Online portfolio selection is a fundamental problem in computational finance, which has
been extensively studied across several research communities, including finance, statistics …

Predicting the direction and movement of stock index prices is difficult, often leading to
excessive trading, transaction costs, and missed opportunities. Often traders need a …

This paper investigates whether the efficient market hypothesis holds in stock markets under
different economic development levels over the period January 1999 to May 2007. We …

Online portfolio selection has been attracting increasing attention from the data mining and
machine learning communities. All existing online portfolio selection strategies focus on the …

This letter applies the Zivot and Andrews (Journal of Business and Economic Statistics, 10,
251–70, 1992) one break and the Lumsdaine and Papell (Review of Economic and …

Renewable energy systems depend on large financial incentives to compete with
conventional generation methods. Market-based incentives, including state-level REC …

This paper examines whether stock prices for a sample of 22 OECD countries can be best
represented as mean reversion or random walk processes. A sequential trend break test …

There is a plethora of studies that investigate evidence for the behaviour of stock prices
using univariate techniques for unit roots. Whether or not stock prices are characterised by a …

With the aim to sequentially determine optimal allocations across a set of assets, Online
Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape …

The objective of this research is to examine and compare the mean reversion phenomenon
in developed and emerging stock markets. An important aim is to measure and compare the …