PortfolioEffectHFT - High Frequency Trading Toolbox
version 1.5.0.0 (475 KB) by
Aleksey Zemnitskiy
PortfolioEffect MATLAB interface for intraday portfolio analytics with high frequency market data
MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization
Cite As
Aleksey Zemnitskiy (2021). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .
Comments and Ratings (2)
MATLAB Release Compatibility
Created with
R2010a
Compatible with any release
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PortfolioEffectHFT
PortfolioEffectHFT/@optimizer
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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?