PortfolioEffectHFT

PortfolioEffectHFT - High Frequency Trading Toolbox

버전 1.5.0.0 (475 KB) 작성자: Aleksey Zemnitskiy

PortfolioEffect MATLAB interface for intraday portfolio analytics with high frequency market data

https://github.com/PortfolioEffect/PE-HFT-Matlab

팔로우

3.0

(2)

다운로드 수: 1.9K

업데이트 날짜: 2016/2/11

GitHub에서 라이선스 보기

MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization

인용 양식

Aleksey Zemnitskiy (2024). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. 검색됨 2024/4/25.

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개발 환경: R2010a

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GitHub 디폴트 브랜치를 사용하는 버전은 다운로드할 수 없음

버전	게시됨	릴리스 정보
1.5.0.0	2016/2/11	- Added "resultsNAFilter" to portfolio_settings()
1.4.0.0	2015/12/17	- Improvements in estimates precision - Fixed a number of bugs that occurred only under high load - Improvements in server-side data caching - Output "NaN" for missing values, computational errors, warm-up periods and possible artifacts
1.2.0.0	2015/10/14	Updated licensing information with a BSD license - Updated optimization_goal method with new parameters

버전

게시됨

릴리스 정보

1.5.0.0

2016/2/11

- Added "resultsNAFilter" to portfolio_settings()

1.4.0.0

2015/12/17

- Improvements in estimates precision
- Fixed a number of bugs that occurred only under high load
- Improvements in server-side data caching
- Output "NaN" for missing values, computational errors, warm-up periods and possible artifacts

1.2.0.0

2015/10/14

Updated licensing information with a BSD license

- Updated optimization_goal method with new parameters

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