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
3.0
(2)
1.9K Downloads
Updated 11 Feb 2016
View License on GitHub

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.