ACM Research 2021 | Implementing and benchmarking the performance of various online portfolio selection algorithms on real-world trading scenarios.
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May 2, 2021 - Python
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online-portfolio-selection
Here are 5 public repositories matching this topic...
Jiahao Li, Yong Zhang, Xingyu Yang, and Liangwei Chen. "Online portfolio management via deep reinforcement learning with high-frequency data" Information Processing & Management, 2023, 60(3): 103247.
reinforcement-learning transformer portfolio-selection portfolio-management online-portfolio-selection
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Jul 8, 2023 - Python
This package offers both traditional benchmark and newly developed Online Portfolio Selection (OPS) algorithms implementation.
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Nov 4, 2024 - Julia
Yong Zhang, Jiahao Li, Xingyu Yang, and Hong Lin. "Aggregating exponential gradient expert advice for online portfolio selection under transaction costs" Journal of the Operational Research Society, , 2023, 74(8): 1940-1953.
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Sep 5, 2023 - MATLAB
Code base for the AMA-K project. Which is an online portfolio selection algorithm that aims to search for optimal portfolios at each time step via the usage of market history and pattern matching techniques.
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Nov 29, 2021 - Python
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