系统管理学报

系统管理学报 ›› 2025, Vol. 34 ›› Issue (3): 780-789.DOI: 10.3969/j.issn.2097-4558.2025.03.013

• 数字经济与金融工程 • 上一篇    下一篇

基于反转效应的竞争性在线投资组合策略

张永1，詹晓丹1，杨兴雨1，林虹2,3   

  1. 1. 广东工业大学 管理学院，广州 510520；2. 佛山大学 经济贸易学院，广东 佛山 528000；3. 广东省社会科学研究基地创新与经济转型升级研究中心，广东 佛山 528000
  • 收稿日期:2022-06-08 修回日期:2022-10-25 出版日期:2025-05-28 发布日期:2025-06-13
  • 基金资助:
    国家自然科学基金资助项目（72371080）；广东省自然科学基金资助项目（2024A1515012670，2023A1515012840）

A Competitive Online Portfolio Strategy Based on Reversal Effect

ZHANG Yong1，ZHAN Xiaodan1，YANG Xingyu1，LIN Hong2,3   

  1. 1. School of Management, Guangdong University of Technology, Guangzhou 510520, China；2. School of Economics, Foshan University, Foshan 528000, Guangdong, China；3. The Center for Innovation and Economic Transformation and Upgrading, Research Institute of Social Science in Guangdong, Foshan 528000, Guangdong, China
  • Received:2022-06-08 Revised:2022-10-25 Online:2025-05-28 Published:2025-06-13

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摘要： 反转型在线投资组合策略通过有效利用股票市场中的反转效应，在多个数据集上的回测中展现出显著的累积收益优势。基于金融市场股票价格的反转效应构建专家意见池，并以此建立集成专家意见的竞争性在线投资组合策略。首先，利用股票价格在窗口内的反转效应构建代表专家意见的投资策略，并基于不同长度的窗口得到专家意见池；其次，运用弱集成算法为每个专家赋予相应的信任权重，集成专家意见形成在线投资组合策略，竞争性能分析表明，该策略能够有效追随最优专家意见；最后，数值分析结果显示，该策略在实现收益等方面的性能均优于现有相关在线策略。

关键词: 在线投资组合, 弱集成算法, 反转效应, 竞争性策略

Abstract: Reversal online portfolio strategy can make full use of the reversal effect in the stock market, and the backtest results on most data sets show that the reversal online portfolio strategy can obtain higher cumulative returns. Based on the reversal effect of stock price in the financial market, an expert opinion pool is constructed and a competitive online portfolio by aggregating expert opinions is established. First, the reversal effect of stock prices in windows is used to construct investment strategies representing the expert opinion, and expert opinion pools are obtained based on different window lengths. Then, a weak aggregating algorithm is used to assign trust weight to each expert, and an online portfolio strategy is constructed by aggregating expert opinions. The competitive performance analysis proves that the strategy constructed can follow the offline optimal expert opinion. The numerical results show that the performance of the strategy is better than that of online strategies related.

Key words: online portfolio, weak aggregating algorithm, reversal effect, competitive strategy

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