Quant Mashup - Portfolio Effect
Webinar: Alpha Generation 01/10/2017 [Portfolio Effect]
Asset returns based on low frequency prices (e.g. end-of-day quotes) are still dominating modern portfolio analysis. To make portfolio metrics more relevant intraday and improve the precision of estimates, new data frequency needs to be explored. In this presentation we demonstrate how using high
- 7 years ago, 9 Jan 2017, 09:43pm -
Chicago Python Workshop [Portfolio Effect]
You will learn why the use of high frequency market data is necessary to be able to measure correctly the risk and rebalance your portfolio adequately. You will also learn how to build strategies to generate alpha. You will study how to build your own portfolio, create a strategy, backtest it,
- 7 years ago, 1 Dec 2016, 07:49pm -
New R/MATLAB Package Released: High Frequency Price Estimators & Models [Portfolio Effect]
We are happy to announce PortfolioEffectEstim toolbox availability for both R & MATLAB. It is designed for high frequency market microstructure analysis and contains popular estimators for price variance, quarticity and noise. For R https://cran.r-project.org/web/packages/PortfolioEffectEstim/
- 8 years ago, 18 Feb 2016, 02:29am -
High Frequency Market Microstructure: Part 1 (Microstructure Noise) [Portfolio Effect]
Microstructure noise describes price deviation from its fundamental value induced by certain features of the market under consideration. Common sources of microstructure noise are: bid-ask bounce effect order arrival latency asymmetry of information discreteness of price changes Noise makes high
- 8 years ago, 29 Oct 2015, 06:03pm -
Intraday Strategy Backtesting in R – Part 2 (Rule-based Strategies) [Portfolio Effect]
In this post we take intraday backtesting with PortfolioEffectHFT package one step further by adding a simple signal-based rebalancing rule. Using this rule we will create two trading portfolios – a high frequency strategy portfolio and a low frequency portfolio and compare them with each other in
- 8 years ago, 15 Oct 2015, 06:19am -