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