PortfolioEffectHFT - High Frequency Trading Toolbox

PortfolioEffect MATLAB interface for intraday portfolio analytics with high frequency market data
1.9K Downloads
Updated Thu, 11 Feb 2016 06:00:28 +0000

MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization

Cite As

Aleksey Zemnitskiy (2024). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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PortfolioEffectHFT

PortfolioEffectHFT/@optimizer

PortfolioEffectHFT/@portfolioContainer

PortfolioEffectHFT/@portfolioPlot

demo

Versions that use the GitHub default branch cannot be downloaded

Version Published Release Notes
1.5.0.0

- Added "resultsNAFilter" to portfolio_settings()

1.4.0.0

- Improvements in estimates precision
- Fixed a number of bugs that occurred only under high load
- Improvements in server-side data caching
- Output "NaN" for missing values, computational errors, warm-up periods and possible artifacts

1.2.0.0

Updated licensing information with a BSD license

- Updated optimization_goal method with new parameters

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.