Online portfolio selection with transaction costs including market impact costs
Performance comparison among quantitative investment strategies
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You can download the corresponding paper at http://ssrn.com/abstract=2763202. I have not uploaded LOBSTER (https://lobsterdata.com/) data in order to obey NASDAQ OMX Global Subscriber Agreement. Therefore, you will get different results from the paper. If you download the LOBSTER data and extract daily closing prices by running lobsterClosingData.m, you will get the same results as the paper.
Cita come
Youngmin Ha (2026). Online portfolio selection with transaction costs including market impact costs (https://it.mathworks.com/matlabcentral/fileexchange/56496-online-portfolio-selection-with-transaction-costs-including-market-impact-costs), MATLAB Central File Exchange. Recuperato .
Riconoscimenti
Ispirato da: export_fig, latexTable, Download Daily Data from Google and Yahoo! Finance, multiple_boxplot.m
Ispirato: Algorithmic trading in limit order books for online portfolio selection
Categorie
Scopri di più su Portfolio Optimization and Asset Allocation in Help Center e MATLAB Answers
Informazioni generali
- Versione 1.1.0.0 (2,21 MB)
Compatibilità della release di MATLAB
- Compatibile con qualsiasi release
Compatibilità della piattaforma
- Windows
- macOS
- Linux
| Versione | Pubblicato | Note della release | Action |
|---|---|---|---|
| 1.1.0.0 | If accessing limit order book data at a level greater than the highest level is required, ask (bid) price and volume above the level are estimated. |
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| 1.0.0.0 | The URL of the corresponding paper has been added in Description, and yahooData.m has been updated.
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