MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization
Aleksey Zemnitskiy (2021). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .
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Why is the main function empty?
Great toolbox for intraday backtesting. I like built-in access to HF historical data. Could you provide more examples of portfolio optimization for strategy portfolios?