Algorithmic trading in limit order books for online portfolio selection

Versione 1.0.0.0 (3,12 MB) da Youngmin Ha
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
5.0
(1)
204 download
Aggiornato 13 apr 2017

Visualizza la licenza

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).

Cita come

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. Recuperato .

Compatibilità della release di MATLAB
Creato con R2011b
Compatibile con qualsiasi release
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Categorie
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Versione Pubblicato Note della release
1.0.0.0

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