Algorithmic trading in limit order books for online portfolio selection

An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
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Mise à jour 13 avr. 2017

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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).

Citation pour cette source

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. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2011b
Compatible avec toutes les versions
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Version Publié le Notes de version
1.0.0.0

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