Category: PortfolioEffectHFT

Very interesting R and Python Workshops in NYC

During our 2 workshops, we covered how to compute intraday risk, backtest strategies, forecast metrics and optimize your portfolio to get more alpha. We went through classic moving average strategies to comparing high frequency strategies to low frequencies.¬†Attendees from different background have been present from banks to hedge funds to academics. It gave a stimulating […]

High Frequency Market Microstructure: Part 1 (Microstructure Noise)

Market Microstructure Noise¶ Microstructure noise describes price deviation from its fundamental value induced by certain features of the market under consideration. Common sources of microstructure noise are: bid-ask bounce effect order arrival latency asymmetry of information discreteness of price changes Noise makes high frequency estimates of some parameters (e.g. realized volatility) very unstable. The situation […]