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Online portfolio selection with transaction costs including market impact costs

version 1.1.0.0 (2.21 MB) by Youngmin Ha
Performance comparison among quantitative investment strategies

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Updated 12 Jul 2017

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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.

Cite As

Youngmin Ha (2019). 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. Retrieved .

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Updates

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

Redundant folders have been removed.

1.0.0.0

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

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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