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☆67Updated 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
- Algorithmic trading platform for multiple assets☆37Updated 8 years ago
- High Frequency Trading☆109Updated 7 years ago
- ☆106Updated 8 years ago
- A Survey of Multi-Factor Models☆40Updated 10 years ago
- Algo execution engine☆93Updated 9 years ago
- Just another backtester☆20Updated 7 months ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆156Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- HFTrader is fully automated high frequency trading system☆94Updated 12 years ago
- HFT, A high-frequency trading simulation package in R☆84Updated 7 years ago
- Implementing technical indicators that are not implemented in ta-lib☆68Updated 9 years ago
- quantitative security portfolio analysis. The analysis pipeline including data storage abstraction, alpha calculation, ML based alpha com…☆234Updated 2 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 5 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
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Compute VIX and related volatility indices☆107Updated 7 months ago
- Modular trading models with Interactive Brokers and backtester in Python☆122Updated 6 years ago
- kdb+/q interface library for Wind Quant API.☆93Updated 2 years ago
- Research on OTC options pricing models☆26Updated 7 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 5 years ago
- portfolio construction and quantitative analysis☆139Updated 10 years ago
- A python script to download daily futures market data from Interactive Brokers using IbPy☆29Updated 7 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆46Updated 9 years ago
- Neural Network for HFT-trading [experimental]☆87Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- Proprietary trading solution for high-frequency trading (HFT) and statistical arbitrage algorithms☆88Updated 11 years ago
- ☆51Updated 8 years ago