Linear Trading Position with Sparse Spectrum
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866908503832002560 |
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| author | Lai, Zhao-Rong Yang, Haisheng |
| author_facet | Lai, Zhao-Rong Yang, Haisheng |
| contents | The principal portfolio approach is an emerging method in signal-based trading. However, these principal portfolios may not be diversified to explore the key features of the prediction matrix or robust to different situations. To address this problem, we propose a novel linear trading position with sparse spectrum that can explore a larger spectral region of the prediction matrix. We also develop a Krasnosel'ski\u ı-Mann fixed-point algorithm to optimize this trading position, which possesses the descent property and achieves a linear convergence rate in the objective value. This is a new theoretical result for this type of algorithms. Extensive experiments show that the proposed method achieves good and robust performance in various situations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_18596 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Linear Trading Position with Sparse Spectrum Lai, Zhao-Rong Yang, Haisheng Machine Learning The principal portfolio approach is an emerging method in signal-based trading. However, these principal portfolios may not be diversified to explore the key features of the prediction matrix or robust to different situations. To address this problem, we propose a novel linear trading position with sparse spectrum that can explore a larger spectral region of the prediction matrix. We also develop a Krasnosel'ski\u ı-Mann fixed-point algorithm to optimize this trading position, which possesses the descent property and achieves a linear convergence rate in the objective value. This is a new theoretical result for this type of algorithms. Extensive experiments show that the proposed method achieves good and robust performance in various situations. |
| title | Linear Trading Position with Sparse Spectrum |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2508.18596 |