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Exponential Gradient with Momentum for Online Portfolio Selection
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 2004Forecasting seasonals and trends by exponentially weighted moving averages1,786 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,164 cited
  • 1997Exponentiated Gradient versus Gradient Descent for Linear Predictors856 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market816 cited
  • 1991Universal Portfolios581 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1998On‐Line Portfolio Selection Using Multiplicative Updates387 cited
  • 2010Portfolio Choice Problems325 cited
  • 2014Risk and Return in High Frequency Trading275 cited
  • 2015High-Frequency Trading around Large Institutional Orders252 cited
  • 2018High frequency trading and extreme price movements250 cited
  • 2004Can We Learn to Beat the Best Stock

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