Abstract
Immunological principles can be used to build a sustainable investment portfolio. The theory of immunology states that information about recognized pathogens is stored in the memory of the immune system. Information about previous illnesses can be helpful when the pathogen re-enters the body. Real-time analysis of 11 automated financial trading datasets confirmed this phenomenon in financial time series. Therefore, in order to increase the sustainability of the portfolio, we propose to train the portfolio with the most similar segments of historical data. The segment size and offset may vary depending on the data set and time.
Highlights
D6 shows success with the no-lag rule.inRequests forchaotic detailshistorical of data D6 preparation showed that, this time, of similar segments seemingly data; (2) if this similarity is found, can trading strategies selected in March
It means the 2011–February this knowledge be were used to improve the sustainability of thethat portfolio?
To the best of2015 our data were used the of training process
Summary
A fraction of the most short for portfolio design with high-dimensional data [9,10]. In sustainable portfolio management systems [16,17], one considers a vast variety of heuristically designed trading strategies and selects a single one or a small number of them capable of obtaining profit during the forthcoming period. The portfolio design schemas based on the mean-variance approach become worthless when the dimensionality of portfolio inputs exceeds the number of observations by hundreds of times.
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