R interface to PortfolioEffect cloud service for estimating high frequency price variance, quarticity, microstructure noise variance, and other metrics in both aggregate and rolling window flavors. Constructed estimators could use client-side market data or access HF intraday price history for all major US Equities. See <https://www.portfolioeffect.com/> for more information on the PortfolioEffect high frequency portfolio analytics platform.
| Version: | 1.4 |
| Depends: | methods, PortfolioEffectHFT (≥ 1.7) |
| Imports: | rJava |
| Published: | 2016-09-17 |
| Author: | Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut] |
| Maintainer: | Andrey Kostin <andrey.kostin at portfolioeffect.com> |
| License: | GPL-3 |
| URL: | https://www.portfolioeffect.com/ |
| NeedsCompilation: | no |
| SystemRequirements: | Java (>= 1.7) |
| Materials: | NEWS |
| CRAN checks: | PortfolioEffectEstim results |
| Reference manual: | PortfolioEffectEstim.pdf |
| Vignettes: |
PorfolioEffectEstim package |
| Package source: | PortfolioEffectEstim_1.4.tar.gz |
| Windows binaries: | r-devel: PortfolioEffectEstim_1.4.zip, r-release: PortfolioEffectEstim_1.4.zip, r-oldrel: PortfolioEffectEstim_1.4.zip |
| macOS binaries: | r-release (arm64): PortfolioEffectEstim_1.4.tgz, r-oldrel (arm64): PortfolioEffectEstim_1.4.tgz, r-release (x86_64): PortfolioEffectEstim_1.4.tgz, r-oldrel (x86_64): PortfolioEffectEstim_1.4.tgz |
| Old sources: | PortfolioEffectEstim archive |
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