PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect
Version 1.4

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 for more information on the PortfolioEffect high frequency portfolio analytics platform.

Package details

AuthorAndrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut]
Date of publication2016-09-17 19:54:52
MaintainerAndrey Kostin <[email protected]>
LicenseGPL-3
Version1.4
URL https://www.portfolioeffect.com/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("PortfolioEffectEstim")

Try the PortfolioEffectEstim package in your browser

Any scripts or data that you put into this service are public.

PortfolioEffectEstim documentation built on May 29, 2017, 10:53 p.m.