Algorithmic trading in limit order books for online portfolio selection

Version 1.0.0.0 (3,12 MB) von Youngmin Ha
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
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204 Downloads
Aktualisiert 13 Apr 2017

Lizenz anzeigen

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).

Zitieren als

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. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2011b
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Version Veröffentlicht Versionshinweise
1.0.0.0

The URL of the corresponding paper has been added in Description.
Acknowledgements have been updated.