linyang916 / olps

Online Portfolio Selection toolbox

OLPS

OLPS is an open-source toolbox for On-Line Portfolio Selection, which includes a collection of classical and state-of-the-art on-line portofolio selection strategies implemented in Matlab/Octave.

QUICK START

• OLPS_gui.m run the OLPS toolbox in the GUI mode (recommended, available only in Matlab). Online video is available at https://www.youtube.com/watch?v=XJPeaiVhEg0.

• OLPS_pgui.m run the OLPS toolbox in the Pseudo GUI Mode (PGUI) (for both Matlab and octave)

• OLPS_cli.m run the OLPS toolbox in the Command Line Interface (CLI) (recommended for developers, for both Matlab and octave)

REFERENCES

This toolbox includes software developed at the SMU for the following papers:

• Bin Li, Doyen Sahoo, and Steven C.H. Hoi. (2015) "OLPS: A Toolbox for On-Line Portfolio Selection." Singapore Management University.

• Bin Li and Steven C.H. Hoi. (2014) "Online portfolio selection: A Survey." ACM Computing Surveys (CSUR), 46(35), 35:1--35:36.

Please cite the works above for any software or research article that utilizes contributions of this work.

Please let us know how you use OLPS, and help us develop a better toolbox if possible.

INSTALLATION

• We can download or clone the latest version of OLPS from the project website at \url{https://github.com/OLPS/}.

• Unzip the file you just downloaded and copy the OLPS directory to a location,e.g.,/my-directory/

• Run Matlab/Ocatve, Go to /my-directory/OLPS/ at the command prompt

• run 'OLPS_gui' (Matlab) or 'OLPS_pgui' (Matlab/Ocatve) or 'OLPS_cli' (Matlab/Ocatve)

Let us know if there is any error when running the above.

ENVIRONMENT

The toolbox has been tested in Matlab 2012b (64-bit and 32-bit) under three major OS: Windows 7/8 (64-bit and 32-bit), Linux (Red-Hat Enterprise Linux) (64-bit and 32-bit) and Mac OS X. The toolbox is also compatable for Octave (version 3.8.0) in the Pseudo GUI (PGUI) and Command Line Interface (CLI) under three major OS: Windows 7, Linux (64-bit and 32-bit), and Mac OS X.

DOCUMENTATIONS

Detailed documentations can be found in the "Documentation" folder.

FOLDERS

./Data: the data set files stored in "*.mat" format.

./Documentation: all related documentations.

./GUI: The Graphical User Interface for the toolbox

./PGUI: The Pseudo Graphical User Interface for the toolbox

./Strategy: all the strategies in this toolbox.

./Log: experimental details of any strategy on any data set.

CONTACT

Dr. Steven Hoi

E-mail: [email protected] School of Information Systems Singapore Management University 80 Stamford Road Singapore 178902

Dr. Bin LI

E-mail: [email protected] Economics and Management School Wuhan University Wuhan, P.R. China 430072

MORE INFO

OLPS project website: http://OLPS.stevenhoi.org/

This version: OLPS 1.1.0, released June 20, 2015.