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.
ACM Research 2021 | Implementing and benchmarking the performance of various online portfolio selection algorithms on real-world trading scenarios.
This package offers both traditional benchmark and newly developed Online Portfolio Selection (OPS) algorithms implementation.
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.
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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