Building on the notion that bubbles are transient self-fulfilling prophecies created by positive feedback mechanisms, we construct the simplest continuous price process whose expected returns and volatility are functions of momentum only. The momentum itself is measured by a simple continuous...

In a financial system, the interconnectedness among entities from investing in common assets (portfolio overlaps) is considered an important channel for the propagation of systemic risk because this interconnectedness can facilitate the contagion of fire sales and lead to widespread sales as...

Portfolio selection has attracted increasing attention in machine learning and AI communities recently. Portfolio selection using on-line learning method has been extensively investigated previously. Literature about portfolio selection using recurrent reinforcement learning (RRL) is relatively...

On-line portfolio selection is an important and challenging question in computational finance and attracts increasing attention in the machine learning and data mining fields. Previously an on-line portfolio selection strategy called On-Line Moving Average Reversion (OLMAR) (Li et al., 2012)...

This paper studies the mean-variance portfolio selection under the assumption that the market state is modulated by a hidden Markov chain which is unobservable to investors. We employ a game-theoretic formulation to address the time-inconsistency arising in mean-variance analysis for portfolio...