{"id":"https://openalex.org/W1839843663","doi":"https://doi.org/10.3233/af-13021","title":"Optimizing sparse mean reverting portfolios","display_name":"Optimizing sparse mean reverting portfolios","publication_year":2013,"publication_date":"2013-08-26","ids":{"openalex":"https://openalex.org/W1839843663","doi":"https://doi.org/10.3233/af-13021","mag":"1839843663"},"language":"en","primary_location":{"id":"doi:10.3233/af-13021","is_oa":false,"landing_page_url":"https://doi.org/10.3233/af-13021","pdf_url":null,"source":{"id":"https://openalex.org/S4210198154","display_name":"Algorithmic Finance","issn_l":"2157-6203","issn":["2157-6203","2158-5571"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithmic Finance","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2324011","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5034185835","display_name":"I. R\u00f3bert Sipos","orcid":null},"institutions":[{"id":"https://openalex.org/I29770179","display_name":"Budapest University of Technology and Economics","ror":"https://ror.org/02w42ss30","country_code":"HU","type":"education","lineage":["https://openalex.org/I29770179"]}],"countries":["HU"],"is_corresponding":false,"raw_author_name":"I. R\u00f3bert Sipos","raw_affiliation_strings":["Department of Networked Systems and Services, Budapest University of Technology and Economics, Budapest, Hungary; E-mail: siposr@hit.bme.hu; E-mail: levendov@hit.bme.hu","Budapest Univ. of Technology & Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Networked Systems and Services, Budapest University of Technology and Economics, Budapest, Hungary; E-mail: siposr@hit.bme.hu; E-mail: levendov@hit.bme.hu","institution_ids":["https://openalex.org/I29770179"]},{"raw_affiliation_string":"Budapest Univ. of Technology & Economics","institution_ids":["https://openalex.org/I29770179"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046057044","display_name":"J\u00e1nos Levendovszky","orcid":"https://orcid.org/0000-0003-1406-442X"},"institutions":[{"id":"https://openalex.org/I29770179","display_name":"Budapest University of Technology and Economics","ror":"https://ror.org/02w42ss30","country_code":"HU","type":"education","lineage":["https://openalex.org/I29770179"]}],"countries":["HU"],"is_corresponding":false,"raw_author_name":"J\u00e1nos Levendovszky","raw_affiliation_strings":["Department of Networked Systems and Services, Budapest University of Technology and Economics, Budapest, Hungary; E-mail: siposr@hit.bme.hu; E-mail: levendov@hit.bme.hu","Budapest Univ. of Technology & Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Networked Systems and Services, Budapest University of Technology and Economics, Budapest, Hungary; E-mail: siposr@hit.bme.hu; E-mail: levendov@hit.bme.hu","institution_ids":["https://openalex.org/I29770179"]},{"raw_affiliation_string":"Budapest Univ. of Technology & Economics","institution_ids":["https://openalex.org/I29770179"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.4262,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.67971255,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"2","issue":"2","first_page":"127","last_page":"139"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9997000098228455,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.9997000098228455,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9950000047683716,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.577119767665863},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5437040328979492},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5390218496322632},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.5110269784927368},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49345412850379944},{"id":"https://openalex.org/keywords/cardinality","display_name":"Cardinality (data modeling)","score":0.458322674036026},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4565526843070984},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.45163494348526},{"id":"https://openalex.org/keywords/interpretability","display_name":"Interpretability","score":0.4230145514011383},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.31587982177734375},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.27811795473098755},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.2586038112640381},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1740638017654419},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.17231354117393494},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14774176478385925},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1407988965511322}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.577119767665863},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5437040328979492},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5390218496322632},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5110269784927368},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49345412850379944},{"id":"https://openalex.org/C87117476","wikidata":"https://www.wikidata.org/wiki/Q362383","display_name":"Cardinality (data modeling)","level":2,"score":0.458322674036026},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4565526843070984},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.45163494348526},{"id":"https://openalex.org/C2781067378","wikidata":"https://www.wikidata.org/wiki/Q17027399","display_name":"Interpretability","level":2,"score":0.4230145514011383},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.31587982177734375},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.27811795473098755},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.2586038112640381},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1740638017654419},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.17231354117393494},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14774176478385925},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1407988965511322},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.3233/af-13021","is_oa":false,"landing_page_url":"https://doi.org/10.3233/af-13021","pdf_url":null,"source":{"id":"https://openalex.org/S4210198154","display_name":"Algorithmic Finance","issn_l":"2157-6203","issn":["2157-6203","2158-5571"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithmic Finance","raw_type":"journal-article"},{"id":"mag:1839843663","is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2324011","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:ris:iosalg:0019","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"mag:1839843663","is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2324011","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W638615737","https://openalex.org/W1527011027","https://openalex.org/W2017957151","https://openalex.org/W2024060531","https://openalex.org/W2028781966","https://openalex.org/W2038621549","https://openalex.org/W2070173743","https://openalex.org/W2103496339","https://openalex.org/W2150779817","https://openalex.org/W2155482699","https://openalex.org/W3118514719","https://openalex.org/W3125005109","https://openalex.org/W3137867342"],"related_works":["https://openalex.org/W3125036887","https://openalex.org/W1976527341","https://openalex.org/W2327900766","https://openalex.org/W3118514719","https://openalex.org/W2139181163","https://openalex.org/W1527011027","https://openalex.org/W3124352826","https://openalex.org/W3126048694","https://openalex.org/W2912400541","https://openalex.org/W3119738186","https://openalex.org/W2559375493","https://openalex.org/W2667024645","https://openalex.org/W2748902137","https://openalex.org/W2964003745","https://openalex.org/W2081881498","https://openalex.org/W1972509769","https://openalex.org/W2104365669","https://openalex.org/W2543851462","https://openalex.org/W2592235189","https://openalex.org/W3121664075"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"we":[3,16],"investigate":[4],"trading":[5,123,147],"with":[6],"optimal":[7],"mean":[8,66],"reverting":[9],"portfolios":[10,94],"subject":[11],"to":[12,49,95,101,140,155],"cardinality":[13,89],"constraints.":[14],"First,":[15],"identify":[17],"the":[18,21,30,33,54,58,65,88,97,105,133,156],"parameters":[19],"of":[20,25,32,104,159],"underlying":[22],"VAR(1)":[23],"model":[24],"asset":[26],"prices":[27],"and":[28,78,100,119],"then":[29],"quantities":[31],"corresponding":[34],"Ornstein-Uhlenbeck":[35],"(OU)":[36],"process":[37],"are":[38],"estimated":[39],"by":[40,56,74],"pattern":[41],"matching":[42],"techniques.":[43],"Portfolio":[44],"optimization":[45,69],"is":[46,71],"performed":[47],"according":[48],"two":[50],"approaches:":[51],"(i)":[52],"maximizing":[53,64],"predictability":[55],"solving":[57],"generalized":[59],"eigenvalue":[60],"problem":[61],"or":[62],"(ii)":[63],"return.":[67],"The":[68,84,107,121,137],"itself":[70],"carried":[72],"out":[73],"stochastic":[75],"search":[76],"algorithms":[77,124,138],"Feed":[79],"Forward":[80],"Neural":[81],"Networks":[82],"(FFNNs).":[83],"presented":[85],"solutions":[86],"satisfy":[87],"constraint":[90],"thus":[91],"providing":[92],"sparse":[93],"minimize":[96],"transaction":[98],"costs":[99],"maximize":[102],"interpretability":[103],"results.":[106],"performance":[108],"has":[109],"been":[110],"tested":[111],"on":[112,130,132],"historical":[113],"data":[114,135,153],"(SWAP":[115],"rates,":[116],"SP":[117],"500,":[118],"FOREX).":[120],"proposed":[122],"have":[125],"achieved":[126],"29.57%":[127],"yearly":[128],"return":[129],"average,":[131],"examined":[134],"sets.":[136],"prove":[139],"be":[141],"suitable":[142],"for":[143],"high":[144],"frequency,":[145],"intraday":[146],"as":[148],"they":[149],"can":[150],"handle":[151],"financial":[152],"up":[154],"arrival":[157],"rate":[158],"every":[160],"second.":[161]},"counts_by_year":[{"year":2015,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}