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Weighted Moving Average Mean Reversion (WMAMR) (Gao and Zhang 2013) exploits historical value data by using equal weighted shifting averages and then learns portfolios by on-line learning strategies. The performance of the fashions is measured with mean average error (MAE) which is a normal accuracy criterion in machine learning.
We computed the correlation between the common customary deviation of assets’ rankings based on the RDC and the Ibovespa average each day return. As every time windows has a special variety of belongings, we computed the usual deviation normalized in keeping with the number of property.
The higher the correlation between the returns of two completely different property, the nearer they are going to be. One in every of the primary characteristics of financial crisis is a strong depreciation of belongings, leading stock market indexes to plunge.
Rankings’ volatility is related to crisis occasions, capturing the latest Brazilian economic-political crisis. It goes in hand with the speculation that the rankings’ volatility is higher in intervals of disaster.