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The Journal of Financial Data Science

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Market Symmetry and Its Application to Pattern-Matching-Based Portfolio Selection

Yang Wang and Dong Wang
The Journal of Financial Data Science Spring 2019, 1 (2) 78-93; DOI: https://doi.org/10.3905/jfds.2019.1.2.078
Yang Wang
is a master’s student at CSLT at Tsinghua University in Beijing, China
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Dong Wang
is an associate professor at CSLT at Tsinghua University in Beijing, China
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Abstract

Portfolio selection based on pattern matching has shown great potential. The authors show that this approach can be derived from a symmetric market perspective, in which the relationship between market status and optimal portfolio is quantitatively defined in terms of a Pearson correlation. This new perspective motivated a revised pattern-matching algorithm (symmetric CORN-K), which selects the portfolio that simultaneously maximizes the returns of similar periods and minimizes the returns of dissimilar periods. The algorithm was further extended to a general symmetry-based pattern-matching algorithm (functional CORN-K) that uses the symmetry property in a principled way. The authors’ experiments demonstrated that the new algorithms can deliver better returns, larger Sharpe ratios, and lower maximum drawdown, and that the improvements are statistically significant.

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The Journal of Financial Data Science: 1 (2)
The Journal of Financial Data Science
Vol. 1, Issue 2
Spring 2019
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Market Symmetry and Its Application to Pattern-Matching-Based Portfolio Selection
Yang Wang, Dong Wang
The Journal of Financial Data Science Apr 2019, 1 (2) 78-93; DOI: 10.3905/jfds.2019.1.2.078

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Market Symmetry and Its Application to Pattern-Matching-Based Portfolio Selection
Yang Wang, Dong Wang
The Journal of Financial Data Science Apr 2019, 1 (2) 78-93; DOI: 10.3905/jfds.2019.1.2.078
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  • Article
    • Abstract
    • Universal Portfolio Theory and Pattern-Matching–Based UP
    • Market Symmetry and Pattern Matching
    • PROBLEM SETTING
    • RELATED WORK
    • MARKET SYMMETRY
    • SYMMETRIC CORN-K
    • FUNCTIONAL CORN-K
    • EXPERIMENT 1: INVESTIGATE MARKET SYMMETRY
    • EXPERIMENT 2: SYMMETRIC PORTFOLIO SELECTION
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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