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

다운로드 수: 192

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 (2022). 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. 검색됨 .

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개발 환경: R2011b
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