A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion

Algorithm 3

Portfolio selection with MAMR.

(1)	Input: Reversion threshold ; Window size ; Historical market sequence
(2)	Output: Final cumulative wealth
(3)	Initialization: , ,
(4)	for to do
(5)
(6)	end for
(7)	for to do
(8)	Receive stock price relatives:
(9)	Update cumulative return:
(10)	Predict next price relative vector:
(11)	Update the portfolio:
(12)	end for