Online portfolio selection with transaction costs including market impact costs

Version 1.1.0.0 (2,21 MB) von Youngmin Ha
Performance comparison among quantitative investment strategies
5.0
(1)
478 Downloads
Aktualisiert 12. Jul 2017

Lizenz anzeigen

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.

Zitieren als

Youngmin Ha (2024). 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. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2014b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Portfolio Optimization and Asset Allocation finden Sie in Help Center und MATLAB Answers
Tags Tags hinzufügen

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

latexTable/

multiple_boxplot/

Version Veröffentlicht Versionshinweise
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

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