Markowitz's Portfolio Simulator

This project is already pluged in to Interactive Brokers C++ API  beta test will begin soon;  ref: ExSan
Algorithmic Trading - LOW LATENCY TRADING
    1 Markowitz Portfolio Simulator
    2 
    3 ExSan is used for this simulation, Yahoo Finance is the source of data. 
    4 About  +500 files in txt format,  each containing 4K to 7K closing stok’s 
    5 prices since Jan 2000.
    6 
    7 ExSan handles DYNAMIC MEMORY ALLOCATION  it can deal with more than +500
    8 stocks/assets, it is only limited by the amount of RAM installed and 
    9 the addressable memory
   10 
   11 At the beginning all +500 files are opened and right away their access 
   12 pointers are randomly shifted to a new position, so every time the 
   13 portfolio simulator is executed the scenario is does not repeat because 
   14 at the very simulation all data files start to be read at a random position 
   15 from their beginning. Data files remain open during the whole simulation 
   16 for sequential access of its content. data files are picked  randomly to 
   17 read a new value (stock price) that will be feeded into the simulator
   18 
   19 This Simulator has been implemented using  Markowitz’s Portfolio Optimization
   20 Theory ( Quant Finance), it uses matrix generalization version that is based 
   21 on  Lagrange’s Theorem  , maximum return has been implemented 
   22 
   23 Here some printouts

   23    more --- try here

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