Algorithmic trading in limit order books for online portfolio selection
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://nl.mathworks.com/matlabcentral/fileexchange/62503-algorithmic-trading-in-limit-order-books-for-online-portfolio-selection), MATLAB Central File Exchange. Retrieved .
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Acknowledgements
Inspired by: Fast multi-output relevance vector regression, Online portfolio selection with transaction costs including market impact costs
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| Version | Published | Release Notes | |
|---|---|---|---|
| 1.0.0.0 |
The URL of the corresponding paper has been added in Description.
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