A new forecast database is now available on Quandl: Realized Volatility Forecasts! Updated daily, the database offers data on realized (historical) volatility & forecasts 1-day and 1-week ahead for 2,000+ stocks, indices and ETFs. Checkout the documentation for more details.
Author: Stephanie Toper
Optimization description A trader using alternative data who already forecasted expected returns of different stocks want to find what is the optimal weights of his portfolio. Let’s input the users’ data in the optimization. Our goal is to maximize the expected return given by the user divided by the square root of the variance and find what are the […]
Updated hft package is now available on Anaconda2 for Linux, Max and Windows distribution. To install this package with conda run: Do not forget to install JDK as explain in this manual. We added more optimization features. One very interesting feature is to be able to import your own data into the optimization. Let’s say […]
We are please to have been selected by the judges to be the winner of BZ awards in category Finding Alpha 2017! Great FinTech event.
NYC, Sunday, May 21st from 9am to 4pm During the workshop, you will learn how to compute intraday risk with PortfolioEffect HFT package available on Anaconda. The complexity of tick market data will be explained. You will study how to build your own portfolio, create a strategy, backtest it, optimize it, and use vol forecasting. […]
We are happy to be part of BZ awards finalist. Thanks for voting for us! Clean tick market data to get real time portfolio analytics, optimization and forecasting have never been so important to understands better the market. At PortfolioEffect, we take care for you of the tick market data challenges so you can just focus on building […]
Using Jupyter notebook to develop strategies, do research or monitor your portfolio is a great idea. Jupyter supports different languages. At PortfolioEffect, our users are currently using R or Python kernel. They directly login through our web browser to see their portfolios. Examples on how to develop strategies and monitor risks are provided. This solution […]
Princeton-PortfolioEffect Algo Trading Workshop Sunday, April 9th from 9:00 am – 4:30 pm Princeton, NJ We are glad to announce that this year we are partnering with Quant Trading Conference to deliver an R Workshop. Prerequisite Beginner knowledge of R and finance, college level math with RStudio installed Agenda 9:00 AM 9:30 AM Welcome […]
Benzinga’s article on PorftolioEffect can be found on this link. We decided to post the article in the blog as it is a good description of what we do. You can vote for PortfolioEffect here on Facebook and Linkedin for 2 votes. PortfolioEffect Utilizes Real-Time Risk Metrics To Create Alpha Brett Hershman , Benzinga Staff Writer […]
Package Installation For hft package installation, you will need to have Anaconda2 and JDK installed. Please take a look at the manual. conda install -c portfolioeffect hft Strategy description We use price vector to create a strategy based on moving average. We assume that prices tend to revert to its moving average. Therefore, if the […]