PortfolioEffectHFT - High Frequency Trading Toolbox

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

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

Version 1.5.0.0 (475 KB)
1.9K Downloads
(2)
11 Feb 2016

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

Cite As

Aleksey Zemnitskiy (2026). PortfolioEffectHFT - High Frequency Trading Toolbox (https://github.com/PortfolioEffect/PE-HFT-Matlab), GitHub. Retrieved .

Categories

Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Versions that use the GitHub default branch cannot be downloaded

Version Published Release Notes
1.5.0.0

- Added "resultsNAFilter" to portfolio_settings()
1.4.0.0

- 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

Updated licensing information with a BSD license

- Updated optimization_goal method with new parameters
To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.