{"type":"ScholarlyArticle","title":"Linear Trading Position with Sparse Spectrum","authors":[{"name":"Zhao-Rong Lai","slug":"zhao-rong-lai","given":"Zhao-Rong","family":"Lai","affiliation":""},{"name":"Haisheng Yang","slug":"haisheng-yang","given":"Haisheng","family":"Yang","affiliation":""}],"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.","doi":"10.24963/ijcai.2025/618","url":"https://ijcai.org/proceedings/2025/618","pdf":"https://ijcai.org/proceedings/2025/0618.pdf","markdown":"https://ijcai.org/proceedings/2025/618.md","bibtex":"https://ijcai.org/proceedings/2025/bibtex/618","volume":{"slug":"2025","title":"Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence","short_title":"IJCAI 2025","url":"https://ijcai.org/proceedings/2025/","year":2025,"location":"Montreal, Canada","dates":"16-22 August 2025","editors":"James Kwok","isbn":"978-1-956792-06-5","publisher":"International Joint Conferences on Artificial Intelligence Organization","doi_prefix":"10.24963/ijcai.2025"},"section":"Machine Learning","track":"Main Track","number":618,"pages":{"first":5554,"last":5562},"keywords":["Constraint Satisfaction and Optimization: CSO: Solvers and tools","Machine Learning: ML: Optimization","Multidisciplinary Topics and Applications: MTA: Finance"],"videos":[],"references":[],"license_note":"Copyright International Joint Conferences on Artificial Intelligence."}