Paper available at https://arxiv.org/abs/2205.06846
Python version 3.8
Requires numpy, matplotlib, scipy
Stock price data is publicly available. We retrieved it from the Yahoo Finance website. https://finance.yahoo.com/
Instruction:
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Algorithm.py contains the implementation of our algorithm and the baseline.
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Synthetic_market_1.py, Synthetic_market_2.py and Synthetic_market_3.py produce Figure 2.
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Synthetic_tuneC_1.py and Synthetic_tuneC_2.py produce Figure 3.
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Synthetic_tuneC_1.py, Synthetic_lambda_1.py and Synthetic_lambda_2.py produce Figure 4.
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USstock.py produces Figure 5.