Algorithmic trading in limit order books for online portfolio selection

版本 1.0.0.0 (3.1 MB) 作者: Youngmin Ha
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
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更新时间 2017/4/13

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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).

引用格式

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. 检索时间: .

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版本 已发布 发行说明
1.0.0.0

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