Algorithmic trading in limit order books for online portfolio selection

버전 1.0.0.0 (3.12 MB) 작성자: Youngmin Ha
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
5.0
(1)
다운로드 수: 214
업데이트 날짜: 2017/4/13

라이선스 보기

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).

인용 양식

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. 검색 날짜: .

MATLAB 릴리스 호환 정보
개발 환경: R2011b
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
카테고리
Help Center 및 MATLAB Answers에서 Financial Toolbox에 대해 자세히 알아보기
태그 태그 추가

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

버전 게시됨 릴리스 정보
1.0.0.0

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