Linear Trading Position with Sparse Spectrum

Lai, Zhao-Rong; Yang, Haisheng

doi:10.24963/ijcai.2025/618

Linear Trading Position with Sparse Spectrum

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Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence. Main Track. Pages 5554-5562.

https://doi.org/10.24963/ijcai.2025/618

Keywords

Constraint Satisfaction and Optimization: CSO: Solvers and tools
Machine Learning: ML: Optimization
Multidisciplinary Topics and Applications: MTA: Finance

Abstract

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'skii-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.

Zhao-Rong Lai, and Haisheng Yang. 2025. Linear Trading Position with Sparse Spectrum. In Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence, IJCAI-25. IJCAI, 5554–5562. https://doi.org/10.24963/ijcai.2025/618

@inproceedings{ijcai2025p618,
  title     = {Linear Trading Position with Sparse Spectrum},
  author    = {Lai, Zhao-Rong and Yang, Haisheng},
  booktitle = {Proceedings of the Thirty-Fourth International Joint Conference on
               Artificial Intelligence, {IJCAI-25}},
  publisher = {International Joint Conferences on Artificial Intelligence Organization},
  editor    = {James Kwok},
  pages     = {5554--5562},
  year      = {2025},
  month     = {8},
  note      = {Main Track},
  doi       = {10.24963/ijcai.2025/618},
  url       = {https://doi.org/10.24963/ijcai.2025/618},
}

TY  - CPAPER
TI  - Linear Trading Position with Sparse Spectrum
AU  - Lai, Zhao-Rong
AU  - Yang, Haisheng
T2  - Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence, IJCAI-25
PB  - International Joint Conferences on Artificial Intelligence Organization
PY  - 2025
SP  - 5554
EP  - 5562
DO  - 10.24963/ijcai.2025/618
UR  - https://doi.org/10.24963/ijcai.2025/618
ER  -