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.
Tag: Market Microstructure
At PortfolioEffect, we use high frequency market data to calculate intraday or end of day risk metrics. This involves a new methodology for the calculation of risk that was developed through 5 years of research. The results benefits low and high frequency traders and researchers. We offer risk metrics data on volatility and risk factors […]
Alpha Generation: Controlling Intraday Risk Profile with Python Friday, February 10 2017, 10:30 AM – 5:30 PM [CST] Chicago, 10th of Frebruary You will learn why the use of high frequency market data is necessary to be able to measure correctly the risk and rebalance your portfolio adequately. You will also learn how to build strategies to […]
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 […]