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
5.0
(1)
204.0 次下载
更新时间 2017/4/13

查看许可证

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. 检索来源 .

MATLAB 版本兼容性
创建方式 R2011b
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Financial Toolbox 的更多信息
标签 添加标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

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.