Category: PortfolioEffectEstim

New R/MATLAB Package Released: High Frequency Price Estimators & Models

We are happy to announce PortfolioEffectEstim toolbox availability for both R & MATLAB. It is designed for high frequency market microstructure analysis and contains popular estimators for price variance, quarticity and noise. For R https://cran.r-project.org/web/packages/PortfolioEffectEstim/ Or via downloads section: https://www.portfolioeffect.com/docs/platform/quant/tools/r For MATLAB http://www.mathworks.com/matlabcentral/fileexchange/55335-portfolioeffectestim-high-frequency-price-estimators—models-toolbox Or via downloads section: https://www.portfolioeffect.com/docs/platform/quant/tools/matlab Features Package features key estimators for working […]