OLPS: A Toolbox for Online Portfolio Selection
- Supports a large family of classical and recent OLPS strategies
- Open-source under Apache License 2.0
- Compatible to both Matlab and Octave
- Compatible to various OS (Windows, Linux, Mac OS)
- Bin Li, Doyen Sahoo, Steven C.H. Hoi.
OLPS: A Toolbox for Online Portfolio Selection.
Journal of Machine Learning Research, Vol. X, Issue X, pp. XX, 2015. [ PDF ] (in press)
The bibtex format:
@Article{JMLR-15-OLPS,
TITLE = {OLPS: A Toolbox for Online Portfolio Selection},
AUTHOR = {Bin LI and Doyen Sahoo and Steven C.H. Hoi},
JOURNAL = {Journal of Machine Learning Research (JMLR)},
VOLUME = {},
NUMBER= {},
PAGES={},
YEAR={2015},
URL = {https://github.com/OLPS},
CONTACT = {chhoi@smu.edu.sg}
}
Previous Software and Code
- OLMAR --- Confidence Weighted Mean Reversion Strategy
[ Project Webpage ] [ CODE ] - CWMR --- Confidence Weighted Mean Reversion Strategy
[ Project Webpage ] [ CODE ] - PAMR --- Passive Aggressive Mean Reversion Strategy
[ Project Webpage ] [ CODE ]
