Dynamically Controlled Length of Training Data for Sustainable Portfolio Selection
Sarunas Raudys (),
Aistis Raudys () and
Zidrina Pabarskaite ()
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Sarunas Raudys: Faculty of Mathematics and Informatics, Institute of Informatics, Vilnius University, Naugarduko st. 24, LT-03225 Vilnius, Lithuania
Aistis Raudys: Faculty of Mathematics and Informatics, Institute of Informatics, Vilnius University, Naugarduko st. 24, LT-03225 Vilnius, Lithuania
Zidrina Pabarskaite: Faculty of Mathematics and Informatics, Institute of Informatics, Vilnius University, Naugarduko st. 24, LT-03225 Vilnius, Lithuania
Sustainability, 2018, vol. 10, issue 6, 1-14
In a constantly changing market environment, it is a challenge to construct a sustainable portfolio. One cannot use too long or too short training data to select the right portfolio of investments. When analyzing ten types of recent (up to April 2018) extremely high-dimensional time series from automated trading domains, it was discovered that there is no a priori ‘optimal’ length of training history that would fit all investment tasks. The optimal history length depends of the specificity of the data and varies with time. This statement was also confirmed by the analysis of dozens of multi-dimensional synthetic time series data generated by excitable medium models frequently considered in studies of chaos. An algorithm for determining the optimal length of training history to produce a sustainable portfolio is proposed. Monitoring the size of the learning data can be useful in data mining tasks used in the analysis of sustainability in other research disciplines.
Keywords: sustainable portfolio; length of training data; automated trading (search for similar items in EconPapers)
JEL-codes: Q Q0 Q2 Q3 Q5 Q56 O13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:10:y:2018:i:6:p:1911-:d:151260
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