PortfolioEffect / PE-HFT-MatlabLinks
MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization
☆30Updated 9 years ago
Alternatives and similar repositories for PE-HFT-Matlab
Users that are interested in PE-HFT-Matlab are comparing it to the libraries listed below
Sorting:
- Python library for high frequency portfolio analysis, intraday backtesting and optimization☆68Updated 8 years ago
- High Frequency Trading☆109Updated 7 years ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆72Updated 7 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆235Updated 2 years ago
- Just another backtester☆21Updated 7 months ago
- Algorithmic trading platform for multiple assets☆37Updated 8 years ago
- ☆106Updated 8 years ago
- A Survey of Multi-Factor Models☆40Updated 10 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆71Updated 9 years ago
- Simple backtester for human.☆74Updated 8 years ago
- HFTrader is fully automated high frequency trading system☆96Updated 12 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆157Updated 7 years ago
- Algo execution engine☆93Updated 9 years ago
- Implementing technical indicators that are not implemented in ta-lib☆68Updated 9 years ago
- Risk estimation algorithms☆30Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 5 years ago
- Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms☆89Updated 11 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- a new simulator for statistical arbitrage☆15Updated 9 years ago
- Awesome machine learning for trading☆54Updated 7 years ago
- Neural Network for HFT-trading [experimental]☆88Updated 4 years ago
- zipline bundle for chinese exchanges☆68Updated 8 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆37Updated 4 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Compute VIX and related volatility indices☆106Updated 8 months ago
- 计算波动率的六种方法,计算隐含波动率,凤凰期权的定价,编制基于50ETF期权的VIX指数☆126Updated 5 years ago
- Quantopian Pairs Trading algorithm implementation.☆63Updated 7 years ago
- 非平衡订单流高频交易模型☆111Updated 6 years ago
- HFT, A high-frequency trading simulation package in R☆85Updated 7 years ago