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.
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OLPS_gui.m run the OLPS toolbox in the GUI mode (recommended, available only in Matlab)
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OLPS_cli.m run the OLPS toolbox in the Command Line Interface (CLI) (for both Matlab and octave)
This toolbox includes software developed at the SMU for the following papers:
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Bin Li, Doyen Sahoo, and Steven C.H. Hoi. (2015) "OLPS: A Toolbox for On-Line Portfolio Selection." Singapore Management University.
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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.
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Unzip the file you just downloaded and copy the OLPS directory to a location,e.g.,/my-directory/
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Run Matlab/Ocatve, Go to /my-directory/OLPS/ at the command prompt
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run 'OLPS_gui' (Matlab) or 'OLPS_cli' (Ocatve)
Let us know if there is any error when running the above.
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 command-line interface (CLI) under three major OS: Windows 7, Linux (64-bit and 32-bit), and Mac OS X.
Detailed documentations can be found in the "Documentation" folder.
./Data: the data set files stored in "*.mat" format. ./Documentation: all related documentations. ./GUI: The Graphical User Interface for the toolbox ./Strategy: all the strategies in this toolbox. ./Log: experimental details of any strategy on any data set.
Dr. Steven Hoi
E-mail: chhoi@smu.edu.sg School of Information Systems Singapore Management University 80 Stamford Road Singapore 178902
Dr. Bin LI
E-mail: binli.whu@whu.edu.cn Economics and Management School Wuhan University Wuhan, P.R. China 430072
OLPS project website: http://OLPS.stevenhoi.org/
This version: OLPS 1.0.0, released January 31, 2015.