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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

2 Downloads

Updated 11 Feb 2016

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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 (3)

sairamesh nammi

Not at all user-friendly

Huahua Wu

Why is the main function empty?

Peter Jones

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?

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

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PortfolioEffectHFT

PortfolioEffectHFT/@optimizer

PortfolioEffectHFT/@portfolioContainer

PortfolioEffectHFT/@portfolioPlot

demo