Algorithmic trading in limit order books for online portfolio selection

Versión 1.0.0.0 (3,12 MB) por Youngmin Ha

An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio

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5.0

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204 descargas

Actualizado 13 abr 2017

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demo.m is executable if you download LOBSTER data (https://lobsterdata.com/) and extract relevant data by using lobData.m (corresponding paper: http://ssrn.com/abstract=2952371).

Citar como

Youngmin Ha (2024). Algorithmic trading in limit order books for online portfolio selection (https://www.mathworks.com/matlabcentral/fileexchange/62503-algorithmic-trading-in-limit-order-books-for-online-portfolio-selection), MATLAB Central File Exchange. Recuperado 23 abril, 2024.

Compatibilidad con la versión de MATLAB

Se creó con R2011b

Compatible con cualquier versión

Compatibilidad con las plataformas

Windows macOS Linux

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Agradecimientos

Inspirado por: Fast multi-output relevance vector regression, Online portfolio selection with transaction costs including market impact costs

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Versión	Publicado	Notas de la versión
1.0.0.0	13 abr 2017	The URL of the corresponding paper has been added in Description. Acknowledgements have been updated.	Descargar