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.

Browse man pages Browse package API and functions Browse package files

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

Man pages

estimator_availableSymbols: Get All Symbol List
estimator-class: Class '"estimator"'
estimator_create: Creates new estimator
estimator_defaultSettings: Estimator Default Settings
estimator_getSettings: Get Estimator Settings
estimator_settings: Estimator Settings
noise_acnv: Autocovariance Noise Variance
noise_nts: Noise to Signal Ratio
noise_rnv: Rescaled Noise Variance
noise_urnv: Unbiased Rescaled Noise Variance
noise_uznv: Uncertainty Zones Noise Variance
price: Get Asset Price
quarticity_mrq: Modulated Realized Quarticity
quarticity_mtq: Modulated Tripower Quarticity
quarticity_rq: Realized Quarticity
quarticity_rqq: Realized Quadpower Quarticity
quarticity_rtq: Realized Tripower Quarticity
variance_jrmrv: Jump Robust Modulated Realized Variance
variance_krv: Kernel Realized Variance
variance_mrv: Modulated Realized Variance
variance_msrv: Multiple Scales Realized Variance
variance_rv: Realized Variance
variance_tsrv: Two Scales Realized Variance
variance_uzrv: Uncertainty Zones Realized Variance

Functions

estimator-class Man page
estimator_availableSymbols Man page Source code
estimator_create Man page Source code
estimator_defaultSettings Man page Source code
estimator_getSettings Man page Source code
estimator_metric Source code
estimator_settings Man page Source code
getErrorMessage Source code
getErrorStatus Source code
getResult Source code
getResultValuesDoubleArray Source code
getResultValuesDoubleArrayWithTime Source code
getResultValuesLong Source code
getTimeMilliSec Source code
infoMessage Source code
noise_acnv Man page Source code
noise_nts Man page Source code
noise_rnv Man page Source code
noise_urnv Man page Source code
noise_uznv Man page Source code
onLoad Source code
price Man page Source code
printStatus Source code
quarticity_mrq Man page Source code
quarticity_mtq Man page Source code
quarticity_rq Man page Source code
quarticity_rqq Man page Source code
quarticity_rtq Man page Source code
stopMessage Source code
toJSONpe Source code
util_checkErrors Source code
util_validate Source code
variance_jrmrv Man page Source code
variance_jrmrvRolling Man page Source code
variance_krv Man page Source code
variance_krvRolling Man page Source code
variance_mrv Man page Source code
variance_mrvRolling Man page Source code
variance_msrv Man page Source code
variance_msrvRolling Man page Source code
variance_rv Man page Source code
variance_rvRolling Man page Source code
variance_tsrv Man page Source code
variance_tsrvRolling Man page Source code
variance_uzrv Man page Source code

Files

inst
inst/doc
inst/doc/PortfolioEffectEstim.pdf
inst/doc/PortfolioEffectEstim.Rnw
NAMESPACE
NEWS
R
R/onLoad.R
R/metrics.R
R/message.R
R/util.R
vignettes
vignettes/PortfolioEffectEstim.Rnw
MD5
build
build/vignette.rds
DESCRIPTION
man
man/estimator_getSettings.Rd
man/variance_mrv.Rd
man/estimator_defaultSettings.Rd
man/noise_nts.Rd
man/estimator-class.Rd
man/quarticity_rq.Rd
man/noise_rnv.Rd
man/variance_msrv.Rd
man/quarticity_mrq.Rd
man/noise_urnv.Rd
man/estimator_create.Rd
man/variance_tsrv.Rd
man/variance_krv.Rd
man/quarticity_rtq.Rd
man/variance_rv.Rd
man/noise_uznv.Rd
man/variance_uzrv.Rd
man/price.Rd
man/noise_acnv.Rd
man/quarticity_rqq.Rd
man/quarticity_mtq.Rd
man/estimator_settings.Rd
man/estimator_availableSymbols.Rd
man/variance_jrmrv.Rd
PortfolioEffectEstim documentation built on May 19, 2017, 9:28 p.m.