Algorithmic trading in limit order books for online portfolio selection
An intraday trading algorithm to absorb the shock to the stock market when rebalancing a portfolio
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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 (2026). Algorithmic trading in limit order books for online portfolio selection (https://se.mathworks.com/matlabcentral/fileexchange/62503-algorithmic-trading-in-limit-order-books-for-online-portfolio-selection), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Fast multi-output relevance vector regression, Online portfolio selection with transaction costs including market impact costs
General Information
- Version 1.0.0.0 (3.12 MB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
The URL of the corresponding paper has been added in Description.
|
