Learning zero-cost portfolio selection with pattern matching
Fig 1
(a) The feature time-series data is best thought of as OHLC (Open-High-Low-Close) bar data. The filled box in the candle chart denotes the situation where the close price is lower than the open price, conversely the unfilled box has the close price higher than the open price. (b) Feature time-series investment period for the t-th time increment showing that the end of the t-th increment does not always have to coincide with the start of the next, here the t+1-th, investment period. The opening price is denote as om,t and the close price for the period as cm,t for the m-th asset.