Online portfolio selection with transaction costs including market impact costs

版本 1.1.0.0 (2.2 MB) 作者: Youngmin Ha
Performance comparison among quantitative investment strategies
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更新时间 2017/7/12

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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.

引用格式

Youngmin Ha (2024). Online portfolio selection with transaction costs including market impact costs (https://www.mathworks.com/matlabcentral/fileexchange/56496-online-portfolio-selection-with-transaction-costs-including-market-impact-costs), MATLAB Central File Exchange. 检索时间: .

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版本 已发布 发行说明
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.
1.0.0.0

The URL of the corresponding paper has been added in Description, and yahooData.m has been updated.
Redundant folders have been removed.