PortfolioEffectHFT - High Frequency Trading Toolbox
MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization
Cite As
Aleksey Zemnitskiy (2023). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .
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PortfolioEffectHFT
PortfolioEffectHFT/@optimizer
PortfolioEffectHFT/@portfolioContainer
PortfolioEffectHFT/@portfolioPlot
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Version | Published | Release Notes | |
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1.5.0.0 | - Added "resultsNAFilter" to portfolio_settings() |
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1.4.0.0 | - Improvements in estimates precision
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1.2.0.0 | Updated licensing information with a BSD license - Updated optimization_goal method with new parameters |
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