Provides intraday risk and performance statistics using market microstruture theory and high frequency price quotes. It is powered by PortfolioEffect. A next generation portfolio risk management service with libraries for R, Matlab,. Expected Tail Loss, %.
http://www.volatility.io/
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Volatility.io | Dashboard - Return Metrics | volatility.io Reviews
https://volatility.io
Provides intraday risk and performance statistics using market microstruture theory and high frequency price quotes. It is powered by PortfolioEffect. A next generation portfolio risk management service with libraries for R, Matlab,. Expected Tail Loss, %.
volatility.io
Volatility.io | Dashboard - Event Analysis
http://www.volatility.io/dashboard/events
Provides intraday risk and performance statistics using market microstruture theory and high frequency price quotes. It is powered by PortfolioEffect. A next generation portfolio risk management service with libraries for R, Matlab,.
Volatility.io | Dashboard - Return Distribution
http://www.volatility.io/dashboard/distribution
Provides intraday risk and performance statistics using market microstruture theory and high frequency price quotes. It is powered by PortfolioEffect. A next generation portfolio risk management service with libraries for R, Matlab,.
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PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/faq
What you need to know. Send us an email. Ask us on forum. PortfolioEffect is a cloud service for high resolution portfolio management. It relies on high frequency market data and real-time model pipeline to give an intraday view of portfolio risk and performance. PortfolioEffect feaures packages for R, Matlab, Java and Python for historical portfolio backtesting, optimization and streaming portfolio risk feeds. How does it work? Liquid symbols could have hundreds of market transactions per second, which ...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/platform/quant/tutorials/portfolio-optimization
Manual, tutorials and complete function reference. Intro to Portfolio Metrics. Comparing HF and LF Strategies. Intro to Portfolio Optimization. Introduction to Portfolio Optimization. Let's create a portfolio with three positions that use an interval from 2014-09-17 to 2014-09-21 as a holding period. Portfolio metrics mode is set to static, because classic portfolio optimization does not take past history of rebalancing into account. Paren = @(x, varargin) x(varargin{:}); portfolio=portfolio create('inde...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/platform/quant/tutorials/alpha-decay
Manual, tutorials and complete function reference. Intro to Portfolio Metrics. Comparing HF and LF Strategies. Intro to Portfolio Optimization. In this tutorial we will compare alpha decay (i.e. alpha deterioration) of a portfolio with equal position weights and a portfolio, which position weights are computed according to the popular Treynor-Black model. Treynor-Black model is using Single-Index Model (SIM). Load PortfolioEffectHFT package require(PortfolioEffectHFT) # create test portfolio timeStart="2...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/glossary
Metrics, Models and Concepts. Send us an email. Ask us on forum. Volatility and Risk Data. Our public service for tracking.
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/platform/quant/tutorials/lf-hf-strategy
Manual, tutorials and complete function reference. Intro to Portfolio Metrics. Comparing HF and LF Strategies. Intro to Portfolio Optimization. Comparison of High and Low. Now that we defined our intraday holding intervals, we can construct our trading portfolio for further analysis. Note that we set portfolioMetricsMode to "portfolio" to account for changing stock volumes. Let's plot corresponding holding periods for each intraday strategy. Plot1=util ggplot(util plot2d(position quantity(highFrequencyPo...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/platform/quant/tutorials/portfolio-metrics
Manual, tutorials and complete function reference. Intro to Portfolio Metrics. Comparing HF and LF Strategies. Intro to Portfolio Optimization. In this tutorial we will construct a portfolio with a few positions and will compute some key risk and performance metrics for it. Create empty portfolio dateStart = '2014-10-01 09:30:00'; dateEnd = '2014-10-02 16:00:00'; portfolio=portfolio create('fromTime',dateStart,'toTime',dateEnd); % Add position AAPL and GOOG to portfolio portfolio addPosition(portfolio,'A...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/platform/quant/tutorials/efficient-frontier
Manual, tutorials and complete function reference. Intro to Portfolio Metrics. Comparing HF and LF Strategies. Intro to Portfolio Optimization. For Intraday Asset Allocation. This tutorial investigates construction of an efficient frontier using HF market data for portfolios of different sizes (theoretical vs realistic) and with various short-sales assumptions (Markowitz vs. Lintner). Portfolio=portfolio create('index','SPY', 'fromTime', '2014-04-13 9:30:01', 'toTime', '2014-04-16 16:00:00'); portfolio s...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/docs/platform/quant/tutorials/holding-period-risks
Manual, tutorials and complete function reference. Intro to Portfolio Metrics. Comparing HF and LF Strategies. Intro to Portfolio Optimization. Holding Period Risks of. You would learn that the answer to this question will change depending on how you define what "market exposure" is for each strategy. The diagram below shows that LF strategy keeps its positions open for around 227.3 minutes while the HF strategy would only hold stocks for a total of 106.7 minutes. Only total holding time spent in the pos...
PortfolioEffect - High Frequency Portfolio Analytics
https://www.portfolioeffect.com/index.php
High Frequency Portfolio Analytics. Use high frequency data pipeline for intraday backtesting,. Portfolio risk management and optimization at every price tick. Use our historical and real-time data to construct porfolios and strategies from stocks, indices and ETFs traded on BATS, CBOE, CSE, Direct Edge, NASDAQ, NYSE. Compute portfolio risk and performance metrics based on modern/post-modern portfolio theory: VaR, ETL, alpha, beta, Sharpe ratio, Omega ratio, etc. Intraday prices since 2013.
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volatility (NikolasSetiajiYogapratama) - DeviantArt
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Indices - index types - footer. Companies listed on Euronext are indexed according to size, segments, sectors and per national market. It is not necessary to apply for inclusion in an index, just as a company cannot block its inclusion. The dematerialisation process in Belgium obliges the issuers of physical securities to sell any non-reconciled positions they may have in these securities. Facilitates the sale of non-listed securities by public auction. View dematerialisation notices below. The July 2015...
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Volatility.io | Dashboard - Return Metrics
Provides intraday risk and performance statistics using market microstruture theory and high frequency price quotes. It is powered by PortfolioEffect. A next generation portfolio risk management service with libraries for R, Matlab,. Expected Tail Loss, %.
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Volatility: Advanced Memory Forensics
Volatile memory analysis research. Last Call: Open Memory Forensics Workshop 2014. As previously mentioned, the registration for the Open Memory Forensics Workshop (OMFW). 2014 closes on Oct 24. If you are interested in attending, there are a few seat remaining. Examples of the exciting talks include:. Science, Sharing, and Repeatability in Memory Forensics. Memory Forensics for IR: Leveraging Volatility to Hunt Advanced Actors. Memory Tracing: Forensic Reverse Engineering. Was officially granted 501(3) ...
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