NDLI: Multi-agent system based portfolio management in prior-to-crisis and crisis period

Content Provider	IEEE Xplore Digital Library
Author	Raudys, S. Raudys, A. Pabarskaite, Z.
Copyright Year	2012
Description	Author affiliation: Faculty of Mathematics and Informatics, Vilnius University, Naugarduko st. 24, LT-03225, Lithuania (Raudys, S.; Raudys, A.; Pabarskaite, Z.)
Abstract	We analyze portfolio creation techniques in a high frequency trading domain and randomly changing environments. We aim to create the best risk/reward portfolio based on thousands of profit histories of automated trading robots. We show that the effectiveness of standard portfolio weight calculation rules depends on the dimensionality, N, and the sample size, L, ratio. To resolve dimensionality / sample size dilemma we suggest designing a multistage feed-forward multi-agent system (MAS). At first we make simple 1/N Portfolio based expert agents. Then we use them and the regularized mean-variance framework to form a large number of more complex fusion agents. Finally we use a trained cost sensitive set of perceptrons to recognize the most successful fusion agents for making a final 1/N Portfolio based weights calculation. Experiments with 7708-dimensional 2004–2012 data confirm the effectiveness of the new approach.
Starting Page	279
Ending Page	284
File Size	313672
Page Count	6
File Format	PDF
ISBN	9781467351171
ISSN	21647143
e-ISBN	9781467351195
DOI	10.1109/ISDA.2012.6416551
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-11-27
Publisher Place	India
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	complexity automated trading regularization Vectors Covariance matrix History Standards Accuracy portfolio optimisation risk sample size Portfolios Robots multiagent systems
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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