专著

  • Bin Li and Steven C.H. Hoi. Online Portfolio Selection: Principles and Algorithms. CRC Press, 2015.


期刊论文

  • Dingjiang Huang, Shunchang Yu, Bin Li, Steven Hoi, and Shuigeng Zhou. “Combination Forecasting Reversion Strategy for Online Portfolio Selection”, ACM Transactions on Intelligent Systems and Technology, forthcoming. 

  • Bin Li, Jialei Wang, Dingjiang Huang, and Steven Hoi. “Transaction Costs Optimization for Online Portfolio Selection”, Quantitative Finance, forthcoming. 

  • Bin Li, Di Zhang, and Yang Zhou. “Do Trend Following Strategies Work in Chinese Futures Markets?”,Journal of Futures Markets2017, 37(12): 1226 - 1254. 

  • Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, and Shuigeng Zhou. “Robust Median Reversion Strategy for Online Portfolio Selection”. IEEE Transactions on Knowledge and Data Engineering, 2016, 28(9), 2480 – 2493.

  • Bin Li, Doyen Sahoo, and Steven Hoi. “OLPS: A Toolbox for On-Line Portfolio Selection”, Journal of Machine Learning Research, 2016, 17, 1-5.

  • Bin Li, Steven C.H. Hoi, Doyen Sahoo, and Zhiyong Liu. “Moving Average Reversion Strategy for On-Line Portfolio Selection”, Artificial Intelligence, 2015, 222, 104 - 123.

  • Bin Li, and Steven Hoi, 2014. “Online Portfolio Selection: A Survey”, ACM Computing Surveys, Vol. 36(3), pp. 35:1-35:36.

  • Peilin Zhao, Steven C.H. Hoi, Jialei Wang, Bin Li. “Online Transfer Learning.”, Artificial Intelligence, 2014, 216, 76 – 102.

  • Bin Li, Steven Hoi, Peilin Zhao, and V. Gopalkrishnan, 2013. “Confidence Weighted Mean Reversion Strategy for Online Portfolio Selection”, ACM Transactions on Knowledge Discovery from Data, Vol. 7(1), pp. 4:1-4:38.

  • Bin Li, Peilin Zhao, Steven Hoi, and V. Gopalkrishnan, 2012. “PAMR: Passive Aggressive Mean Reversion Strategy for Portfolio Selection”, Machine Learning, Vol. 87(2), pp. 221-258.

  • Bin Li, Steven Hoi, and V. Gopalkrishnan, 2011. “CORN: Correlation-driven Nonparametric Learning Approach for Portfolio Selection”, ACM Transactions on Intelligent Systems and Technology, Vol. 2(3), pp. 21:1-21:29.

 

国内期刊论文

  • 李斌,张迪,唐松慧. “基于次梯度投影的在线泛投资组合选择策略”. 管理科学学报, forthcoming.

  • 李斌,冯佳捷. “中国股票市场的质量因子研究”. 管理评论, forthcoming.

  • 李斌,张迪,冯佳捷. "序列相关性能够改善A股组合样本外绩效吗?". 管理科学, forthcoming. 

  • 李斌林彦唐闻轩. “ML-TEA: 一套基于机器学习和技术分析的量化投资算法”. 系统工程理论与实践, 2017, 37(5): 1089-1100. 

  • 李斌,张迪,周洋. “中国商品期货市场存在趋势吗?”.证券市场导报, 2017, 1, 43-51. (获中国人民大学复印报刊资料《投资与证券》2017年第5期全文转载)

CCF会议论文

  • Bin Li, Julia Yu, Jie Zhang, and Bin Ke.“Detecting Accounting Frauds in Publicly Traded U.S. Firms: A Machine Learning Approach”.Asian Conference on Machine Learning, 2015.

  • Dingjiang Huang, Yan Zhu, Bin Li, Shuigen Zhou, and Steven C.H. Hoi. “Semi-Universal Portfolios with Transaction Costs”.International Joint Conference on Artificial Intelligence, 2015.

  • Dezhong Yao, Peilin Zhao, Chen Yu, Hai Jin, Bin Li.  “Sparse Online Relative Similarity Learning.” IEEE International Conference on Data Mining, 2015.

  • Doyen Sahoo, Steven C.H. Hoi, and Bin Li.“Online Multiple Kernel Regression”.ACM SIGKDD Conference on Knowledge Discovery and Data Mining, 2014.

  • Dingjiang Huang, Junlong Zhou, Bin Li, Steven C. H. Hoi, and Shuigeng Zhou. “Robust Median Reversion Strategy for On-Line Portfolio Selection”. International Joint Conference on Artificial Intelligence, 2013.

  • Bin Li, and Steven C. H. Hoi.“On-Line Portfolio Selection with Moving Average Reversion”.International Conference on Machine Learning, 2012, 273–280.

  • Bin Li, Steven C. H. Hoi, Peilin Zhao, and Vivekanand Gopalkrishnan.“Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection”.International Conference on Artificial Intelligence and Statistics, 2011. JMLR: Wundefinedamp;CP, 15, 434 – 442.