Foreign exchange market modelling and an on-line portfolio selection algorithm
Portfolio Management
2017-07-04 v1
Abstract
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we attempt to predict returns of portfolios by developing a cross rate method. This leads us to construct an on-line portfolio selection algorithm for this model. At the end, we prove the profitability and the universality of our algorithm.
Keywords
Cite
@article{arxiv.1707.00203,
title = {Foreign exchange market modelling and an on-line portfolio selection algorithm},
author = {Panpan Ren and Jiang-Lun Wu},
journal= {arXiv preprint arXiv:1707.00203},
year = {2017}
}
Comments
34 pages, 1 figure