R interface to PortfolioEffect cloud service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Constructed portfolios 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: | 1.8 |
| Depends: | R (≥ 2.13.2), ggplot2 (≥ 2.2.0) |
| Imports: | methods, rJava, grid, zoo |
| Suggests: | testthat |
| Published: | 2017-03-24 |
| Author: | Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut], Craig Otis and others [ctb, cph] (OpenFAST library), Daniel Lemire, Muraoka Taro and others [ctb, cph] (JavaFastPFOR library), Joe Walnes, Jorg Schaible and others [ctb, cph] (XStream library), Dain Sundstrom [ctb, cph] (Snappy library), Extreme! Lab, Indiana University [ctb, cph] (XPP3 library), The Apache Software Foundation [ctb, cph] (Apache Log4j and Commons Lang libraries), Google, Inc. [ctb, cph] (GSON library), Free Software Foundation [ctb, cph] (GNU Trove and GNU Crypto libraries) |
| Maintainer: | Andrey Kostin <andrey.kostin at portfolioeffect.com> |
| License: | GPL-3 |
| Copyright: | See file COPYRIGHTS PortfolioEffectHFT copyright details |
| URL: | https://www.portfolioeffect.com/ |
| NeedsCompilation: | no |
| SystemRequirements: | Java (>= 1.7) |
| Materials: | NEWS |
| In views: | Finance |
| CRAN checks: | PortfolioEffectHFT results |
| Reference manual: | PortfolioEffectHFT.pdf |
| Vignettes: |
PorfolioEffectHFT package |
| Package source: | PortfolioEffectHFT_1.8.tar.gz |
| Windows binaries: | r-devel: PortfolioEffectHFT_1.8.zip, r-release: PortfolioEffectHFT_1.8.zip, r-oldrel: PortfolioEffectHFT_1.8.zip |
| macOS binaries: | r-release (arm64): PortfolioEffectHFT_1.8.tgz, r-oldrel (arm64): PortfolioEffectHFT_1.8.tgz, r-release (x86_64): PortfolioEffectHFT_1.8.tgz, r-oldrel (x86_64): PortfolioEffectHFT_1.8.tgz |
| Old sources: | PortfolioEffectHFT archive |
| Reverse depends: | PortfolioEffectEstim |
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