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Here is a pure Java library with Matlab examples for getting daily and minute aggregated bars. It is based on IB Java API. I wrapped it to have a simple interface: http://www.spreadvectors.com/wisentgenus#code IB has limitations when requesting historical data: Making identical historical data requests within 15 seconds. Making six or more historical ...

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Your procedure is correct. However, given that the stock follows a GBM it has a closed form solution, which will yield more accurate results. $S_{t+\Delta t}=S_te^{(\mu-0.5\sigma^2)\Delta t+\sigma \sqrt{\Delta t}X_{t+\Delta t}}$ Here's a matlab code with the method above: clear all % GBM stock price t = 250; nsim = 1000; S = NaN(nsim, t); Sminus = ...

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Depending on how big is bid-ask spread, it may not matter at all. To start with I'd suggest that for each security you randomly pick either it's bid or ask price, and see whether the optimal weights differ much depending on your choice. If not, you can simply disregard such asymmetry. If not, I am not sure whether MPT will work nicely with your setting since ...

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