MATLAB Tools

Connect to PortfolioEffect from MATLAB

PortfolioEffectHFT

High Frequency Portfolio Analytics for MATLAB

Matlab interface to PortfolioEffect service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory).

Get @ MATLAB Central

Download stable version of the toolbox from the official MATLAB website.
MATLAB Central

Source Code

PortfolioEffectHFT for MATLAB source code is publically available under the GPL v3 license.
View on Github

Latest Build

2016-10-04 13:05:33
User Manual
PortfolioEffectHFT_Matlab_Manual.pdf
All Platforms
PortfolioEffectHFT_Matlab.zip
Windows (Install Wizard)
PortfolioEffectHFT_Matlab.exe

PortfolioEffectEstim

High Frequency Price Estimators for MATLAB

MATLAB interface to PortfolioEffect service for estimating high frequency price variance, quarticity, microstructure noise variance, and other metrics (~20 models) in both aggregate and rolling window formats.

Get @ MATLAB Central

Download stable version of the toolbox from the official MATLAB website.
MATLAB Central

Source Code

PortfolioEffectEstim for MATLAB source code is publically available under the GPL v3 license.
View on Github

Latest Build

2016-10-04 14:04:18
User Manual
PortfolioEffectEstim_Matlab_Manual.pdf