Tag: Market Microstructure

Chicago Python Workshop

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 […]

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 […]