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PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect
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.
Getting started
Browse package contents
Package details |
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| Author | Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut] |
| Maintainer | Andrey Kostin <andrey.kostin@portfolioeffect.com> |
| License | GPL-3 |
| Version | 1.4 |
| URL | https://www.portfolioeffect.com/ |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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Try the PortfolioEffectEstim package in your browser
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