320751","display_name":"Ministry of Education - Singapore","ror":"https://ror.org/01kcva023"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":93,"referenced_works":["https://openalex.org/W4272604","https://openalex.org/W114161546","https://openalex.org/W574918892","https://openalex.org/W643015533","https://openalex.org/W1515598477","https://openalex.org/W1540619019","https://openalex.org/W1552949382","https://openalex.org/W1570963478","https://openalex.org/W1664920104","https://openalex.org/W1709057194","https://openalex.org/W1714704734","https://openalex.org/W1762008180","https://openalex.org/W1780163389","https://openalex.org/W1964964840","https://openalex.org/W1965555277","https://openalex.org/W1978259121","https://openalex.org/W1979711143","https://openalex.org/W1981745143","https://openalex.org/W1983220355","https://openalex.org/W1988518729","https://openalex.org/W1989314680","https://openalex.org/W1999407923","https://openalex.org/W2003961759","https://openalex.org/W2010292366","https://openalex.org/W2016192187","https://openalex.org/W2022938204","https://openalex.org/W2027264865","https://openalex.org/W2029056003","https://openalex.org/W2029480990","https://openalex.org/W2034489173","https://openalex.org/W2039935421","https://openalex.org/W2040870580","https://openalex.org/W2052215974","https://openalex.org/W2058840707","https://openalex.org/W2061173439","https://openalex.org/W2062304205","https://openalex.org/W2068643490","https://openalex.org/W2072483747","https://openalex.org/W2076798318","https://openalex.org/W2085317472","https://openalex.org/W2090874083","https://openalex.org/W2097421746","https://openalex.org/W2097645432","https://openalex.org/W2099111195","https://openalex.org/W2101548729","https://openalex.org/W2104554891","https://openalex.org/W2106052345","https://openalex.org/W2106658060","https://openalex.org/W2106798814","https://openalex.org/W2109339818","https://openalex.org/W2115242173","https://openalex.org/W2118964077","https://openalex.org/W2120499560","https://openalex.org/W2122537498","https://openalex.org/W2130975838","https://openalex.org/W2131177033","https://openalex.org/W2143532160","https://openalex.org/W2144487825","https://openalex.org/W2149882723","https://openalex.org/W2150621701","https://openalex.org/W2153580489","https://openalex.org/W2158076035","https://openalex.org/W2158100334","https://openalex.org/W2160218441","https://openalex.org/W2163325343","https://openalex.org/W2164883547","https://openalex.org/W2170556543","https://openalex.org/W2172073485","https://openalex.org/W2296319761","https://openalex.org/W2602737734","https://openalex.org/W2611627047","https://openalex.org/W2798909945","https://openalex.org/W2949524771","https://openalex.org/W2950932906","https://openalex.org/W2951772124","https://openalex.org/W3009009611","https://openalex.org/W3015581296","https://openalex.org/W3016284170","https://openalex.org/W3097267636","https://openalex.org/W3121465794","https://openalex.org/W3121900378","https://openalex.org/W3124965235","https://openalex.org/W4230661391","https://openalex.org/W4231450980","https://openalex.org/W4237883889","https://openalex.org/W4244911671","https://openalex.org/W4247624306","https://openalex.org/W4249572517","https://openalex.org/W4250589301","https://openalex.org/W4253239620","https://openalex.org/W4285719527","https://openalex.org/W6669798923","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2068727170","https://openalex.org/W2055959038","https://openalex.org/W4327779378","https://openalex.org/W4225528185","https://openalex.org/W4206877017","https://openalex.org/W4385665922","https://openalex.org/W4361855747","https://openalex.org/W2353374760"],"abstract_inverted_index":{"Online":[0],"portfolio":[1,19,30,73,102,162],"selection":[2,20,74],"has":[3,59],"been":[4,61],"attracting":[5],"increasing":[6],"attention":[7],"from":[8],"the":[9,24,33,54,84,101,111,115,125,155,172,178],"data":[10,188],"mining":[11],"and":[12,90,108,187],"machine":[13,97],"learning":[14,94],"communities.":[15],"All":[16],"existing":[17,65],"online":[18,72,93,161],"strategies":[21],"focus":[22],"on":[23,166],"first":[25],"order":[26,35],"information":[27,36],"of":[28,135,157],"a":[29,42,70,105,139],"vector,":[31],"though":[32],"second":[34],"may":[37,52],"also":[38,131],"be":[39],"beneficial":[40],"to":[41,152,177],"strategy.":[43],"Moreover,":[44],"empirical":[45],"evidence":[46],"shows":[47],"that":[48,143,171],"relative":[49],"stock":[50],"prices":[51],"follow":[53],"mean":[55,85,116,126,158],"reversion":[56,86,117,127,159],"property,":[57],"which":[58],"not":[60],"fully":[62],"exploited":[63],"by":[64,83,113],"strategies.":[66],"This":[67],"article":[68],"proposes":[69],"novel":[71],"strategy":[75,149,174],"named":[76],"Confidence":[77],"Weighted":[78],"Mean":[79],"Reversion":[80],"(CWMR).":[81],"Inspired":[82],"principle":[87],"in":[88,96],"finance":[89],"confidence":[91],"weighted":[92],"technique":[95],"learning,":[98],"CWMR":[99,136,140,148],"models":[100],"vector":[103],"as":[104],"Gaussian":[106],"distribution,":[107],"sequentially":[109],"updates":[110,122],"distribution":[112],"following":[114],"trading":[118,128],"principle.":[119],"CWMR\u2019s":[120],"closed-form":[121],"clearly":[123],"reflect":[124],"idea.":[129],"We":[130],"present":[132],"several":[133],"variants":[134],"algorithms,":[137],"including":[138,184],"mixture":[141],"algorithm":[142],"is":[144,150,175,190],"theoretical":[145],"universal.":[146],"Empirically,":[147],"able":[151],"effectively":[153],"exploit":[154],"power":[156],"for":[160],"selection.":[163],"Extensive":[164],"experiments":[165],"various":[167],"real":[168],"markets":[169],"show":[170],"proposed":[173],"superior":[176],"state-of-the-art":[179],"techniques.":[180],"The":[181],"experimental":[182],"testbed":[183],"source":[185],"codes":[186],"sets":[189],"available":[191],"online.":[192]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":16},{"year":2023,"cited_by_count":17},{"year":2022,"cited_by_count":15},{"year":2021,"cited_by_count":14},{"year":2020,"cited_by_count":11},{"year":2019,"cited_by_count":12},{"year":2018,"cited_by_count":10},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":3}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}