Algorithmic trading in limit order books for online portfolio selection

バージョン 1.0.0.0 (3.12 MB) 作成者: Youngmin Ha

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

フォロー

5.0

(1)

ダウンロード: 202

更新 2017/4/13

ライセンスの表示

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).

引用

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. 取得済み April 18、2024.

MATLAB リリースの互換性

作成: R2011b

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謝辞

ヒントを得たファイル: Fast multi-output relevance vector regression, Online portfolio selection with transaction costs including market impact costs

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バージョン	公開済み	リリースノート
1.0.0.0	2017/4/13	The URL of the corresponding paper has been added in Description. Acknowledgements have been updated.	ダウンロード