Online portfolio selection with transaction costs including market impact costs
Performance comparison among quantitative investment strategies
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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.
Cite As
Youngmin Ha (2026). 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 .
Acknowledgements
Inspired by: export_fig, latexTable, Download Daily Data from Google and Yahoo! Finance, multiple_boxplot.m
Inspired: Algorithmic trading in limit order books for online portfolio selection
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
General Information
- Version 1.1.0.0 (2.21 MB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 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. |
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| 1.0.0.0 | The URL of the corresponding paper has been added in Description, and yahooData.m has been updated.
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