On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion...

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining, etc. This article aims to provide a comprehensive...

This appendix proves CORN's universal consistency. One of Bin's PhD thesis examiner (Special thanks to Vladimir Vovk from Royal Holloway, University of London) suggested that CORN is universal and provided sketch proof of Lemma 1.6, which is the key of this proof. Based on the proof in Gy\"prfi...