Algorithmic trading in limit order books for online portfolio selection

Version 1.0.0.0 (3.12 MB) by Youngmin Ha

An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio

214 Downloads

Updated 13 Apr 2017

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).

Cite As

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. Retrieved November 22, 2024.

MATLAB Release Compatibility

Created with R2011b

Compatible with any release

Platform Compatibility

Windows macOS Linux

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Acknowledgements

Inspired by: Fast multi-output relevance vector regression, Online portfolio selection with transaction costs including market impact costs

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Version	Published	Release Notes
1.0.0.0	13 Apr 2017	The URL of the corresponding paper has been added in Description. Acknowledgements have been updated.	Download