Algorithmic trading in limit order books for online portfolio selection

Version 1.0.0.0 (3,12 Mo) par Youngmin Ha
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
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202 téléchargements
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.