Algorithmic trading in limit order books for online portfolio selection
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 .
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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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The URL of the corresponding paper has been added in Description.
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