Connect to PortfolioEffect from MATLAB
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 CentralDownload stable version of the toolbox from the official MATLAB website. MATLAB Central
Source CodePortfolioEffectHFT for MATLAB source code is publically available under the GPL v3 license. View on Github
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.