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Algorithmic trading in limit order books for online portfolio selection

version 1.0.0.0 (3.12 MB) by Youngmin Ha
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio

4 Downloads

Updated 13 Apr 2017

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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).

Cite As

Youngmin Ha (2019). 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. Retrieved .

Comments and Ratings (1)

Thanks for putting this out there with your paper. I'd like to run the demo.m but it looks like it might be missing from the zip

Updates

1.0.0.0

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

1.0.0.0

Acknowledgements have been updated.

MATLAB Release Compatibility
Created with R2011b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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