File Exchange

image thumbnail

PortfolioEffectEsti​m - High Frequency Price Estimators & Models Toolbox

version (518 KB) by Aleksey Zemnitskiy
PortfolioEffect MATLAB interface for intraday price analytics with high frequency market data

1 Download

Updated 11 Feb 2016

From GitHub

View license on GitHub

MATLAB toolbox for high frequency market microstructure analysis and estimators for price variance, quarticity and noise

Cite As

Aleksey Zemnitskiy (2021). PortfolioEffectEstim - High Frequency Price Estimators & Models Toolbox (, GitHub. Retrieved .

Comments and Ratings (1)

harry li

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!